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Presenters

Carlo Acerbi, Abaxbank

Carlo Acerbi took a PhD in theoretical Physics at International School for Advanced Studies (ISAS-SISSA), Trieste in 1997.  Since then he switched to finance, working as a risk manager for an investment bank (Caboto – Intesa Group). He leads a team of financial engineers in Abaxbank since year 2000, focusing on derivatives pricing (equity in particular). His core research activity is in the field of risk theory. Main themes are a) filling the gap between coherent measures of risk and risk management practice and b) a coherent extension of risk theory to encompass liquidity risk.

Art Asriev, Bear Stearns

Art Asriev has PhD in Applied Math from Moscow University, Moscow, Russia. Currently works at Bear Stearns as a Senior Managing Director, Head of Equity Quantitative Research group. Prior to that (until 2004) he worked as a Manager of Financial Engineering at Investment Technology Group, Inc. Area of expertise includes transaction cost and risk models, market microstructure, algorithms for automated trading strategies, smart order routing and automated market making.

Les Balzer, Professor of Finance, Australian School of Business, University of NSW and Head of Research, HFA Asset Management

Les Balzer holds a PhD in Control Engineering & Management Systems from the University of Cambridge. He wrote a major chapter in Managing Downside Risk in Financial Markets: Theory, Practice & Implementation and received the David Garrick Halmstad Memorial Award from the American Actuarial Research Foundation for best research paper and Paper of the Year from Journal of Investing, NY, for a paper on investment risk. Les is Professor of Finance at University of NSW and Head of Research for HFA Asset Management ($9 billion absolute return manager). He was Principal and Senior Portfolio Manager at State Street Global Advisors, Investment Manager at MLC, managing $3.5 billion, Principal of Mercer, Head of Quantitative Research at Pring Dean, stockbrokers, Dean of Engineering at RMIT University and a director of several public companies, including a subsidiary of Australian Securities Exchange.

John Beasley, CARISMA

John Beasley is Deputy Director of CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications) Brunel University.  Professor Beasley has extensive research experience in quantitative (mathematical) decision making, both for financial and other decisions.  He holds degrees from Cambridge University and Imperial College, and a Doctor of Science from the University of London. He has published approximately 65 papers in the academic literature.

Dan Bienstock, Columbia University

Daniel Bienstock is a professor of Operations Research at Columbia University, New York, where he has been since 1991.  He received the PhD in Operations Research from MIT in 1985.
Professor Bienstock’s research focuses on theory and applications of optimization, with special emphasis on high-performance computational implementations.  His recent work has concentrated on methodologies and experiments with robust optimization, in particular in the context of financial applications.
He is the author of over fifty publications, and one book, “Potential function methods for approximately solving linear programs” (Springer, 2000).

Nicos Christofides, Centre for Quantitative Finance, Imperial College

 

Robert S Clarkson, Visiting Professor of Actuarial Science at Cass Business School

Robert Clarkson qualified as a Fellow of the Faculty of Actuaries in 1970 and then followed a   career in investment management at Scottish Mutual Assurance, latterly as General Manager - Investment. From insights derived from his practical investment experience he has highlighted various shortcomings of financial economics as a scientific framework for prudent financial management. He has also developed a new downside theory of financial risk and has unified this theoretical framework with some of the important lessons of behavioural finance to derive a practical `investment of the third kind` approach to equity share selection. He is currently a Visiting Professor of Actuarial Science at Cass Business School, London

Kevin Dowd, Professor of Financial Risk Management, Nottingham University Business School

 

M A H Dempster, Professor Emeritus, Centre for Financial Research, Statistical Laboratory, University of Cambridge & Cambridge Systems Associates Limited

Michael Dempster has taught and researched in leading universities on both sides of the Atlantic and is currently Editor-in-Chief of Quantitative Finance.  He has been consultant to a number of global financial institutions and is regularly involved in executive education in financial engineering and risk management around the world.  Author of over 100 published research articles; his recent books include Stochastic Programming, Derivative Securities (with S R Pliska) and Risk Management: Value at Risk and Beyond.  He is currently Managing Director of Cambridge Systems Associates Limited, a financial consultancy and software company.

Dan Di Bartolomeo, Northfield Information Services Inc/Visiting Professor, CARISMA

Dan diBartolomeo is President and founder of Northfield Information Services, Inc. He serves on the boards of the Chicago Quantitative Alliance, Woodbury College, and the American Computer Foundation, and the Boston Committee on Foreign Relations. He is an active member of the Financial Management Association, QWAFAFEW, the Southern Finance Association and the International Association of Financial Engineers. He has published numerous articles and papers in a variety of journals, has contributed chapters to several finance textbooks, and recently finished his first book on investment management for high net-worth individuals, published by the CFA Research Foundation.

Chanaka Edirisinghe,  Professor & Director of the Financial Engineering Research Laboratory, University of Tennessee

Chanaka Edirisinghe is a professor of management science at the College of Business, University of Tennessee. He holds a BSc degree in Mechanical Engineering, M.Eng degree in Industrial Engineering and a PhD degree in Management Science from the University of British Columbia, Canada. His research interests are in stochastic programming approximations, with applications to multi-period financial planning, production/allocation problems, and health-care management. His research appears in prestigious journals such as Operations Research, Mathematics of Operations Research, Mathematical Programming, Annals of Operations Research, Journal of Financial and Quantitative Analysis. He also co-authored the special issue book "Research in Stochastic Programming". He is the past Vice-Chair (stochastic programming) of the Optimization Section of INFORMS, the Institute for Operations Research and the Management Sciences. Dr. Edirisinghe served as a consultant to the Frank Russell Company, Tacoma, WA, for developing and implementing large stochastic programming models for financial asset allocation. He is a consultant to Market Research Inc (MRI), Nassau, on developing models for futures and stock trading. He is the developer of two financial investment software systems: MiSOFT and SPSST, which are currently being integrated in to the financial decision support Systems at MRI. He teaches a broad audience of undergraduate and graduate PhD students, including the Professional MBA and the Taiwan Executive MBA programs. He is also a Stokely Scholar of the College of Business Administration.

Armando Gonzalez, RavenPack

 

Gerd Infanger, Stanford University & CEO of Infanger Investment Technology, LLC

Gerd Infanger has more than 25 years of experience in mathematical optimization and its applications in business. He is a recognized leader in the field of optimization under uncertainty, especially known for his development of theory, algorithms and software for solving large-scale stochastic programs, particularly with application to finance.
He is the founder and CEO of Infanger Investment Technology, LLC, a federally registered investment advisory firm with approximately $300 million in assets under management, specializing in quantitative equity portfolio and asset allocation management, and related software offerings.
Dr. Infanger is a Consulting Professor in the Department of Management Science and Engineering at Stanford University. He received a Ph.D. with honors from Vienna University of Technology and a Master of Science degree from Graz University of Technology.

Dilip B. Madan, Robert H. Smith School of Business, University of Maryland / Consultant to Morgan Stanley, & Visiting Professor, CARISMA

Ph.D. in Economics(1971), University of Maryland and Ph.D. in Mathematics (1975), University of Maryland.

Dilip Madan works on improving the quality of financial valuation models, enhancing the performance of investment strategies, and efficient risk allocation in modern economies. His current research deals with the theory of stochastic processes' applications to risk management in economic and financial spheres. Madan has published extensively in the field of financial engineering and innovation. He is an ex-president of the Bachelier Finance
Society, and Risk Awards “Quant of the Year 2008”.

Nigel Meade, Professor of Quantitative Finance at Imperial College London’s Tanaka Business School

Nigel Meade is a Professor of Quantitative Finance at Imperial College London’s Tanaka Business School. He is currently Deputy Director of the Centre for Quantitative Finance, a centre that specialises in quantitative modelling and runs a PhD programme whose students are sponsored by a wide range of financial institutions.

He is a member of COPIOR (Committee of Professors in Operational Research); was a Director of the International Institute of Forecasters (2002-2006); is a member of editorial board of the European Journal of Finance and an Associate Editor of the International Journal of Forecasting.

His research output includes around fifty publications in statistical modelling applied to finance, forecasting and innovation diffusion.

Gautam Mitra, Director of CARISMA, Centre for the Analysis of Risk and Optimization Modelling Applications, Brunel University; Chairman, OptiRisk Systems

Gautam Mitra is an internationally renowned research scientist in the field of operational research in general and computational optimization and modelling in particular.  He qualified as an Electrical Engineer from Jadavpur University, India and obtained a PhD from London University in computer methods in operational research.   He has developed a world-class research group in his area of specialization, with researchers from Europe, the UK and the USA.  He has published three books and over 100 refereed research articles.  He was Head of the Department of Mathematical Science at Brunel University between August 1990 and July 2001 and is currently director of the Centre for the Analysis of Risk and Optimization Modelling Applications: CARISMA.  Professor Mitra is also a Director of UNICOM Consultants (trading as OptiRisk Systems Ltd).  Many of the research results are exploited through this company. 

Bernd Scherer, Morgan Stanley, Birkbeck College

Bernd is Managing Director and global head of Quantitative GTAA. He joined Morgan Stanley in 2007 and has 14 years of investment experience. Prior to joining the firm, Bernd worked at Deutsche Bank Asset Management as head of the Quantitative Strategies Group's Research Center as well as Head of Portfolio Engineering in New York. Before this he  headed the Investment Solutions and Overlay Management Group in Frankfurt. Bernd has also held various positions at Morgan Stanley, Oppenheim Investment Management, Schroders and JPMorgan Investment Management. He authored several books on quantitative asset management and more than 40 articles in refereed Journals.  Bernd received Master's degrees in economics from the University of Augsburg, and the University of London and a Ph.D. from the University of Giessen. He is a visiting professor at Birkbeck College (University of London).

Katharina Schwaiger, CARISMA/Brunel University

Katharina is a PhD Research Associate at CARISMA. Her research interests are mainly in the area of Financial Mathematics, in particular Asset and Liability Management, Liability Driven Investment as applied to Pension Funds.
Her work experience includes internships in Applied Research, Equities and Asset Management at Metzler Investments and Metzler Asset Management Frankfurt, Germany and sponsored research of the topic Liability Driven Investment at Insight Investments London. She is also a modelling consultant with OptiRisk Systems.

Alan Slomowitz, Director of Algorithmic and Quantitative Trading Products, Dow Jones & Company, Enterprise Media Group

Alan Slomowitz is Director of Institutional Product Development at Dow Jones & Company's, Enterprise Media Group. In this role, Mr. Slomowitz directs a group in the Dow Jones Enterprise Media Group's Content Technology Solutions division that builds news and content based products for algorithmic and quantitative traders. The products range from ultra low latency machines readable news feeds to 20+ year archives of news and other market moving content. Mr. Slomowitz has been developing news products for the institutional financial markets at Dow Jones Newswires for more than 15 years.

Prior to his current position, Mr. Slomowitz was the co-founder and chief operating officer of DOAR Communications, a leading legal information services firm. He also managed product development at DRI/McGraw Hill and built analytical applications at Lehman Brothers.

Mr. Slomowitz is a member of International Association of Financial Engineers (IAFE) and a frequent speaker at industry events. He has spoken at the North American Financial Information Summit, Trade Tech NY, Trade Tech Canada, Liquidity Conference, and Battle of the Quants.

Mr. Slomowitz earned a bachelor's degree in psychology from Yeshiva University and a Ph.D. in clinical psychology from the Institute of Advanced Psychological Studies at Adelphi University.

Pamela Vance, PhD Senior Director, Client Services, Axioma, Inc.

Prior to joining Axioma, Pam was Assistant Professor of Decision and Information Analysis at the Goizueta Business School at Emory University. Her research program focused on the application of optimization technology to large-scale decision problems. One main theme in Pam’s work was the use of optimization to improve operations in the transportation industries. American Airlines, United Airlines, and CSX Transportation supported this work with research grants. In 1995 she received the prestigious CAREER award from the National Science Foundation. This award is given annually to the two best researchers and teachers in Operations Research. Pam holds a Ph.D. in Industrial and Systems Engineering, a Master of Science in Operations Research, and a Bachelor of Chemical Engineering, all from the Georgia Institute of Technology. In her role with Axioma Dr. Pamela Vance helps clients leverage Axioma’s state-of-the-art technology to improve their portfolio management processes.

Stefan Thurner, Medical University Vienna; The Santa Fe Institute; red-stars.com

Stefan Thurner got a PhD in theoretical particle physics from TU Vienna and a PhD in financial economics from the University of Vienna. He is presently heading the Complex Systems Research Group at the Medical University of Vienna and is an external professor at the Santa Fe Institute. His research interests range from network theory and its applications in life sciences and systemic risk to the foundations of statistical mechanics of correlated systems. He is a co-founder of the start-up hedge fund red-stars.com.

Xunyu Zhou, Nomura Chair of Mathematical Finance, Oxford University

Xunyu Zhou holds the Nomura Chair of Mathematical Finance at Oxford University. Before he joined Oxford he had worked in Kobe University (Japan), University of Toronto (Canada) and Chinese University of Hong Kong.

His research interests are in Mathematical Finance and Insurance, Stochastic Control and Applied Probability. He is a Fellow of IEEE, a winner  of the SIAM Outstanding Paper Prize and a recipient of the Crouch Senior Research Fellowship. He obtained his PhD from Fudan University, Shanghai, in 1989.

Leonid Zosin, Bear Stearns

Leonid Zosin has PhD in Theoretical Computer Science from Israel Institute of Technology (Technion), Haifa, Israel. Currently works at Bear Stearns as Managing Director Principal. Prior to that worked for ITG Inc. as a Senior Research Analyst; and as a post-doctoral researcher at Max-Planck-Institute für Informatik , Saarbrücken, Germany and NEC Research Institute, Princeton, NJ. Areas of expertise includes: automated market making, algorithmic trading, transaction cost modelling, market microstructure, approximation algorithms, combinatorial optimization, portfolio optimization, trading analytics, and smart order router algorithms.

Adrian Zymolka, Axioma (UK) Ltd

Adrian Zymolka is Director of Client Services Europe for Axioma (UK) Ltd., based in London. He holds a diploma in Mathematics from the Philipps University Marburg and a Ph.D. in Mathematics from the Technical University in Berlin. During his Ph.D. time at the Zuse Institute Berlin (ZIB), Dr. Zymolka was research assistant in the Optimization department headed by Prof. Martin Grötschel. He developed optimization methods for highly complex problems in the area of telecommunication network design and was leading and participating in various industrial projects. In 2006, he joined atesio, a ZIB spin-off company, where he worked as optimization developer and consultant. In his current role, Dr. Zymolka helps users of Axioma’s optimization technology to model portfolio strategies tailored to their goals and needs.