World Business StrategiesServing the Global Financial Community since 2000

Speakers

Bruno Dupire:

Head of Quantitative Research, Bloomberg L.P.

Bruno Dupire: Head of Quantitative Research, Bloomberg L.P.

Bruno Dupire is head of Quantitative Research at Bloomberg L.P., which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008.

Jesper Andreasen: 

Kwant Daddy! Global Head of Quantitative Research, Saxo Bank

Jesper Andreasen (Kwant Daddy): Global Head Of Quantitative Research, Saxo Bank  

Jesper Andreasen is head of Quantitative Research at Saxo Bank in Copenhagen. Jesper has previously held senior positions in the quantitative research departments of Danske Bank, Bank of America, Nordea, and General Re Financial Products. Jesper’s recent research focusses on efficient and accurate methods for computing credit and market risk. Jesper holds a PhD in mathematical finance from Aarhus University, Denmark. He received Risk Magazine’s Quant of the Year awards in 2001 and 2012, joint with Leif Andersen and Brian Huge respectively, and is an honorary professor of mathematical finance at Copenhagen University.

Vladimir Piterbarg:

MD, Head of Quantitative Analytics and Quantitative Development, NatWest Markets

Vladimir Piterbarg: MD, Head of Quantitative Analytics and Quantitative Development at NatWest Markets

Tony Guida:

Executive Director – Senior Quant Research, RAM Active Investments

Tony Guida: Executive Director – Senior Quant Research, RAM Active Investments

Tony Guida is Executive Director – Senior Quant Research at RAM Active Investments. Before this, Tony was a Senior Investment Manager in quantitative equity at the investment manager of a major UK pension fund in London, where he managed multifactor systematic equity portfolios. During his career, he held such positions as senior consultant for smart beta and risk allocation at EDHEC RISK Scientific Beta and senior research and investment committee for Minimum Variance Strategies, where he led the factor investing research group for institutional clients, and a regular speaker at quant conferences.

Blanka Horvath:

Honorary Lecturer, Department of Mathematics, Imperial College London

Blanka Horvath: Honorary Lecturer, Department of Mathematics, Imperial College London

Blanka is a Honorary Lecturer in the Department of Mathematics at Imperial College London and a Lecturer at King’s College London. Her research interests are in the area of Stochastic Analysis and Mathematical Finance.

Her interests include asymptotic and numerical methods for option pricing, smile asymptotics for local- and stochastic volatility models (the SABR model and fractional volatility models in particular), Laplace methods on Wiener space and heat kernel expansions.

Blanka completed her PhD in Financial Mathematics at ETHZürich with Josef Teichmann and Johannes Muhle-Karbe. She holds a Diploma in Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong.

Helyette Geman:

Professor of Mathematical Finance, Birkbeck – University of London & Johns Hopkins

Helyette Geman, PhD, PhD: Professor of Mathematical Finance, Birkbeck – University of London & Johns Hopkins

Helyette GEMAN is a Professor of Mathematical Finance at Birkbeck – University of London and at Johns Hopkins University. She is a Graduate of Ecole Normale Supérieure in Mathematics, holds a Masters degree in Theoretical Physics, a PhD in Probability from the University Pierre et Marie Curie and a PhD in Finance from the University Pantheon Sorbonne.
She has been a scientific advisor to a number of major energy and mining companies for the last 20 years, covering the trading of crude oil, natural gas, electricity as well as metals in companies such as EDF Trading, Louis Dreyfus or BHP Billiton and was named in 2004 in the Hall of Fame of Energy Risk.
Prof Geman was previously the head of Research and Development at Caisse des Depots. She has published more than 140 papers in major finance journals including the Journal of Finance, Mathematical Finance, Journal of Financial Economics, Journal of Banking and Finance and Journal of Business. She has also written the book entitled Insurance and Weather Derivatives and is a Member of Honor of the French Society of Actuaries.
Her research includes exotic option pricing for which she got the first prize of the Merrill Lynch awards, asset price modeling through the introduction of transaction time (JOF, 2000); she is one of the authors of the CGMY pure jump Levy model (2002). Prof Geman had organized in 2000 at College de France the first meeting of the Bachelier Finance Society, with Paul Samuelson, Robert Merton and Henry McKean as keynote speakers.
Her book, ‘Commodities and Commodity Derivatives’ is the reference in the field. She was a Scientific Expert on Agriculture for the European Commission and is on the Board of the Bloomberg Commodity Index.
She counts among her numerous PhD students Nassim Taleb, author of the Black Swan

Fabio Mercurio: 

Head of Quant Analytics at Bloomberg L.P.

Fabio Mercurio: Head of Quant Analytics at Bloomberg L.P.

Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management. Fabio is also adjunct professor at NYU. He has jointly authored the book ‘Interest rate models: theory and practice’ and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.

Kathrin Glau:

Lecturer in Financial Mathematics, Queen Mary University of London

Kathrin Glau: Lecturer in Financial Mathematics, Queen Mary University of London

Kathrin Glau currently is a Lecturer in Financial Mathematics at Queen Mary University of London & FELLOW co-founded by Marie Skłodowska Curie at École Polytechnique Fédérale de Lausanne. Between 2011 and 2017 she was Junior Professor at the Technical University of Munich. Prior to this she worked as a postdoctoral university assistant at the chair of Prof. Walter Schachermayer at the University of Vienna. In September 2010 she completed her Ph.D. on the topic of Feynman-Kac representations for option pricing in Lévy models at the chair of Ernst Eberlein.

Her research is driven by the interdisciplinary nature of computational finance and reaches across the borders of finance, stochastic analysis and numerical analysis. At the core of her current research is the design and implementation of complexity reduction techniques for finance. Key to her approach is the decomposition of algorithms in an offline phase, which is a learning step, and a fast and accurate online phase. The methods range from model order reduction of parametric partial differential equations to learning algorithms and are designed to facilitate such diverse tasks as uncertainty quantification and calibration, real-time pricing, real-time risk monitoring, and intra-day stress testing.

Andrei Lyashenko:

Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.

Andrei Lyashenko: Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.

Andrei Lyashenko is the head of Market Risk and Pricing Models at the Quantitative Risk Management (QRM), Inc. in Chicago.  His team is responsible for research, implementation and support of pricing and risk models across multiple asset classes.  Andrei is also adjunct professor at the Illinois Institute of Technology.  Before joining the QRM in 1997, Andrei was on the mathematical faculty at the University of Illinois at Chicago and Iowa State University.  Prior to coming to the US, he conducted academic research in applied math in Russia, Japan and Italy and published numerous research papers in the area of fluid stability in major mathematical journals.  He holds a BSc in Mathematics from the Novosibirsk State University, Russia and a PhD in Mathematics from the Russian Academy of Science.

Rita Laura D’Ecclesia

Professor: Università degli Studi di Roma “La Sapienza”

Rita Laura D’Ecclesia Professor: Università degli Studi di Roma “La Sapienza”

Peter Jaeckel:

Deputy Head of Quantitative Research, VTB Capital

Peter Jaeckel: Deputy Head of Quantitative Research, VTB Capital

Peter Jäckel received his DPhil from Oxford University in 1995. In 1997, he moved into quantitative analysis and financial modelling when he joined Nikko Securities. Following that he worked as a quantitative analyst at NatWest, Commerzbank Securities, ABN AMRO, and now VTB Capital where he is the Deputy Head of Quantitative Research. Peter is the author of “Monte Carlo Methods in Finance” published by John Wiley & Sons. Some of his publications can be found at WWW.JAECKEL.ORG.

Rodney Hoskinson:

Director, Quantitative Support (Strategic Trading and Funding), ANZ Banking Group

Rodney Hoskinson: Director, Quantitative Support (Strategic Trading and Funding), ANZ Banking Group

Rodney Hoskinson is a Director at ANZ Banking Group having joined in 2017 in the front office quantitative team for the Group’s Global Markets business. In this role based in Singapore, he is responsible for XVA support, primarily focussed on the strategic and quantitative development of the KVA (capital valuation adjustment). Before joining ANZ he was manager, KVA desk quantitative analysis in Fixed Income, Currencies and Commodities at National Australia Bank. His past experience includes a Director role at PwC Australia focussed on financial services consulting and audit support in market risk, implementation of economic capital models for several large insurers, and senior actuarial management roles at QBE Insurance Group. Rodney holds a PhD in Finance from France’s EDHEC Business School and is also a Chartered Enterprise Risk Actuary.

Francois Bergeaud:

FRTB Lead Quantitative Analyst, BNP Paribas

Francois Bergeaud: FRTB Lead Quantitative Analyst, BNP Paribas

FRTB Lead Quantitative Analyst at BNP Paribas

Previously , Head of the XVA quantitative analytics, Modelling and development of the XVA engine and analytics used globally by the XVA desk and corporate sales.

Quantitative Analysis / Library development / Solution, XVA , Interest Rates, Fixed Income, Credit Derivatives, Inflation, FX, DRC, FRTB, PhD Mathematics ECP and Courant Institute (NYU) ; Graduated from Ecole Centrale Paris

Michael Pykhtin:

Manager, Quantitative Risk, U.S. Federal Reserve Board

Michael Pykhtin: Manager, Quantitative Risk, U.S. Federal Reserve Board

Michael Pykhtin is a manager in the Quantitative Risk section at the U.S. Federal Reserve Board. Prior to joining the Board in 2009 as a senior economist, he had a successful nine-year career as a quantitative researcher at Bank of America and KeyCorp. Michael has edited “Counterparty Risk Management” (Risk Books, 2014) and “Counterparty Credit Risk Modelling” (Risk Books, 2005). He is also a contributing author to several recent edited collections. Michael has published extensively in the leading industry journals; he has been an Associate Editor of the Journal of Credit Risk since 2007. Michael is a two-time recipient of Risk Magazine’s Quant of the Year award (for 2014 and 2018). Michael holds a Ph.D. degree in Physics from the University of Pennsylvania and an M.S. degree in Physics and Applied Mathematics from Moscow Institute of Physics and Technology.

Brian Norsk Huge:

Chief Quantitative Analyst, Danske Markets

Brian Norsk Huge: Chief Quantitative Analyst, Danske Markets

Marc Henrard:

Managing Partner muRisQ Advisory and Visiting Professor, University College London

Marc Henrard: Managing Partner muRisQ Advisory and Visiting Professor, University College London

Over the last 20 years, Marc has worked in various areas of quantitative finance. Marc’s career includes Head of Quantitative Research at OpenGamma, Global Head of Interest Rate Modeling for Dexia Group, Head of Quantitative Research and Deputy Head of Interest Rate Trading at the Bank for International Settlements (BIS) and Deputy Head of Treasury Risk also at BIS.

Marc’s research focuses on interest rate modeling and risk management. More recently he focused his attention to market infrastructure (CCP and bilateral margin, exchange traded product design, regulatory costs). He publishes on a regular basis in international finance journals, and is a frequent speaker at academic and practitioner conferences. He recently authored two books: The multi-curve framework: foundation, evolution, implementation and Algorithmic Differentiation in Finance Explained.

Marc holds a PhD in Mathematics from the University of Louvain, Belgium. He has been research scientist and university lecturer in Belgium, Italy, Chile and the United Kingdom.

Adolfo Montoro:

Global Head of Market Data Strategy & Analytics, Deutsche Bank

Adolfo Montoro: Director, Global Head of Market Data Strategy & Analytics, Market Valuation Risk Management Deutsche Bank

Adolfo Montoro FRM, is a Director within Deutsche Bank’s Market Risk Management & Risk Methodology department in London. He currently leads the Market Data Strategy and Analytics team and represents DB in the Industry FRTB Working Group supporting elements of the FRTB implementation and advocacy for the Bank over the last five years. Previously he has been in charge of the Strategic implementation of Full Revaluation-based suite of VaR model ensuring as well the adequacy of quantitative methodologies used for market risk management and regulatory purposes (Pillar I and II). He has earned an MSc in Risk Management from Bocconi University, Italy, and graduated with a degree in economics (with honours) from Universita’ della Calabria, Italy. He has earned his Financial Risk Manager (FRM) certification in 2005. Adolfo is currently affiliated with the Global Association of Risk Professionals, where he serves both as a Regional Director for the UK Chapter as well as member of the FRM Committee.

Ignacio Ruiz:

Founder & CEO, MoCaX Intelligence

Ignacio Ruiz: Founder & CEO, MoCaX Intelligence

Ignacio Ruiz has been the head strategist for Counterparty Credit Risk, exposure measurement, for Credit Suisse, as well as the Head of Risk Methodology, equities, for BNP Paribas. In 2010, Ignacio set up iRuiz Consulting as an independent advisory business in this field. In 2014, Ignacio founded iRuiz Technologies to develop and commercialise MoCaX Intelligence.

Ignacio has several publications in the space of quantitative risk management and pricing. He has also published a comprehensive guide to the subject of XVA Desks and Risk Management.

He holds a PhD in nano-physics from Cambridge University.

Antoine Savine:

Quantitative Research, Danske Bank

Antoine Savine: Quantitative Research, Danske Bank

Antoine Savine has worked for various Investment Banks since 1995, along Bruno Dupire, Leif Andersen and Marek Musiela. He was Global Head of Quantitative Research for Fixed Income, Currency and Credit Derivatives for BNP-Paribas 1999-2009, and currently works in Copenhagen for Danske Bank, where his work with Jesper Andreasen earned the In-House System of the Year 2015 Risk Award. His upcoming publications in Wiley’s Computational Finance series are dedicated to teaching the technologies implemented in those award-winning systems.

Antoine also teaches Volatility Modeling and Numerical Finance in the University of Copenhagen’s Masters of Science in Mathematics-Economics. The curriculum for his Numerical Finance lectures is being published by Wiley under the name “AAD and Parallel Simulations”.

Antoine holds a Masters from the University of Paris (Jussieu) and a PhD from the University of Copenhagen, both in Mathematics.

Alexandre Antonov:

Chief Analyst, Danske Bank

Alexandre Antonov: Chief Analyst, Danske Bank

Alexandre Antonov received his PhD degree from the Landau Institute for Theoretical Physics in 1997. He worked for Numerix during 1998-2017 and recently he has joined Danske Bank as the Chief Analyst in Copenhagen.

His activity is concentrated on modeling and numerical methods for interest rates, cross currency, hybrid, credit and CVA/FVA/MVA. AA is a published author for multiple publications in mathematical finance and a frequent speaker at financial conferences.

He has received a Quant of Year Award of Risk magazine in 2016.

Rebecca Declara:

Interest Rates Options Trader, BayernLB

Rebecca Declara: Interest Rates Options Trader, BayernLB

Rebecca is a quantitative finance professional, experienced both in trading and risk modelling. She complements her current role as an interest rate options trader at BayernLB with quantitative projects focusing on the transparent pricing and risk management of structured interest rate derivatives. Prior to this role, Rebecca worked as an XVA Quant where she contributed to the development and implementation of several methodological XVA initiatives (e.g. MVA) and was the responsible project leader for the implementation of a bank-wide XVA pricing and risk management system. Rebecca holds a M.Sc. in Financial Mathematics and a M.A. in Philosophy from the Ludwig Maximilian University of Munich.

Mariano Zeron:

Head of Research and Development: MoCaX Intelligence

Mariano Zeron: Head of Research and Development: MoCaX Intelligence

Mariano leads our Research & Development work. He has vast experience in Chebyshev Spectral Decomposition, machine-learning and related disciplines, and their application to quantitative problems in the financial markets. Mariano holds a Ph.D. in Mathematics from Cambridge University.

Max Verheijen:

Head of Financial Markets, Cardano

Max Verheijen: Head of Financial Markets, Cardano

Max is a Director of Cardano’s Financial Markets division covering structuring, trading, reporting and control activities in financial products for institutional clients. He has over 25 years’ experience in derivatives, both on the sell and buy side.

Before joining Cardano he was vice president at the Interest Rate Derivatives Department of Treasury and Sales at ING Bank Amsterdam.
Max is specialised in regulation of financial markets and documentation, pricing and trading of financial instruments including OTC derivatives (specifically rates, inflation, equity and FX) and cash instruments.

Thomas Roos:

Consulting Partner, Quantitative Financial

Thomas Roos: Consulting Partner, Quantitative Financial

Thomas is an independent consultant specialising in derivatives, based in Italy. He has 20 years experience in the financial industry, including as Head of Interest Rate and Emerging Markets Quantitative Analytics at Barclays and as European Head of Interest Rate Modelling at Credit Suisse.

Thomas holds a PhD in Theoretical Physics from Cornell University.

Stéphane Crépey:

Professor of Mathematics, University Of Evry

Stéphane Crépey: Professor of Mathematics, University Of Evry

Stéphane Crépey is professor at the Mathematics Department of University of Evry (France), head of Probability and Mathematical Finance and head of the Engineering and Finance branch (M2IF) of the Paris-Saclay Master Program in Financial Mathematics. His research interests are financial modeling, counterparty and credit risk, numerical finance, as well as related mathematical topics in the fields of backward stochastic differential equations and partial differential equations. He is the author of numerous research papers and two books: “Financial Modeling: A Backward Stochastic Differential Equations Perspective” (S. Crépey, Springer Finance Textbook Series, 2013) and “Counterparty Risk and Funding, a Tale of Two Puzzles” (S. Crépey, T. Bielecki and D. Brigo, Chapman & Hall/CRC Financial Mathematics Series, 2014).

He is an associate editor of SIAM Journal on Financial Mathematics, International Journal of Theoretical and Applied Finance, and a member of the scientific council of the French financial markets authority (AMF). Stéphane Crépey graduated from ENSAE and he holds a PhD in applied mathematics from Ecole Polytechnique and INRIA Sophia Antipolis.

Alexei Kondratyev:

Managing Director, Head of Data Analytics, Standard Chartered Bank

Alexei Kondratyev: Managing Director, Head of Data Analytics, Standard Chartered Bank

In his role as Managing Director and Head of Data Analytics at Standard Chartered Bank, Alexei is responsible for providing data analytics services to Financial Markets sales and trading.

He joined Standard Chartered Bank in 2010 from Barclays Capital where he managed a model development team within Credit Risk Analytics. Prior to joining Barclays Capital in 2004, he was a senior quantitative analyst at Dresdner Bank in Frankfurt.

Alexei holds MSc in Theoretical Nuclear Physics from the University of Kiev and PhD in Mathematical Physics from the Institute for Mathematics, National Academy of Sciences of Ukraine.

Andrey Chirikhin:

Founder, Quantitative Recipes

Andrey Chirikhin: Founder, Quantitative Recipes

Andrey was formerly Head of Modelling and Quantitative Analytics for L1 Treasury, part of a USD 25bn privately held investment vehicle LetterOne. Prior to LetterOne, Andrey was MD and Head of CVA and CCR quantitative Analytics at RBS. There he has created and run the front office cross asset CVA quant team. He also restructured and led the risk-side quant team charged with delivering a new Basel III compliant internal CCR methodology. The system utilizing the newly delivered methodology has won the 2013 Internal System of the year Risk award. In his 20 year career in investment banking, Andrey held several leadership and senior quant positions at Goldman Sachs, HSBC and Dresdner Kleinwort. Andrey Chirikhin holds PhD in Theoretical Statistics from Warwick University (UK), MBA from INSDEAD and MSc in Applied Mathematics from Moscow Institute for Physics and Technology (Phystech).

Since 2018 Andrey runs his own company, Quantitative Recipes, that advises on wide rage of XVA, long-term market modelling for risk and quant infrastructure.

Mirela Predescu:

Deputy Head of Credit – Market and Counterparty Risk, BNP Paribas

Mirela Predescu, Deputy Head of Credit – Market and Counterparty Risk, BNP Paribas

Mirela Predescu is a manager at BNP Paribas, Risk Analytics & Modelling in London.  Mirela is also a Visiting Lecturer at Cass Business School, City University London. Prior to BNP Paribas, Mirela has held positions in the portfolio modelling team at Lloyds Banking Group and the quantitative analytics team at Fitch Solutions. Before moving to the financial industry, Mirela was a University Lecturer at Saïd Business School, University of Oxford. Mirela holds a PhD in Finance from Rotman School of Management, University of Toronto and an MA in Economics from University of Toronto.

Gilles Artaud: 

Head of Model Internal Audit, Group Crédit Agricole

Gilles Artaud: Head of Model Internal Audit, Group Crédit Agricole

Gilles Artaud has been working in investment banking for the last 20 years, where he held various positions within Quant, Front Office and Risk Department, working all along on many underlying types, pricing, validation, regulatory and economic capital, market risk and counterparty credit risk topics.

After setting in place the methodology and library for CCR and CVA, he lead XVA, initial margins on non-cleared transactions, and many regulatory topics.

His current “hot” topics are XVAs (CVA DVA FVA AVA MVA…) and impact of new regulatory requirements on derivatives, among which SA-CCR, NSFR, FRTB and FRTB-CVA and Artificial Intelligence technologies in Risk Management.

Jörg Kienitz:

Partner, Quaternion Risk Management

Jörg Kienitz: Partner, Quaternion Risk Management

Previously: Director FSI Assurance Deloitte GmbH and Co-Head of Quant Unit, Head of Quantitative Analytics, Dt. Postbank AG, Senior System Architect, Postbank Systems AG Financial Consultant, Reuters; Academic: Adj. Assoc. Prof. UCT, PD University of Wuppertal, PhD Math., Diploma Math. Books (Wiley): (A) Monte Carlo Frameworks in C++ (B) Financial Modelling – Theory, Implementation and Practice with Matlab Code, (Palgrave McMillan) (C) Interest Rate Derivatives Explained – Part I

Christian Fries: 

Head of Model Development, DZ Bank

Christian Fries: Head of Model Development, DZ Bank

Christian Fries is head of model development at DZ Bank’s risk control and Professor for Applied Mathematical Finance at Department of Mathematics, LMU Munich.

His current research interests are hybrid interest rate models, Monte Carlo methods, and valuation under funding and counterparty risk. His papers and lecture notes may be downloaded from http://www.christian-fries.de/finmath

He is the author of “Mathematical Finance: Theory, Modeling, Implementation”, Wiley, 2007 and runs www.finmath.net.

Chamberlain Mbah:

Head of AI and Machine Learning, Yields.io

Chamberlain Mbah: Head of AI and Machine Learning, Yields.io

He is also a visiting lecturer at the African Institute of Mathematical Sciences (AIMS) Senegal, where he introduces concepts of machine learning/statistics to the students.
Chamberlain holds a Bachelor and a Master degree in Mathematics and Computer Sciences at University of Buea Cameroon. Later he obtained a Masters degree and a Ph.D. in Statistical Data Analysis at the University of Ghent, Belgium.”

Justin Chan:

Quantitative Strategy, Adaptiv, FIS

Justin Chan: Quantitative Strategy, Adaptiv, FIS

Justin Chan has over 11 years of experience in financial risk management and capital markets. Mr. Chan has a deep focus on quantitative modelling in areas such as xVA, credit exposure, and collateral simulations. He is currently responsible for the Risk Quantitative Strategy and Innovation program at FIS. Prior to FIS, Mr. Chan worked at Manulife Financial as a manager in corporate risk management.

Mr. Chan studied engineering science (BASc), and theoretical physics (MSc) at University of Toronto, where he also holds a Master of Mathematical Finance (MMF) degree.

Dmitri Goloubentsev:

Head of Automatic Adjoint Differentiation, Matlogica

Dmitri Goloubentsev: Head of Automatic Adjoint Differentiation, Matlogica

Dmitri has 15 years of combined experience in model development working on C++ quant libraries. He worked as a Senior Quant Analyst in interest rate derivatives and played a leading role in delivering XVA solution at a major Canadian bank. Prior to focusing on AAD, he was responsible for construction of SIMM/MVA model. Dmitri earned his degree in Maths and Applied Maths from the Moscow State University.

Peter Kohl-Landgraf

XVA Management, DZ Bank

Peter Kohl-Landgraf, XVA Management, DZ BANK

Marco Bianchetti:

Head of Fair Value Policy, Intesa Sanpaolo

Marco Bianchetti: Head of Fair Value Policy, Intesa Sanpaolo

Marco Bianchetti joined the Market Risk Management area of Intesa Marco joined the Financial and Market Risk Management area of Intesa Sanpaolo in 2008. His work covers pricing and risk management of financial instruments across all asset classes, with a focus on new products development, model validation, model risk management, interest rate modelling, funding and counterparty risk, fair and prudent valuation, applications of Quasi Monte Carlo in finance. He is in charge of the global Fair Value Policy of Intesa Sanpaolo group since Nov. 2015. Previously he worked for 8 years in the front office Financial Engineering area of Banca Caboto (now Banca IMI), developing pricing models and applications for interest rate and inflation trading desks. He is adjunct professor of Interest Rate Models at University of Bologna since 2015, and a frequent speaker at international conferences and trainings in quantitative finance. He holds a M.Sc. in theoretical nuclear physics and a Ph.D. in theoretical condensed matter physics.

Saeed Amen

Founder: Cuemacro

Saeed Amen: Founder: Cuemacro

Saeed has a decade of experience creating and successfully running systematic trading models at Lehman Brothers and Nomura. He is the founder of Cuemacro, Cuemacro is a company focused on understanding macro markets from a quantitative perspective. He is the author of ‘Trading Thalesians – What the ancient world can teach us about trading today’ (Palgrave Macmillan), and graduated with a first class honours master’s degree from Imperial College in Mathematics& Computer Science.

Arun Verma:

Quantitative Research Solutions, Bloomberg, LP

Arun Verma: Quantitative Research Solutions, Bloomberg, LP

Dr. Arun Verma joined the Bloomberg Quantitative Research group in 2003. Prior to that, he earned his Ph.D from Cornell University in the areas of computer science & applied mathematics. At Bloomberg, Mr. Verma’s work initially focused on Stochastic Volatility Models for Derivatives & Exotics pricing and hedging. More recently, he has enjoyed working at the intersection of diverse areas such as data science (for structured & unstructured data), innovative quantitative & machine learning methods and finally interactive visualizations to help reveal embedded signals in financial data.

Shengyao Zhu:

Senior Quantitative Analyst, XVA Trading Desk, Nordea

Shengyao Zhu: Senior Quantitative Analyst, XVA Trading Desk, Nordea

Shengyao currently works as a senior quantitative analyst at Nordea XVA trading desk. Before this, Shengyao worked in different banks in Europe and Asia as quantitative analyst for market risk and counterparty credit risk.  Shengyao hold a master degree of mathematical modelling from Technical University of Denmark and a Bachelor degree from Central University of Finance and Economics, Beijing China.

Andrea Pallavicini: 

Head of Equity, FX and Commodity Models, BANCA IMI

Andrea Pallavicini: Head of Equity, FX and Commodity Models, BANCA IMI

Andrea Pallavicini is the head of equity, FX and commodity models at Banca IMI, Milan, and visiting professor at the Department of Mathematics of Imperial College, London. He holds a Ph.D. in Theoretical and Mathematical Physics from the University of Pavia for his research activity at CERN. Over the years he published several papers in financial modelling, theoretical physics and astrophysics. He is the author of the books “Credit Models and the Crisis: a journey into CDOs, copulas, correlations and dynamic models”, Wiley (2010), and “Counterparty Credit Risk, Collateral and Funding with pricing cases for all asset classes”, Wiley (2013).

Marco Scaringi:

Quant Risk Analyst, Fair Value Policy Office, Intesa Sanpaolo

Marco Scaringi: Quant Risk Analyst, Fair Value Policy Office, Intesa Sanpaolo

Marco Scaringi joined the Financial and Market Risk Management area of Intesa Sanpaolo in 2017 as quantitative analyst in the Fair Value Policy Office. His work focuses on interest rate models, XVAs, financial bubble analysis and portfolio optimization.

He holds a M.Sc. in theoretical physics from University of Milan, with a thesis on advanced statistical mechanics techniques applied to the description and detection of financial bubbles through optimization heuristics. He also holds a post lauream degree Executive Course of Quantitative Finance from MIP, Graduate School of Business, Polytechnic of Milan, with a thesis concerning interest rate and XVAs modelling.

 

Nikolai Nowaczyk:

Senior Consultant, Quaternion Risk Management

Nikolai Nowaczyk: Senior Consultant, Quaternion Risk Management

Alessandro Gnoatto:

Professor of Mathematical Finance, Università degli Studi di Verona

Alessandro Gnoatto: Professor of Mathematical Finance, Università degli Studi di Verona

Alessandro Gnoatto is a quantitative analyst with international academic experience (PhD and Post-Doc). I have a keen interest in the use of mathematical tools for the description of financial markets. I am an experienced model developer in the context of FX and Interest Rates.

I offer a good combination of mathematical background and programming expertise, which allows me to manage projects in the domain of quantitative finance from the definition of a model up to its software implementation.

Work Experience

  • 03.2018 – present: Associate Professor of Mathematical Finance – UniVr – Verona
  • 09.2015 – 02.2018: Specialist Counterparty Credit Risk and CVA Trading – BayernLB – Munich
  • 03.2012 – 08.2015: Post-Doc researcher at Mathematics Institute – LMU University – Munich
  • 09.2011 – 02.2012: Junior Analyst Risk Management at Prometeia SpA – Bologna
  • 03.2008 – 08.2008: Internship as Derivative Analyst – Fondiaria Sai SpA – Milano
  • 06.2006 – 09.2006: Internship as Business Consultant – Studio System – Bassano del Grappa
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