World-Renowned Speaker List
The presenters at the QFC are hand picked to offer you the best learning experience and discuss the latest cutting edge quant research.
Director, Global Market Risk Analytics, Bank of America
Adolfo Montoro: Director, Global Market Risk Analytics, Bank of America
Adolfo Montoro FRM, is a director in the Global Market Risk Analytics, Bank of America in London. Previously he lead the Market Data Strategy and Analytics team and represented Deutsche Bank 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.
Global head of Counterparty Credit Risk Quantitative Research, J.P. Morgan
Matthias Arnsdorf: Global head of Counterparty Credit Risk Quantitative Research, J.P. Morgan
Since 2012 Matthias has been heading the counterparty credit risk quantitative research team globally.
His main responsibilities include the development & support of J.P. Morgan’s suite of credit exposure models which are used for valuation and risk management as well as credit capital.
Prior to his work in credit risk, Matthias headed the market risk capital modelling effort in EMEA for two years. Matthias started his career in finance in 2002 as a credit derivatives quantitative researcher at UBS and J.P.Morgan.
Matthias holds a PhD in Quantum Gravity from Imperial College London and has spent two years as a post-doctoral researcher at the Niels Bohr Institute in Copenhagen prior to his move to quantitative finance.
Associate Professor in Mathematical and Computational Finance, University of Oxford
Blanka Horvath: Associate Professor in Mathematical and Computational Finance, University of Oxford and Researcher, The Alan Turing Institute
Blanka research interests are in the area of Stochastic Analysis and Mathematical Finance.
Including 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.
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. In November 2019, he was awarded the prestigious Quant of the Year award, jointly with Fabio Mercurio from Bloomberg, L.P., for their Risk Magazine paper on modeling backward-looking rates.
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.
Tony Guida: Executive Director – Co-Head Systematic Macro, RAM Active
Tony Guida is a Quantitative Portfolio Manager and researcher. Tony’s work is focused primarily on extracting market inefficiencies from different sources from traditional fundamentals, market signals, alternative data, and machine learning. His expertise is in mid to low frequency in equities.
Tony started his career at Unigestion in 2006 where he joined the quantitative equity low volatility team to work as a research analyst. He evolved into a member of the research and investment committee for Minimum Variance Strategies, where he led the factor investing research group for institutional clients. In 2015, he moved to Edhec Risk Scientific Beta as a Senior Consultant for Risk allocation and factor strategies before going to a major UK pension fund in 2016 to build the in-house systematic equity, co-managing 6 billion GBP as a senior quantitative portfolio manager. He joined RAM-Active Investments in January 2019.
Tony holds a Bachelor and Master degrees in Econometry and Finance from the University of Savoy France.
Tony is editor-in-chief for the Journal of Machine Learning in Finance and he is chair of the EMEA machineByte Think Tank. Tony co-wrote and edited the book “Big Data and Machine Learning in Quantitative Investment” Wiley 2018 and is an advisory board member for the Financial Data Professional Institute and a lecturer for Machine Learning at the CQF Institute.
Head of XVA and Derivatives Quantitative Analytics, BNY Mellon
Gordon Lee: Head of XVA and Derivatives Quantitative Analytics, BNY Mellon
Managing Director, Global Head of Markets Quantitative Analysis, Citi
Youssef Elouerkhaoui: Managing Director, Global Head of Markets Quantitative Analysis, Citi
Youssed Elouerkhaoui is the global Head of Credit Quantitive Analysis at Citi. His group supports all aspects of modelling and product development across desks, thais includes: Flow Credit Trading, Correlation Trading, CDOs, Exotics and Emering Markets.
He also supports CVA, Funding and Regulatory Capital for Credit Markets. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of developing and implementing models for the Structured Credit Desk. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais supporting the Interest Rates Exotics business. He has also worked as a Senior Consultant in the Risk Analytics and Research Group at Ernst & Young. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University.
Prof. of Mathematical Finance, Bayes Business School (formerly Cass)
Laura Ballotta: Prof. of Mathematical Finance, Bayes Business School (formerly Cass)
Dr Ballotta works in the areas of quantitative finance and risk management. She has written on topics including stochastic modelling for financial valuation and risk management, numerical methods aimed at supporting financial applications, and the interplay between finance and insurance.
Recent major contributions have appeared in Journal of Financial and Quantitative Analysis, European Journal of Operational Research and Quantitative Finance among others.
She serves as associate editor and referee for a number of international journals in the field.
Laura Ballotta obtained her PhD in Mathematical and Computational Methods for Economics and Finance from the Università degli Studi di Bergamo (Italy), following her BSc in Economics from Università Cattolica del Sacro Cuore, Piacenza (Italy), and MSc in Financial Mathematics from the University of Edinburgh – jointly awarded with Heriot-Watt University (UK). Laura has previously held positions at Università Cattolica del Sacro Cuore, Piacenza (Italy), and Department of Actuarial Science and Statistics, City University London (UK).
Andrew Green: Managing Director and Lead GFI Quant, Scotiabank
Andrew Green is a Managing Director and lead XVA Quant at Scotiabank in London. Prior to joining Scotiabank, Andrew held roles as a quantitative analysis in several different banks in London. He is the author of XVA: Credit, Funding and Capital Valuation Adjustments, published by Wiley.
Global Head of Quantitative Investment Solutions Research, Deutsche Bank
Caio Natividade: Global Head of Quantitative Investment Solutions Research, Deutsche Bank
Caio Natividade is a Managing Director and Global Head of Quantitative Investment Solutions Research at Deutsche Bank. The work of his team includes signal generation, portfolio construction and risk estimation across multiple frequencies, styles and products across asset classes. Since joining DB in 2002, Caio’s research experience includes fixed income and FX research for EMEA countries, options strategy in FX and commodities, and cross-asset quantitative research. Caio’s work has earned considerable recognition over the years, with accolades including top ranks at Institutional Investor, Risk Magazine Awards, Euromoney and Eleonora Emerging Markets. Caio holds a BSc in Finance from Lancaster University and an MSc in Financial Mathematics from King’s College London.
Executive Chairman and Head of Quant Research, CompatibL
Alexander Sokol: Executive Chairman and Head of Quant Research, CompatibL
Alexander Sokol is the founder, Executive Chairman, and Head of Quant Research at CompatibL, a trading and risk technology company. He is also the co-founder of Numerix, where he served as CTO from 1996 to 2003, and the co-founder of Duality Group, where he served as CTO from 2017 to 2020.
Alexander won the Quant of the Year Award in 2018 together with Leif Andersen and Michael Pykhtin, for their joint work revealing the true scale of the settlement gap risk that remains even in the presence of initial margin. Alexander’s other notable research contributions include systemic wrong-way risk (with Michael Pykhtin, Risk Magazine), joint measure models, and the local price of risk (with John Hull and Alan White, Risk Magazine), and mean reversion skew (Risk Books, 2014).
Alexander earned his BA from the Moscow Institute of Physics and Technology at the age of 18, and a PhD from the L. D. Landau Institute for Theoretical Physics at the age of 22. He was the winner of the USSR Academy of Sciences Medal for Best Student Research of the Year in 1988.
Chief Data Scientist, RavenPack
Peter Hafez: Chief Data Scientist, RavenPack
Peter Hafez is the head of data science at RavenPack. Since joining RavenPack in 2008, he’s been a pioneer in the field of applied news analytics bringing alternative data insights to the world’s top banks and hedge funds. Peter has more than 15 years of experience in quantitative finance with companies such as Standard & Poor’s, Credit Suisse First Boston, and Saxo Bank.
He holds a Master’s degree in Quantitative Finance from Sir John Cass Business School along with an undergraduate degree in Economics from Copenhagen University. Peter is a recognized speaker at quant finance conferences on alternative data and AI, and has given lectures at some of the world’s top academic institutions including London Business School, Courant Institute of Mathematics at NYU, and Imperial College London.
Traded Risk Measurement, PRA, Bank of England
Fabrizio Anfuso: Traded Risk Measurement, PRA, Bank of England
Fabrizio is a leading expert in developing complex risk analytics, quantitative modelling and financial regulations. He has an extensive track-record of heading quant teams onshore and offshore, as well as of taking part in firm-wide programs, such as IMM, BCBS-IOSCO Margin Requirements and IBOR transition.
In his present and previous roles, Fabrizio has gained a comprehensive knowledge of the full model development cycle, including the model design, the validation of model performance, the IT implementation and the attainment of regulatory compliance.
His main areas of expertise are Counterparty credit risk, Monte Carlo simulations, Internal Models for the trading book (IMM and IMA), derivatives pricing, CCPs & collateral modelling, Initial Margin methodologies and regulatory capital.
Fabrizio is chairing the master’s course in Counterparty Credit Risk of the ETH / University of Zurich and taught a number of advanced professional trainings in topics such as CCR, capital management and Initial Margin methodologies.
As part of his academic activities, he has authored numerous research articles in the fields of quantitative finance and condensed matter physics. Fabrizio holds a Ph.D. in Theoretical Physics from the Chalmers University of Technology (Gothenburg, Sweden).
Head of Internal Model Market Risk, Intesa Sanpaolo
Marco Bianchetti: Head of Internal Model Market Risk, 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.
Head of Quantitative Modelling, Probability & Partners. Associate Prof, Vrije Universiteit Amsterdam
Svetlana Borovkova: Head of Quantitative Modelling, Probability & Partners and Associate Professor, Vrije Universiteit Amsterdam
Currently Head of Quantitative Modelling at Probability & Partners and Associate Professor at Vrije University Amsterdam, Dr Svetlana Borovkova has specialized in applying mathematical and statistical methods to problems within quantitative finance and risk management.
Dr Borovkova’s research extends in many areas, such as news analytics for finance, derivatives pricing, commodity markets and risk management in the face of new regulation. She is also a consultant for the Dutch Central Bank and the founder and principal consultant of DataDecisions: Financial Risk Consultancy.
Dr Borovkova is a frequent speaker on international conferences, such as Global Derivatives, Risk Minds, Bachelier Congress for Mathematical Finance, Sentiment Analysis and Behavioural Finance and others.
Previously she held an assistant professor position in Delft University of Technology and a trading analyst position in Shell Trading, London.
She got her PhD in 1998 from the University of Groningen, The Netherlands, and Oregon State University, USA and MSc degree in applied mathematics and computer science from Moscow and Utrecht.
Director: Head of XVA Quant Modelling, MUFG Securities EMEA plc
Chris Kenyon: Director: Head of XVA Quant Modelling, MUFG Securities EMEA plc
Dr Chris Kenyon is head of XVA Quant Modelling at MUFG Securities EMEA plc. Previously he was Head of XVA Quantitative Research at Lloyds Banking Group, head quant for Counterparty Credit Risk at Credit Suisse, and (post-crisis) Head of Structured Credit Valuation at DEPFA Bank Plc. He is active in XVA research, introducing KVA and MVA, with Andrew Green in 2014-15, their accounting treatment in 2016-17, as well as double-semi-replication and behavioural effects on XVA. He contributes to the Cutting Edge section of Risk magazine (most-cited author in 2016; 5th most-published author 1988-present in 2017), co-edited “Landmarks in XVA” (Risk 2016). He has a Ph.D. from Cambridge University and is an author of the open source software QuantLib.
Market Risk Manager, Intesa Sanpaolo
Manola Santilli: Market Risk Manager, Intesa Sanpaolo
Manola Santilli joined the Market and Financial Risk Management area of Intesa Sanpaolo in 2015 as a market risk analyst in the Internal Model Market Risk Office. Her work consists in market data management, with focus on market data collection and statistical analysis of historical time series across all asset classes, market risk metrics monitoring, analysis and implementation of FRTB proposal.
Prior to joining Intesa Sanpaolo, she held quantitative analyst role in Société Générale.
She holds a Ph.D. in Statistical Economics, with a thesis on advanced stochastic volatility models for derivative pricing, and a M.Sc. in Economics and Finance.
Director, Bank of America
Jodie Humphreys: Director, Bank of America
Jodie leads the Simulation Modelling Program within the Alternative Modelling Group (AMG) at Bank of America. He previously worked in the field of credit derivative pricing and regulatory capital modelling and has also led the development of a number of innovative technical solutions within the bank. Jodie holds a BA and Certificate of Advanced Study in Mathematics from the University of Cambridge and a PhD in Mathematics from University College London. His PhD thesis studied the algebraic properties of lattices in semi-simple Lie groups, a subject with applications to the classification of higher dimensional manifolds.
Robert Dargavel Smith:
Lead Data Scientist, Clarity AI
Robert Dargavel Smith: Lead Data Scientist, Clarity AI
“Robert Smith is a Lead Data Scientist at Clarity AI. Previously he was Head of Data Science at IHS Markit (now part of S&P Global). He has worked in capital markets for over 25 years in Banco Santander and ABN Amro, holding various positions from Head of CVA Desk to Global Head of Quantitative Analysis.”
Saeed Amen: Turnleaf Analytics / Cuemacro / Visiting Lecturer at QMUL
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.
University of Oxford, Academic Visitor & Immersive Finance, co-Founder
Katia Babbar: University of Oxford, Academic Visitor & Immersive Finance, co-Founder
Executive Director, Head of Structured Rates Quantitative Research, Nomura
Wen Jiang: Executive Director, Head of Structured Rates Quantitative Research, Nomura
After completing a D.Phil. in Mathematics from Oxford, Wen has worked at Lehman Brothers and Morgan Stanley, and has been at Nomura since 2009. He leads the Structured Rates Quant team in Nomura Global Markets, based in London.
Interim Chief Executive, Foresters Friendly Society
Erik Vynckier: Interim Chief Executive, Foresters Friendly Society
Erik Vynckier is board member of Foresters Friendly Society and chair of the Investment Committee, following a career in investment banking, insurance, asset management and the petrochemical industry. He has been Chief Investment Officer and Chief Executive Officer and frequently consults in investment management, quantitative risk management and derivatives.
He co-founded EU initiatives on high performance computing and big data in finance and co-authored “High-Performance Computing in Finance” and “Tercentenary Essays on the Philosophy and Science of Leibniz”. Erik graduated as MBA at London Business School and as chemical engineer at Universiteit Gent.
Quantitative Analyst, Bank of America Merrill Lynch
Elias Daboussi: Quantitative Analyst, Bank of America Merrill Lynch
Elias Daboussi is a quantitative analyst at Bank of America since 2016. After graduating from University Paris-Diderot and Supelec in 2014, he has specialized in the Rates and Hybrids area, first in the Model Risk Management Group, and now as part of the Quantitative Strategies Group.
Vice President, Quantitative Analyst, Citibank
Parviz Rakhmonov: Vice President, Quantitative Analyst, Citibank
Arun Verma: Head of 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.
Quantitative Analyst, Risk Management, Intesa Sanpaolo
Marco Scaringi: Quantitative Analyst, Risk Management, 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.
Quantitative Finance and Machine Learning, Acadiasoft
Jörg Kienitz: Quantitative Finance and Machine Learning (Acadiasoft), Partner (Quaternion), Adjunct Prof (UCT), Assistant Prof (BUW)
Jörg Kienitz is a partner at Quaternion, Acadia’s Quant Services division. He owns the finciraptor.de website – an educational platform for Quantitative Finance and Machine Learning. Jörg consults on the development, implementation, and validation of quantitative models. He is an Assistant Professor at the University of Wuppertal and an Adjunct Associate Professor in AIFMRM at the University of Cape Town. He regularly addresses major conferences, including Quant Minds, RISK or the WBS Quant Conference. Jörg has authored four books, Monte Carlo Frameworks (with Daniel J. Duffy), Financial Modelling (with Daniel Wetterau), and Interest Rate Derivatives Explained I and II (with Peter Caspers). He also co-authored research articles that appeared in leading journals like Quantitative Finance, RISK or Mathematics in Industry.
Professor of Mathematics, University College London (UCL)
Andrea Macrina: Professor of Mathematics, University College London (UCL)
Andrea Macrina is Professor of Mathematics and the Director of the Financial Mathematics MSc Programme in the Department of Mathematics, University College London. His current research programme includes projects in climate finance, the development of quantile processes with applications in insurance and finance, and stochastic interpolation. Dr Macrina is Adjunct Professor at the University of Cape Town in the African Institute of Financial Markets and Risk Management where in 2014 he co-founded the Financial Mathematics Team Challenge (FMTC). Andrea is a recipient of the Fields Research Fellowship awarded by The Fields Institute for Research in Mathematical Sciences. He holds a PhD in Mathematics from King’s College, University of London, and an MSc in Physics from the University of Bern, Switzerland. Personal website: https://amacrina.wixsite.com/macrina