Speakers


Professor Emanuel Derman

Professor Derman

Emanuel Derman is a professor at Columbia University and the director of their program in financial engineering, and is also the Head of Risk at Prisma Capital Partners, a fund of funds.

Since 1995, Derman has written many articles pointing out the essential difference between models in physics and models in finance.

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Riccardo Rebonato

Riccardo Rebonato

Riccardo Rebonato is Head of Front-Office Risk Management and Head Quantitative Analytics at GBM, RBS.

He is Visiting Lecturer in Mathematical Finance at Oxford University (OCIAM) and Adjunct Professor at the Tanaka Business School, Imperial College, London.

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Dr Arthur M. Berd

Dr Arthur Berd

Dr Arthur Berd is the Head of Macro Vol Strategies at Capital Fund Management, a hedge fund with offices in Paris and New York, specializing in systematic investment strategies.

Prior to that, he was the Head of Quantitative Market Strategies at BlueMountain Capital Management, a leading credit hedge fund in New York.

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Andrew Rennie

Andrew Rennie

Andrew Rennie has spent sixteen years on large-scale modelling projects in the financial sector, working on exotic interest rate products at UBS before moving to be Global Head of Financial Engineering at Rabobank International.

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Dr Daniel Beunza

Dr Beunza

Dr Beunza is Lecturer in Management at LSE. His research in sociology explores the ways in which social relations and technology shape financial value.

His award-winning study of a derivatives trading room on a Wall Street bank traces the roots of extraordinary returns to the use of space and internal organization.

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Dr Nikos S. Thomaidis

Dr Thomaides

Dr Nikos S. Thomaidis received his MSc in Mathematics & Finance from Imperial College, University of London, and his PhD in Financial Engineering & Computational Intelligence from the University of the Aegean, Greece.

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Massimo Morini

 Massimo Morini

Massimo holds a PhD in Mathematics and a MSc in Economics. He is Head of Credit Models and Coordinator of Model Research at IMI Bank of Intesa San Paolo.

Massimo is Professor of Fixed Income at Bocconi University and was Research Fellow at Cass Business School of London City University.

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Professor Donald MacKenzie

Professor MacKenzie

Donald MacKenzie works in the sociology of science and technology and in the sociology of markets, especially of financial and carbon markets.

He holds a personal chair in sociology at the University of Edinburgh, where he has taught since 1975.

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Dr Jon Gregory

Jon Gregory

Dr Jon Gregory is a consultant specialising in counterparty risk and credit derivatives. Until 2008, he was Global Head of Credit Analytics at Barclays Capital based in London.

Jon has worked on many aspects of credit modelling over the last decade, being previously with BNP Paribas and Salomon Brothers (now Citigroup).

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Professor Claudio Albanese

Professor Claudio Albanese

Claudio Albanese studied physics graduating at ETH in Zurich and continuing as a postdoctoral fellow at NYU and Princeton.

He then continued on an academic career in Mathematical Physics, eventually switching toward Mathematical Finance in the mid 1990s while at the University of Toronto.

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Wim Schoutens

Wim Schoutens

Wim Schoutens has a degree in Computer Science and a PhD in Science, Mathematics. He is a research professor at the Department of Mathematics at the Catholic University of Leuven, Belgium.

He is also a supervisor of the Multivariate Risk Modelling group at EURANDOM Institute in Eindhoven, The Netherlands.

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Jan Simon

Jan Simon

Jan Simon is a lecturer in the department of Financial Management at IESE Business School.

He graduated from the University of Essex (PhD in Finance), IESE Business School (MBA) and K.U.Leuven (LLM). He wrote a PhD on the Embeddedness of Hedge Funds, applying quantitative and qualitative methodologies.

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Horacio Ortiz

Horacio Ortiz

Horacio Ortiz graduated from Sciences-Po Paris, holds an M.A. in Philosophy from the New School for Social Research (New York), and a PhD in Social Anthropology from the Ecole des Hautes Etudes en Sciences Sociales (Paris).

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Yuval Millo

Yuval Millo

Yuval Millo is a lecturer in the department of Accounting at the London School of Economics.

He graduated from the science studies unit at the University of Edinburgh, where he wrote a PhD about the evolution of financial derivatives markets.

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Derman obtained his PhD in theoretical physics from Columbia University in 1973 and engaged in research on particle physics at Oxford University, the University of Pennsylvania and The Rockefeller University.

He joined AT&T Bell Laboratories in 1980, and moved to Goldman Sachs in 1985, where he subsequently led the Quantitative Strategies group, co-developing the Black-Derman-Toy interest rate model and the local volatility model. He was appointed a Managing Director in 1997.

After retiring from Goldman Sachs in 2002, Derman returned to Columbia University. He is the author of the book My Life as a Quant: Reflections of Physics and Finance.

He sits on the Board of Directors of ISDA, and on the Board of Trustees for GARP.

He is the author of many articles in finance which have appeared in academic journals and of several books, of which the most recent are The SABR-LMM Model (2009) and Coherent Stress Testing: A Bayesian Approach (2010).

Earlier, Arthur was a Senior Vice President at Lehman Brothers where he was responsible for a variety of quantitative credit models and strategies across corporate bonds and credit derivatives.

Before joining Lehman Brothers in 2001, he was a Vice President at Goldman Sachs Asset Management, focusing on fixed income risk management and quantitative portfolio analysis for cash and CDO products.

Dr Berd is a member of the editorial board of the Journal of Credit Risk, and is the founding coordinator of the quantitative finance section of www.arXiv.org, a global electronic research repository. Dr Berd is a charter member of the CFA Institute, the New York Society of Securities Analysts, and Risk Who’s Who. He holds a PhD in physics from Stanford University. He is an author of more than 30 publications and a frequent invited speaker at major industry conferences.

Most recently, he was Global Head of Quantitative Analytics at Merrill Lynch responsible for all modelling of derivatives across interest rates, foreign exchange, credit, commodities and equities.

He studied Mathematics, and after graduating, Philosophy at Cambridge University, as well as publishing papers on the mathematical and chemical properties of one-dimensional inclusion compounds.

He co-authored one of the standard textbooks on derivative pricing – Financial Calculus, Cambridge University Press, 1996, and co-edited Credit Correlation Life after Copulas, World Scientific, 2007 and the Handbook of Credit Derivatives, OUP, due 2010. He is currently a consultant advising on derivative pricing and risk management.

He has also studied securities analysts and the systemic risk posed by financial models. Along with other sociologists, Dr Beunza’s research has led to the development of an emerging discipline, the social studies of finance, that challenges economic and behavioural understandings of finance by incorporating the role of social relations and technology.

Dr Beunza obtained his Ph.D. from New York University and taught at Universitat Pompeu Fabra (Barcelona) and Columbia Business School in New York City before joining LSE.

Currently, he works with the Dept of Financial Engineering & Management, as a Lecturer in Financial Engineering. His scientific research focuses on the application of computational-statistical methods to financial engineering tasks (portfolio optimisation, volatility forecasting, statistical arbitrage).

He is the author of more than thirty research papers on these topics and also a member of the management committee of the COST Action IC0702 “Combining Soft Computing Techniques and Statistical Methods to Improve Data Analysis Solutions”.

In addition to his scientific pursuits, Nikos collaborates with Kepler Asset Management LLC, NY, on the development of quantitative investment strategies.

He regularly delivers advanced training on credit modelling, interest rate market models, correlation modelling and model risk. He has led the workshops on financial modelling and the credit crunch in the main international conferences.

His papers appeared on journals including Risk Magazine, Mathematical Finance, the Journal of Derivatives, Applied Mathematical Finance.

His most recent books are An Engine, not a Camera: How Financial Models shape Markets (MIT Press, 2006), Do Economists Make Markets? On the Performativity of Economics (Princeton University Press, 2007), co- edited with Fabian Muniesa and Lucia Siu, and Material Markets: How Economic Agents are Constructed (Oxford University Press, 2009).

In addition to publishing papers on the pricing of credit risk and related topics, he was in 2001 co-author of the book Credit: The Complete Guide to Pricing, Hedging and Risk Management, short-listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance.

He is author of the book Counterparty risk : the next challenge for the global financial markets published by Wiley Finance in December 2009.

Jon has a PhD from Cambridge University.

Claudio has been in London since 2003 where he works as a consultant and teaching as Visiting Professor at King’s College London. His main research interests are in constructive probability theory, semi-parametric derivative models suitable for global calibration and multi-core microchip architectures.

He is a regular independent consultant and trainer to the banking industry on equity modeling, structured products, credit derivatives, and other financial engineering problems.

He is an independent expert advisor to the European Commission (DG-Competition) on “State aid assessment of valuation of impaired assets and of asset relief measures”.

Wim is author of the Wiley books Lévy Processes in Finance: Pricing Financial Derivatives and Lévy Processes in Credit Risk. He is also editor (together with A.E. Kyprianou and Paul Wilmott) of the Wiley-book Exotic Option Pricing and Advanced Lévy Models.

His research interests cover all areas of financial mathematics, in particular Lévy jump models. He recently has published in leading journals i.e. on advanced equity models, model risks, hedging of variance swaps, jump driven credit models, multivariate financial engineering, pricing and hedging of credit derivatives (CDSs, CDOs, CMSs, CPPIs, CPDOs, ABSs, …)

He is Managing Editor of the International Journal of Theoretical and Applied Finance and Associate Editor of Mathematical Finance and Review of Derivatives Research.

He currently teaches several courses related to financial engineering in different Master programs and is a regular lecturer for the financial industry of in-house courses and public courses.

Jan presently researches the impact of embeddedness on market risk. His particular areas of interests are Alternative Investments and Wealth Management. Jan holds both Parachutist –A and Commando –A brevets and has served under the 1st Battalion Para-Commando (SAS) as well as NATO’s Rapid Intervention Force (AMF).

His work concentrates on the rules of everyday practice of financial professionals, from an organizational and technical perspective.

Using a combination of qualitative and quantitative methods, Yuval currently studies several aspects of market structure dynamics and corporate governance. Yuval is a leading contributor to the emerging field of social studies of finance.

Among his latest publications are The Usefulness of Inaccurate Models (With Donald MacKenzie) Accounting, Organizations and Society and the book Market Devices, co-edited with Michel Callon and Fabian Muniesa.


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