World Business StrategiesServing the Global Financial Community since 2000

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

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.

Jon Gregory: 

Independent xVA Expert

Jon Gregory: Independent xVA Expert 

DR JON GREGORY is an independent expert specialising in counterparty risk and xVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and a faculty member for the Certificate of Quantitative Finance (CQF). He also serves on the Academic Advisory Board of IHS Markit and is a Managing Editor of the journal Quantitative Finance.

In addition to publishing papers on the pricing of credit risk and related topics, Jon is author of the book “Counterparty Credit Risk The New Challenge for the Global Financial Markets” published by Wiley Finance in December 2009 (now in its third edition) and “Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives.”

Jon has a PhD from Cambridge University.

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.

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.

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.

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.

Alexandre Antonov:

Director, Standard Chartered Bank

Alexandre Antonov, Director, Standard Chartered 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 Standard Chartered bank in London as a director.

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.

Massimo Morini:

Head of Interest Rate and Credit Models, Banca IMI

Massimo Morini: Head of Interest Rate and Credit Models, Banca IMI

Massimo Morini is also Coordinator of Model Research. Massimo is Professor at Bocconi University and MSc Director at Milan Polytechnic, and he was Research Fellow at Cass Business School, London. He has published papers in journals including Risk Magazine, Mathematical Finance, and the Journal of Derivatives, and is the author of “Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators” and other books on credit, funding and interest rate modelling. Massimo holds a PhD in Mathematics.

Dominique Bang: 

Director, Head of Interest Rates Vanilla Modelling, Bank of America Merrill Lynch

Dominique Bang: Director, Head of Interest Rates Vanilla Modelling, Bank of America Merrill Lynch

Dominique Bang received his PhD from Observatory of Paris (2002) in the field of ‘Mathematical Methods applied to Celestial Mechanics’. He moved into quantitative finance in 2006. Dominique has since been working in Bank Of America Merrill Lynch in the Interest Rates Quantitative Team. As a Director, he is now more focusing on Interest Rates Vanilla and Quasi-Vanilla products.

Julien Guyon: 

Senior Quant, Bloomberg L.P.

Julien Guyon: Senior Quant, Bloomberg L.P.

Julien is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor in the Department of Mathematics at Columbia University and at the Courant Institute of Mathematical Sciences, NYU. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years (2006-2012), and was an adjunct professor at Universite Paris 7 and Ecole des ponts. He co-authored the book Nonlinear Option Pricing (Chapman & Hall, CRC Financial Mathematics Series, 2014) with Pierre Henry-Labordere. His main research interests include nonlinear option pricing, volatility and correlation modeling, and numerical probabilistic methods. Julien holds a Ph.D. in Probability Theory and Statistics from Ecole des ponts. He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des ponts. A big football fan, Julien has also developed a strong interest in sports analytics, and has published several articles on the FIFA World Cup, the UEFA Champions League, and the UEFA Euro in top-tier newspapers such as The New York Times, Le Monde, and El Pais, including a new, fairer draw method for the FIFA World Cup.

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.

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.

Jos Gheerardyn:

Co-founder and CEO, Yields.io

Jos Gheerardyn: Co-founder and CEO of Yields.io

Jos is the co-founder and CEO of Yields.io. Prior to his current role he has been active in quantitative finance both as a manager and as an analyst. Over the past 15 years he has been working with leading international investment banks as well as with award winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques on imbalance markets. Jos holds a PhD in superstring theory from the University of Leuven.

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.

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