personal descriptions

• Alexander Antonov, Numerix

Alexander Antonov got his PhD degree from the Landau Institute for Theoretical Physics in 1997 and joined NumeriX LLC in 1998 where he currently works as a Vice President Quantitative Research. His activity is concentrated on modeling and numerical methods for interest rates, cross currency, and credit. He is a regular speaker for NumeriX at international conferences.

• Jörg Behrens, Ernst & Young Switzerland

Jörg is partner of Ernst & Young Switzerland and head of Central Europe Financial Risk Management. His special focus is on risk quantification, in particular in the areas of Solvency II and Economic Capital Management. Jörg also leads EY internal thought leadership projects to develop products and solutions in these areas. Prior to joining Ernst & Young, Jörg has lead the Quantitative Risk Team of Andersen in Zurich, a position he assumed after 7 years with UBS in investment banking and risk management based in London and Zurich. He holds a Ph.D. in particle physics and until 2005 has been a member of the Swiss Standard Setting Board, an expert panel lead by the Swiss Insurance regulator to advise on the Swiss Solvency Test, the Swiss implementation of Solvency II.

• Denis Belomestny, Weierstrass Institute Berlin

Denis Belomestny got his PhD degree in Mathematics and Statistics from Moscow State University in 2002. Since 2003 he is a researcher at the Weierstrass Institute Berlin in the project Applied Mathematical Finance. His activity in this project is mainly concerned with the development of new Monte Carlo algorithms for pricing exotic interest rate derivatives as well as with the development of new statistical methods for robust and efficient calibration of financial models.

• Oliver Caps, Dresdner Bank

Dr. Oliver Caps is a senior quantitative analyst in the model validation team at Dresdner Bank and develops valuation models for exotic interest rate and hybrid products. He holds a Ph.D. in mathematics and an MBA. Currently, his main interests are multi-factor interest rate models and smile modelling with stochastic volatility.

• Sergio Dutra, Commerzbank

Sergio Dutra has a PhD in physics from Imperial College, London. He worked as a research scientist in the field of quantum optics for about 7 years writing 26 papers in peer-reviewed journals, one chapter in a book, and a textbook. His first quantitative finance job was at ABN AMRO in the model validation group where he stayed a year. After that he moved to a front-office position at CommerzBank where he has been working since about two years.

• Ernst Eberlein, University of Freiburg

Ernst Eberlein is Professor of Stochastics and Mathematical Finance at the University of Freiburg. He is a cofounder of the Freiburg Center for Data Analysis and Modeling (FDM), an elected member of the International Statistical Institute and at present Executive Secretary of the Bachelier Finance Society. His current research and his consulting activities focus on statistical analysis and realistic modeling of financial markets, risk management, as well as pricing of derivative products.

• Gabriele Guehring, d-fine

Gabriele Gühring is manager at d-fine GmbH where she focuses on implementing trading and treasury systems as well as on internal models for measuring market risk. She holds a MSc in mathematical finance from Oxford University and a PhD in mathematics from the University of Tübingen. Before joining d-fine GmbH she was working at Landesbank Baden-Württemberg (LBBW) in the department of Bond Research and Economics.

• Susanne Griebsch, Frankfurt School of Finance & Management

Susanne Griebsch is currently a PhD-student at the Frankfurt School of Finance & Management, conducting research at the Centre for Practical Quantitative Finance and at Lucht Probst Associates (LPA), Frankfurt. She graduated in Mathematics at the J.W. Goethe University, Frankfurt. Her ongoing research focuses on stochastic volatility modeling in foreign exchange markets as well as on pricing of Exotic options.

• Reinhard Hirsch, d-fine

Reinhard Hirsch is Head of the Corporate Risk Consulting Business Unit, which includes the Commodity and Energy Risk Consulting Business at d-fine GmbH. Prior to this, he was responsible for commodity price risk management, commodity contract management and real option based portfolio management in corporate planning, strategic marketing and purchasing at Bayer AG. Before moving to the chemical industry he was responsible for risk methodology at Deutsche Bank's Global Risk Management Group. He has written several scientific publications on Monte Carlo simulations and gives lectures on commodities and mathematical finance at international universities and business schools. Reinhard holds a PhD in theoretical physics.

• Martin Keller-Ressel, Vienna University of Technology

Martin Keller-Ressel is a PhD-student of Josef Teichmann at the research unit 'Financial and Actuarial Mathematics' (FAM) at TU Wien. His research interests are the calibration of option pricing models with jumps, equilibrium models for option pricing and interest rate modelling in the framework of affine processes.

• Jörg Kienitz, Postbank

Dr. Jörg Kienitz works for Deutsche Postbank AG since October 2004. He joined the Postbanks Treasury Department as a Quantitative Analyst and is now responsible for the team which develops pricing and simulation tools. Jörg studied mathematics with focus on probability theory and stochastic analysis at Bristol and Bielefeld where he receive his PhD in January 2001. Before joining Deutsche Postbank he worked for Reuters and Postbank Systems. Jörg frequently lectures at universities on financial mathematics and works as a lecturer for IIR/IFF Germany. A book on Monte Carlo methods using C++ together with Daniel Duffy of Datasim is under preparation.

• Roger Lord, Rabobank International

Roger Lord is an interest rate quant in the Financial Engineering team of Rabobank International. He holds an MSc degree in Applied Mathematics from the Eindhoven University of Technology and an MA degree in Econometrics from Tilburg University. At present he is finishing his PhD at Erasmus University Rotterdam, where he has taught several courses within the area of mathematical finance. Prior to his current position he has worked in the Model Validation department of Rabobank International, and at Cardano Risk Management.

• Christian Menn, Sal. Oppenheim

Christian holds a PhD from the School of Business Engineering at University of Karlsruhe. He worked as a post-doc and visiting assistant professor at the School of Operations Research at Cornell University. In July 2006, Christian joined the quantitative research group at Sal. Oppenheim where he focusses on the model development for exotic equity derivatives.

• Attilio Meucci, Lehman Brothers

Attilio Meucci holds a BA summa cum laude in Physics and a PhD in Mathematics from the University of Milan, an MA in Economics from Bocconi University in Milan, and is CFA chartholder.

Attilio Meucci is a vice president at Lehman Brothers, Inc., New York, in the research division. Before joining Lehman, he was a trader at Relative Value International, a hedge fund in Greenwich, CT. Previously, he was at Bain & Co., where he designed solutions for risk management, portfolio insurance, tactical and strategic asset allocation.

Attilio Meucci is the author of the bestseller “Risk and Asset Allocation” and several other publications. He has taught graduate courses on quantitative portfolio management and risk management in top schools worldwide and he is frequently invited as a speaker to conferences, financial institutions and universities.

Find more information on Dr. Attilio Meucci at www.symmys.com.

• Natalie Packham, Frankfurt School of Finance & Management

Natalie Packham is currently a PhD student at the Frankfurt School of Finance & Management. She performs research at the Centre for Practical Quantitative Finance, in particular in the areas of credit derivatives modeling and related computational aspects. She graduated in Computer Science from the University of Bonn and holds a Master's degree in Banking & Finance from Frankfurt School of Finance & Management. Prior to her PhD studies she worked for Dresdner Kleinwort Wasserstein as a software enginner for the Fixed Income trading divison.

• Jianwei Zhu, Sal. Oppenheim

Dr. Jianwei Zhu is a VP at Sal. Oppenheim working on implementing interest rate /cross-asset pricing libaray. Before joining Sal. Oppenheim, he was a senior quant for exotic equity derivatives at WestLB in Düsseldorf. Dr. Jianwei Zhu begun his carreer in the model validation team at Dresdner Bank. He holds a MSc in mathematic economics from University of Dortmund, and a PhD in quantitative finance from University of Tübingen. Dr. Jianwei Zhu published a book entitled "Modular Pricing of Options" in Springer Verlag, on the application of Fourier analysis to stochastic volatilities, stochastic interest rates and random jumps.

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