About the speakers (D-G)
Professor Richard Dale is Professor of International Banking at the University of Southampton and Visiting Professorial Fellow, Queen Mary and Westfield College, London University. He specialises in the economics of financial market regulation, was previously a consultant to the Bank of England and is Bank of England Senior Houblon Norman Fellow since 1994. Also, he has been a consultant to the Financial Times since 1986. Richard has been a Rockefeller International Relations Fellow at Brookings Institution, Washington DC in 1982/3. Since 1991, he has been an adviser to the House of Commons Treasury and Civil Service Committee on financial regulation. Richard has been an executive with N.M. Rothschild and Sons Ltd. Between 1973 and 1977 and 1984/5. He is board member at European Capital Markets Institute (ECMI) and member of European Shadow Financial Regulatory Committee. He is currently studying international clearance, settlement and payments systems. Also, Richard is completing work on background to Japanese banking system problems and policy implications - with co-operation of Japanese Ministry of Finance.
Ryan Davies is a former lecturer in finance at the ICMA Centre. He obtained a PhD in economics from Queen's University at Kingston in 2001 under the supervision of Dan Bernhardt and James MacKinnon. His current research includes diverse topics such as: the European Commission's Investment Services Directive; the practice of "painting the tape" by mutual fund managers; the reasons why long-dated financial contracts have poor liquidity; the role of the registered trader on the Toronto Stock Exchange; and the impact of cross-listing on multiple exchanges.
Bruno Dupire has headed various Derivatives Research teams at Societe Generale, Paribas Capital Markets, Nikko Financial Products and currently works with Peter Carr at Bloomberg, New York. After obtaining a PhD in numerical analysis, he pioneered the use of neural networks in finance and developed the widely used local volatility models in 1993. He has subsequently worked on stochastic volatility modelling and Monte Carlo methods for option pricing. He is now a consultant in the fields of derivatives and asset management and sits on the advisory board of PRMIA. Also, he is a Fellow and Adjunct Professor at NYU. In 2002 he was included in the Risk Hall of Fame of the 50 most influential figures in Derivatives and Risk management.
Mark Davis is Professor of Mathematics at Imperial College London, specializing in financial mathematics, in particular in credit risk models, pricing in incomplete markets and stochastic volatility. He also acts as a consultant to the BroadStreet Group, a newly-founded capital markets company. From 1995-1999 he was Head of Research and Product Development at Tokyo-Mitsubishi International, leading a front-office group providing pricing models and risk analysis for fixed-income, equity and credit-related products. Dr Davis holds a PhD from the University of California Berkeley and is the author of three books on stochastic analysis and optimisation. He was a founding co-editor of the journal Mathematical Finance (1990-93) and is currently an associate editor of Quantitative Finance.
http://www.ma.ic.ac.uk/~mdavis/
Michael Dempster is Professor of Finance & Director, Centre for Financial Research, Judge Institute of Management, University of Cambridge. He has taught and researched in leading universities on both sides of the Atlantic and is currently co-Editor-in-Chief (with J Doyne Farmer) 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.
http://www.jims.cam.ac.uk/people/faculty/mdempster.html
Werner De Bondt is the director of the Richard H. Driehaus Center for Behavioral Finance at De Paul University in Chicago. He studies the psychology of investors and financial markets. Werner De Bondt is one of the founders of behavioral finance. He has examined key concepts of bounded rationality, e.g., people's tendency to exaggerate the true impact of new information, their bent towards wishful thinking, or their biased perceptions of risk. His research articles have appeared in many scholarly journals including the Journal of Finance, the Journal of Empirical Finance, the Financial Analysts Journal, the Journal of Portfolio Management, the European Economic Review, and the American Economic Review. Werner De Bondt is a frequent speaker to academics and investment professionals around the world. He holds degrees in economics, engineering, and public administration, as well as a Ph.D. in Business Administration from Cornell University (1985). In past years, Werner De Bondt was a professor at universities in Belgium, The Netherlands, Switzerland, Sweden, and at his alma mater, Cornell. Between 1992 and 2003, he was the Frank Graner Professor of Investment Management at the University of Wisconsin-Madison.
Jurgen A Doornik is Research Fellow at Nuffield College, University of Oxford. He researches on computational econometrics and dynamic econometric modelling, as well as ARFIMA and GARCH models. He is the originator of the Ox language, and works with David Hendry on PcGive. He has (co-)authored eight books related to the software. He published
papers in The Economic Journal, The Econometrics Journal, and others, and has papers forthcoming in Computational Statistics and Data Analysis, and Econometrica.
George Dotsis is a Lecturer in Finance at Essex Business School, University of Essex. He holds a BSc in Economics from Athens University of Economics and Business, an MSc in Mathematical Trading and Finance from Cass Business School and a PhD in Finance from Athens University of Economics and Business. His research interests are in the area of asset pricing, derivatives valuation and financial econometrics
Kevin Dowd is a graduate in economics of the University of Sheffield (BA, 1980; PhD 1988), and the University of Western Ontario (MA, 1981). He has held earlier positions at the Ontario Economic Council, Sheffield Hallam University, the University of Nottingham, and the University of Sheffield. He moved back to the University of Nottingham in September 2000 to take up a chair in financial risk management at the Business School, where he works with the Centre for Risk and Insurance Studies (CRIS). Professor Dowd is an Adjunct Scholar at the Cato Institute in Washington, D.C., a member of the Academic Advisory Committees of the Libertarian Alliance and the Open Republic Institute, an Advisor to the Freedom Organisation for the Right to Enjoy Smoking Tobacco (FOREST), and a Fellow of the Pensions Institute at Birkbeck College. His research interests are in risk management, free banking and financial regulation, macro and monetary economics, and political economy.
Alfonso Dufour holds a Laurea in Economia e Commercio (cum laude) from the University of Venice, Italy and an MA and a PhD in Economics, both from the University of California, San Diego. His research interest spans issues in financial econometrics, market design and structure, empirical market microstructure. He has written articles about forecasting models for transaction prices; measures of market liquidity; and methods for comparing and contrasting alternative market structures. Currently, he is studying the effects of market fragmentation on the quality of European markets. His paper "Time and the price impact of a Trade" (with Robert F. Engle) was short-listed for the Smith-Breedon best paper prize in the Journal of Finance for 2001. He is Course Convenor of the Derivative Securities - Pricing and Trading module on the BSc programme and of the Trading and Exchanges module on the MSc programme.
Dominique Dupont is currently a research fellow in the Financial Stochastics research project at Eurandom, a European research institute devoted to the study of stochastic phenomena and located on the campus of the Eindhoven University of Technology. His research focuses on hedging exotic derivatives in incomplete markets, with more specific focus on the static hedging of barrier options with regular options using a technique known as mean-square hedging. Previously Dominique worked as an Economist at the Federal Reserve Board in Washington D.C. after obtaining his Ph.D. in Economics (microstructures of financial markets) at the University of Chicago. Prior to this he trained in Business and Finance at the H.E.C. School of Management and in Economics at the Institut d'Etudes Politiques de Paris.
http://www.eurandom.tue.nl/
Moacir Fernandes is a Quantitative Analyst at Concordia Asset Management, London. He is responsible for the analysis of execution strategies for the Market Neutral Equity Team. He is a PhD candidate in Finance at the London School of Economics and his doctoral research involves the analysis of optimal submission strategies on electronic order books. He holds a Master in Finance and a BSc. in Chemical Engineering from Universidade Federal do Rio Grande do Sul, Brazil. Moacir previously worked in several financial institutions in Brazil, including Citibank, McKinsey, and Telefonica.
Alex Edmans grew up in Reading and then studied Economics & Management at Merton College, Oxford. After working as an investment banker with Morgan Stanley in London, he then earned a PhD in Financial Economics at the MIT Sloan School of Management, where he was a Fulbright Scholar. During his studies, he spent his first summer as an Associate in Morgan Stanley's Fixed Income Division in New York. Alex joined Wharton in 2007 as an Assistant Professor of Finance, where he has won five teaching awards in two years. Alex's research interests are in corporate finance and investments. His study on the link between employee satisfaction and shareholder returns won the 2007 Moskowitz Prize for Socially Responsible Investing research. His PhD thesis on the effect of international soccer results on investor sentiment and stock returns was a finalist for the Smith-Breeden Prize for best paper in the Journal of Finance. His paper on corporate governance via "voting with your feet" is forthcoming in the Journal of Finance, and a theory showing that executive compensation may be more efficient than commonly believed is forthcoming in the Review of Financial Studies. Alex's research has been covered by the Wall Street Journal, The Economist, Financial Times and New York Times, and he has appeared on CNBC, ESPN, Fox and the BBC.
Robert F.Engle is Michael Armellino Professor in the Management of Financial Services at NYU Stern School of Business. Prior to this he was Chair of Economics at the University of California, San Diego. Following a BS and MS in Physics he obtained his PhD in Economics from Cornell University. He is a Fellow of the American Academy of Arts and Sciences and Fellow of American Statistical Association. Rob has been and continues to be one of the great academic leaders in financial econometrics, from his pioneering work on autoregressive conditional heteroskedasticity and cointegration, to his current work on statistical modeling of volatility and correlation.
Alex Frino is Director of the Securities Industry Research Centre of Asia Pacific. He is also currently a consultant to the Sydney Futures Exchange. In 1991 he received a Masters Degree in Finance from the University of Cambridge, England and in 1995 a PhD in Finance from the University of Sydney, Australia. Professor Frino specialises in derivatives market microstructure and the role of derivatives in investment management. He has published several articles in leading scholarly journals including the Journal of Finance, Journal of Banking & Finance, Journal of Portfolio Management and Journal of Futures Markets. He has held Visiting Economist positions with CS First Boston Australia and the Sydney Futures Exchange. Alex is the recipient of the 2005 Fulbright Senior Scholar Award.
Peter K. Friz has been a Lecturer in Financial Mathematics at Cambridge University and Fellow of King's College for the past two years. Prior to that, he was an Associate at Merrill Lynch New York, in Jim Gatheral's quant group. He was also involved in several research projects at BNP-Paribas in New York, Ecole Normale Supérieure in Paris and at Oxford University. After studying Mathematics, Physics and Engineering at Vienna University of Technology, Ecole Centrale Paris and Cambridge University, Peter obtained his PhD in Finance from New York University, the Courant Institute of Mathematical Sciences. Peter already has 15 published/accepted articles and several preprints in the broad area of PDE, Finance and Stochastic Analysis, published in Physica D, JFA, Quantitative Finance, RISK, Annals of Probability etc. He also has a book in preparation entitled ‘Multidimensional Stochastic Processes as Rough Paths', edited by Cambridge University Press.
Ian Garrett is Professor of Finance at the Manchester School of Accounting and Finance, University of Manchester. Prior to joining Manchester University in 1996 he was a lecturer in the Department of Economics and Finance at Brunel University. His current research interests are in dividend policy, the relationship between spot and derivative markets and their implications for the predictability of mispricing, and the empirical performance of asset pricing models and their ability to explain behavioral anomalies.
Francesco Garzarelli is Executive Director and Senior Global Markets Economist in the Economics research group of Goldman Sachs International, London. Currently, Francesco focuses on global fixed income strategy. His research interests include credit risk and he has developed econometric models in this area. Francesco's work appears in several of Goldman Sachs' publications as well as the Journal of Fixed Income and the Credit magazine. Francesco started working for Goldman Sachs in September 1993 as a consultant to the government bond trading desk of Goldman Sachs Sim, Milan. He joined the Economics team in London at the end of 1995 specialising on Southern European economies. Francesco holds a MSc in Finance from the London Business School. He is a graduate cum laude of Bocconi University, Milan and has studied at the Hochschule St.Gallen in Switzerland.
Helyette Geman is a Professor of Finance at Birkbeck, University of London and ESSEC Business School. She is a graduate of the Ecole Normale Superieure in mathematics, holds a Masters degree in theoretical physics and a PhD in mathematics from the University Pierre et Marie Curie and a PhD in Finance from the University Pantheon Sorbonne. Professor Geman has been a scientific advisor to a number of major energy companies for the last decade, covering the spectrum of oil, natural gas and electricity as well as agricultural commodities origination and trading. She was previously the head of Research and Development at Caisse des Depots. She has published more than 80 papers in major finance journals including the Journal of Finance, Mathematical Finance, Journal of Financial Economics, Journal of Banking and Finance and Journal of Business. Professor Geman's research includes asset price modelling using jump-diffusions and Levy processes, commodity forward curve modelling and exotic option pricing for which she won the first prize of the Merrill Lynch Awards. Her book, 'Commodities and Commodity Derivatives' was published in 2005 by Wiley Finance.
Gordon Gemmill is Professor of Finance at the Cass Business School, City University, UK. He has been at the Business School since 1977, and at various times has been Head of the Department of Banking and Finance, Director of the MBA Finance and Director of the Master of European Business programmes. Currently he is chairman of the validation committee for MScs at ESCP-EAP in Paris/Berlin/London/Madrid. Recent derivatives research has been on volatility smiles and implied distributions for index options. His main active interest is in closed-end funds (investment trusts) and the pricing of assets for which arbitrage is relatively weak. Other research interests include modelling credit risk, and the organisation of markets (i.e. microstructure) and what determines bid/ask spreads. Website: http://www.staff.city.ac.uk/g.gemmill
Pierre Giot is a professor of finance at the University of Namur in Belgium where he heads the Center for Research in Finance and Management. He is also a board member of CORE at the Université catholique de Louvain (UCL) and he is a visiting professor at UCL and at the Sorbonne in Paris. He holds a Ph.D. in financial econometrics from CORE (UCL, Belgium). Prior to his current assignment in Namur, he was a professor of econometrics and quantitative finance at Maastricht University in The Netherlands. His research interests focus on modelling risk and volatility and also deal with applied market microstructure and the use of intraday data. He has published or has papers forthcoming in academic journals such as The Journal of Applied Econometrics, Energy Economics, The Journal of Futures Markets or The Journal of Computational Finance. He is the author of the book "Econometric modelling of stock market intraday activity" published by Kluwer Academic Publishers and is also a consultant to financial institutions.
http://www.core.ucl.ac.be/econometrics/giot.htm
Paul Glasserman is Professor and Chairman, Management Science Division, Graduate School of Business, Columbia University, New York. Professor Glasserman's research and teaching address risk management, the pricing of derivative securities, Monte Carlo simulation, statistics and operations. Prior to joining Columbia, Glasserman was with Bell Laboratories; he has also been a visiting professor at Princeton University. His research has been funded by grants from the National Science Foundation, the IBM Corporation, Goldman Sachs & Co., and the Electric Power Research Institute. Glasserman is a recipient of the National Young Investigator Award from the NSF, University Partnership Awards from IBM, the Outstanding Simulation Publication Award from the Institute of Management Science, the Erlang Prize in applied probability from INFORMS, and U.S. Patent 6,381,586. He is also a two-time recipient of the Dean's Award for Teaching Excellence. Glasserman is author of the book Monte Carlo Methods in Financial Engineering, published by Springer-Verlag in 2003. He serves as departmental editor of Management Science and associate editor of Finance & Stochastics, Mathematical Finance, the Annals of Applied Probability, and the Journal of Computational Finance. Glasserman is a member of the Education and Standards Committee of PRMIA, the Professional Risk Managers International Association. He has also served as a consultant to industrial corporations, management consulting firms and financial firms.
http://www3.gsb.columbia.edu/whoswho/bio.cfm?ID=64
Professor Alan Gregory is Director of Xfi, the Centre for Finance and Investment at the University of Exeter and a Professor of Corporate Finance. Prior to taking up this position he held professorial positions at both University of Wales, Aberystwyth, and University of Glasgow. In addition to his position at Exeter, he is a full panel member of the Competition Commission and is also a non executive director of Exeter Enterprises Ltd. His research interests cover two broad areas: (a) "market anomalies", including the risk and returns to "value" investing strategies, the performance of firms involved in merger and acquisition activity, and returns to strategies based around directors' share trading in their own firms; and (b) fund performance evaluation and style orientation, including work on pension fund performance and the performance of "ethical" unit trusts compared to their conventional counter-parts. His consulting experience includes acting as advisor to one of the largest accounting firms on company valuation, advising HM Treasury, and consulting for fund managers on investment strategies and asset allocation strategies. His work at the Competition Commission has involved being a panel member on a number of inquiries include a regulatory inquiry into airport pricing, market inquiries into domestic bulk liquid petroleum gas and the UK grocery market, and merger inquiries relating to the GUS/Littlewoods mail order operations and the takeover bids for the London Stock Exchange by Euronext and Deutsche Börse. In addition, he has acted as a consultant to other inquiries including the mobile telephone and storecards inquiries.
Carole Gresse is Professor of Finance at Paris-Nanterre University, where she teaches investment selection, international finance and market microstructure. She is a graduate of ESCP-EAP Graduate School of Management and holds a PhD from Paris-Dauphine University. Her dissertation was awarded by the Paris Stock Exchange and granted for publication by the French Ministry of Education and Research. Her research interests are in market microstructure and equity trading, and she recently published a book on market fragmentation. She has also worked as a consultant for banks, exchanges and brokerage firms.
Alexander Guembel is a University Lecturer in Management Studies (Finance) and Fellow of Lincoln College, Oxford. Alexander has research interests not only in all aspects of portfolio management but also in compensation schemes, price formation in financial markets and in the trading horizons of fund managers. He took a master's degree in Engineering and Management at Karlsruhe University in 1995, also in that year successfully completing an Oxford MPhil in Economics. His doctoral thesis, undertaken at the European University Institute in Italy was entitled ‘The Theory of Delegated Portfolio Management'. He has also completed internships in a range of organisations, including McKinseys and the World Bank.
Owain ap Gwilym is a Professor of Finance at Aberystwyth University. His research interests are in credit risk, market microstructure and asset pricing, and he has published widely in these areas. He is a co-editor of InteractiveData credit ratings products, and a academic advisor to the CFA Society of the UK. He was previously held academic positions at Southampton and Swansea universities.
