personal descriptions

• Dr Jörg Behrens, Ernst & Young, Switzerland

Jörg is a partner in the Financial Services Risk Management team in Zurich and also heading the Capital Management & Financial / Business Modeling team within FSRM. He received his Ph.D. from ETH Zurich for his research in high-energy physics at the LEP accelerator of the European Nuclear Research Facility CERN, Geneva.
Jörg joined Ernst & Young in July 2002 as former head of the Quantitative Risk Team of Andersen's Financial Risk Management practise which he joined in December 2000. Prior to that time Jörg held a number of key positions within the Risk Management area of UBS in London and Zurich. His industry knowledge includes 9 years of experience in Market and Credit Risk Management with a special emphasis on Financial and Business Model review and development. Jörg's deep Financial and Business modeling experience has gained him expertise in building highly effective and efficient models to support strategic decision-making at all levels within an organisation. Jörg's solid business background coupled with his strong technical know-how have afforded him well to serve as the engagement partner on projects ranging from those with completely quantitative deliverables to those with a high-level strategic advisory scope. Jörg serves as the hands-on engagement partner for projects in the fields of risk quantification, business process reengineering / optimisation, strategic analysis & planning (decision-support) and enhancement for credit and market risk with a special focus on capital management, RAROC (performance measurement) and all aspects of the new Basel II Accord. He is a regular speaker at various international conferences.

• Dr Stefan Benvegnu, Deutsche Bank

Stefan Benvegnù currently works in the Economic Capital Methodology and Implementation group within Deutsche Bank´s credit risk management department. His main working areas are credit risk modelling and securitizations. Prior to this position he worked as consultant in the financial software branch. He received a diploma in theoretical physics from the University of Karlsruhe and a Ph.D. in mathematics from the University of Bochum.

• Dr Nicole Branger, Goethe University

Nicole Branger is a postdoctoral researcher with the derivatives group lead by Professor Christian Schlag at Goethe University in Frankfurt am Main. She holds a Ph.D. in economics from the University of Karlsruhe. Her research areas are derivatives and financial engineering. She is particularly interested in incomplete markets, interest rate derivatives, and model risk.

• Prof Pierre Collin-Dufresne, Carnegie Mellon University

Pierre Collin-Dufresne is an Associate Professor of Finance at Carnegie Mellon University. He earned his Ph.D. in 1998 from the HEC School of Management, Paris, France. Dr. Collin-Dufresne's teaching and research interests include Asset and Contingent Claim Pricing, Fixed Income Securities, Default Risk, Emerging Markets, and International Finance. He has served as a consultant for multiple financial institutions and has several publications in refereed journals such as the Journal of Finance and Journal of Derivatives. He is a member of the Center for Computational Finance of Carnegie Mellon University and an associate editor of the Review of Financial Studies.

• Dr Bernd Engelmann, Bundesbank

Bernd Engelmann is an economist in the Banking Supervision Research Group of the Deutsche Bundesbank in Frankfurt. He holds a diploma in mathematics from the University of Augsburg and a PhD in financial economics from the University of Vienna. He currently works on credit scoring and credit risk modelling.

• Dr Robert Fiedler, Algorithmics Frankfurt

Robert Fiedler, born 1955 near Frankfurt, studied Mathematics, Computer Sciences and Philosophy at the Universities of Heidelberg and Darmstadt where he obtained a PhD in mathematics (differential geometry) and worked as a scientist and lecturer. He joined Banque Nationale de Paris in Frankfurt as a money market / interest rate derivatives trader, later heading up the asset/ liability management team.
He was Deputy Head of Financial Markets at NatWest Markets in Frankfurt until he moved to risk management in London.
1997 he joined Deutsche Bank in Frankfurt, where he headed the team in Group Risk Management dealing with treasury and liquidity risk issues, reporting to the Group Head of Market- and Operational Risk.
After developing a new methodological framework for funding liquidity risk, he implemented this approach as a firm-wide liquidity risk IT solution called LiMA - Liquidity Measurement & Analysis.
Since September 2000 he built as a Senior Director the benchmark solution for Fundingg Liquidity Risk at Algorithmics Inc., Toronto. Now he heads as an Executive Director Algorithmics' ALM and Liquidity Risk Solutions.

• Prof Rüdiger Frey, University of Leipzig

Rüdiger Frey is Professor of Financial Mathematics at the University of Leipzig, Germany. Prior to that he held positions as Assistant Professor of Finance at the University of Zurich and as UBS research fellow in financial mathematics at the Federal Institute of Technology (ETH) in Zurich. He holds a diploma in mathematics from the Univeristy of Bonn where he received his PhD in financial economics in 1996. His main research fields are quantitative risk management and the pricing and hedging of derivatives under incompleteness and market frictions. Rüdiger has published research papers in leading journals and has given seminars at a number of important international conferences and institutions. He has also been involved in consulting projects for Swiss insurance companies and banks.

• Dr Jürgen Hakala, Commerzbank

Jürgen Hakala is Head of Quantitative Research in Commerzbank ZGS FX. 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.

• Dr Vicky Henderson, University of Oxford

Vicky Henderson is Nomura Research Fellow at the Nomura Centre for Quantitative Finance, Mathematical Institute at the University of Oxford. She previously held postdoctoral positions at RiskLab, ETH Zurich and FORC at the University of Warwick. Since obtaining her PhD on passport option pricing from the University of Bath in 1999, Vicky has published in many leading journals on topics including comparison of option prices in jump diffusion and stochastic volatility models, options on non-traded assets, real options, Asian option symmetries and valuation of executive stock options. Vicky has presented at numerous international academic and practitioner conferences and previously worked as a Quantitative Analyst for Westpac, Sydney.

• Dr David Hobson, University of Bath

Dr David Hobson is Reader in Statistics at the University of Bath. He also currently holds an Advanced Fellowship from the EPSRC which means that he can devote the next five years to research. His background is in probability theory, but now he works mainly on mathematical finance. He has worked extensively on stochastic volatility, passport options, and robust, model-independent bounds for the prices of barrier options. More generally his research interests concern the pricing of derivative securities in incomplete markets.

• Prof Claudia Klüppelberg, Technical University Munich

Professor Dr. Claudia Klüppelberg holds the Chair of Mathematical Statistics at the Center for Mathematical Sciences of the Munich University of Technology.
After her Diploma in Mathematics and a Ph.D. at the University of Mannheim Claudia Klüppelberg spent five years (1990-1995) as a Postdoc in the Insurance Mathematics group of the Department Mathematik at ETH Zurich (with Profs. Hans Bühlmann and Paul Embrechts).
During 1995-97 Claudia Klüppelberg was Associated Professor of Applied Statistics at the Mathematics Department of the University of Mainz. In Spring 1997 she accepted an offer of the Munich University of Technology. She took part in creating a very successful Diploma Programme in Financial and Economic Mathematics, which started in October 1997. this Programme contains courses in financial and insurance mathematics.
Claudia Klüppelbergs research interest combine various areas of applied probability and statistics, and her work is often motivated by real life problems. At the moment this concerns mainly the areas of insurance and finance. Both fields concentrate on financial risk management; the mathematical models and methods, however, differ.
Besides numerous publications in scientific journals, Claudia Klüppelberg has coauthored the book Embrechts, P., Klüppelberg, C. and Mikosch T. (1997, 1999, 2001) Modelling Extremal Events for Insurance and Finance. Springer, Berlin.

• Prof Christoph Kühn, Frankfurt MathFinance Institute

Christoph Kühn is Juniorprofessor at the Frankfurt MathFinance Institute. Prior to that he worked as a post-doctoral researcher at Vienna University of Technology. He holds a diploma in mathematical economics from the University of Marburg and a PhD in mathematics from Munich University of Technology.
His main research fields are pricing and hedging of derivatives in incomplete market models and models with transaction costs.

• Dr Jürgen Linde, Dresdner Bank

Jürgen Linde works in the Global Models And Analytics Group at Dresdner Bank with focus on model validation for interest rate derivatives. Prior to his current position he was senior consultant at KPMG's "Financial Risk Management Advisory Group". He studied mathematics in Heidelberg and received his Ph.D. at Dortmund's Scientific Computing Faculty where he worked on numerical techniques for partial differential equations.

• Dr Fehmi Özkan, University of Freiburg

Fehmi Özkan teaches stochastics and mathematical finance at the University of Freiburg. He is also a research fellow at the Freiburg Centre for Data Analysis and Modelling. He got his Ph.D. in mathematics from the University of Freiburg under the supervision of Ernst Eberlein in 2002. His research interests are statistical analysis of financial data and applications of Levy processes in finance, credit risk and Libor models.

• Christoph Reisinger, University of Heidelberg

Christoph Reisinger works on option pricing at the Interdisciplinary Center for Scientific Computing (IWR) at the University of Heidelberg. Coming from computational fluid dynamics, the field of research covers numerical techniques for partial differential equations. Primary interests are currently feasible and accurate discretisations for high-dimensional PDEs resulting from multivariate option pricing problems. The focus is on sparse grid and extrapolation methods, which are coupled with dimension reduction approaches.

• Dr Richard Rossmanith, d-fine

Richard Rossmanith is Senior Consultant at d-fine GmbH, the former Financial and Commodity Risk Consulting practice of Arthur Andersen. He joined Arthur Andersen in 1998, and has subsequently consulted German banks on quantitative finance, mathematical methods, IT integration, outsourcing, and regulatory compliance, and in particular on the issue of financial market data. The latter topic inspired his MSc thesis for the Mathematical Finance postgraduate program at Oxford University, and the talk at the conference gives a brief summary (the thesis is available upon request, or can be downloaded from www.d-fine.de).
Mr Rossmanith studied Mathematics (and worked as University Assistant) at Universität Augsburg, Iowa State University in Ames (USA), and Friedrich-Schiller-Universität Jena, where he received his Dr. rer. nat. (PhD) for a dissertation thesis on Lie Algebras, Group Algebras, and Computer Algebra.
Dr Rossmanith has been appointed Honorary Lecturer for Financial Mathematics by the University of St Andrews (Scotland) since 2000.

• Prof Wolfgang Schmidt, Hochschule für Bankwirtschaft, Frankfurt

Wolfgang M. Schmidt is currently Professor for Quantitative Methods at the Hochschule für Bankwirtschaft (Business School for Banking and Finance) in Frankfurt. From 1992 to 2002 he was Director and Head of Research and Analytics at Deutsche Bank AG in Frankfurt. Prior to joining Deutsche Bank he held teaching and research positions at the University of Jena, Berlin, Moscow and Tbilissi. He graduated in Mathematics from Dresden University of Technology and holds a PhD and Habilitation in the field of probability theory from the University of Jena. Prof. Schmidt is the author of research papers in the fields of probability theory, stochastic processes and mathematical finance as well as co-author (with S. Assing) of the book ''Continuous Strong Markov Processes in Dimension One - A Stochastic Calculus Approach'', Springer Verlag . His current research interests include mathematical finance, risk management, credit default modelling, term structure modelling.

• Prof Ronald Smith, Loughborough University

Ron Smith is Professor of Applied Mathematics at Loughborough University. His interest in optimal computation of equations with decay, flow and spread, arose in the 1990's from work with a team of UK Government scientists on predicting the isotopic fractionation of nuclear waste in groundwater flows. Computational improvements allowed a wide spectrum of future climates to be studied for less than the previous price of a single prediction. The political sensitivity of the isotopes and possible waste sites precluded open-literature publication of the teams' results. The computational ideas are not secret and are widely applicable, including to the Black-Scholes equation in mathematical finance.

• Dr Mikhail Soloveitchik, d-fine

I am a senior-consultant at d-fine (former Financial and Commodity Risk Consulting practice of Arthur Andersen ). I studied Mathematics at the Moscow State University (PhD 1989 in probabilty theory and stochastic processes) and hold a research positionat at the University of Heidelberg (Habilitation 1997). Last years I work as a consultant for the financial industry. My interest include quantative mathematical analysis of financial markets and it's application to practical problems of financial risk management. I have been working on several projects in German and Eropean financial institutes.

• Dr Robert Tompkins, Hochschule für Bankwirtschaft, Frankfurt

Robert Tompkins is a University Dozent at the Technical University Vienna and has 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. He will start at HfB, Frankfurt, as a Professor of Finance in autumn 2003.
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.

• Dr Torsten Wegner, d-fine

Torsten Wegner is senior-consultant at d-fine, former Financial and Commodity Risk Consulting practice of Arthur Andersen. He studied physics at the Humboldt-University in Berlin where he received his PhD in 2000. Soon he discovered the challenge of quantitative finance and studied mathematical finance at the Oxford University. Since then, he has been been working on several projects in this area.