Ken Abbott recently retired from the position as America’s Chief Risk Officer at Barclays. Bank. Before that, he was Chief Operating Officer (COO) for all Firm Risk at Morgan Stanley where he worked for over nine years. There he covered Commodities, Rates, FX, Retail and Emerging Markets businesses, and was CRO for Morgan Stanley’s buy-side activity.
Leif B. G. Andersen is the Global Head of The Quantitative Strategies Group at Bank of America Merrill Lynch. He holds MSc's in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from University of Aarhus Business School. He was the co-recipient of Risk Magazine’s 2001 and 2018 Quant of the Year Awards, and has worked for more than 25 years as a quantitative researcher in the global markets trading area. He has authored influential research papers and books in all areas of quantitative finance, including the three-volume monograph ``Interest Rate Modelling’’ (co-authored with Vladimir Piterbarg). He is an Associate Editor of Journal of Computational Finance.
- Leif Andersen, Darrell Duffie and Yang Song, "Funding Value Adjustments." (August 1, 2017). Available at: https://ssrn.com/abstract=2746010
- Leif Andersen, Michael Pykhtin and Alexander Sokol, "Credit Exposure in the Presence of Initial Margin." (May 7, 2017). Available at: https://ssrn.com/abstract=2806156
- Leif Andersen, Michael Pykhtin and Alexander Sokol, "Rethinking the Margin Period of Risk." Journal of Credit Risk, (January 2017) Vol. 13, No. 1.
- Leif Andersen, Mark Lake and Dimitri Offengenden, "High-Performance American Option Pricing." Journal of Computational Finance, (July 2016) Vol. 20, No. 1: 39-87.
- Leif Andersen, Claudio Albanese and Stefano Iabichino, "The FVA Puzzle: Accounting, Risk Management and Collateral Trading." (November 2014). Available at: https://ssrn.com/abstract=2517301
- Leif Andersen, Jakob Sidenius and Vladimir Piterbarg, "A New Framework for Dynamic Credit Portfolio Loss Modelling." International Journal of Theoretical and Applied Finance (March 2008) Vol. 11, Issue 2: 163-197. Available at: https://doi.org/10.1142/S0219024908004762
- Leif Andersen, "Efficient Simulation of the Heston Stochastic Volatility Model." (January 23, 2007). Available at: https://ssrn.com/abstract=946405
- Leif Andersen and Vladimir Piterbarg, "Moment Explosions in Stochastic Volatility Models." Finance and Stochastics (January 2007) Vol. 11, Issue 1: 29-50. Available at: https://doi.org/10.1007/s00780-006-0011-7
- Leif Andersen and Jakob Sidenius, "CDO Pricing with Factor Models: Survey and Comments." Journal of Credit Risk (Summer 2005) Vol. 1, No. 3: 71-88.
- Leif Andersen and Jakob Sidenius, "Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings." Journal of Credit Risk (Winter 2004/5) Vol.1, No.1: 29-70.
- Leif Andersen and Mark Broadie, "Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options." Management Science (September 2004) Vol. 50, Issue 9: 1222-1234. Available at: https://doi.org/10.1287/mnsc.1040.0258
Leif Andersen, "A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model." (March 5, 1999). Available at: https://ssrn.com/abstract=155208
Leif Andersen and Dan Buffum, "Calibration and Implementation of Convertible Bond Models." (March 2003). Available at: https://ssrn.com/abstract=355308
Leif Andersen and Jesper Andreasen, "Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing." Review of Derivatives Research (October 2000) Vol. 4, Issue 3: 231-262. Available at: https://doi.org/10.1023/A:1011354913068
Leif Andersen and Jesper Andreasen, "Factor Dependence of Bermudan Swaption Prices: Fact or Ficton?" (May 2000). Available at: https://ssrn.com/abstract=209988
Leif Andersen and Jesper Andreasen, "Volatility Skews and Extensions of the Libor Market Model." (June 4, 1998). Available at: https://ssrn.com/abstract=111030
- Leif Andersen and Vladimir V. Piterbarg, Interest Rate Modeling. Volume 3: Products and Risk Managemnt, Atlantic Financial Press (August 17, 2010)
- Leif Andersen and Vladimir V. Piterbarg, Interest Rate Modeling. Volume 2: Term Structure Models, Atlantic Financial Press (August 17, 2010)
- Leif Andersen and Vladimir V. Piterbarg, Interest Rate Modeling. Volume 1: Foundations and Vanilla Models, Atlantic Financial Press (February 6, 2010)
Managing Director, Investment Management Division, Goldman Sachs, Farshid is currently the head of the Strategic and Quantitative Asset Allocation in the Investment Strategy Group, where he is responsible for the quantitative modeling and analysis of tactical views and strategic asset allocations. Previously, he spent two years as a strategist in the Fixed Income, Currency and Commodities and the Equity Divisions at Goldman Sachs, developing quantitative models for credit and volatility trading. Farshid joined Goldman Sachs in 2006 and was named managing director in 2011. Prior to joining Goldman Sachs, Farshid was a senior vice president of Risk Analytics at GMAC, where he focused on strategic direction and leadership in the development and operations of the risk management systems and processes for GM, GMAC and GM Asset Management. Farshid has been a program fellow and adjunct professor at Courant Institute of Mathematical Sciences at New York University since 2005. He has published various papers in quantitative journals and presented at conferences and has led a number of workshops in quantitative trading. Farshid earned a PhD in Stochastic Optimal Control and an MS in Financial Engineering from the University of Michigan in 2002. He is the recipient of the 2005 Carl T. Humphrey Memorial Alumni Award from Villanova University.
- Farshid Asl and Erkko Etula, “Advancing Strategic Asset Allocation in a Multi-Factor World.” Journal of Portfolio Management (Fall 2012) Vol. 39, Issue 1: 59-66,14.
- Farshid Asl and A.G. Ulsoy, “Stochastic Optimal Capacity Limits with Linear Management Costs.” American Control Conference (November 2003), DOI: 10.1109/ACC.2003.1240534
- Farshid Asl, “Optimal Control of Reconfigurable Capacity in Manufacturing Systems.” University of Michigan, Dissertation, 2003. Available at: https://search.proquest.com/docview/305328113
- Farshid Asl, Hashem Ashrafiuon and C. Nataraj, “A General Solution for the Position, Velocity, and Acceleration of Hyperredundant Planar Manipulators.” Journal of Field Robotics (January 2002) Vol. 19, Issue 1: 1-12. DOI: 10.1002/rob.8117
Marco's research centers around quantitative trading strategies and financial models. He has published in mathematical finance and applied mathematics, including volatility modeling, the design of composite materials and hydrodynamic turbulence. He was a V.P. at Morgan Stanley in 1997 and 1998 in the Derivatives Products Group; Portfolio Manager at Capital Fund Management, where he created the Nimbus Fund 2004; Portfolio Manager at a major New York hedge fund where he ran Statistical Arbitrage 2006 to 2008; Partner at Finance Concepts LLC, a risk management consultancy with offices in New York and Paris 2003 to present ; Editor of journals Quantitative Finance, International Journal of Theoretical and Applied Finance, where he was editor in chief from 1998 to 2003; Managing editor of the International Journal of Theoretical and Applied Finance; Associate editor of Communications in Pure and Applied Mathematics and Mathematical Methods in Applied Sciences. Marco is the author of the textbook ''Quantitative Modeling of Derivative Securities: From Theory to Practice," and edited the collection "Quantitative Analysis in Financial Markets, Vols I - III." Marco wasnamed Quant of the Year 2010 by Risk Magazine.
- Marco Avellaneda and Rama Cont, “Close-Out Risk Evaluation (CORE): A New Risk management Approach for Central Counterparties.” (May 28, 2013). Available at: https://ssrn.com/abstract=2247493
- Marco Avellaneda and Samu Alanko, “Reducing Variance in the Numerical Solution of BSDEs.” Comptes Rendus Mathematique (February 2013) Vol. 351, Issues 3/4: 135-138. Available at: https://doi.org/10.1016/j.crma.2013.02.010
- Marco Avellaneda and Doris Dobi, “Structural Slippage of Leveraged ETFs.” (July 25, 2012). Available at: https://www.math.nyu.edu/faculty/avellane/LETF_Avellaneda_Dobi_August_10_2012.pdf
- Marco Avellaneda, et al., “Portfolio Risk in Multiple Frequencies.” IEEE Signal Processing Magazine (September 2011) Vol. 28, Issue 5: 61-71. DOI: 10.1109/MSP.2011.941552
- Marco Avellaneda, “Algorithmic and High-Frequency Trading: An Overview.” Quant Congress USA (2011). Available at: https://math.cims.nyu.edu/faculty/avellane/QuantCongressUSA2011AlgoTradingLAST.pdf
- Marco Avellaneda and Rama Cont, “Transparency in Credit Default Swap Markets.” (July 2010). Available at: https://www.isda.org/a/y0DDE/cdsmarkettransparency.pdf
- Marco Avellaneda and Jeong-Hyun Lee, “Statistical Arbitrage in the US Equities Market.” Quantitative Finance (2010) Vol. 10, Issue 7: 761-782. Available at: https://doi.org/10.1080/14697680903124632
- Marco Avellaneda and Stanley Zhang, “Path-Dependence of Leveraged ETF Returns.” SIAM Journal on Financial Mathematics (2010), Vol. 1, No. 1: 586-603. Available at: https://doi.org/10.1137/090760805
- Marco Avellaneda and Mike Lipkin, “A Dynamic Model for Hard-to-Borrow Stocks.” Risk (June 2009) Vol. 22, Issue 6; 92-97.
- Marco Avellaneda and Sasha Stoikov, “High-frequency trading in a Limit Order Book.” Quantitative Finance (2008) Vol. 8, No. 3: 217-224. Available at: https://doi.org/10.1080/14697680701381228
- Marco Avellaneda, “A Look Ahead at Options Pricing and Volatility.” Quantitative Finance (October 2004) Vol. 4, Issue 5: C51-C54. DOI: 10.1080/14697680400024913
- Marco Avellaneda, et al., “Application of Large Deviation Methods to the Pricing of Index Options in Finance.” Comptes Rendus Mathematique (February 2003) Vol. 336, Issue 3: 263-266. Available at: https://doi.org/10.1016/S1631-073X(03)00032-3
- Marco Avellaneda and Michael D Lipkin, “A Market-Induced Mechanism for Stock Pinning.” Quantitative Finance (2003), Vol. 3, No. 6: 417-425. Available at: https://doi.org/10.1088/1469-7688/3/6/301
- Marco Avellaneda, “Empirical Aspects of Dispersion Trading in U.S. Equity Markets.” Petit Dejeuner de la Finance Paris (November 27, 2002). Available at: https://www.math.nyu.edu/faculty/avellane/ParisFirstTalkSlides.pdf
- Marco Avellaneda and Jingyi Zhu, “Distance to Default.” (December 2001). Available at: https://math.cims.nyu.edu/faculty/avellane/distancetodefault.pdf
- Marco Avellaneda, et al., “Weighted Monte Carlo: A New technique for Calibrating Asset-Pricing Models.” Applied and Industrial Mathematics, Venice – 2 (1998): 1-31. Available at: https://doi.org/10.1007/978-94-011-4193-2_1
- Marco Avellaneda, "Quantitative Analysis in Financial Markets - Collected Papers of the New York University Mathematical Finance Seminar," World Scientific Publishing Company Inc; 1st edition (January 31, 2002)
- Marco Avellenda, "Quantitative Analysis in Financial Markets," World Scientific Publishing Company; 1st edition (January 11, 2001)
- Macro Avellaneda and Peter Laurence, "Quantitative Modeling of Derivative Securities: From Theory To Practice 1st Edition," Chapman and Hall/CRC; 1st edition (September 17, 1999)
Jerome Benveniste was a member of the Quantitative Trading Group at Highbridge Capital Management, LLC for twelve years, the last six as Portfolio Manager and Managing Director. He was involved in nearly every aspect of Highbridge’s quantitative business, including forecast generation, risk modeling, transaction cost modeling, and optimization. Before joining Highbridge, he was a mathematician working in the areas of differential geometry, Lie theory, and ergodic theory, and was on the faculties of Stanford and Case Western Reserve Universities. Jerome holds an A. B. from Harvard University and a Ph.D. from the University of Chicago, both in mathematics.
Elie (Jerome) Benveniste and Gordon Ritter, “Optimal Microstructure Trading with a Long-Term Utility Function.” (December 3, 2017). Available at: https://ssrn.com/abstract=3057570
Sébastien Bossu is Principal at Ogee Group LLC in New York where he runs his startup hedge fund focused on macro option strategies, and serves as adjunct professor at NYU Courant and The Johns Hopkins Carey Business School (Baltimore). He has ten years’ experience in banking and the financial industry and worked at institutions such as J.P. Morgan, Dresdner Kleinwort and Goldman Sachs. An expert in financial derivatives, Sébastien has published several papers and textbooks in his field and is a regular speaker at international conferences. He is a graduate from The University of Chicago, HEC Paris, Columbia University and Université Pierre et Marie Curie.
- Sebastien Bossu, “Introduction to Variance Swaps.” Wilmott Magazine (2016): 51-55. Available at: https://www.wilmott.com/wp-content/uploads/2016/07/111116_bossu.pdf
- Sebastien Bossu, “Chapter 8: Local Correlation” in Advanced Equity Derivatives: Volatility and Correlation. (May 2014). ISBN: 9781118750964. DOI: 10.1002/9781118835364.ch8
- Sebastien Bossu, “A New Approach For Modelling and Pricing Correlation Swaps.” Dresdner Kleinwort (May 9 2007). Available at: https://goo.gl/KCFr7X
- Sebastien Bossu, “Equity Correlation Swaps: A New Approach for Modelling & Pricing.” Columbia University – Financial Engineering Practitioners Seminar (February 26, 2007). Available at: http://ieor.columbia.edu/files/seasdepts/industrial-engineering-operations-research/pdf-files/Bossu_S.pdf
- Sebastien Bossu, “Arbitrage Pricing of Equity Correlation Swaps.” JP Morgan (July 2005). Available at: https://pdfs.semanticscholar.org/3579/e96d2114a10b716939a1d9388ccc776f33bd.pdf
- Sebastien Bossu, et al., “Just What You Need to Know About Variance Swaps.” JP Morgan (May 2005). Available at: http://docs.sbossu.com/bossu-strasser-guichard-varswap.pdf
- Sebastien Bossu and Yi Gu, “Fundamental Relationship Between and Index’s Volatility and the Correlation and Average Volatility of Its Components.” JP Morgan (2004). Available at: https://goo.gl/Uze9HX
- Sebastien Bossu and Peter Carr, "Advanced Equity Derivatives: Volatility and Correlation," Wiley; 1 edition (May 5, 2014)
- Sebastien Bossu and Philippe Henrotte, "An Introduction to Equity Derivatives: Theory and Practice," Wiley; 2 edition (May 14, 2012)
- Sebastien Bossu and Philippe Henrotte, "Finance and Derivatives: Theory and Practice," Wiley; 1 edition (December 8, 2005)
For over twenty years, Ilia Bouchouev has been managing Koch Global Derivatives Trading, one of the industry leaders in energy trading and options market-making. From 2012 until 2019, he also served as the president of Koch Global Partners, quantitative macro trading company specializing in interest rate, FX, and commodity trading. Ilia’s team pioneered several derivatives products, including the first oil volatility swap (2003 Risk Magazine Award), and developed various new energy markets over the years. Ilia retired from active trading at the end of 2019.
Ilia has Ph.D. in inverse problems for differential equations which he applied to develop several option pricing models and calibration methods. He also published on energy economics, financial flows and hedging pressure, and introduced “the theory of normal contango” for the oil markets.
Paul earned his Ph.D. in Mathematics from Université Paris 6, France, in 2009. He received an M.S. in Probability from Université Paris 6, France, and an M.S. in Computer Science from Computer Science, Telecom Paris, France, in 2007. He received his B.S. in Mathematics and Physics, École Polytechnique, France, in 2006. His research lies in probability theory (random matrices, stochastic analysis) and its connections with other domains of mathematics like partial differential equations.
- Paul Bourgade and et.al., “Maximum of the Riemann zeta function on a short interval of the critical line.” To appear in CPAM (2018).
- Paul Bourgade and Guillaume Dubach, “The distribution of overlaps between eigenvectors of Ginibre matrices.” (2018) Prepublication.
- Paul Bourgade, L. P. Arguin and D. Belius. “Maximum of the characteristic polynomial of random unitary matrices.” Communications in Mathematical Physics (2017) Vol. 349, No. 2: 703-751.
- Paul Bourgade, R. Bauerschmidt, M. Nikulaand H.-T. Yau, “Local density for two-dimensional one-component plasma.” Communications in Mathematical Physics (2017) Vol. 356: 189-230.
- Paul Bourgade, L. Erdős, H.-T. Yau and J. Yin, “Universality for a class of random band matrices.” Advances in Theor. and Math Physics (2017) Vol. 21, No. 3: 739-800.
- Paul Bourgade, J. Huang and H.-T. Yau, “Eigenvector Statistics of Sparse Random Matrices.” Electronic Journal of Probability (2017) Vol. 22, No. 64.
- Paul Bourgade and H.-T. Yau, “The eigenvector moment flow and local quantum unique ergodicity.” Communications in Mathematical Physics (2017) Vol. 150, No. 1: 231-278.
- Paul Bourgade, R. Bauerschmidt, M. Nikula and H.-T. Yau, “The two-dimensional Coulomb plasma: quasi-free approximation and central limit theorem.” (2016). Prepublication.
- Paul Bourgade, L. Erdős , H.-T. Yau, “Edge Universality of β-ensembles.” Communications in Mathematical Physics (2014) Vol. 332, No. 1: 261-353.
- Paul Bourgade, L. Erdős and H.-T. Yau, “Universality of general β-ensembles.” Duke Mathematical Journal (2014) Vol. 163, No. 6: 1127-1190.
- Paul Bourgade, L. Erdős, H.-T. Yau and J. Yin, “Fixed energy universality for generalized Wigner matrices,” Communications on Pure and Applied Mathematics (2016) Vol. 69, No. 10: 1815-1881.
- Paul Bourgade and J. Kuan, “Strong Szegő asymptotics and zeros of the ζ function.” Communications on Pure and Applied Mathematics (2014) Vol. 67, Issue 6: 1028–1044.
- Paul Bourgade, H.-T. Yau and J. Yin, “The local circular law for random matrices.” Probability Theory and Related Fields (2014) Vol. 159, no. 3/4: 545-595.
- Paul Bourgade, H.-T. Yau and J. Yin, “The local circular law II: the edge case.” Probability Theory and Related Fields (2014) Vol. 159, No. 3/4: 619-660.
- Paul Bourgade and G. Ben Arous, “Extreme gaps in the eigenvalues of random matrices.” Annals of Probability (2013) Vol. 41, No. 4: 2648-2681.
- Paul Bourgade, J. Najnudel and A. Nikeghbali, “A unitary extension of virtual permutations.” Int. Math. Research Notices (2013) Vol. 2013, No. 18: 4101–4134.
- Paul Bourgade, L. Erdős and H.-T. Yau, “Bulk universality of general β-ensembles with non-convex potential.” Journal of Math. Phys., special issue in honor of E. Lieb's 80th birthday (2012) Vol. 53.
- Paul Bourgade, A. Nikeghbali and A. Rouault, “Ewens measures on compact groups and hypergeometric kernels.” Séminaire de Probabilités XLIII, Springer (2011): 351-377.
- Paul Bourgade, “Mesoscopic fluctuations of the ζ zeros.” Probability Theory and Related Fields (2010) Vol.148, No. 3/4: 479-500.
- Paul Bourgade, “Conditional Haar measures on classical compact groups.” Annals of Probability (2009) Vol 37, No. 4: 1566-1586.
- Paul Bourgade, A. Nikeghbali and A. Rouault, “Circular Jacobi ensembles and deformed Verblunsky coefficients.” International Mathematical Research Notices (2009) Vol. 2009, No. 23: 4357-4394.
- Paul Bourgade, C.P. Hughes, A. Nikeghbali and M. Yor, “The characteristic polynomial of a random unitary matrix: a probabilistic approach.” Duke Math. Journal (2008) Vol. 145, No. 1: 45-69.
- Paul Bourgade, T. Fujita and M. Yor, “Euler's formula for ζ(2n) and products of Cauchy variables.” Electronic Communications in Probability (2007) Vol. 12: 73-80.
- Paul Bourgade, A. Nikeghbali and A. Rouault, “The characteristic polynomial on compact groups with Haar measure: some equalities in law.” Comptes Rendus de l'Ac. des Sc., (2007) Vol. 345, Issue 4.
Aaron Brown spent 35 year on Wall Street as a trader, portfolio manager, head of mortgage securities and risk manager for some of the largest global financial institutions, the last ten as risk manager for AQR Capital Management. He has written a few books, and a lot of articles, most recently including regular columns for Bloomberg and Wilmott magazine. Aaron holds an B.S. degree in applied mathematics from Harvard, and an MBA in finance and statistics from the University of Chicago. He lives right across the Pennsylvania border from New York, on a lake near the Delaware river with his wife of 31 years, Deborah Pastor. He has two children, Jacob who is now at the University of Chicago Booth School of Business, and Aviva who is finishing up high school.
- Aaron Brown, “Optimal Betting Strategy with Uncertain Payout and Opportunity Limits.” (April 7, 2017). Available at: https://ssrn.com/abstract=2947863
- Aaron Brown, “Limits Bets.” Wilmott (March 2017) Issue 88: 16-21. DOI: 10.1002/wilm.10576
- Aaron Brown, “Two, Four, Six, Eight: Everybody Speculate!” Wilmott (January 2017) Issue 87: 16-21. DOI: 10.1002/wilm.10559
- Aaron Brown, “Poker hands.” Wilmott (November 2016) Issue 86: 8-11. DOI: 10.1002/wilm.10544
- Aaron Brown, “Kelly Myths and Heroes.” Wilmott (September 2016) Issue 85: 10-15. DOI: 10.1002/wilm.10531
- Aaron Brown, “Omnia Mala Quae in Hoc Mundo.” Wilmott (July 2016) Issue 84: 12-15. DOI: 10.1002/wilm.10519
- Aaron Brown, “Inconceivable!” Wilmott (May 2016) Issue 83: 12-15. DOI: 10.1002/wilm.10503
- Aaron Brown, “Reinforced Concrete.” Wilmott (March 2016) Issue 82: 8-13. DOI: 10.1002/wilm.10480
- Aaron Brown, “The Deep End of the Pool.” Wilmott (January 2016) Issue 81: 12-15. DOI: 10.1002/wilm.10469
- Aaron Brown, “The New New Math.” Wilmott (November 2015) Issue 80: 12-15. DOI: 10.1002/wilm.10456
- Aaron Brown, “The American 20th Century in Three Episodic Novels by Poker Players.” Wilmott (September 2015) Issue 79: 12-13. DOI: 10.1002/wilm.10441
- Aaron Brown, “Superforecasting.” Wilmott (July 2015) Issue 78: 12-15. DOI: 10.1002/wilm.10429
- Aaron Brown, “We’re Having a Heat Wave, Should We Wave Back?” Wilmott (May 2015) Issue 77: 18-23. DOI: 10.1002/wilm.10417
- Aaron Brown, “What’s Love Got to Do With It?” Wilmott (November 2013) Issue 68: 8-11. DOI: 10.1002/wilm.10264
- Aaron Brown, Raph Di Guisto and Nick Maughan, “Rationality and Risk Intelligence in Binary Betting.” (July 2, 2013). Available at: https://ssrn.com/abstract=2288747
- Aaron Brown, “Toil and Trouble.” Wilmott (September 2012) Issue 61: 10-15. DOI: 10.1002/wilm.10143
- Aaron Brown, “Old Beds, Standard Deviation, Can Openers, Trampolines, and Risk.” Wilmott (September 2011) Issue 54: 32-35. DOI: 10.1002/wilm.10010
- Aaron Brown, "Financial Risk Management for Dummies," For Dummies (2015)
- Perry Mehrling and Aaron Brown, "Fischer Black and the Revolutionary Idea of Finance," John Wiley & Sons (November 30, 2011)
- Aaron Brown, "Red-Blooded Risk," John Wiley & Sons (2011)
- Eduard Canabarro and Aaron Brown, "Counterparty Credit Risk," Risk Books (2010)
- Aaron Brown, Reuven Brenner, & Gabriel Brenner, "A World of Chance," Cambridge University Press (2008)
- Espen Haug and Aaron Brown, "Derivatives Models on Models," John Wiley & Sons (2007)
- Aaron Brown, "The Poker Face of Wall Street," John Wiley & Sons (2006)
- Paul Wilmott and Aaron Brown, "The Best of Wilmott II," Wiley (2005)
- Paul Wilmott and Aaron Brown, "The Best of Wilmott I," John Wiley & Sons (2005)
Hongwei Cheng is currently the Head of Research and Chief Risk Officer of Mill Hill Capital, overseeing the built up of the firm’s integrated risk and research framework and infrastructure. Prior to Mill Hill, Dr. Cheng was with Prudential Financial for a year, where he was an Investment Senior Vice President and Head of Investment, Finance and Risk Model Risk, Enterprise Risk Management, responsible for conducting independent model reviews for Prudential’s financial models. Before Prudential, he was with Macquarie for about six years, where he was a Managing Director and Head of Credit Derivative Modelling, his responsibilities include building the credit derivative analytics model library and quantitative trading strategies in credit products, supporting the functionalities of market risk, capital allocation, contingent cash and liquidity management for the credit trading businesses. Prior to Macquarie, Dr. Cheng was a Vice President at Lehman Brothers for one year and a Vice President at Morgan Stanley for three years. In both firms, he worked as a senior front desk quantitative modeler, developing credit derivative models and supporting credit trading businesses.
Dr. Cheng began his career in 1995 as a Postdoctoral researcher at Princeton University and as a Lecturer/Senior Research Scientist at Yale University, where he conducted research in applied mathematics, specializing in fast algorithms for differential/ integral equations. After Yale, he joined a startup, MadMax Optics Inc., to build advanced simulation software for the optoelectronics/telecom industry.
Dr. Cheng holds a PhD in Applied Mathematics from the Courant Institute, New York University, a Master’s degree in Scientific Computing from the Chinese Academy of Sciences (China), and a Bachelor's degree in Mathematics from Zhejiang University (China).
Ivailo Dimov is a senior quant at the Bloomberg L.P. CTO Office, where he provides quantitative and data science solutions to management, external and internal clients. He has worked on both traditional derivative, risk and alpha modeling as well as alternative data research. At Bloomberg, he has led projects on market consensus, broker-algo selection, recommendation systems, automated news and news topic modeling, as well as geographical alternative data. Prior to joining Bloomberg, Ivailo was a quant at the derivative analysis group at Goldman Sachs covering equity derivatives. He has a Ph.D. in physics from UCLA and an M.S. in Mathematics in Finance from NYU Courant.
- Ivailo Dimov, Petter Kolm, Petter N. Kolm , Lee Maclin and Dan Y. C. Shiber, "Hidden Noise Structure and Random Matrix Models of Stock Correlations." Quantitative Finance (March 2012) Vol. 12, Issue 4: 567-572. Available at: https://doi.org/10.1080/14697688.2012.664931
After having headed derivatives research teams at Societe Generale, Paribas and Nikko FP, Bruno joined Bloomberg in New York in 2004 to develop advanced analytics. He is best known for his work on volatility modelling, including the Local Volatility Model (1993), simplest extension of the Black-Scholes-Merton model to fit all option prices, and subsequent results on stochastic volatility and volatility derivatives. He was included in December 2002 in the Risk magazine "Hall of Fame" of the 50 most influential people in the history of derivatives. He is the recipient of the 2006 "Cutting edge research" Wilmott award and was voted in 2006 the most important derivatives practitioner of the past 5 years in the ICBI Global Derivatives industry survey.
- Bruno Dupire, “Functional Itô Calculus.” Bloomberg Portfolio Research Paper No. 2009-04-Frontiers (August 28, 2009). Available at: https://ssrn.com/abstract=1435551
- Bruno Dupire and Alexander Cherny, “On Certain Distributions Associated with the Range of Martingales.” Optimality and Risk – Modern Trends in Mathematical Finance (2009): 29-38. Available at: https://doi.org/10.1007/978-3-642-02608-9_2
- Bruno Dupire, “Arbitrage Bounds for Volatility Derivatives as Free Boundary Problem.” PDE and Mathematical Finance, KTH, Stockholm (August 16, 2005). Available at: https://www.math.kth.se/pde_finance/presentations/Bruno.pdf
- Bruno Dupire, “Optimal Process Approximation: Application to Delta hedging and Technical Analysis.” Quantitative Finance: Developments, Applications and Problems, Cambridge UK (July 7, 2005). Available at: https://www.newton.ac.uk/files/seminar/20050707145015401-149092.pdf
- Bruno Dupire, “Exploring Volatility Derivatives: New Advances in Modelling.” Global Derivatives 2005, Paris (May 25, 2005). Available at: https://goo.gl/EJrUpB
- Bruno Dupire, “Arbitrage Pricing with Stochastic Volatility.” Proceedings of AFFI Conference in Paris, June 1992 (1992).
- Bruno Dupire, "Monte Carlo Methodologies and Applications for Pricing and Risk Management," Risk Books; 1 edition (October 1998)
Gene Ekster is the CEO of Alternative Data Group (AltDG), an alternative data software company. Gene has been at the vanguard of the alternative data industry since 2008. Previously he lead the alternative data team at Point72 Asset Management and prior to that, he worked at Balyasny Asset Management, Lone Pine, 1010 Data and Majestic Research. Gene is a board member of IDSO, Eagle Alpha, Ottoquant and Super Signal Capital. He holds a degree in Artificial Intelligence from U.C. Berkeley, an MBA from Cornell University and is a CFA charter holder.
- Nov-15 Whitepaper on Alternative Data
- May-16 Web Crawling Compliance Best Practices
- Aug-15 Data teams
- Jul-15 Compliance
- May-15 Alternative data equity research
- May-15 In-house research
- Nov-14 "Alternative Data" term coined
Monty works as a quant trader focusing on high frequency strategies for Options. He earned his Ph.D. in Mathematics from the Courant Institute of Mathematical Sciences in May 2018. He received an M.S. (diplome d'ingenieur) from Ecole Centrale Paris, France, and an M.S. in Applied Mathematics and Physics from Columbia University, in 2013. His research interests include optimal mass transportation and its connections with partial differential equations, probability, and optimization, as well as its applications in data science and Finance.
- Montacer Essid and Justin Solomon, "Quadratically-Regularized Optimal Transport on Graphs." (November 27, 2017) arXiv:1704.08200v3
Eran is the Chief Operating Officer of Pragma, which he joined 2007. He oversees the technology and research teams in developing new and innovative cutting edge technologies for algorithmic trading products and other financial services. Previously, Eran worked at Hite Capital Management. Eran holds a Ph.D. in Electrical Engineering from Israel's Tel Aviv University, and an MBA from the Stern School of Business at New York University. Eran is an expert in the field of parameter estimation and detection theory and has published over 40 technical papers in the area of statistical signal processing.
Bjorn Flesaker is Director of Quantitative Research, Fixed Income, for Lord Abbett & Co. LLC, where he is responsible for developing quantitative models and techniques to conduct portfolio risk analysis and security valuation for their fixed-income portfolios. Mr. Flesaker joined Lord Abbett & Co. LLC in 2017. His prior experience includes serving as Managing Director, Head of Quantitative Research at Prudential Fixed Income. Previously, he worked in fixed income R&D and business management at Bloomberg L.P., and he managed derivatives oriented quant groups for several institutions, including Morgan Stanley, Bear Stearns, UBS Securities and Merrill Lynch. He currently serves as Managing Editor of the International Journal of Theoretical and Applied Finance. He earned a Master of Management degree in finance from BI Norwegian Business School and a Ph.D. in finance from the University of California, Berkeley.
- Bjorn Flesaker and Peter Carr, “Robust Replication of Default Contingent Claims.” Mathematics in Finance Working Paper – NYU Courant (April 28, 2008). Available at: http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.378.53&rep=rep1&type=pdf
- Bjorn Flesaker, “Fast Solution of the Gaussian Copula Model.” in Econometrics and Risk management. Emerald Group Publishing Limitid (2008): 1-13.
- Bjorn Flesaker and Lane Hughston, “Positive Interest” in Hedging with Trees. Risk Books (1998): 115-124. Available at: https://www.researchgate.net/profile/Lane_Hughston/publication/228262335_Positive_Interest/links/0912f511154e0a1ef3000000.pdf
- Bjorn Flesaker and Lane Hughston, “Exotic Interest Rate Options.” in Exotic Options: the State of the Art. International Thomson Publishing (1997): 209-227. ISBN: 1861523211
- Bjorn Flesaker and Lane Hughston, “International Models for Interest Rates and Foreign Exchange.” Net Exposure (1997): 55-79. Available at: http://discovery.ucl.ac.uk/1364076/
- Bjorn Flesaker and et al.,“Taking All the Credit.” Risk (1994) Vol. 7, Issue 9: 104-108. Available at: http://discovery.ucl.ac.uk/1364071/
- Bjorn Flesaker, “Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing.” Journal of Financial and Quantitative Analysis (December 1993) Vol. 28, Issue 4: 483-495. Available at: https://doi.org/10.2307/2331161
- Bjorn Flesaker, “Arbitrage Free Pricing of Interest Rate Futures and Forward Contracts.” The Journal of Futures Markets (February 1993) Vol. 13, Issue 1: 77-91. DOI: 10.1002/fut.3990130108
- Bjorn Flesaker, “The Relationship Between Forward and Futures Contracts: A Comment.” The Journal of Future Markets (February 1991), Vol. 11, Issue 1: 113-115. Available at: https://search.proquest.com/docview/225471616?pq-origsite=gscholar
Samim Ghamami is currently the Senior Economist and Vice President at the Financial Services Forum, a senior researcher at UC Berkeley Center for Risk Management Research, an Adjunct Professor of Finance at NYU Tandon School of Engineering, and an Adjunct Associate Professor of Economics at Columbia University.
Ghamami has been a senior financial economist and a senior Vice President at Goldman Sachs. He has also been an Acting Associate Director and a senior economist at the U.S. Department of the Treasury, Office of Financial Research, and an economist at the Board of Governors of the Federal Reserve System.
Ghamami’s research has broadly focused on financial economics and more recently on the interplay between finance and macroeconomics. His work on banking and central clearing has been presented and discussed at central banks. He has been an advisor to the Bank for International Settlements and has worked as an expert with the Financial Stability Board on post-financial crisis reforms in 2016 and 2017. Ghamami has also served on the National Science Foundation panel on Financial Mathematics in 2017 and 2018.
Ghamami has also been a visiting scholar at the Department of Economics at UC Berkeley, a senior quantitative researcher at MSCI, a quantitative researcher at Barclays Capital, an Adjunct Professor at USC, and a post-doctoral researcher at CREATE Homeland Security Center.
Ghamami received his Ph.D. in Mathematical Finance and Operations Research from the University of Southern California in 2009, where his principal advisor was Sheldon Ross.
His publications have appeared in different journals including Management Science, Journal of Applied Probability, Mathematics of Operations Research, Journal of Financial Intermediation, Journal of Credit Risk, Journal of Derivatives, Probability in the Engineering and Informational Sciences, Quantitative Finance, Journal of Risk, and International Journal of Financial Engineering.
Samim Ghamami and Paul Glasserman, “Collateralized Networks,” Working Paper (2019-01).
- Samim Ghamami and Paul Glasserman, “Does OTC Derivatives Reform Incentivize Central Clearing?” Journal of Financial Intermediation (October 2017) Vol.32: 76-87. Available at: https://doi.org/10.1016/j.jfi.2017.05.007
- Samim Ghamami and Paul Glasserman, “Submodular Risk Allocation.” Columbia Business School Research Paper No.17-79 (August 1, 2017). Available at: https://ssrn.com/abstract=3011905
- Samim Ghamami and Peter Carr, “Derivatives Pricing under Bilateral Counterparty Risk.” (April 12, 2015). Available at: https://ssrn.com/abstract=2588487
- Samim Ghamami, “Static Models of Central Counterparty Risk.” International Journal of Financial Engineering (2015) Vol. 2, Issue 2. Available at: https://doi.org/10.1142/S2424786315500115
- Samim Ghamami and Bo Zhang, “Efficient Monte Carlo CVA Estimation.” Proceedings of the 2014 Winter Simulation Conference (December 2014). Available at: https://dl.acm.org/citation.cfm?id=2693915
- Samim Ghamami and Bo Zhang, “Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement”. (July 23, 2014) Available at: https://goo.gl/bf4Kfs
- Samim Ghamami and Lisa Goldberg ,”Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA.” Finance and Economics Discussion Series, Federal Reserve Board (2014). Available at: https://ssrn.com/abstract=2479520
- Samim Ghamami and Amy Ward, “Dynamic Scheduling of a Two-Server Parallel Server System with Complete Resource Pooling and Reneging in Heavy traffic: Asymptotic Optimality of a Two-Threshold Policy.”(October 29, 2013). Available at: https://ssrn.com/abstract=2346932
- Samim Ghamami and Sheldon Ross, “Improving the Asmussen-Kroese-Type Simulation Estimators.” Journal of Applied Probability (2012) Vol. 49, No.4. Available at: https://ssrn.com/abstract=2345764
- Samim Ghamami and Sheldon Ross, “Improving the Normalized Importance Sampling Estimator.” Probability in the Engineering and Informational Sciences (2012). Available at: https://ssrn.com/abstract=2345765
- Samim Ghamami and Sheldon Ross, “Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process.” Journal of Derivatives (Spring 2010) Vol.17, Issue 3: 6, 45-52. Available at: http://proxy.library.nyu.edu/login?url=https://search.proquest.com/docview/220491403?accountid=12768
- Samim Ghamami and Sheldon Ross, “Efficient Simulation of a Random Knockout Tournament.” Journal of Industrial and Systems Engineering (Summer 2008) Vol. 2, No.2: 88-96. Available at: https://ssrn.com/abstract=2346937
Jonathan earned his Ph.D. in 1982 from Stanford University, specializing in computational and applied mathematics. His research interests have ranged from the mathematical theory of shock waves to innovative Monte Carlo methods in quantum chemistry. His private consulting has included work on computational methods in finance for Morgan Stanley & Co. and NumeriX.
- Jonathan Goodman and Randall LeVeque, “A Geometric Approach to High Resolution TVD Schemes.” SIAM Journal on Numerical Analysis (1988) Vol.25, Issue 2: 268-284. Available at: https://doi.org/10.1137/0725019
- Jonathan Goodman and Randall LeVeque, “On the Accuracy of Stable Schemes for 2D Scalar Conservation Laws.” Mathematics of Computation (July 1985) Vol. 45, No.171: 15-21. Available at: http://www.ams.org/journals/mcom/1985-45-171/S0025-5718-1985-0790641-4/S0025-5718-1985-0790641-4.pdf
- Jonathan Goodman and William Massey, “The Non-Ergodic Jackson Network.” Journal of Applied Probability (December 1984) Vol. 21, Issue 4: 860-869. Available at: https://doi.org/10.2307/3213702
Julien Guyon is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor at Columbia University. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years (2006-2012). He co-authored the book Nonlinear Option Pricing (Chapman & Hall, CRC Financial Mathematics Series, 2014) with Pierre Henry-Labordere. Julien holds a Ph.D. in Probability Theory and Statistics from Ecole des ponts (Paris). He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des ponts. He was also an adjunct professor at Universite Paris 7 and Ecole des ponts. His main research interests include nonlinear option pricing, volatility and correlation modeling, and numerical probabilistic methods.
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.
- Julien Guyon, “What a Fairer 24 Team UEFA Euro Could Look Like.” (August 9, 2017). Available at: https://ssrn.com/abstract=2714199
- Julien Guyon, Romain Menegaux, and Marcel Nutz, “Bounds for VIX Futures given S&P 500 Smiles.” Finance and Stochastics (July 2017) Vol. 21, Issue 3: 593-630. Available at: https://doi.org/10.1007/s00780-017-0334-6
- Julien Guyon, “Stochastic Volatility Modeling Book Review.” Quantitative Finance (2017) Vol. 17, Issue 6: 825-828. Available at: https://doi.org/10.1080/14697688.2017.1309181
- Julien Guyon, “Calibration of Local Correlation Models to Basket Smiles.” (November 18, 2016). Available at: https://ssrn.com/abstract=2871169
- Julien Guyon, “Rethinking the FIFA World Cup™ final draw.” Journal of Quantitative Analysis in Sports (September 2015) Vol. 11, Issue 3: 169-182. Available at: https://doi.org/10.1515/jqas-2014-0030
- Julien Guyon, “Cross-Dependent Volatility.” (June 9, 2015). Available at: https://ssrn.com/abstract=2615162
- Julien Guyon, “Path-Dependent Volatility.” Risk Magazine (September 2014). Available at: https://ssrn.com/abstract=2425048
- Julien Guyon, “Local Correlation Families.” Risk Magazine (February 2014): 52-58. Available at: https://search.proquest.com/docview/1498243078
- Julien Guyon and Lorenzo Bergomi, “Stochastic Volatility’s Orderly Smiles.” Risk Magazine (May 2012): 60-66. Available at: https://search.proquest.com/docview/1016787354
- Julien Guyon and Pierre Henry-Labordere, “Being Particular about Calibration.” Risk Magazine (January 2012) Vol. 25, Issue 1: 88-93. Available at: https://search.proquest.com/docview/916627589
- Julien Guyon and Lorenzo Bergomi, “The Smile in Stochastic Volatility Models.” (December 2, 2011). Available at: https://ssrn.com/abstract=1967470
- Julien Guyon and Pierre Henry-Labordere, “The Smile Calibration Problem Solved.” (July 15, 2011). Available at: https://ssrn.com/abstract=1885032
- Julien Guyon and Pierre-Henry Labordere, “From Spot Volatilities to Implied Volatilities.” Risk Magazine (May 2011). Available at: https://ssrn.com/abstract=1663878
- Julien Guyon and Pierre-Henry Labordere, “Uncertain Volatility Model: A Monte-Carlo Approach.” Journal of Computational Finance (Spring 2011) Vol. 14, Issue 3: 37-71. Available at: https://search.proquest.com/docview/873876937
- Julien Guyon, “Limit Theorems for Bifurcating Markov Chains. Application to the Detection of Cellular Aging.” The Annals of Applied Probability (October-December 2007) Vol. 17, No.5/6: 1538-1569. Available at: http://www.jstor.org/stable/25442898
- Julien Guyon, “Probabilistic Modeling in Finance and Biology – Limit Theorems and Applications.” Ecole des Ponts ParisTech, Dissertation, 2006. Available at: https://pastel.archives-ouvertes.fr/pastel-00001995/
- Julien Guyon, “Euler Scheme and Tempered Distributions.” Stochastic Processes and their Applications (June 2006) Vol. 116, Issue 6: 877-904. Available at: https://doi.org/10.1016/j.spa.2005.11.011
- Julien Guyon, “Modelisation probabiliste en finance et en biologie: Theoremes limites et applications.” (2006).
- Julien Guyon and et. al., “Statistical Study of cellular Aging.” ESAIM: Proceedings (2005) Vol.14: 100-114. Available at: https://doi.org/10.1051/proc:2005009
- Julien Guyon, “Volatilite stochastique: etude d’un modele ergodique.” (November 2002). Available at: http://perso-math.univ-mlv.fr/users/printems.jacques/fouque2jc.pdf
- Julien Guyon, “Pratique de l’extrapolation dans les schemas de discretization des equations di erentielles stochastiques.” Available at: http://mas2008.univ-rennes1.fr/download/papers/guyon2.pdf
- Julien Guyon and Pierre Henry-Labordere, Nonlinear Option Pricing. Chapman and Hall/CRC (2013). ISBN: 9781466570337
- Julien Guyon, "Probabilistic Modeling in Finance and Biology: Limit Theorems and Applications," LAP Lambert Academic Publishing (October 27, 2009)
Alireza Javaheri is the Global Head of Equity Derivatives Quantitative Research at Credit Suisse. He has been working since 1994 in the field of derivatives quantitative analysis in various investment banks including J.P. Morgan, Goldman Sachs and Citigroup. He holds an M.Sc. in Electrical Engineering from Massachusetts Institute of Technology and a Ph.D. in Finance from Ecole des Mines de Paris. He is also a CFA charter holder. He has authored several quantitative finance papers on the subject of volatility, including articles with Peter Carr, Paul Wilmott and Espen Haug. His book "Inside Volatility Arbitrage" was elected the quantitative finance book of the year by Wilmott magazine.
- Alireza Javaheri and Peter Carr, “The Forward PDE for European Options on Stocks with Fixed Fractional Jumps.” International Journal of Theoretical and Applied Finance (March 2005) Vol. 8, Issue 2. Available at: https://doi.org/10.1142/S0219024905002974
- Alireza Javaheri, “Chapter 25: Inference and Stochastic Volatility” in The Best of Wilmott (2005). ISBN-13: 978-0470017388
- Alireza Javaheri, “Volatility Estimation via Chaos Expansions.” Wilmott Magazine (2005) Issue 14: 78-81.
- Alireza Javaheri and et. al, “GARCH and Volatility Swaps.” Quantitative Finance (2004) Vol. 4, Issue 5: 589-595. Available at: https://doi.org/10.1080/14697680400008700
- Alireza Javaheri, “Going Beyond the LIBOR Model.” Quantitative Finance (2004) Vol. 4, Issue 3: 34. DOI: 10.1088/1469-7688/4/3/R01
- Alireza Javaheri, “The Volatility Process: A Study of Stock Market Dynamics via Parametric Stochastic Volatility Models and a Comparison to the Information Embedded in the Option Price.” Humanities and Social Sciences – Ecole Nationale Superieure des Mines de Paris (2004). Available at: https://pastel.archives-ouvertes.fr/pastel-00003319/
- Alireza Javaheri, Inside Volatility Filtering: Secrets of the Skew. Wiley Finance, 2nd Edition (2015) ISBN-13: 978-1118943977
Bob received his Ph.D. from Princeton University in 1979. His research interests include materials science, nonlinear partial differential equations, inverse problems and optimization as well as finance.
- Robert Kohn and Ethan O’Brien, “On the Bending and Twisting of Rods with Misfit.” Journal of Elasticity (January 2018) Vol.130, Issue 1: 115-143.
- Robert Kohn and Peter Bella, “Coarsening of Folds in Hanging Drapes.” Communications on Pure and Applied Mathematics (May 2017) Vol. 70, Issue 5: 978-1021.
- Robert Kohn and Peter Bella, “Wrinkling of a Thin Circular Sheet Bonded to a Spherical Substrate.” Philosophical Transactions of the Royal Society A (May 2017) Vol.375, Issue 2093: 20160157. DOI: 10.1098/rsta.2016.0157
- Robert Kohn and Benedikt Wirth, “Optimal Fine-Scale Structures in Compliance Minimization for a Shear Load.” Communications on Pure and Applied Mathematics (August 2016) Vol.69, Issue 8: 1572-1610.
- Robert Kohn and Jacob Bedrossian, “Blister Patterns and Energy Minimization in Compressed Thin Films on Compliant Substrates.” Communications on Pure and Applied Mathematics (March 2015) Vol. 68, Issue 3: 472-510.
- Robert Kohn and Peter Bella, “Metric-Induced Wrinkling of a Thin Elastic Sheet.” Journal of Nonlinear Science (December 2014) Vol.24, Issue 6: 1147-1176.
- Robert Kohn and Peter Bella, “Wrinkles as the Result of Compressive Stresses in an Annular Thin Film.” Communications on Pure and Applied Mathematics (May 2014) Vol.67, Issue 5: 693-747.
- Robert Kohn and et al., “A Variational Perspective on Cloaking by Anomalous Localized Resonance.” Communications in mathematical Physics (May 2014) Vol.328, Issue 1: 1-27.
- Robert Kohn and et. al., “Energy Scaling Laws for Conically Constrained Thin Elastic Sheets.” Journal of Elasticity (October 2013) Vol.113, Issue 2: 251-264.
- Robert Kohn, Felix Otto and Hans Knüpfer, “Nucleation Barriers for the Cubic-to-Tetragonal Phase Transformation.” Communications on Pure and Applied Mathematics (June 2013) Vol.66, Issue 6: 867-904.
- Robert Kohn and et. al., “Homogenization and Effective Moduli of Materials and Media.” Springer Science & Business Media (December 2012) Volume 1.
- Robert Kohn and Andrej Cherkaev, “Topics in the Mathematical Modelling of Composite Materials.” Springer Science & Business Media (December 2012) Volume 31.
- Robert Kohn and et.al., “The Evolution of a Crystal Surface: Analysis of a One-Dimensional Step Train Connecting Two Facets in the ADL Regime.” Physica D: Nonlinear Phenomena (October 2011) Vol.240, Issue 21: 1771 – 1784.
- Robert Kohn, Maria Cameron and Eric Vanden-Eijnden, “The String Method as a Dynamical System.” Journal of Nonlinear Science (April 2011) Vol. 21, Issue 2: 193-230.
- Robert Kohn and etl.al., “Cloaking via Change of Variables for the Helmholtz Equation.” Communications on Pure and Applied Mathematics (August 2010) Vol. 63, Issue 8: 973-1016.
- Robert Kohn and Sylvia Serfaty, “A Deterministic-Control-based Approach to Fully Nonlinear Parabolic and Elliptic Equations.” Communications on Pure and Applied Mathematics (2010) Vol.63, issue 10: 1298-1350.
- Robert Kohn, Haiping Shen, Michael Vogelius, and M.I. Weinstein, “Cloaking via Change of Variables in Electric Impedance Tomography.” Inverse Problems (January 2008) Vol.24, Issue 1: 1-21.
- Robert Kohn, Giuseppe Buttazzo, and et al., “Progress in Nonlinear Differential Equations and their Applications.” (July 1, 2005) Vol. 65. Available at: https://goo.gl/wWuAyr
- Robert Kohn and Kaushik Bhattacharya, “Symmetry, Texture and the Recoverable Strain of Shape-Memory Polycrystals.” Acta Materialia (February 1996) Vol. 44, Issue 2: 529-542.
- Robert Kohn and Stefan Müller, “Surface Energy and Microstructure in Coherent Phase Transitions.” Communications on Pure and Applied Mathematics (April 1994) Vol.47, Issue 4: 405-435.
- Robert Kohn and G. Allaire, “Optimal Design for Minimum Weight and Compliance in Plane Stress.” European Journal of Mechanics, A/Solids (1993) Vol.12: 839-878.
- Robert Kohn and Stefan Müller, “Branching of Twins Near an Austenite – Twinned-Martensite Interface.” Philosophical Magazine A (November 1992) Vol. 66, Issue 5: 697-715.
- Robert Kohn, “The Relaxation of a Double-Well Energy.” Continuum Mechanics and Thermodynamics (September 1991) Vol.3, Issue 3: 193-236.
- Robert Kohn and Lia Bronsard, “Motion by mean Curvature as the Singular Limit of Ginzburg-landau Dynamics.” Journal of Differential Equations (1991) Vol. 90:211-237.
- Robert Kohn and Yoshikazu Giga, “Nondegeneracy of Blowup for Semilinear Heat Equations.” Communications on Pure and Applied Mathematics (September 1989) Vol. 42, Issue 6: 845-884.
- Robert Kohn and Peter Sternberg, “Local Minimisers and Singular Perturbations.” Proceedings of the Royal Society of Edinburgh Section A: Mathematics (January 1989) Vol. 111, Issue 1/2: 69-84.
- Robert Kohn and Graeme Milton, “Variational Bounds on the Effective Moduli of Anisotropic Composites.” Journal of the Mechanics and Physics of Solids (January 1988) Vol.36, Issue 6: 597-629.
- Robert Kohn and Michael Vogelius, “Relaxation of a Variational Method for Impedance Computed Tomography.” Communications on Pure and Applied Mathematics (November 1987) Vol.40, Issue 6: 745-777.
- Robert Kohn and Yoshikazu Giga, “Charactering Blowup Using Similarity Variables.” Indiana University Mathematics Journal (April 1987) Vol.36, Issue 1: 1-40.
- Robert Kohn and Gilbert Strang, “Optimal Design and Relaxation of Variational Problems, I.” Communications on Pure and Applied Mathematics (January 1986) Vol.39, Issue 1: 113-137.
- Robert Kohn and Michael Vogelius, “Determing Conductivity by Boundary Measurements, II.” Communications on Pure and Applied Mathematics (September 1985) Vol. 38, Issue 5: 643-667.
- Robert Kohn and Yoshikazu Giga, “Asymptotically Self-Similar Blow-Up of Semilinear Heat Equations.” Communications on Pure and Applied Mathematics (May 1985) Vol.38, Issue 3: 297-319.
- Robert Kohn and Michael Vogelius, “Determining Conductivity by Boundary Measurements.” Communications on Pure and Applied Mathematics (May 1984) Vol. 37, Issue 3: 289-298.
- Robert Kohn and Michael Vogelius, “A New Model for Thin Plates with Rapidly Varying Thickness.” International Journal of Solids and Structures (January 1984) Vol. 20, Issue 4: 333-350.
- Robert Kohn, Luis Caffarelli and Louis Nirenberg, “First Order Interpolation Inequalities with Weights.” Composito Mathematica (1984) Vol. 53, Issue 3: 259-275.
- Robert Kohn, Luis Caffarelli and Louis Nirenberg, “Partial Regularity of Suitable Weak Solutions of the Navier-Stokes Equations.” Communications on Pure and Applied Mathematics (November 1982) Vol. 35, Issue 6: 771-831. DOI: 10.1002/cpa.3160350604
Petter's research interests include quantitative trading strategies, delegated portfolio management, financial econometrics, risk management, and optimal portfolio strategies. He is a member of the editorial board of the Journal of Portfolio Management. Previously, Petter worked in the Quantitative Strategies Group at Goldman Sachs Asset Management where his responsibilities included researching and developing new quantitative investment strategies for the group's hedge fund. Petter coauthored the books Financial Modeling of the Equity Market: From CAPM to Cointegration (Wiley, 2006), Trends in Quantitative Finance (CFA Research Institute, 2006), and Robust Portfolio Management and Optimization (Wiley, 2007). He holds a doctorate in mathematics from Yale University, an M.Phil. in applied mathematics from the Royal Institute of Technology in Stockholm, and an M.S. in mathematics from ETH Zurich.
- Petter Kolm and Sarkis Agaian, “Financial Sentiment Analysis Using machine Learning Techniques.” International Journal of Investment management and Financial Innovations (November 1, 2017) Vol. 3, Issue 1: 1-19.
- Petter Kolm and Gordon Ritter, “On the Bayesian Interpretation of Black-Litterman.” European Journal of Operational Research (April 2017) Vol. 258, Issue 2: 564-572. Available at: https://ssrn.com/abstract=2853158
- Petter Kolm and Gordon Ritter, “Multiperiod Portfolio Selection and Bayesian Dynamic Models.” Risk magazine (March 2015) Vol. 28, Issue 3: 50-54. https://ssrn.com/abstract=2472768
- Petter Kolm, Reha Tutuncu, and Frank Fabozzi, “60 years of Portfolio Optimization: Practical Challenges and Current Trends.” European Journal of Operational Research (April 2014) Vol.234, Issue 2: 356-371. Available at: https://doi.org/10.1016/j.ejor.2013.10.060
- Petter Kolm, “How Do Principal-Agent Effects in Delegated Portfolio Management Affect Asset Prices?” Journal of Mathematical Finance (2013) Vol. 3: 407-415. DOI:10.4236/jmf.2013.34042
- Petter Kol, Frank Fabozzi, and Sergio Focardi, “Bayesian Techniques and the Black-Litterman Model.” in Encyclopedia of Financial Models (December 2012). DOI: 10.1002/9781118182635.efm0015
- Petter Kolm and et. al., “Chapter 3: Mean-Variance Model for Portfolio Selection.” in Encyclopedia of Financial Models (December 2012). DOI: 10.1002/9781118182635.efm0003
- Petter Kolm, Joseph Cerniglia, and Frank Fabozzi, “Cross-Sectional Factor-Based Models and Trading Strategies.” in Encyclopedia of Financial Models (December 2012). DOI: 10.1002/9781118182635.efm0054
- Petter Kolm , Joseph Cerniglia, and Frank Fabozzi, “Factor-Based Equity Portfolio Construction and Analysis.” in Encyclopedia of Financial Models (December 2012). DOI: 10.1002/9781118182635.efm0053
- Petter Kolm, Sergio Focardi, and Frank Fabozzi, “Forecasting Stock Returns.” in Encyclopedia of Financial Models (December 2012). DOI: 10.1002/9781118182635.efm0049
- Petter Kolm, Sergio Focardi, and Frank Fabozzi, “Model Selection and Its Pitfalls.” in Encyclopedia of Financial Models (December 2012). DOI: 10.1002/9781118182635.efm0083
- Petter Kolm and Henry Tillman, “Chinese Outbound Investments into US (2004-2012).” (April 10, 2012). Available at: https://ssrn.com/abstract=2037732
- Petter Kolm, Ivailo Dimov, Lee Maclin, and Dan Shiber, “Hidden Noise Structure and Random Matrix Models of Stock Correlations.” Quantitative Finance (March 2012) Vol. 12, Issue 4: 567-572. Available at: https://doi.org/10.1080/14697688.2012.664931
- Petter Kolm and Lee Maclin, “Chapter 17: Algorithmic Trading, Optimal Execution, and Dynamic Portfolios.” in The Oxford Handbook of Quantitative Asset Management (2011). DOI: 10.1093/oxfordhb/9780199553433.013.0017
- Petter Kolm, Samantha Kleinberg, and Bud Mishra, “Investigating Causal Relationships in Stock Returns with Temporal Logic Based Methods.” (June 9, 2010). Available at: https://arxiv.org/abs/1006.1791
- Petter Kolm and Lee Maclin, “Algorithmic Trading” in Encyclopedia of Quantitative Finance (2010). DOI: 10.1002/9780470061602.eqf20007
- Petter Kolm and et. al., “Overview of Active Common Stock Portfolio Strategies.” in Handbook of Finance (September 2008). DOI: 10.1002/9780470404324.hof002024
- Petter Kolm and et. al., “Quantitative Investment Management: Today and Tomorrow.” in Handbook of Finance (September 2008). DOI: 10.1002/9780470404324.hof002005
- Petter Kolm and et.al., “Quantitative Modeling of Transaction and Trading Costs.” in Handbook of Finance (September 2008). DOI: 10.1002/9780470404324.hof002028
- Petter Kolm and et. al., “Robust Portfolio Optimization.” in Handbook of Finance (September 2008). DOI: 10.1002/9780470404324.hof003068
- Petter Kolm and et. al., “Robust Portfolio Optimization.” Journal of Portfolio Management (Spring 2007) Vol. 33, Issue 3: 4, 40-48. Available at: https://search.proquest.com/docview/195585297
- Petter Kolm, Sergio Focardi, and Frank Fabozzi, “A Simple Framework for Time Diversification.” The Journal of Investing (Spring 2006) Vol. 15, Issue 3: 8-17. Available at: https://doi.org/10.3905/joi.2006.650138
- Petter Kolm, Sergio Focardi, and Frank Fabozzi, “Incorporating Trading Strategies in the Black-Litterman Framework.” The Journal of Trading (Spring 2006) Vol. 1, Issue 2: 28-37. Available at: https://doi.org/10.3905/jot.2006.628192
- Petter Kolm, Sergio Focardi, and Frank Fabozzi, “New Kids on the Block: Trends in Quantitative Finance and their Impact on Investment Management.” The Journal of Portfolio Management (2004) Vol. 30, Issue 5: 42-54. Available at: http://www.hillsdaleinv.com/portal/uploads/New_Kids_on_the_Block,_Sergio_M._Focardi,_Petter_N._Kolm,_Frank_J._Fabozzi.pdf
- Frank J. Fabozzi, Sergio M Focardi, & Petter N. Kolm, "Quantitative Equity Investing Techniques And Strategies," Wiley (March, 1, 2010)
- Frank J. Fabozzi, Petter N. Kolm, Dessislava A. Pachamanova and Sergio M. Focardi, "Robust Portfolio Optimization and Management," John Wiley (2007)
- Frank J. Fabozzi, Sergio M. Focardi, & Petter N. Kolm, " Financial Modeling of the Equity Markets: From CAPM to Cointegration," John Wiley (2006)
- Frank J. Fabozzi, Sergio M. Focardi, & Petter N. Kolm, " Trends in Quantitative Finance," CFA Research Foundation Publication (May 2006)
Alexey is a senior quant at Citigroup Emerging Markets Fixed Income unit where his team is responsible for analytics used by the LATAM part of the business. Alexey's expertise lies in the areas of derivative pricing, portfolio risk management and CVA calculation. Prior to joining Citigroup in 2015 Alexey held various roles at JPMorgan Quant Research team. He holds a Ph.D. in Probability Theory from NYU Courant and an MS in Applied Math from Moscow Institute of Physics and Technology.
- Alexey Kuptsov and Gerard Ben Arous, “REM Universality for Random Hamiltonians.” Spin Glasses: Statistics and Dynamics (2009): 45-84. Available at: https://doi.org/10.1007/978-3-7643-9891-0_2.
- Alexey Kuptsov, “Universality of Random Hamiltonians.” New York University, Dissertation (May 2008). Available at: http://proxy.library.nyu.edu/login?url=https://search.proquest.com/docview/304533104?accountid=12768
- Alexey Kuptsov, Gerard Ben Arous, and Veronique Gayrard, “A New REM Conjecture.” In and Out of Equilibrium 2 (2008): 59-96. Available at: https://doi.org/10.1007/978-3-7643-8786-0_4
David Li received his bachelor's degree in Mathematics from Pomona College and continued his graduate studies at Stanford University. In 2004, he received his Ph.D. degree in Mathematics before starting his career in finance with Credit Suisse. He subsequently moved to Citigroup in 2005. Throughout his career, David has worked on different areas of interest rate analytics, including yield curves, volatility skew and smile, term structure models and automated market making. Currently David is a Managing Director and Global Head of Rates Quantitative Analysis at Citigroup Global Markets.
- David Linnan Li and Shahriar Shahriari, Games of Chains and Cutsets in the Boolean lattice II, Order 18(3): 247 – 267 (2001).
- Erica Flapan and David Linnan Li, Asymmetric Two-colourings of Graphs in S3, Mathematical Proceedings of the Cambridge Philosophical Society, 132: 267 – 280 (2002).
- David Linnan Li, The Green’s Function of the Navier-Stokes Equations for Gas Dynamics in R3, Communications in Mathematical Physics, Vol 257: 579 – 619 (2005).
Yadong Li is currently the head of Cross Product modeling team in Quantitative Analytics of Barclays. Previously he held leadership roles in various areas of quantitative modeling in Lehman and Barclays, including Credit Correlation, Emerging Market Credit, Basel 2.5 Market Risk and Basel 3 Counterparty Exposure Risk etc. His current research interests are in XVA, risk and regulatory capital, capital allocation and optimization etc. Yadong held a Ph.D. in Physics and a MS in Computer Sciences from Wisconsin-Madison, and a Master in Financial Engineering degree from UC-Berkeley.
Bryan Liang is a Senior Quant Researcher, Bloomberg LP. Bryan Liang joined the Bloomberg quant research team in 2011. He has been working extensively on various aspects of derivatives modelling, including pricing, hedging, risk management, structuring, market making, trading strategies and parallel computing. One of particular themes of his recent work is the proper use of derivatives, an effort trying to bring derivatives back to their initial economic purposes and aiming to align product to problem. Before joining Bloomberg, He worked for derivatives analysis group at Goldman Sachs, covering interest rate derivatives modelling. Bryan received his Ph.D. in mathematics from University of Michigan and taught math at Northwestern University and UC Davis before he moved to finance.
Wujiang Lou is a director trader with HSBC‘s global fixed income, currently specializing in structured repo and HY credit trading. Lou joined HSBC in 2006 as a lead quant from Morgan Stanley’s structured credit trading unit and has since moved to the trading side. He headed the US structured finance trading of the global structured credit products during the financial crisis until the legacy business was substantially unwound. Having painstakingly managed large short term funding books during the crisis, Lou is among the first to recognize asymmetric funding cost into derivatives pricing and funding valuation adjustment (FVA). Leveraging his frontline experience of managing counterparty risk, funding and capital, Lou has conducted independent research on derivatives pricing under funding, margin, collateral and capital costs, and has published multiple technical articles in Risk magazine covering credit, funding, margin, and capital valuation adjustments -- CVA, FVA, MVA, and KVA. His other research interests cover structured products, asset-backed security valuation, and repo pricing.
Lou is a "rocket scientist" by training, holding a Ph.D. in aircraft design from Nanjing University of Aeronautics and Astronautics with publications in aerodynamics, and later studied light scattering and combustion physics at Louisiana State University.
Lee has over twenty years of experience on Wall Street and has worked and consulted for some of its largest and best known firms. Since 1991, Lee has worked primarily in the trading and investment management fields, specializing in the application of statistical methods, modeling, and high frequency simulation. From 1993 to 1997, Lee ran a quantitative trading department for Mint Investment Management, which, at the time, was one of the largest commodity trading advisors in the world. In 2002, Lee was one of the founding partners of Pragma Financial Systems and, for the next six years, served as its Director of Research. At Pragma, Lee's work focused on the development of optimal execution and dynamic portfolio management tools. He is a frequent speaker on the topic of algorithmic trading and computational finance.
- Lee Maclin, Petter Kolm, Ivailo Dimov and Dan Shiber, “Hidden Noise Structure and Random Matrix Models of Stock Correlations”. Quantitative Finance (2012) Vol. 12, Issue 4: 567-572. Available at: https://doi.org/10.1080/14697688.2012.664931
- Lee Maclin and Petter Kolm, “Algorithmic Trading, Optimal Execution, and Dynamic Portfolios.” in The Oxford Handbook of Quantitative Asset Management (December 2011). DOI: 10.1093/oxfordhb/9780199553433.013.0017
- Lee Maclin and Petter Kolm, “Algorithmic Trading.” in Encyclopedia of Quantitative Finance (2010). DOI: 10.1002/9780470061602.eqf20007
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 has jointly authored the book "Interest Rate Models: Theory and Practice"and published extensively in books and international journals, including 19 cutting-edge articles in Risk Magazine. Fabio holds a B.S. in Applied Mathematics from the University of Padua, Italy, and a Ph.D. in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.
- Fabio Mercurio, “The Present of Futures: Valuing Eurodollar-Futures Convexity Adjustments in a Multi-Curve World.” (June 19, 2017). Available at: https://ssrn.com/abstract=2987832
- Fabio Mercurio and Minquang Li, “The Basis Goes Stochastic: A Jump-Diffusion Model for Financial Risk Application.” (August 26, 2016) Available at: https://ssrn.com/abstract=2827769
- Fabio Mercurio and Minqiang Li, “Jumping with Default: wrong-Way-Risk Modeling for Credit Valuation Adjustment.” (August 23, 2016). Available at: https://ssrn.com/abstract=2605648
- Fabio Mercurio and Minqiang Li, “Analytic Approximation of Finite-Maturity Timer Option Prices.” The Journal of Futures Markets (March 2015) Vol. 35, Issue 3: 245-273. DOI: 10.1002/fut.21659
- Fabio Mercurio and Minqiang Li, “Closed-Form Approximation of Perpetual Timer Option Prices.” International Journal of Theoretical and Applied Finance (June 2014) Vol. 17, Issue 4. Available at: https://doi.org/10.1142/S0219024914500265
- Fabio Mercurio, “Bergman, Piterbarg and beyond: Pricing Derivatives under Collateralization and Differential Rates.” (December 18, 2013). Available at: https://ssrn.com/abstract=2326581
- Fabio Mercurio and Zhenqiu Xie, “The Basis Goes Stochastic.” Risk Magazine (December 2012) Vol. 25, Issue 12: 78-83.
- Fabio Mercurio, “Interest Rates and the Credit Crunch: New Formulas and market Models.” (May 2010) Available at: https://ssrn.com/abstract=1332205
- Fabio Mercurio, “Modern LIBOR Market Models: Using Different Curves for Projecting Rates and for Discounting.” International Journal of Theoretical and Applied Finance (2010) Vol. 13, Issue 01. Available at: https://doi.org/10.1142/S021902491000570X
- Fabio Mercurio and D. Brigo, “Analytical Pricing of the Smile in a Forward LIBOR Market Model.” Quantitative Finance (2010) Vol. 3, Issue 1: 15-27. Available at: https://doi.org/10.1080/713666156
- Fabio Mercurio, “LIBOR Market Models with Stochastic Basis.” Bloomberg Education and Quantitative Research Paper No. 2010-05-FRONTIERS (June 2010). Available at: https://ssrn.com/abstract=1563685
- Fabio Mercurio and N. Moreni, “Inflation modelling with SABR dynamics”. Risk Magazine (June 2009): 106-111.
- Fabio Mercurio and M. Morini, "Joining the SABR and Libor models together”. Risk Magazine (March 2009): 80-85.
- Fabio Mercurio , "Cash-settled swaptions and no-arbitrage". Risk Magazine (February 2008): 96-98.
- Fabio Mercurio and A. Castagna, "The Vanna-Volga Method for Implied Volatilities", Risk Magazine (January 2007): 106-111.
- Fabio Mercurio, F. Rapisarda, and D. Brigo, "Parameterizing correlations: a geometric interpretation", IMA Journal of Management Mathematics (2006) DOI:10.1093/imaman/dpl010
- Fabio Mercurio and A. Pallavicini, "Smiling at convexity: bridging swaption skews and CMS adjustments", Risk Magazine (August 2006): 64-69.
- Fabio Mercurio and N. Moreni, "Inflation with a smile", Risk Magazine (March 2006) Vol. 19, Issue 3: 70-75.
- Fabio Mercurio L. Bisesti, and A. Castagna, "Consistent Pricing and Hedging of an FX Options Book", Kyoto Economic Review (2005) Vol.74, No.1: 65-83.
- Fabio Mercurio, "Pricing Inflation-Indexed Derivatives", Quantitative Finance (2005) Vol.5. Issue 3: 289-302.
- Fabio Mercurio, D. Brigo, and M. Morini, "The LIBOR Model Dynamics: Approximations, Calibration and Diagnostics", European Journal of Operational Research (2005) Vol.163: 30-51.
- Fabio Mercurio, D. Brigo, and F. Rapisarda, "Smile at the Uncertainty", Risk Magazine (May 2004), Vol. 17, Issue 5: 97-101.
- Fabio Mercurio, D. Brigo, F. Rapisarda and R. Scotti, "Approximated Moment-Matching Dynamics for Basket-Options Pricing", Quantitative Finance (2004) Vol.4: 1-16.
- Fabio Mercurio, D. Brigo, and G. Sartorelli, "Alternative asset-price dynamics and volatility smile", Quantitative Finance (2003) Vol.3, Issue 3: 173-183.
- Fabio Mercurio and D. Brigo, "Analytical Pricing of the Smile in a Forward LIBOR Market Model", Quantitative Finance (2003) Vol. 3, Issue 1: 15-27.
- Fabio Mercurio and D. Brigo, "Lognormal-Mixture Dynamics and Calibration to Market Volatility Smiles", International Journal of Theoretical & Applied Finance (2002) Vol.5, Issue 4: 427-446.
- Fabio Mercurio and D. Brigo, "Joint Calibration of the LIBOR Market Model to Caps and Swaptions Volatilities", Risk Magazine (January 2002): 117-121.
- Fabio Mercurio and D. Brigo, "A Deterministic-Shift Extension of Analytically-Tractable and Time-Homogeneous Short-Rate Models", Finance and Stochastics (2001) Vol.5, Issue 3: 369-387.
- Fabio Mercurio and J. Moraleda, "A Family of Humped Volatility Models", The European Journal of Finance (2001) Vol. 7: 93-116.
- Fabio Mercurio, "Claim Pricing and Hedging under Market Incompleteness and Mean-Variance Preferences", European Journal of Operational Research (2001) Vol.133, Issue 3: 181-198.
- Fabio Mercurio and D. Brigo, "A Mixed-up Smile", Risk Magazine (September 2001) Vol. 13, Issue 9: 123-126.
- Fabio Mercurio, D. Brigo and G. Mauri, “Lognormal-Mixture Dynamics and Calibration to Volatility Smiles and Skews.” EFA 2001 Barcelona Meetings (July 2001). Available at: https://ssrn.com/abstract=276204
- Fabio Mercurio and D. Brigo, "Option Pricing Impact of Alternative Continuous Time Dynamics for Discretely Observed Stock Prices", Finance and Stochastics (2000) Vol.4, Issue 2: 147-160.
- Fabio Mercurio and J. Moraleda, "An Analytically Tractable Interest Rate Model with Humped Volatility", European Journal of Operational Research (2000) Vol.120, Issue 1: 205-214.
- Fabio Mercurio and D. Brigo, "Correction: Is Ito calculus oversold?" Risk Magazine (April 1999) Vol. 12, Issue 4: 67.
- Fabio Mercurio and A.C.F. Vorst, "Option Pricing with Hedging at Fixed Trading Dates", Applied Mathematical Finance (1996) Vol.3: 135-158.
- Fabio Mercurio and W.J. Runggaldier, "Option Pricing for Jump-Diffusion: Approximations and Their Interpretation", Mathematical Finance (1993) Vol.3: 191-200.
- Fabio Mercurio, "Modelling Interest Rates," Risk Books (May 31, 2009)
- Damiano Brigo & Fabio Mercurio, "Interest Rate Models - Theorgy and Practice: With Smile, Inflation and Credit," Springer, 2nd edition (August 2, 2006)
Robert is a Portfolio Manager for Millennium Partners, a multistrategy hedge fund, where he develops and trades various quantitative equity strategies. Prior to that, he was Vice President at J.P. Morgan in the Foreign Exchange Options group (1994-1997) and the Proprietary Trading group (1997-2000). He holds a Ph.D. in Finance from the Wharton School and a BS and MS in Systems Engineering from the University of Pennsylvania.
Gordon Ritter completed his Ph.D. in mathematical physics at Harvard University in 2007, where he published in top international journals across the fields of quantum computation, quantum field theory, and abstract algebra. Prior to that he earned an Honors BA in Mathematics from the University of Chicago, completing many graduate math and physics courses while still an undergraduate. Gordon is currently CEO and owner of the quantitative-trading firm Ritter Alpha LP that he founded in 2019, where he leads an elite team trading a broad range of market-neutral absolute return strategies across geographies and asset classes. The current team includes Math Olympiad gold medalists, and alumni of DE Shaw. He was honored as Risk Buy-Side Quant of the Year in 2019. Formerly, Gordon founded the New York office of GSA Capital and was responsible for directing all research in GSA's New York office. GSA has won the Equity Market Neutral & Quantitative Strategies category at the Eurohedge awards four times, with numerous other awards. Prior to joining GSA, Gordon was a Vice President of Highbridge Capital Management and a core member of the Statistical Arbitrage Group. Concurrently with his positions in industry, Gordon teaches at three of the nation's leading MFE programs, including Baruch College and NYU (both ranked in the top 5 MFE programs). A frequent collaborator of Petter Kolm, Gordon has published several articles on portfolio optimization and machine learning in Risk, European Journal of Operations Research, and Journal of Financial Data Science, and is often invited to speak at the top industry conferences.
Dr. Amir Sadr received his Ph.D. in 1990 from Cornell University with thesis work on the Foundations of Probability Theory. After working at AT&T Bell Laboratories until 1993, he started his Wall Street career at Morgan Stanley, initially as a Vice President in Quantitative Modeling and development of exotic interest rate models, and later on as an exotics trader in Derivative Product Group. He founded Panalytix, Inc. in 1997 to develop financial software for pricing and risk management of interest-rate derivatives. In 2001, he joined Greenwich Capital as a Managing Director for proprietary trading. He joined HSBC in 2005 as Senior Trader in charge of CAD exotics and USD inflation trading. In 2008, he was the COO of Brevan Howard US Asset Management in Connecticut. In 2009, he co-founded Yield Curve Trading, LLC, a fixed-income proprietary trading firm and served as its COO. He founded Panalytix Solutions in 2017, a boutique consulting firm providing services to hedge funds, family offices, and broker dealers and litigation support services to law firms.
He is the author of the 2009 Wiley book, Interest Rate Swaps and their Derivatives, and a co-author of 2017 Wiley book, The Capital Markets: Evolution of the Financial Ecosystem. He is working on his new book, An Introduction to Mathematics of Finance to be published in 2020.
- Amir Sadr, “Chapter 4: Cash Bonds and Futures.” in The Capital Markets: Evolution of the Financial Ecosystem (2017). DOI: 10.1002/9781119220589.ch4
- Amir Sadr, “Chapter 29: Interest Swaps.” in The Capital Markets: Evolution of the Financial Ecosystem (2017). DOI: 10.1002/9781119220589.ch29
- Amir Sadr, “Chapter 30: Interest Rate Options.” in The Capital Markets: Evolution of the Financial Ecosystem (2017). DOI: 10.1002/9781119220589.ch30
- Amir Sadr, "Interest Rate Swaps and Their Derivatives: A Practitioner's Guide," John Wiley & Sons (September 1, 2009)
Rodney Sunada-Wong is the Chief Risk Officer for Celsius Network, and teaches a grad-level course in Corporate Finance at Columbia University’s IEOR school, and in Modeling Bonds and Securitized Products at NYU’s Courant Institute.
Previously, he was the CRO of Morgan Stanley’s Broker Dealer and Swap Dealers. Prior to that he oversaw market risk for the deposit-taking banks, and the Wealth Management and Global Treasury divisions, and before that, for Merrill Lynch’s deposit-taking banks. Mr. Sunada-Wong began his risk management career at Commodities Corporation (Goldman Sachs Hedge Fund Strategies) and at Bankers Trust. He received his MBA in Finance from Cornell University’s Johnson Graduate School of Management, and his AB from Harvard College.
Leon Tatevossian was a director in Group Risk Management at RBC Capital Markets, LLC from 2009 to 2016, focusing on market risk for securitized products in secondary-trading, origination, and proprietary-trading areas. Leon has twenty-nine years of experience in the fixed-income capital markets (positions as trader, quantitative strategist, derivatives modeler, and market-risk analyst). His product background includes US Treasury securities, US agency securities, interest-rate derivatives, MBSs/ABSs, and credit derivatives. In 2006-07, he was a principal/senior trader in the MBS/ABS principal-investment group at Banc of America Securities. Leon graduated from MIT (SB; mathematics); he was a graduate student in mathematics (algebraic number theory) at Brown University. He is also an adjunct professor in Finance and Risk Engineering at NYU Tandon.
Kenneth Winston is a Lecturer in Economics at the California Institute of Technology. He served as Chief Risk Officer at Western Asset Management in Pasadena, CA, where he led the group managing quantitative risk. He led the development of the WISER risk management system, as well as machine learning techniques for portfolio management and alpha signaling.
Previously he was Chief Risk Officer at Morgan Stanley Investment Management in New York, NY. He was a Senior Investment Officer at OppenheimerFunds in New York and a Principal at Richards & Tierney in Chicago, IL.
He has a PhD in Pure Mathematics (Combinatorics) from M.I.T., and a BS and MS in Mathematics from the California Institute of Technology. He is a board member of the Institute for Quantitative Research in Finance and co-chair of its Research Committee. He is an honorary board member and past president of the Society of Quantitative Analysts in New York and a founder of the Buy Side Risk Manger’s Forum of the Global Association of Risk Professionals.
- The Oxford Handbook of Quantitative Asset Management (co-editor with Bernd Scherer) (Oxford University Press, 2012). “Long/Short Investing with Barriers,” New York University Working Paper Series, with Thomas Hewett, 2008
- “Buy Side Risk Management,” Presented to the Institute for Quantitative Research in Finance, Spring 2006. Winner of the Roger Murray Prize. “Performance Measurement Manipulation,” Journal of Portfolio Management, Spring 2005.
- "Investment Policy Implications of Currency Hedging" (with Jeffrey Bailey), Journal of Portfolio Management, Summer 1996.
- "The 'Efficient Index' and Prediction of Portfolio Variance," Journal of Portfolio Management, Spring 1993.
- "Using generic benchmarks to present manager styles," (with David Tierney) Journal of Portfolio Management, Summer 1991.
- "Defining and Using Dynamic Completeness Funds to Enhance Total Fund Efficiency," (with David Tierney) Financial Analysts Journal, July/August 1990.
- “On the Asymptotic Number of Tournament Score Sequences,” (with Daniel Kleitman), Journal of Combinatorial Theory, Ser. A. 35(2): 208-230 (1983).