personal descriptions

• Hans-Peter Deutsch, Andersen

Dr Hans-Peter Deutsch is a Partner at Andersen and head of Andersen's Financial and Commodity Risk Consulting (FCRC) in Germany, which he founded in 1997 and developed from scratch to the over hundred people strong consulting practice it is today. He is also Faculty Member and Member of the Advisory Board of the Mathematical Finance Programme at the University of Oxford (see http://www.conted.ox.ac.uk/mathsfinance/) England, and Director of the German Chapter of GARP, the Global Association of Risk Professionals (see http://www.garp.com/). He has worked with clients in several IT-based trading and risk management projects, including software selection and development, pricing and risk management models for derivatives, and is author of several books (see for instance http://www.palgrave.com/catalogue/catalogue.asp?Title_Id=0333977068) and many publications in this area and a regular speaker at conferences. Before joining Andersen, Hans-Peter headed trading system development at a major German Bank and served as a consultant with Andersen Consulting (now Accenture). He holds a Ph.D. in theoretical physics and is also author of about 20 international scientific publications in this field, mainly on Monte Carlo simulations of stochastic processes.

• Jürgen Hakala, Commerzbank

Jürgen Hakala is Head of Quantitative Reserach at Commerzbank Treasury and Financial Products since 4 years. His research areas are models and products for foreign exchange derivatives and hybrid interest rate and foreign exchange models. Computational Finance is a key element for all his activities. He received a masters degree in theoretical physics from the University of Karlsruhe and a Ph.D. in mathematics from the University of Bonn at the institute for Neural Networks.

• Norbert Hofmann, Goethe-University

Norbert Hofmann is scientific assistant to Prof.Dr.P.E.Kloeden in the Section: Numerics, dynamics and optimization at Goethe-University in Frankfurt. He formerly worked at the Weierstrass-Institute of Applied Analysis and Stochastics in Berlin, at the University of Erlangen-Nuernberg and as a visiting research fellow at the Australian National University in Canberra (Australia). His research area is stochastic numerics. Particularly he is interested in numerical methods for stochastic differential equations. Computational Finance turned out to be an important application of his work. He has written papers on the application of weak approximation of stochastic differential equations in option pricing and on the approximation of large portfolios.

• Tino Kluge, Chemnitz University of Technology

Tino Kluge is a student of Mathematics and Technology at Chemnitz University of Technology. He recently worked in the Quantitative Research department at Commerzbank as an intern where he pursued a project about stochastic volatility models and finite difference methods.

• Jörn Rank, Andersen

Jörn Rank is a senior consultant at Andersen's Financial and Commodity Risk Consulting Group. During his time at Andersen, he has worked with several German banks. The main part of his work was the implementation of trading and risk management systems. Before he joined Andersen in 1998, he worked for a few months at Commerzbank in Frankfurt. Jörn holds a Ph.D. in theoretical physics from the University of Bielefeld and a diploma in Mathematical Finance from the University of Oxford. He is author of several international scientific publications on high energy physics.

• L. C. G. Rogers, University of Bath

Chris Rogers is Professor of Probability at the University of Bath. He is the author of more than 100 publications, including the famous two-volume work, Diffusions, Markov Processes, and Martingales with David Williams. His Finance papers include the potential approach to term structure of interest rates, complete models of stochastic volatility, portfolio turnpike theorems, improved binomial pricing, infrequent portfolio review high-frequency data modelling. Chris is co-editor of Finance and Stochastics and an associate editor of several journals, including Mathematical Finance. He is a frequent speaker at industry conferences and courses, and consults for a number of financial clients.

• Uwe Schmock, ETH and University of Zürich

Uwe Schmock is currently director of the program Master of Science in Finance, which is offered jointly by the Swiss Federal Institute of Technology (ETH) and the University of Zürich. Uwe studied mathematics and physics at the Technical University of Berlin, Germany, and at the California Institute of Technology. He holds a diploma and a Ph.D. in mathematics from the TU Berlin. He formerly worked for five years as a postdoc at the University of Zürich, for four years as Credit Suisse Research Fellow at ETH Zürich, and for more than two years as Research Director of the finance competence center RiskLab within the Department of Mathematics at the ETH Zürich. The Swiss RiskLab is financially supported by Credit Suisse Group, Swiss Re, UBS AG, and ETH Zürich. Uwe's research interests include applications of large and moderate deviations theory, securitisation, applications of extreme value theory, model risk, risk capital allocation, and mathematical finance in general.

• Ingo Schneider, BHF-Bank

Ingo Schneider is Fixed Income Derivatives Trader at BHF-Bank, (ING-Group) Frankfurt. He trades interest rate derivatives, develops and implements OTC interest rate derivative products and works on term structure models. He received his diploma and doctorate degree in Physics from Goethe-University in Frankfurt.

• Peter Schwendner, Sal. Oppenheim jr. & Cie

Peter Schwendner holds a Ph.D. in theoretical physics from the University of Goettingen. Since 1998, he works at the Equity Trading & Products Department of Sal. Oppenheim, where he develops and implements equity derivative products. Some joint work with Bernd Engelmann and others can be downloaded from www.oppenheim.de/quant.

• Tino Senge, Commerzbank

Tino Senge is a Quantitative Research Specialist at Commerzbank Treasury and Financial Products in Frankfurt where he is working on models for pricing foreign exchange derivatives. Tino has studied Mathematics in Jena (Germany) and Cork (Ireland). Before joining Commerzbank he had worked with Commerz Financial Products and DG Bank. His current research interests include jump-diffusion model models for modeling the volatility smile in foreign exchange markets and its application to the pricing of exotic derivatives.

• Steven E. Shreve, Carnegie Mellon University

Steven E. Shreve is a Professor of Mathematics at Carnegie Mellon University. Steven is the author with I. Karatzas, of two books related to finance: ``Brownian Motion and Stochastic Calculus'' and ``Methods of Mathematical Finance,'' co-editor of the proceedings ``Mathematical Finance, Vol. 65, Institute for Mathematics and its Applications,'' and advisory editor of the journal ``Finance and Stochastics.'' Steve began research on the capital asset pricing model in 1980, and has worked in various aspects of mathematical finance since then, including the effect of transaction costs on option pricing, the effect of unknown volatility on option prices, pricing and hedging of exotic options, and models of credit risk. In 1991 he founded the Ph.D. program in Mathematical Finance at Carnegie Mellon, and in 1994 was one of the founders of the Master's program in Computational Finance.

• Hermann Stahl, Commerzbank

Hermann Stahl is a lawyer and admitted to the bar in Frankfurt am Main and New York. He heads an area within Commerbank's central legal department which deals with derivatives, trading and exchanges. Her received his education in law and related subjects at Universität Bayreuth, Bayreuth, Germany, Washington & Lee University, Lexington, Virginia, USA, and the University of Illinois at Urbana-Champaign, Champaign, Illinois, USA.

• Felix Streichert, University Tübingen

Felix Streichert is currently Research Assistant at the Department of Computer Architecture within the Wilhelm-Schickard-Institute of the Eberhard-Karls-University T?bingen. He holds a diploma in Technical Cybernetics from the University of Stuttgart. His research interests are Evolutionary Algorithms in general, Hybrid Evolutionary Algorithms and financial applications of Evolutionary Algorithms.

• Josef Teichmann, Technical University Vienna

Born in Lienz, Eastern Tyrol, Austria. Studies of Mathematics in Graz, Besancon and Vienna. Thesis on Infinite dimensional Lie groups at the University of Vienna (supervised by Peter Michor). Assistent Professor at the Department of Financial and Actuarial Mathematics at the Technical University of Vienna (Walter Schachermayer). Research in Interest Rate Models, HJM-Theory and Differential Geometry.

• Robert Tompkins, Technical University Vienna

Robert Tompkins is a University Dozent at the Technical Universität, Vienna. He has recently accepted an Honorary Professorship at the University of Warwick Business School, where he has taught courses on Financial Markets during the 2000/2001 academic year.
Dr. Tompkins was formerly the Head of International Quantitative Research at Kleinwort Benson Investment Management. In addition, he remains the Managing Director of the Minerva Group. Prior to this, he was the Futures and Options Specialist at Merrill Lynch, Europe and an Interest Rate Options Dealer and Currency Options Trader at two major Chicago banks. He has three degrees from the University of Chicago, including an MA in Quantitative Methods and an MBA (honours). In addition, he completed his Ph.D. in Finance at the University of Warwick in 1998 and his Habilitation in Finanzwirtschaft at the University of Technology, Vienna in 2000.
Robert has authored three books on Options and edited a book on exotic options "From Black Scholes to Black Holes". Robert is currently writing a series on Exotic Options, which appears in the Austrian Journal, Bank Archiv. This series will form the basis of a book that will be published by Cambridge University Press in 2002. He has published widely in RISK Magazine, and a number of academic journals including Journal of Futures Markets, Journal of Derivatives, Journal of Risk Finance, Journal of Risk, Quantitative Finance and the European Journal of Finance. Robert's current research interests include comparisons of established and emerging markets, volatility estimation and forecasting, implied volatility smile patterns and the hedging of exotic contingent claims.

• Jürgen Topper, Andersen

Jürgen Topper joined Andersen in 1997 after finishing a master's degree in economics at the University of Hannover (Germany). During his university years, Jürgen worked on several projects for mechanical engineering in academia and industry on coupling finite element analysis with tools from operations research. Jürgen's primary areas of interest are exotic derivatives and structured products. His consulting practice includes numerous international banks and European corporates.

• Uwe Wystup, Commerzbank

Uwe Wystup works in the Global Structured Risk Management team at Commerzbank Treasury and Financial Products, Frankfurt. Before that he worked for Deutsche Bank, Citibank, UBS and Sal. Oppenheim jr. & Cie. He is founder and manager of the website MathFinance.de and the MathFinance newsletter. Uwe has a PhD in mathematical finance from Carnegie Mellon University. He also lectures on mathematical finance for Goethe University Frankfurt, organizes the Frankfurt MathFinance Colloquium and is founding director of the Frankfurt MathFinance Institute. His area of specialization are the quantitative aspects of foreign exchange markets. He recently published a book on Foreign Exchange Risk. Uwe has given many presentations at both universities and banks around the world.

sponsors

Andersen Financial and Commodity Risk Consulting	Commerzbank AG	Deutsche Bank AG	Landeszentralbank Hessen