Managing Director, Global Co-Head, Risk & Quantitative Analysis,
Edward Fishwick, Managing Director, Global Co-Head, Risk & Quantitative Analysis, BLACKROCK
Edward Fishwick, Managing Director, is Global Co-Head of Risk & Quantitative Analysis at BlackRock. In addition, he is a member of the European Executive and Global Operating Committees of the firm, and is a member of the Board of BlackRock Group Ltd.
Mr. Fishwick has worked in quantitative finance for over 30 years in London, New York and Boston. Previously he was Head of Risk Management and Investment Process Research at AXA Investment Managers, and Director of Research at Quantec.
Mr. Fishwick is a member of the Editorial Board of the Journal of Asset Management, and is the Chairman of the London Quant Group.
Global Head of Quantitative Strategy and Quant Investment Solutions Research
Managing Director, Financial Markets
STANDARD CHARTERED BANK
In his role as Managing Director, Financial Markets at Standard Chartered Bank, Alexei is responsible for providing analytics support to the global derivatives trading business with special focus on clearing, intermediation and portfolio services.
He joined Standard Chartered Bank in 2010 from Barclays Capital where he managed a model development team within Credit Risk Analytics.
Prior to joining Barclays Capital in 2004, he was a senior quantitative analyst at Dresdner Bank in Frankfurt.
Alexei holds MSc in Theoretical Nuclear Physics from the University of Kiev and PhD in Mathematical Physics from the Institute for Mathematics, National Academy of Sciences of Ukraine.
Director of Strategy & Business Development
CAPITAL FUND MANAGEMENT
Jean-Philippe Bouchaud, Chairman, CAPITAL FUND MANAGEMENT (Risk.net 2017 Quant of the Year & Buy-Side Quant of the Year 2018)
Jean-Philippe is Chairman and Chief Scientist. He supervises our research department with Marc and maintains strong links between our research team and the academic world. He is also a professor at Ecole Polytechnique where he teaches Statistical Mechanics and a course on "Complex Systems". He joined CFM in 1994.
Quant of the Year 2017 - https://www.risk.net/risk-magazine/analysis/2479713/quant-of-the-year-jean-philippe-bouchaud
Buy-Side quant of the Year 2018 - https://www.risk.net/awards/5364591/buy-side-quant-of-the-year-jean-philippe-bouchaud
Global Head of Quantitative Execution Services
Michael is the global head of Quantitative Execution Services at Goldman Sachs. He is responsible for the research, development and implementation of quantitative processes for portfolio and electronic trading, as well as the management of the firm's relationships with the quantitative client-base across regions. Michael manages a variety of teams globally, spanning algorithmic research, portfolio quants, client solutions, analytics and quantitative content generation. He joined the firm as a managing director in 2017.
Prior to this, Michael spent eight years at Bank of America Merrill Lynch in a variety of senior roles in London and New York, including the centralisation of risk for the bank’s equities flow, quantitative liquidity management processes and in the last few years running the global agency portfolio trading and quantitative equity businesses. Earlier in his career, he spent more than a decade on the buy-side (most notably BGI and Winton) building quant stock-selection models and managing global market neutral equity portfolios. Before that, Michael was a Financial Econometrics lecturer at City University (CASS) Business School in London. He has a wide range of academic, peer-reviewed and practitioner journal and book publications on a host of finance topics, as well as numerous presentations in global quant and industry conferences.
Michael received a bachelor's degree in Economics & Econometrics from the University of Nottingham, a master's degree in Finance and a PhD in Behavioural Finance from City University (CASS) Business School in London.
Managing Director, Global Head of Machine Learning and eTrading Quantitative Analytics
Head of Quantitative Research
Bruno Dupire, Head of Quantitative Research, BLOOMBERG
Bruno Dupire is head of Quantitative Research at Bloomberg L.P., which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Societe Generale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Ito Calculus (framework for path dependent options) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine "Hall of Fame". He is the recipient of the 2006 "Cutting edge research" award of Wilmott Magazine and of the Risk Magazine "Lifetime Achievement" award for 2008.
Saeed Amen, PhD., is the founder of Cuemacro. Over the past decade, he has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan). Through Cuemacro, he now consults and publishes research for clients in the area of systematic trading. He has developed many popular open source Python libraries including finmarketpy. His clients have included major quant funds and data companies such as Bloomberg. He has presented his work at many conferences and institutions which include the IMF, Bank of England and Federal Reserve Board. He is also a co-founder of the Thalesians.
Head of Core Modelling, Financial Markets Risk Models
Alexandre Antonov, Head of Core Modelling, Financial Markets Risk Models, STANDARD CHARTERED
Alexandre Antonov received his PhD degree from the Landau Institute for Theoretical Physics in 1997. He worked for Numerix during 1998-2017
and recently he has joined Standard Chartered bank in London as a director.
His activity is concentrated on modeling and numerical methods for interest rates, cross currency, hybrid, credit and CVA/FVA/MVA. AA is a published author for multiple publications in mathematical finance and a frequent speaker at financial conferences.
He has received a Quant of Year Award of Risk magazine in 2016.
Head of Collateralized Exposure Modelling
Fabrizio Anfuso, Head of Collateralized Exposure Modelling, CREDIT SUISSE
Fabrizio is a director in the Investment Banking Division of Credit Suisse, heading the collateralised exposure modelling team.
His areas of expertise are counterparty credit risk, market and credit risk modelling, derivative pricing and regulatory capital. The main focus of his activity is the development of stochastic Monte Carlo models for exposure calculation of bilateral and cleared derivatives, as well as other regulatory driven methodologies. Fabrizio is co-chairing the master's courses on Counterparty Credit Risk of the quantitative finance programs of the ETH in Zurich and of the University L. Bocconi in Milan. Fabrizio holds a Ph.D. in Theoretical Physics and has authored numerous research articles in peer-reviewed journals in the fields of Quantitative Finance and Condensed Matter Physics.
Giuliano De Rossi
Head of European Quantitative Research
Giuliano De Rossi, Head of European Quantitative Research, MACQUARIE GROUP
Giuliano De Rossi heads the European Quantitative Research team at Macquarie based in London. He joined from PIMCO where he was an analyst in the Credit and Equity Analytics and Asset Allocation teams. Prior to this he worked for six years in the Quant research team at UBS. He has a PhD in economics from Cambridge University, and worked for three years as a college lecturer in economics at Cambridge before joining the finance industry on a full-time basis.
Giuliano's Masters degree is from the LSE and his first degree is from Bocconi University in Milan. He has worked on a wide range of topics, including pairs trading, low volatility, the tracking error of global ETFs, cross asset strategies, downside risk and text mining. His academic research has been published in the Journal of Econometrics and the Journal of Empirical Finance.
Managing Director, Global Head of Credit and Commodities Quantitative Analysis
Youssef Elouerkhaoui, Managing Director, Global Head of Credit and Commodities Quantitative Analysis, CITI
Youssef Elouerkhaoui is a Managing Director and the Global Head of Credit and Commodities Quantitative Analysis at Citi. His group supports all modelling and product development activities across businesses. He is also in charge of CVA, Funding and Regulatory Capital for his businesses. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of model development for the Structured Credit Desk. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais supporting Interest Rates Exotics. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University.
Smart Beta Investing
Managing Director, Head of Quantitative and Digital Development for Trading Corporate & Investment Banking
Alexander Giese, Managing Director, Head of Quantitative and Digital Development for Trading Corporate & Investment Banking, UNICREDIT BANK
Alexander Giese is a Managing Director and the Head of Quantitative and Digital Development for Trading at UniCredit. Prior to joining UniCredit in 2002, Alexander worked as a repo trader at Deutsche Bank. He graduated in financial mathematics from Technical University Berlin and also holds a MSc in financial mathematics from Florida State University. His main research interests include stochastic volatility models, hybrid models and static hedging. Recently, he is exploring applications of machine learning in the context of front office trading.
Julien is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor in the Department of Mathematics at Columbia University and at the Courant Institute of Mathematical Sciences, NYU. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years (2006-2012), and was an adjunct professor at Universite Paris 7 and Ecole des ponts. He co-authored the book Nonlinear Option Pricing (Chapman & Hall, CRC Financial Mathematics Series, 2014) with Pierre Henry-Labordere. His main research interests include nonlinear option pricing, volatility and correlation modeling, and numerical probabilistic methods. Julien holds a Ph.D. in Probability Theory and Statistics from Ecole des ponts. He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des ponts. 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.
Managing Director, Global Head of Equities Quantitative Research
David Jessop, Managing Director, Global Head of Equities Quantitative Research, UBS
David Jessop is the Global Head of Equities Quantitative Research at UBS. His areas of research include portfolio analysis and construction, style analysis and risk modelling. He also helps clients understand, use and implement the quantitative tools available from UBS. David joined UBS in 2002. Prior to this, he spent seven years at Citigroup as Head of Global Quantitative Marketing. Before moving to the sell side he spent six years at Morgan Grenfell Asset Management, where he managed index funds, asset allocation funds and also an option overwriting fund. David graduated from Trinity College, Cambridge with an MA in Mathematics.
Vice President, Behavioral Finance, Risk & Quantitative Analysis
Global Head of Quantitative Research
SOCIETE GENERALE CIB
Andrew Lapthorne joined Société Générale in London in November 2007, having previously spent 11 years at Dresdner Kleinwort where he was the Global Head of Quantitative Research. At SG, he heads up the SG Quantitative Research Group, which includes Equity and Cross Asset Quant, Index and ETF research teams. This group of 20 analysts has extensive experience, having often worked on both the buy and sell-side and the Quant and Index research teams are both regularly ranked #1 in the Extel survey, with both teams ranked #1 last year. Andrew has been ranked the #1 individual analyst for the last 10 years in a row.
Andrew and his team have been writing about equity styles and factors since the mid-1990s and has covered most topics relating to factor investing. Since 2013, they have been writing specifically about alterative risk premia investing and more recently the use of machine learning and alternative data in the investment process. The team has created and runs a variety of systematic quantitative strategies, the most popular being the Global and European Quality Income Strategies.
Andrew is regularly quoted in the financial press, often highlighting issues such as the balance sheet risk in the US, the misuse of share buybacks and on broader factor trends in the markets.
Raul Leote de Carvalho
Deputy Head of Financial Engineering
BNP PARIBAS ASSET MANAGEMENT
Professor of Finance
EDHEC BUSINESS SCHOOL
Riccardo Rebonato, Professor of Finance, EDHEC BUSINESS SCHOOL
Riccardo Rebonato is Professor of Finance at EDHEC Business School and author of journal articles and books on Mathematical Finance,covering derivatives pricing, risk management and asset allocation. Prior to this, he was Global Head of Rates and FX Analytics at PIMCO.
Academically, he is an editor of financial journals and was until 2016 a visiting lecturer at Oxford University and adjunct professor at Imperial College's Tanaka Business School. He has served on the board of directors of the International Swaps and Derivatives Association (ISDA) and the board of trustees for the Global Association of Risk Professionals (GARP). He has been head of derivatives trading, head of research and head of market risk management at different international banks. He holds a doctorate in nuclear engineering and a PhD in condensed matter physics/science of materials from Stony Brook University, NY.
Head of Equity and Quant Research
Adil Reghaï joined Natixis in 2008 where he is Head of Quantitative Research for Equities and Commodities. He graduated from Ecole Polytechnique (X92) and Ecole des Mines (P94), Paris. Adil was Head of Quantitative Research at Merrill Lynch, BNP Paribas and Calyon. He has attended conferences on mathematical finance and has written numerous papers and articles. He also gives conferences on mathematical finance in Nice (SKEMA -France), DEA of El Karoui, INSEAD. He is the author of many scientific publications and a book on Quantitative finance: back to basic principles.
Head of Quant Research, Focus on Machine Learning and Algo Trading
Christian is a senior Credit Strategist and Head of Quant Research at Mizuho International.
He has buy- and sell side experience in quant strategy, Machine Learning and portfolio management.
At Mizuho he is the leader of the Machine Learning Algo market making project with responsibility from vision to implementation.
His team have implemented daily trading signals for the trading desks and advise global clients partnering with sales.
Christian joined Mizuho International in April 2016 after 10 years at Credit Suisse where he was most recently Senior Credit Strategist. Prior to that, he held positions within Interest Rate and FX Controlling at HVB Group.
Christian has a diploma in Financial Mathematics from Technische Universität München.
There are 3 things about Machine Learning and AI that keep him up at night: The maths behind, the commercial opportunities and the impact on society
Head of Research
QUANTICA CAPITAL AG
Artur Sepp is Head of Research at Quantica Capital AG in Zurich focusing on systematic data-driven trading strategies. Artur has extensive experience working as a Quantitative Strategist in leading roles since 2006. Prior to joining Quantica, Artur worked at Julius Baer in Zurich developing algorithmic solutions and strategies for the wealth management and portfolio advisory. Before, Artur worked as a front office quant strategist for equity and credit derivatives trading at Bank of America Merrill Lynch in London and Merrill Lynch in New York. Artur has a PhD in Statistics, an MSc in Industrial Engineering from Northwestern University, and a BA in Mathematical Economics. Artur’s research area and expertise are on econometric data analysis, machine learning, and computational methods with their applications for quantitative trading strategies and asset allocation. He is the author and co-author of several research articles on quantitative finance published in leading journals and he is known for his contributions to stochastic volatility and credit risk modelling. Artur is a member of the editorial board of the Journal of Computational Finance.
Credit Derivatives Model Validation
Colin Turfus, Credit Derivatives Model Validation, DEUTSCHE BANK
Colin Turfus has worked for the last twelve years as a financial engineer, mainly analysing model risk for credit derivatives and hybrids. More recently his interest has been in the application of perturbation methods to risk management, finding efficient analytic methods for computing, e.g., wrong-way risk, CVA, VaR and model risk. He is currently working in Global Model Validation and Governance at Deutsche Bank. He also taught evening courses on C++ and Financial Engineering at City University for seven years. Prior to that Colin worked as a developer consultant in the mobile phone industry after an extended period in academia, teaching applied maths and researching in fluid dynamics and turbulent dispersion. His publications are listed at www.researchgate.net/profile/Colin_Turfus.