About the speakers (A-C)
Abhay Abhyankar is Baillie Gifford Chair of Financial Markets and Professor of Finance and at the University of Edinburgh. Has has previously worked at the Universities of Durham, Warwick and Stirling. He is currently a Visiting Professor at IDEA, University Autonoma de Barcelona where he teaches on the Doctoral Programme. He is also a non-executive member of the Board of Directors of the 100% owned Indian subsidiary of F. Hoffman La Roche, Basle, Switzerland. His research interests include asset pricing and corporate finance and he has published recently in the Journal of Banking and Finance, Quantitative Finance, and earlier in the Journal or Business and Economic Statistics, the Economic Journal, the Journal of Financial and Quantitative Analysis etc.
Emmanuel Acar is a Principal and Manager of Risk Management Advisory, London, at Bank of America. He previously worked at Citibank as a Vice-President in the FX Engineering Group. He was a proprietary trader for almost ten years at Dresdner Kleinwort Benson, BZW and Banque Nationale de Paris' London Branch. He has experience in quantitative strategies, as an actuary and having done his PhD on the stochastic properties of trading rules.
Hyungsok Ahn is a vice president at Constellation Power Source. Separated from Goldman Sachs last year, Constellation Power Source is a leading power marketer in the USA. He is responsible for developing energy derivative pricing models and pricing exotic structure products such as various tolls and gas storage deals. Prior to this he worked as a quantitative analyst for Credit Agricole-Lazard Financial Products Bank in London and Wilmott Associates, and as a researcher at the University of Oxford and University College Santa Barbara. Hyungsok obtained a PhD in Statistics from Purdue University in the USA and is an associate editor of Applied Mathematical Finance.
Claudio Albanese currently works as an independent consultant and is a Visiting Professor at King's College London. His academic background includes a PhD in Physics from ETH Zurich and various faculty positions at Universities including the NYU, Princeton and the University of Toronto. Claudio consulted for several organizations including Misubishi, Merrill Lynch, Morgan Stanley, Bloomberg, CDC-Ixis, Blackstone and others.
Carol Alexander is Professor of Risk Management and Director of Research at the ICMA Centre. Prior to this post, she held positions in both academia and financial institutions at: Gemente Universiteit in Amsterdam; UBS Phillips and Drew; The University of Sussex; Algorithmics Inc. and Nikko Global Holdings. Carol was a lecturer in Mathematics and Economics for 13 years at Sussex University. From 1996 to 1998 she also worked part-time in the industry, as Academic Director of Algorithmics, a large international enterprise-wide risk management software company. Following this, she worked briefly as full-time Director of Nikko Global Holdings, before returning to Academia. Carol has a PhD in Algebraic Number Theory and a first class BSc in Mathematics with Experimental Psychology from Sussex University and an MSc in Econometrics and Mathematical Economics from the London School of Economics. She holds an honorary professorship at the Academy of Economic Studies in Bucharest. She is Chair of the Academic Advisory Council of the Professional Risk Management International Association and Co-Editor of the acclaimed Professional Risk Manager's Handbook. Carol has published numerous papers in international academic and professional journals. Her current research interests are in continuous and discrete time volatility and correlation analysis, hedge funds, multifactor pricing models and operational risk. She has edited several books, and is author of the best selling text book Market Models: A Guide to Financial Data Analysis. Since 1990 the professional side of Carol's career has focussed on developing mathematical models for risk management and investment analysis. Her new textbook on Market Risk Analysis will be published by Wileys in 2007. Most of her consultancy work involves the design of software for risk management, portfolio optimization and trading. See consultancy pages for further information.
Gaurav Amin works for Schröders Asset Management, London. He obtained his PhD on Hedge Funds Performance from the ICMA Centre in 2002.
Richard T. Baillie is the A J Pasant Professor of Economics and Finance at Michigan State University. He has a PhD from the London School of Economics (1978) and has been at MSU since 1986. He has also been a part time professor at Queen Mary, University of London since 1999. His main research interests are in time series econometrics, international finance, international economics and asset pricing. He has published one book and almost sixty articles in major professional journals, including Econometrica, Journal of Finance, Journal of the American Statistical Association, Journal of Econometrics and the Journal of International Economics. His research has covered such topics as the properties of prediction from dynamic econometric models, statistical models of volatility, models of exchange rate determination and risk premium, and the effects of central bank intervention in currency markets. Professor Baillie is a Fellow of the American Statistical Association, a Fellow of the Journal of Econometrics, a Co-Editor of the Journal of Empirical Finance, and has also served on the editorial board of a number of other journals. He is also listed in Who's Who in Economics and Who's Who in America. He has also been a frequent research associate at the Federal Reserve Bank of Cleveland.
Giovanni Barone-Adesi is professor of finance theory at USI in Lugano, Switzerland. After graduating from the University of Chicago, he has taught at the University of Alberta, University of Texas, City University and the University of Pennsylvania. His main research interests are derivative securities and risk management. He is the author of several models for valuing and hedging securities. Especially well-known are his contributions to the pricing of American commodity options. He advises several exchanges and other business organizations. He is the advisory editor of the Journal of Banking and Finance.
Söhnke M. Bartram is a Lecturer in Finance at Lancaster University Management School. The Maastricht Research School of Economics of Technology and Organizations, the Institute for Quantitative Investment Research, Lancaster University, Lancaster University Management School, the Leverhulme Trust, the PricewaterhouseCoopers Global Competency Centre, as well as the Federal Deposit Insurance Corporation (FDIC) granted financial support for his research activities in the area of international and corporate finance. His work has been published among others in the Journal of International Money and Finance; European Finance Review; and Financial Markets, Institutions and Instruments. In 2003, the Federation of European Securities Exchanges awarded the Josseph de la Vega Prize for his work with Frank Fehle (University of South Carolina) on derivatives market microstructure.
www.lancs.ac.uk/staff/bartras1
Adrian Bell completed his first degree at the University of Hull and his MA and PhD at the University of Reading. He is Director of Teaching and Learning at the ICMA Centre. Adrian is involved in the use of technology in support of teaching and learning and alongside other things is currently managing the distance learning version of the MSc programme which utilises on-line technologies and e-lectures. Adrian is interested in the history of finance and has recently completed an ESRC project with Professor Chris Brooks., entitled ''Modern Finance in the Middle Ages? Advance contracts for the supply of wool''. Dr Bells also specialises in the Hundred Years War and his book, War and the Soldier in the Fouteenth Century, was published by Boydell and Brewer in Autumn 2004. He has recently been awarded a major grant from the AHRC (jointly with Professor Anne Curry, University of Southampton) to investigate ''The Soldier in Medieval England''
Dr. Andy Bevan graduated with a first class BA in economics from Reading University in 1978 and was awarded a PhD in international monetary economics from City University in 1986. The subject of his thesis was an examination of speculative efficiency in the foreign exchange market, within the framework of a general equilibrium model. Separately, Andy also holds a PhD in theology from Kings College, London, awarded in 2002. Andy started his career in 1978 with J&A Scrimgeour, a London-based specialist gilt broker. He then held posts with Chase Manhattan bank (1979-1983) and Midland bank (1983-1986) in London, working as an economist. In both positions, he specialised in the forecasting of interest rates and exchange rates. Having spent the first part of his career in the money and foreign exchange markets, he was then appointed Head of International Fixed Income Research at Drexel Burnham Lambert (1986-1988). He was subsequently Head of International Bond Research at West LB UK (1988-1990) and Head of the Financial Analytics and Structured Transactions group at Bear Stearns International (1990-1994). In 1994, Andy was appointed Director of International Bond Research at Goldman Sachs in London. He was appointed Managing Director in 2000, and became Head of Global Markets Research, producing research and trading strategy for foreign exchange, money markets, government bonds and corporate bonds. He retired from this post in 2005 and started his own independent consulting company, before joining Fulcrum Asset Management as Research Director in May, 2006. Andy's major research interests include exchange rate modelling and the integration of term structure theory with models of the business cycle in the macro-finance literature.
Nick (N. H.) Bingham took his first degree in Oxford (1966) and his PhD in Cambridge (1969) in probability theory, specialising in limit theorems. He taught in the University of London for thirty years, before joining Brunel as Professor of Statistics and Stochastic Modelling in 2000. His interests cover probability and stochastic processes, statistics (particularly non- or semi-parametrics), mathematical finance and mathematical analysis.
http://www.brunel.ac.uk/depts/ma/research/sor/people/bingham.shtml
John Board is Professor of Finance and the Director of the ICMA Centre. Before joining the Centre, he spent a number of years at the London School of Economics. His overall research agenda is characterised by the application of finance theory to real world problems and issues. In pursuit of this he has been widely published in journals as diverse as the Journal of Accounting Research, Management Science, Journal of Regional Studies and Journal of Financial Services Research.His recent research has been in the area of market regulation in which he has acted as consultant to, among others, the House of Commons, the Financial Services Authority, the Corporation of London, and a number of London's financial markets. Some of this work has been based on large scale analyses of trading data, while other parts have considered more general issues of the effects of market fragmentation and consolidation. Among his most recent publications in these areas are Transparency and Fragmentation: Financial Market Regulation in a Dynamic Environment, (Palgrave, 2002) and Distortion or Distraction: US Restrictions on EU Exchange Trading Screens (Corporation of London, 2004). Before this, he was been funded by the Department of Trade and Industry to investigate the effects of innovation in financial markets. He also has a long standing interest in accounting and the effects of accounting policy on stock prices. In relation to this, he is currently engaged in research into the use of fair value accounting by insurance companies. This work is being sponsored by Institute of Chartered Accountants in England and Wales.
Nicole Branger is a Professor of Finance at the University of Münster. She has previously held positions at the University of Southern Denmark, Odense, the Goethe University in Frankfurt and the University of Karlsruhe. Also, Nicole held visiting positions at the Owen Graduate School, Vanderbilt University, Nashville and at Copenhagen Business School, Denmark. She obtained her PhD from the University of Karlsruhe in 2001. Nicole's research interests include Hedging and Pricing of Contingent Claims, Model Risk, Learning, Asset Allocation and Asset Pricing. She recently obtained a ‘Best Paper award in Derivatives' at the Midwest Finance Association conference 2007 and she has several publications in journals like Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Journal of Theoretical and Applied Finance and Review of Finance.
Adriana Breccia is a lecturer in Finance at University of York, Department of Economics. She teaches the MSc Finance: Continuous-Time-Pricing. She completed her PhD in Finance at Birkbeck College on bargaining and strategic behaviour in real options. She holds a BSc in Economics from the University of Rome "La Sapienza", an MSc in Finance from Birkbeck and an MA in Economics from CORIPE (Univ. of Turin, Italy). Her research interests are in real options and game theory as applied to debt restructuring, bankruptcy regulation and pricing of defaultable debt
Marlies van Boven is a Quantitative Strategist at Newton Investment Management, wholly owned subsidiary of Mellon Bank. She is responsible for Quantitative Equity Research. Her research interests focus on multi-factor stock selection models and tactical asset allocation issues. She has a Ph.D. in Finance from the Financial Options Research Centre at the University of Warwick and before that completed the doctoral courses in Finance at London Business School. Her thesis concerned an investigation of the fundamental multi- factor (BARRA) approach to model security returns and an examination of the model to predict equity risk and stock returns.
Damiano Brigo obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam, following a BSc in Mathematics from the University of Padua. In 1997 he moved to financial modeling at Banca INTESA in Milan, dealing with the pricing/hedging of equity, basket and interest-rate derivatives and with Risk Measurement. In 1998 he moved to Banca IMI, where he has been appointed as Head of the Credit Models department, after formerly working at the Financial Models department on cross-currency and interest-rate derivatives and smile modeling. Over the years he has published several academic and practitioner-oriented articles in financial modeling, probability and systems theory journals. He is author, with Fabio Mercurio, of the book Interest Rate Models: Theory and Practice, Springer-Verlag (2001). He teaches regularly at post-university and Master courses in Milan. His current professional interests include default and credit modeling, interest-rate and smile modeling.
Chris Brooks is currently Professor of Finance at the ICMA Centre, University of Reading, where he also obtained his PhD. He has over fifty published or forthcoming papers in leading international academic and practitioner journals, including Journal of Business, Journal of Banking and Finance, Journal of Empirical Finance, and Financial Analysts Journal. He is also author of "Introductory Econometrics for Finance", to be published by Cambridge University Press in March 2002. Chris has acted as consultant to investment banks and international bodies on a broad range of topics in finance, economics, and econometrics.
Ian Buckley is a Lecturer in Mathematical Finance in the Department of Mathematics at King's College London. He completed his PhD in theoretical physics in the Blackett Laboratory at Imperial College in 1992 and then worked for the portfolio management software company BARRA International for three years, before entering academia to work as a Research Fellow in the Centre for Quantitative Finance, in the Tanaka Business School, for a decade before taking up his current position at King's. His research interests include:
- Model calibration using the maximum entropy principle
- Implementing and calibrating chaos models for interest rate, foreign exchange, and equity pricing
- Implementing the Brody Hughston Macrina incomplete information framework for modelling credit risk
- Portfolio management for alternative asset classes.
Hans Buehler is a Quant in Deutsche Bank Global Markets Equity in the team of Marcus Overhaus since 2002. The main areas of his interest are variance swaps and volatility modelling in general. After obtaining his Diploma in 2001 from the Humboldt University Berlin and working with Hans Foellmer, he is, since 2003, a part-time PhD student at Technical University Berlin. Hans is working under the supervision of Alexander Schied and his topic is "Volatility Markets".
Patrick Burns founded Burns Statistics in 2002; this company focuses on consulting and software for asset management. Prior to that he spent 4 years at Citigroup in London in the Equity Research and Equity departments where he worked on quantitative models for trading and risk measurement. Before entering finance Patrick was a lead developer of S-PLUS in its early days. He has a PhD in Statistics from the University of Washington in Seattle.
Ales Cerny holds an undergraduate and masters degree in Applied Mathematics from the Czech Technical University in Prague, and a PhD in Economics from the University of Warwick. Since 1998 he has been a Lecturer in Finance at The Business School, Imperial College London and is best known for his work on the theory of asset pricing and risk measurement in incomplete markets. This theory is concerned with the methodology and practical implementation of optimal hedging and pricing of derivative securities in the presence of hedging errors. His masters-level textbook Mathematical Techniques in Finance: Tools for Incomplete Markets will be published soon (Princeton, 2004).
Andrew Cairns is Professor of Financial Mathematics at Heriot-Watt University, Edinburgh. He is well known both in the UK and internationally for his research in financial risk management for pension plans: both defined benefit and defined contribution. Much of this research focuses on the measurement of the risks borne by plan members and on how these risks can be assessed and controlled in an optimal way for the members. These interests in the assessment of financial risk have led to further research in the field of financial mathematics. Within this field he has developed a new model for bond-price dynamics for use in the measurement and management of long-term interest-rate risks in pensions and life insurance. Professor Cairns has recently completed a textbook "Interest Rate Models: An Introduction" published by Princeton University Press. He is an active member of the UK and international actuarial profession in both research and education. Since 1996 he has been an editor of the leading international actuarial journal ASTIN Bulletin.
Mario Cerrato is a Lecturer in Economics at the University of Glasgow (Department of Economics). His main research interests are in non-stationary panel data econometrics, forex market microstructure, financial derivatives and capital/liquidity management and the design of optimal securities.
George Chalamandaris is a Lecturer of Finance at the Athens University of Economics and Business at the Department of Accounting and Finance. He graduated from the National Technical University of Athens and continued his studies at Imperial College in London where he also completed his PhD in Quantitative Finance. He has worked in Natwest Markets and Royal Bank of Scotland in London as well as in Emporiki Investment Bank and EFG Eurobank in Athens, holding senior positions in the areas of risk management, financial engineering, structuring and alternative investments. His main research interests are focused in the field of implied volatility surfaces, credit derivatives and asset pricing involving dynamic trading strategies. He has spoken in various academic and practitioner's conferences and he has published in academic journals and books in the area of derivatives pricing and risk.
Abhimanyu Chatterjee completed his PhD at ICMA Centre, The University of Reading in credit risk. Then he went on to work for Caliburn Capital Partners, a fund of funds business, where he has been working for two years on quantitative research and analysis on hedge funds and portfolio construction. Prior to that Abhimanyu completed his MSc degree in International Securities and Investment Banking at the ICMA Centre, The University of Reading.
Moorad Choudhry is Head of Treasury at KBC Financial Products in London. He joined KBC FP from JPMorgan Chase Bank, where he was a vice-president in Structured Finance Services sales and marketing. Prior to that he was at Hambros Bank Limited in its Treasury division and at ABN Amro Hoare Govett Sterling Bonds Limited, where he ran the Treasury and money markets desk. He began his City career at the London Stock Exchange in 1989. Moorad is a Visiting Professor at the Department of Economics, London Metropolitan University, a Senior Fellow at the Centre for Mathematical Trading and Finance, Cass Business School, and a Fellow of the Securities Institute. He is Editor of the Journal of Bond Trading and Management, a Fellow of the Institute of Sales and Marketing Management and the author of - The Bond and Money Markets - (Butterworth Heinemann 2001, 2004) and - Structured Credit Products: Credit Derivatives and Synthetic Securitisation - (Wiley 2004).
Michael Clements is a Reader in Economics at the University of Warwick. Prior to this, from 1988-95 he was a Research Officer at the Institute of Economics and Statistics in Oxford University and, from 1984-1998 an economist with Oxford Economic Forecasting. He is the editor of the International Journal of Forecasting and co-author of two books: Forecasting Economic Time Series, CUP, 1998, and Forecasting Non-stationary Economic Time Series, MIT Press, 1999 (both with David Hendry) and co-editor of A Companion to Economic Forecasting, Blackwells, 2002 (also with David Hendry). He has published many articles on top academic journals and given numerous conference presentations.
http://www.warwick.ac.uk/fac/soc/Economics/clements
Stefano Di Colli is a Ph.D. Candidate in Money and Finance at the University of Rome Tor Vergata, Lecturer of Statistics for Finance at the University of Teramo and Visiting Student at ICMA Centre. From 2006 he is a member of Anset, research group on Time Series Analysis of Italian Statistical Society. His fields of interest are applied econometrics, financial time series analysis, fractal geometry and market microstructure. He holds a Master in Quantitative Methods from the University of Rome Tor Vergata. When he took Italian Laurea in Economics summa cum laude, his final dissertation was published and short-listed for the Angelo Costa's Prize for the best Italian dissertation in Economics. Stefano has received the "Outstanding distinction" twice at the Giorgio Mortara's Prize of the Bank of Italy in Mathematics and Quantitative Methods for Finance.
Rama Cont is a CNRS Research Fellow at Centre de Mathématiques Appliquées, Ecole Polytechnique (France) and the director of Frontiers in Finance, an association of finance professionals aimed at the dissemination of quantitative techniques in risk management. His research interests include the development of option pricing models and algorithms, interest rate dynamics, models based on implied volatility and issues related to model selection and calibration. Rama has an extensive experience in teaching in the finance arena at various academic institutions in Europe and the US including Université de Paris VI, HEC and Princeton University, as well as training courses for finance professionals. He has also worked as a consultant for several financial institutions in Europe on topics ranging from performance analysis of hedge funds to numerical methods for exotic options. Rama is the co-author of a book on Financial modelling with jump processes and is an associate editor of Quantitative Finance.
Laurence Copeland holds degrees from the Universities of Oxford and Manchester. His first academic post was as a lecturer at the University of Manchester Institute of Science and Technology. In 1991, he was appointed to the Chair of Finance at the University of Stirling, and since 1995, he has held a similar post at Cardiff University. His presentations at international conferences and publications in academic journals cover a wide range of subjects including: inflation and the Phillips Curve, exchange rates and currency markets, stock and bond markets, index futures, mutual funds. His recent work has focussed on Asian markets, microstructural issues and the pricing of extreme event risk. He is author of the widely-used textbook 'Exchange Rates and International Finance' (5th edition forthcoming 2008). In addition to being a consultant to a number of major financial institutions, hedge funds etc, he has been involved in training market professionals in the UK and Europe. In the public sphere, he has written a number of articles in national newspapers, mainly on the subject of European Monetary Union, and makes frequent appearances on TV and radio.
Clive Corcoran is a private client fund manager practicing risk reduction and market neutral strategies. Also, Clive is a software designer/developer for a systematic trading platform which includes pattern recognition technologies and portfolio optimization techniques. He is the author of ‘Long/Short Market Dynamics: Trading Strategies for Today's Markets' (Wiley 2007) and his articles have appeared in Traders' Magazine and Active Trader. Clive is a featured speaker at international trading expos and workshops. Further roles include: frequent contributor to CNBC's European Closing Bell and Power Lunch Europe; FSA Registered Investment Adviser and active trader for many years on both sides of the Atlantic.
Valentina Corradi is currently Professor of Econometrics at Queen Mary, University of London. Previously she held positions at the University of Pennsylvania and the University of Exeter, after getting her PhD at the University of California at San Diego. Her current research interests include: (I) forecast evaluation with particular emphasis on predictive densities, (II) bootstrap and resampling techniques for time series processes, modelling, (III) modelling, testing and prediction of volatility models via realized measures. Over the recent years, she had papers published in Journal of Econometrics, Journal of Economic Theory, Econometric Theory, International Journal of Forecasting and on other economic and econometric journals.
