personal descriptions

• Dr Ralph Bilger, d-fine

Ralph Bilger is a senior consultant at d-fine GmbH, and a lecturer in physics and mathematical finance in the physics department at Tübingen University. Before joining d-fine, Ralph was working as a consultant for the Financial and Commodity Risk Consulting group of Andersen, Eschborn, as a financial engineer for LBBW, Stuttgart and as an assistant professor for Tübingen University. Ralph holds a Masters degree from the State University of New York, Stony Brook, a Ph.D. and a Habilitation in particle physics from Tübingen University.

• Dr Andreas Binder, MathConsult, Linz

Andreas Binder is CEO of MathConsult GmbH and of the Industrial Mathematics Competence Center, Linz. Andreas holds a Ph.D. in Industrial Mathematics from Linz. After a research period at the Oxford Centre for Industrial and Applied Mathematics, he became assistant professor at the University of Linz, until 1996, when he joined MathConsult. His research activities include numerical analysis of partial differential equations and stable techniques for paramater identification. Together with his group, he has been working on computational finance since 1997. In 2001, MathConsult released the UnRisk PRICING ENGINE, a package for the pricing of complex structured instruments. Andreas is member of the advisory board of the Austrian Mathematical Society.

• Dr Damir Filipovic, ETH Zurich

Damir Filipovic works in the research and development group at the Swiss Federal Office of Private Insurance (FOPI). He develops methods for the new solvency test for Swiss insurance undertakings, which will be in force as of 2005. Before joining FOPI he was assistant professor at the Department of Operations Research and Financial Engineering (ORFE) at Princeton University. Damir Filipovic received his PhD in mathematics from ETH Zurich in 2000, where he is still affiliated as senior researcher.

• Dr Marcus Fleck, Dresdner Bank

Marcus Fleck joint Group Risk Control of Dresdner Bank AG in 2001 in the beginning focussing mainly on market risk issues. As a member of the Strategic Risk & Treasury Control Department he started in 2002 to contribute to the ongoing Basel II consultation process in particular on questions regarding counterparty risk modeling for derivatives portfolios. Marcus Fleck obtained a PhD in theoretical physics from the Max-Planck Institute for Solid State Research and the University of Stuttgart.

• 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.

• Prof Dieter Hess, HfB, Frankfurt

Dieter Hess is currently Professor of Finance at the the Hochschule für Bankwirtschaft (Business School for Banking and Finance) in Frankfurt and Lecturer at the University of Karlsruhe. He worked several years at the Research Center for International Economic Integration and at the Center of Finance and Econometrics at the University of Konstanz and published articles on the microstructure of financial market, risk estimation, and announcement effects.

• Dr Peter Neu, Dresdner Bank

After obtaining a degree in Physics from the Imperial College, London, and from the University of Heidelberg (Diploma, PhD), Peter Neu held a Post-Doc position at the Massachusetts Institute of Technology (MIT) in Cambridge, MA, where he specialized in stochastic dynamics of physical and chemical systems. In 1997 Peter joined Group Risk Control of Dresdner Bank AG. As a member of Group Strategic Risk & Treasury Control he worked at various market and credit risk projects and was heavily involved in building Dresdner's economic capital model. Since 2001 he is heading a team being responsible for liquidity risk control, which works in close co-operation with the Group Funding and Liquidity Management within Treasury.

• Dr Thorsten Oest, d-fine

Thorsten Oest is senior consultant at d-fine GmbH where he was involved in implementation projects for risk, market data and treasury systems. He holds a MSc in mathematical finance from Oxford university and a PhD in experimental physics from the university of Hamburg. Before joining d-fine he was a research fellow at CERN (Geneva) and at DESY (Hamburg) working on data analysis for large physics experiments.

• Dr Alex Popovici, Bonn University

Dr Alex Popovici is a research assistent at the University of Bonn. His research focus lies on equity models with stochastic volatility and jumps, equilibrium markets in continuous time, numerical methods for pricing and hedging exotic and structured products (Monte Carlo, numerical PDEs, Fourier methods). He received a 'Diploma' (Masters) in Mathematics, a 'Diploma' in Computer Science and a PhD from Bonn University and holds a DEA (Masters) degree in 'Probability and Finance' from Paris VI University.

• Prof LCG Rogers, University of Cambridge

Chris Rogers is Professor of Statistical Science at the University of Cambridge, where he moved in 2002 after nearly nine years 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, and Monte Carlo valuation of American options. 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.

• Prof Wolfgang Schmidt, HfB, 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 Robert G Tompkins, HfB, Frankfurt

Dr. Robert G. Tompkins was born in Oklahoma, USA and he received his A.B. (1980), his A.M. (1980) and his MBA (honors) (1986) from the University of Chicago. He moved to England in 1986 and subsequently became a British citizen. He earned a Ph.D. (1998) from the University of Warwick and his Habilitation (2000) from the University of Technology, Vienna, where Dr. Tompkins lived from 1998 to 2003.

www.mathfinance.de Last modified: December 2003