Christopher Nolle is a Managing Director at Natixis where he heads Financial Analytics, the group in responsible for quantitative derivatives research for U.S. markets. His career in financial modeling spans 15 years and includes the areas of equity, credit and fixed income.
Attilio Meucci is a pioneer in advanced risk and portfolio management. His innovations include Entropy Pooling (technique for fully flexible portfolio construction),Factors on Demand (on-the-fly factor model for optimal hedging), Effective Number of Bets (entropy-eigenvalue statistic for diversification management), Fully Flexible Probabilities (technique for on-the-fly stress-test and estimation without re-pricing), Copula-Marginal Algorithm (algorithm to generate panic copulas), and Liquidity Conditional Convolution (technique to generate liquidity- and funding-risk adjusted portfolio distribution).
Attilio Meucci is the Chief Risk Officer and Director of Portfolio Construction at Kepos Capital LP.
Previously, Attilio was the head of research at ALPHA, Bloomberg LP's portfolio analytics and risk platform; a researcher at POINT, Lehman Brothers' portfolio analytics and risk platform; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co, a strategic consulting firm. Concurrently, he taught at Columbia-IEOR, NYU-Courant, Baruch College-CUNY, and Bocconi University.
Attilio is the author of Risk and Asset Allocation - Springer and numerous other publications in practitioner and academic journals. He holds a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA chartholder.
Kent Osband has worked for 25 years in the public sector (Rand, IMF, and the World Bank) and the private sector (Goldman Sachs, Credit Suisse, and Forress), with a primary focus on systemic risk. He holds a B.A. magna cum laude from Harvard and a PhD in economics from UC Berkeley, and has taught at Harvard and UCLA. He is the author of Iceberg Risk: An Adventure in Portfolio Theory and Pandoras Risk" Uncertainty at the Core of Finance (Columbia University press 2011).
Agostino Capponi received his Ph.D. Degree in Computing and Mathematical Sciences from the California Institute of Technology, in June 2009. He is currently an assistant professor of Financial Engineering in the School of Industrial Engineering at Purdue University. His main research interests include credit risk modeling and valuation, stochastic dynamic equilibrium, and continuous time portfolio optimization.
His most recent contributions have been on risk neutral pricing of counterparty risk (CVA), systemic risk assessment in sovereign debt markets, and optimal portfolio selection in defaultable regime switching markets.
His research has been published in top tier academic and practitioner journals of financial engineering, control, and applied mathematics.
Marcos M. López de Prado is Head of Global Quant Research and High Frequency Futures Trading at Tudor Investment Corp. Formerly, a Partner at PEAK6 Investments, Head of Quantitative Equity Research at UBS Wealth Management, and a Portfolio Manager at Citadel Investment Group. He has been appointed Visiting Scholar at Cornell University, a Postdoctoral Research Fellow of RCC at Harvard University and a Research Affiliate at Lawrence Berkeley National Laboratory (U.S. Department of Energy's Office of Science). He received a Ph.D. in Financial Economics (2003), Sc.D. in Computational Finance (2011) from Complutense University and the National Graduation Award in Economics by the Government of Spain (National Valedictorian, 1998). Dr. López de Prado is a member of the editorial board of the Journal of Investment Strategies (Risk Journals), and has co-authored several academic papers with Professors Maureen O'Hara and David Easley (Cornell University), which are listed among the most read in SSRN and have resulted in three international patent applications.
Dongsheng Lu is currently Managing Director and Head of Quantitative Research at BNY Mellon's Derivatives Trading Unit. His group is responsible for developing derivatives trading/pricing models and building trading/risk management infrastructure for interest rate, equity and foreign exchange derivatives trading business. Before joining BNY Mellon in 1998, he did two years of postdoctoral research at University of Pennsylvania on quantum mechanical calculations and molecular simulations of biological enzymes. He holds a PhD in Theoretical Chemistry from the Ohio State University and a B.S. degree from University of Science and Technology of China.
Matt Dorsten is a senior vice president in the quantitative portfolio group at PIMCO, focusing on quantitative strategy and passive replication. He was previously a member of the financial engineering group working on mortgage-backed securities and event-linked bonds. Prior to joining PIMCO in 2006, he received his Ph.D. in theoretical particle physics from the California Institute of Technology, where he was a National Science Foundation Graduate Research Fellow. He has five years of investment experience and holds undergraduate degrees in mathematics and physics from Ohio State University.
Mike Lipkin, MIT SB math/chem/; u Chicago PhD in chemistry; Cornell/ post doc pubs in physics; math; math finance; chem journals and in Bridge (game- journals and a book) Teach "Experimental Finance" at Columbia
Robert Almgren, co-founder of Quantitative Brokers, providing agency algorithmic execution and cost measurement in interest rate markets, and Fellow in the Mathematics in Finance Program at New York University. Until 2008, Dr Almgren was a Managing Director and Head of Quantitative Strategies in the Electronic Trading Services group of Banc of America Securities. From 2000-2005, he was a tenured Associate Professor of Mathematics and Computer Science at the University of Toronto, and Director of its Master of Mathematical Finance program. Before that, he was an Assistant Professor of Mathematics at the University of Chicago and Associate Director of the Program on Financial Mathematics. Dr. Almgren holds a B.S. in Physics and Mathematics from the Massachusetts Institute of Technology, an M.S. in Applied Mathematics from Harvard University and a Ph.D. in Applied and Computational Mathematics from Princeton University. He has an extensive research record in applied mathematics, including papers on optimal trading, transaction cost measurement, and portfolio construction.
Michael Sotiropoulos is the global head of algorithmic trading quantitative research at Bank of America Merrill Lynch. His group supports the Global Execution Services business, and focuses on market microstructure and electronic trading research and development.
Michael joined Bank of America in 2004, as an equity derivatives quant after spending three years at Bear Stearns in the same role. He was head of equities quantitative research for year 2008 before moving to algorithmic trading. He has a Ph.D. in Theoretical Physics from SUNY Stony Brook. Prior to joining the finance industry he taught and worked in quantum field theory and particle physics at the University of Southampton, England and at the University of Michigan.
Marco Bianchetti, Head of Financial Modelling and Validation. Risk Management, Market Risk, Derivatives Pricing, INTESA SANPAOLO
Marco joined the Market Risk Management area of Intesa Sanpaolo in 2008. His recent work focuses on model risk management, interest rate modelling and pricing of derivatives. Previously he worked for eight years in the front office Financial Engineering area of Banca Caboto (now Banca IMI), developing pricing models and applications for fixed income and inflation trading desks. He is a speaker at international conferences and trainings in quantitative finance. He holds a M.Sc. and a Ph.D. in theoretical physics
Mark Syrkin is a Sr. Examiner with Financial Institution Supervision Group (FISG) at New York Fed with a concentration in Market and Counterparty Credit Risks. His industry function is mostly in practicing and coordinating Analytics and Management of Market, Credit, Operational and Liquidity Risks. Outside of finance he has an extensive academic and research experience in fundamental and applied physics. Degrees: PhD in Theoretical Physics and Applied Mathematics.
Dr. Mark Lazman is the Director of Quantitative Research at Numerix LLC. He is responsible for the design, development and implementation of the Numerix Commodity Module.
His previous projects included convertible bonds, Monte Carlo algorithms for path-dependent instruments and asymptotic analysis for LIBOR market model.
Dr. Lazman authored books and research papers in the areas of mathematical modeling, industrial mathematics and computer algebra.
Thomas K. Philips, Ph.D. is the Global Head of Investment Risk and Performance for FFTW and Regional Head of Investment Risk and Performance for BNP Paribas Investment Partners. He joined FFTW from Malbec Partners, a sister firm that was focused on hedge funds and where he was the Senior Risk Manager, and worked closely with FFTW's risk managers since he joined Malbec in early 2008.
He joined Malbec Partners from OTA Asset Management, a multi-strategy hedge fund in Purchase, NY, where he was Head of Investment Strategy and Risk Control. In that role, Mr. Philips oversaw a diverse set of hedge fund strategies and developed a number of tools, analytics and techniques to measure, monitor and control risk. Prior to joining OTA, he was Chief Investment Officer at Paradigm Asset Management, and a Managing Director at Rogers, Casey and Associates, where he had joint responsibilities in Research and in Alternative Investments. Earlier, Dr. Philips spent eight years at the IBM Corporation - his first five conducting research on problems in Operations Research, Computer Science and Applied Mathematics at the IBM Thomas J. Watson Research Center; and the last three at the IBM Retirement Fund.
He has published over thirty articles on a wide range of topics in Finance, Engineering and Mathematics. In 2000, he received the first Bernstein / Fabozzi / Jacobs-Levy award for his paper "Why Do Valuation Ratios Forecast Long Run Equity Returns" which appeared in the Journal of Portfolio Management, and in 2008, he received the Graham and Dodd Scroll Award for his paper "Saving Social Security: A Better Approach", which appeared in the Financial Analysts Journal. Dr. Philips received his Ph.D. in Electrical and Computer Engineering from the University of Massachusetts at Amherst, where he was elected a fellow of the graduate school and also elected to Tau Beta Pi.
Sergei Traven is global head of Rates Flow Quantitative Analytics at Barclays Capital. Before joining Barclays Capital in 2006 worked at Bank of America in Chicago (2000-2005). While working at BarCap and BofA in worked closely with swap trading desks to develop analytics for interest rate curve construction, swap pricing, valuation, and risk. Before moving to Finance in 1998 worked in academia doing research in Solid State physics, has Ph.D. in Theoretical Physics and mathematics from Moscow Engineering Physics Institute.
Matthew Cushman is Co-Head of Global Automated Trading for Citadel. Prior to joining Citadel in 2011, Mr. Cushman was a Managing Director in the Electronic Trading Group for Knight Capital and was responsible for quantitative trading research and strategy. In the fall of 2010, he also taught for the Rutgers University Mathematical Finance program. Previously, Mr. Cushman was Director of Research and Development at Kromos Technologies.
Mr. Cushman received a bachelor's and a master's
Terry Benzschawel holds a Ph.D. in experimental psychology and has held post-doctoral fellowships in optometry, ophthalmology, and engineering prior to embarking on a career in Finance. His financial career began in 1988 with Chase Manhattan Bank, moving to Salomon Brothers' fixed income arbitrage group in 1992. In 1998, he moved to
to fixed income strategy as the firm became Salomon Smith Barney and then Citi. Terry's focus throughout his career has been on the risk and relative value of corporate and sovereign debt, with recent emphasis on credit models as applied to structured products, credit derivatives, and credit portfolio optimization. Terry is currently a Managing Director in Bond Portfolio Strategy at Citi and is on the steering committees of Financial Engineering programs at UC Berkeley and at UCLA. He is also the author of "Credit Risk Modeling: Facts, Theory and Applications."