About the speakers (L-P)
Meziane Lasfer is professor of Finance at City University Business School. He has written extensively on corporate finance, capital markets and corporate governance issues. His research is widely reported in the financial press and was sponsored by the National Association of Pension Funds (NAPF), the Finance Lease Association (FLA) and the Institute of Chartered Accountants in England and Wales (ICAEW). The outcome of his research is published in top academic journals such as Journal of Finance, Journal of Banking and Finance, Journal of Corporate Finance, Financial Management and European Financial Management. Meziane has directed the City University Business School PhD programme from 1996 to 1999 and his outstanding teaching performance led him to win the First Dean's Prize for Teaching Excellence in 1998.
Colin Lawrence is Visiting Professor of Risk Management, Cass Business School, City University and Managing Partner LA Risk& Financial, a capital markets advisory firm in London, (http://www.icmacentre.rdg.ac.uk/nav2/www.lariskfin.com). He has over 20 years financial services experience, focusing on risk management, arbitrage and capital markets. He has held senior executive positions in major institutions including: Executive Vice President and Global Head of Financial Products, Republic National Bank, NY; Chairman of Republic National Bank NY Securities UK Ltd; Managing Director and Global Head of Risk Management, The Barclays Group; Managing Director and Global Head of Fixed Income Derivatives, UBS. He was formally Associate Professor of Money and Financial Markets, Graduate School of Business, Columbia University, New York. His advisory firm has been active advising major universal and investment banks and building Societies as well as regulators and central banks.
Stamatis Leontsinis obtained the MSc in International Securities Investment and Banking at the ICMA Centre (2004), graduating with distinction. He previously graduated from the Department of International and European Economic Studies at the Athens University of Economics and Business. He is currently pursuing his PhD. under the supervision of Professor Carol Alexander in the area of volatility trading and volatility derivatives pricing.
Francois-Serge Lhabitant is responsible for the investment research at Kedge Capital. He was previously a Member of Senior Management at Union Bancaire Privée (Geneva), taking charge of quantitative risk management for trading desks, and then managing all quantitative research and institutional portfolio management activities in the area of alternative investments. He was formerly a Director at UBS / Global Asset Management. On the academic side, Mr. Lhabitant is a Professor of Finance at the University of Lausanne and at EDHEC Business School. His specialist skills are in the areas of alternative investment (hedge funds) and emerging markets. He is the author of five books on these two subjects and has published numerous research and scientific popularisation articles. He is a member of the Scientific Council of the Autorité des Marches Financiers, the French regulatory body.
Don G. Linford is working for JP Morgan as the Regional Executive for the Western Hemisphere (The Americas & Caribbean), and manages teams located in Chicago, New York and Bournemouth, England. These teams are responsible for the management of agent banks that provide cash and security services to JP Morgan, and evaluate settlement and clearing risk. Customers include securities regulators, stock exchanges, central banks, and other key market participants. Mr. Linford has extensive experience in international finance and global capital markets operations and infrastructures. He has been asked by local regulators and stock exchanges in South America to consult on major financial and securities infrastructure projects. Mr. Linford has an MBA from Northeastern University in Boston, Massachusetts and a BA in Political Science from the University of Utah in Salt Lake City.
Sébastien Lleo is a researcher at Imperial College London. His research interests include investment management, risk management, asset pricing, stochastic control and stochastic analysis. Sébastien worked seven years in the investment industry, at the Bank of Canada and at CMHC Pension Fund. Sébastien holds a PhD in mathematics from Imperial College London (UK), a MBA from University of Ottawa (Canada), and a MSc. in Management from Reims Business School (France). He is a CFA Charterholder, a Professional Risk Manager, a Certified Financial Risk Manager.
Gunter Löffler is Professor of Finance at the University of Ulm in Germany. Previously, he held positions at Goethe University Frankfurt and Commerzbank. His PhD in finance is from the University of Mannheim. Gunter's current research interests are on credit risk and empirical finance. His papers have been published in journals such as the Journal of Banking and Finance, Journal of Fixed Income, and Journal of Risk. Gunter is co-author of the book "Credit Risk Modeling using Excel and VBA".
Jason MacQueen is Chairman of Alpha Strategies LLC, an investment consulting firm operating out of Philadelphia and London. He is also the Founder of QUANTEC Ltd., a leading provider of investment technology and risk models for international investors. Jason is a world-renowned expert on the practical applications of portfolio theory to international and global investment management. He developed the first risk models for the British and Japanese equity markets, and the first global asset allocation model to incorporate currency hedging. He pioneered the development and use of multi-factor stock selection models in both the U.S.A. and Japan, and the investment track record of his long-term collaborators is exceptional. More recently, he has helped to develop the first truly global risk model, and a global stock selection model. Since founding QUANTEC in 1980 Jason has developed the theoretical framework of Markowitz and his successors into a practical set of tools for international fund managers. By his passionate pleas for a disciplined and logically coherent approach to portfolio management, he has acquired an international reputation as speaker, consultant and iconoclast. He was educated at Oxford and London Universities, where he read Mathematics and Theoretical Physics.
Gianluca Marcato is Reader (Associate Professor) in Real Estate Finance and Director of the Master in Real Estate Finance and Investment at the University of Reading, where he is also Senior Research Associate at the ICMA Centre. Previously he worked at CASS Business School and Bocconi University. Starting from a background in corporate finance, he developed an interest in real estate, and particularly in investment, portfolio management and real estate finance. Lately his research and teaching interest is expanding into securitized real estate products such as REITs, derivatives, CMBS and unlisted funds. As a consultant in the real estate industry, he led the introduction of a new real estate index and benchmarking service for IPD in Italy and still works as a senior consultant in the research, training and Italian teams. He also created the Jones Lang LaSalle style index, and worked for several other companies on issues such as performance measurement, investment and securities appraisal, portfolio management and real estate finance.
Raphael Markellos is Senior Lecturer in Quantitative Finance at the Department of Management Science and Technology and the MBA International of Athens University of Economics and Business (AUEB). He is also Visiting Research Fellow at the Centre for International Financial and Economic Research (CIFER), Loughborough University, UK. He read for his PhD at the Department of Economics, Loughborough University, UK as a Junior Research Fellow of the Royal Economic Society. He has over 30 publications in international academic journals and books and is a regular speaker at international conferences. At present he is co-authoring with T.C. Mills the 3rd edition of the book "The econometric modelling of financial time series" (Cambridge University Press). His current research interests are in estimation risk, volatility, real options, and, carbon markets. Markellos has extensive consulting experience working for organizations in the US, UK, Germany and Greece.
Ian Marsh worked in the City of London as an International Banker and Financial Economist for four years before starting his PhD at the University of Strathclye under the supervision of Professor Ronnie MacDonald. He spent time in the IMF Research Department and joined the Economics faculty at Strathclyde on finishing his thesis. Ian moved to Cass (then City University Business School) in 1998 as a Senior Lecturer in Finance. He spent the academic years 2001/02-2002/03 on leave in the Financial Stability area of the Bank of England managing a research team looking at international financial market issues. His current research interests include foreign exchange market microstructure issues and the implications of credit risk transfer innovations on bank behaviour.
Frank McGroarty earned his BA and MA degrees in Economics at University College Dublin. After a 14-year career as an investment practitioner, he returned to academia, as a Lecturer in Finance at the University of Southampton, from where he received his PhD (Finance). He spent his investment practitioner career in the City of London. His former employers include Barclays Global Investors, State Street Bank and UBS. His former roles include fund manager, strategist and head of research. He worked in equities, foreign exchange, asset allocation and hedge funds. However, the focus of his work was the same in every market: he used quantitative techniques to assess values and to find strategies which outperform benchmarks. He has served on boards of the Global Association of Risk Professionals (GARP), the Fund Managers Association (FMA) and the INstitute for QUantitative Investment REsearch (INQUIRE). He has published a number of articles in the financial press and has authored several broker research reports. He has also spoken at numerous investment industry conferences.
George McKenzie is an emeritus Professor of Finance at the University of Southampton. He was the Director of the School of Management from 1997 until 2000 and Head of the Economics Department from 1978 until 1979. He holds the degrees of MA from the Fletcher School of Law and Diplomacy and the PhD from the University of California at Berkeley. He has been a co-recipient of the EPSRC research funding under the Single European Market Initiative (1991 - 94) and under the Global Environmental Change Initiative, Phase IV (1995 - 1999).
Fabio Mercurio is Head of Financial Models at Banca IMI, Milan. He holds a B.A. in Applied Mathematics from the University of Padua and a PhD in Mathematical Finance from the Tinbergen Institute of Rotterdam. In 1996,Fabio worked in the Risk Management department of Cariplo Bank, Milan, where his tasks included market risk evaluations and measurements and the study and implementations of financial models for pricing derivatives. He joined Banca IMI in 1998, where is leading a group of advanced modelists who provide quantitative support to the bank options traders. His current tasks include the pricing and hedging of interest rate, FX and equity derivatives under smile effects, the pricing of hybrid products and portfolio insurance strategies. His recent research focuses on possible extensions of the BGM model and the pricing of the implied volatility smile effect in both the FX and equity markets. Fabio has published extensively in international academic journals, such as Mathematical Finance, Applied Mathematical Finance, Finance and Stochastics, International Journal of Theoretical & Applied Finance, Quantitative Finance and Risk Magazine. He is co-author (with Damiano Brigo) of Interest Rate Models: Theory and Practice Springer-Verlag (2001).
Svetlana Mira has recently completed her PhD thesis at Cardiff University under the supervision of Professor Robert McNabb and Dr. Nick Taylor and currently she is a Lecturer in Finance at Cardiff. Her PhD thesis examines the determinants of the accuracy of analyst earnings forecasts in the UK. In particular, the thesis focuses on the effect of board and ownership structure, and intangible assets, upon the quality of individual analyst's forecasts within an advanced panel data framework. In addition, Svetlana has an interest in the organization of financial markets and is currently teaching Financial Markets and Institutions to undergraduate students at Cardiff.
Michael Monoyios is a University Lecturer in Financial Mathematics at the Mathematical Institute, University of Oxford. His research interests include: optimal hedging in incomplete markets, transaction costs and singular control, model uncertainty, and information problems. Monoyios obtained a PhD in Theoretical Physics from Imperial College, and was then a Royal Society Research Fellow at the Niels Bohr Institute in Copenhagen. He was then a trader of interest rate derivatives from 1990 to 1993 before returning to academia in Financial Mathematics.
Anne Murphy is a lecturer in early modern history at the University of Hertfordshire. She joined academia after spending twelve years in the City trading various currencies and instruments in the international foreign exchange and money markets. Her research interests derive from that background in finance, and concern the nature of Europe's financial markets, the behaviour of investors, and the function and relevance of financial information from the early modern period to the present day. Her publications include articles in History, Financial History Review and Economic History Review and a monograph published by Cambridge University Press entitled The Origins of English Financial Markets: investment and speculation before the South Sea Bubble.
John O'Brien is Associate Professor of Accounting and Experimental Economics at the Tepper School of Business, Carnegie Mellon University, US. Educated at the Universities of Sydney and MacQuarie, he moved to the University of Minnesota for his PhD. His current research interests include formation of expectations in capital markets, laboratory markets and managerial accounting in JIT environments, technology and experiential learning.
Luke Olsen is associate director of quantitative research and analytics for the convertible bonds business. His responsibilities include development and implementation of valuation models, analytical tools and front-office systems. Before joining the convertible bonds team in 1997, Luke worked on the Equity Derivatives Quantitative Research desk at BZW. Luke joined BZW after completing his PhD in Mathematical Biology at Corpus Christi, University of Oxford. His thesis examined the "Mathematical Modelling of Contraction, Fibroplasia and Angiogenesis in Dermal Wound Healing". This followed a BA in Mathematics from the same institution.
Roel Oomen is Lecturer in Finance in the Department of Accounting and Finance, Warwick Business School and Associate Research Fellow, Faculty of Finance, Cass Business School, London. His research interests are in the risk management of derivatives, market microstructure, time series econometrics, continuous time models and high frequency data.
www.warwick.ac.uk/staff/R.C.A.Oomen
Jerry Parwada is a Senior Lecturer in the School of Banking and Finance at the University of New South Wales in Sydney. He has a PhD in finance from Edith Cowan University in Western Australia where he also took his MBA, and holds a Bachelor of Commerce degree from the National University of Science and Technology in Zimbabwe. Jerry specialises in funds management, financial intermediation and international financial flows. He has published extensively in academic and practitioner journals including Journal of Financial and Quantitative Analysis, Journal of Business Finance and Accounting, Journal of Financial Services Research, Pacific-Basin Finance Journal and Journal of Investing. His previous appointments include investment banking roles in Southern Africa.
Richard Payne is Associate Professor of Finance at Warwick Business School. His research interests are in the areas of FX and equity market microstructure, equity return forecasting and portfolio management. He has previously held positions at the LSE and the University of Bristol and has worked in the private sector for Deutsche Bank and Credit Suisse.
Andrew Patton is a Lecturer in Finance at the London School of Economics. His research focuses on Financial Econometrics, with particular emphasis on the forecasting of asset return risk and dependence. He completed his undergraduate work in Sydney, and his PhD at the University of California, San Diego. Andrew also serves as an academic consultant to the Bank of England.
William Perraudin is a professor of finance at Birkbeck College, London, and is a Special Advisor to the Bank of England. He holds a PhD from Harvard University and his research focuses on continuous time pricing, credit risk modelling, strategic contingent claims models and risk management. Before coming to Birkbeck, he taught in Cambridge University and worked in the City and for the International Monetary Fund. He has acted as consultant for investment banks, central banks, and multilateral organisations.
Jacques Pézier is currently Visiting Professor at the ICMA Centre (International Capital Markets Association), the business school for financial markets of the University of Reading. He gained extensive experience across the financial services industry as he held senior management positions with Credit Agricole-Lazard FP Bank, Mitsubishi Finance and Barclays, de Zoete, Wedd. He is still involved with the industry (Member of Cedar Partner's Tactical Asset Allocation Committee and Member of the Risk Advisory Board of Finles NV) and is a frequent lecturer and consultant on matters of financial innovation and risk management. He is Chairman of the Advisory Board of the Futures and Options Research Center (FORC) at the University of Warwick. He graduated from Ecole Centrale (Paris) and holds a DEA in mathematical physics and a PhD in decision theory. He is the author of numerous articles on decision theory, risk management and arbitrage.
Michael Pitt is a Lecturer in Economics at the University of Warwick. He obtained a D.Phil at Nuffield College, Oxford under the supervision of Neil Shephard and following this held a post-doc position in the department of mathematics, Imperial College, London. Currently he works on computationally intensive methods for statistics and econometrics, in particular for time series models. He has developed efficient Bayesian methods for analysing discrete time stochastic volatility models which arise in finance, relying on Monte Carlo methods. In addition, his research has focused on efficient methods for filtering time series models. This has become an important issue in finance where the interest in conditioning upon information as it arises. Recently he has been concerned with the estimation and filtering for stochastic differential equations which categorise continuous time models.
Valerio Poti is a Lecturer in Finance at Dublin City University. He graduated in Banking and Finance from Bocconi University in Milan, studied as a Visiting Research Scholar in New York University Stern School of Business, where he conducted research on international finance and the profitability of currency strategies under the mentoring of Professor Richard Levich, and gained a Ph.D. in Finance from Trinity College Dublin. His research interests include asset pricing, performance attribution, market efficiency, international finance, behavioural finance, financial econometrics. His papers have been published or are forthcoming in international peer reviewed journals, such as European Financial Management, and he has contributed to practitioner-oriented books on portfolio and risk management. His consulting experience includes advising banks on capital management and performance attribution. In the past, he taught International Finance at Queen's University Belfast, worked as an equity option market maker on the Milan derivatives exchange and was the head of the Financial Engineering desk of the Dublin subsidiary of Banca Monte dei Paschi di Siena.
Mirela Predescu is currently completing her PhD thesis in Finance at University of Toronto, Rotman School of Management under the joint supervision of Professors John Hull and Alan White. Her research interests are in the credit risk area. She is interested in both empirical as well as theoretical issues related to credit derivatives and corporate bond markets. Mirela holds an M.A. in Economics from the University of Toronto, Department of Economics. Prior to that, she obtained her BSc in Quantitative Economics from the Academy of Economic Studies, Faculty of Economic Cybernetics, Statistics and Computer Science.
Stanley R. Pliska is a Professor of Finance at the University of Illinois at Chicago. Formerly he was a professor at Northwestern University. He is the founder and former managing editor of Mathematical Finance, and he was the chair of the organizing committee of the Third World Congress of the Bachelier Finance Society, held in July, 2004, in Chicago, and he is an organizer of the Quantitative Finance conference to be held July 4-8 at the Isaac Newton Institute in Cambridge. He has a B.S. degree from the Massachusetts Institute of Technology and a Ph.D. from Stanford University. He is well known for his research in the area of quantitative finance, especially for his contributions to the fundamental theorem of asset pricing, to the risk neutral approach to portfolio management, and to other basic theory involving the applications of stochastic calculus and optimization in finance.
