Personal Descriptions

• Dr Eric Benhamou, Pricing Partners


Eric Benhamou is the CEO of Pricing Partners (www.pricingpartners.com), a start-up specializing in software and service for independent valuation of financial derivatives products. Current coverage includes interest rates, credit, equity, inflation, foreign exchange, commodities, insurance derivatives and hybrids. Eric Benhamou is also known for its endeavor to gather financial institutions, start-ups and public research centers on collaborative innovation in financial mathematics. Previously, he headed the fixed income quantitative research at Ixis CIB, joining from Goldman Sachs. He is a regular speaker at professional conferences and has published various articles on subjects like advanced Monte Carlo simulation, inflation derivatives and other option pricing results. A former alumnus of the Ecole Polytechnique, the ENSAE, he holds a Ph.D. in financial mathematics from the London School of Economics.


• Philipp Beyer, Universty of Konstanz and Postbank


Philipp Beyer is studying towards his diploma degree in economics at the University of Konstanz under supervision of Prof. Jens Jackwerth. The topic of the thesis is the pricing of exotic options using Lévy processes. He is currently completing an internship at the quantitative analysis team at Deutsche Postbank AG.


• Dr Peter Carr, Bloomberg L.P.


Dr. Peter Carr is the Head of Quantitative Financial Research at Bloomberg LP, where his group is responsible for all facets of the business operation relating to modeling and analytics. He is also the Director of the Masters in Math Finance program at NYU's Courant Institute. Prior to his current positions, he headed equity derivative research groups for six years at Banc of America Securities and at Morgan Stanley. His prior academic positions include 4 years as an adjunct professor at Columbia University and 8 years as a finance professor at Cornell University. Since receiving his PhD. in Finance from UCLA in 1989, he has published extensively in both academic and industry-oriented journals. He is currently the treasurer of the Bachelier Finance Society and a practitioner director for the Financial Management Association. Peter is also an associate editor for 6 academic journals related to mathematical finance and derivatives. He has given numerous talks at both practitioner and academic conferences. He is also credited with numerous contributions to quantitative finance including: co-inventing the variance gamma model, inventing static and semi-static hedging of exotic options, and popularizing variance swaps and corridor variance swaps. Peter has won awards from Wilmott Magazine for Cutting Edge Research and from Risk Magazine for Quant of the Year.

• Dr Kai Detlefsen, Commerzbank Financial Engineering


1996-2003: Diploma in Maths at Humboldt University Berlin (Prof. Foellmer) 2003-2004: Master in Statistics at Humboldt University Berlin (Prof. Haerdle) 2004-2007: Phd in Economics at Humboldt University Berlin (Prof. Haerdle) 2007-now : Financial Engineer for Commerzbank's Corporates & Markets Equity trading divison.
Research interest: Dividend modelling, stochastic volatiltiy models, risk measures.


• Prof Raquel M. Gaspar, ISEG, Technical University Lisbon


Raquel M. Gaspar holds a PhD degree in Finance from the Stockholm School of Economics, where she was supervised by Professor Tomas Bjork and specialized herself in mathematical finance, concretely, in interest rate and credit risk markets and models. She also holds a Post-graduation degree in Risk Management and Derivatives from IDEFE, NovaForum and IMC, a Master in Applied Mathematics to Economics and Management from ISEG and has done her undergraduate studies in Economics at Universidade Nova de Lisboa.

Her research has been presented in conferences worldwide and published both in academic journals and industry oriented books. She is a 10 years experienced lecturer, at various levels - undergraduate, master, PhD and Executive Education - both in Portugal and abroad. Currently, she is Assistant Professor at ISEG, Technical University of Lisbon where she belongs to the scientific commissions of both Finance and Mathematical Finance masters. Besides her academic career she collaborates with the industry, mainly as consultant, since 1998.

• Dr Andreas Grau, Thetaris GmbH


Andreas J. Grau is Thetaris’ Chief Executive Officer. He is an expert in Monte Carlo methods for complete as well as incomplete markets and is responsible for the numerical methods implemented in the Theta Suite. Andreas Grau holds degrees in engineering and computer science as well as a Dr. rer. nat. in financial mathematics.

• Dr Jörg Kienitz, Postbank


Dr. Jörg Kienitz is head of quantitative analysis, a unit within the treasury department of Deutsche Postbank AG. After finishing his Ph.D. in stochastics and probability theory he worked for Reuters and in IT since joining Deutsche Postbank AG in 2004. His team is responsible for pricing and analysing structured investment products, product development, derivatives pricing and asset allocation. Jörg frequently lectures at conferences and in academia at university level including the universities of Bonn, Duisburg and Oxford. He is the co-author of the book Monte Carlo frameworks (Building customisable high performance C++ applications) published by Wiley in 2009. Jörg also works as a consultant giving training courses on quantitative methods for finance in Frankfurt, Paris and London.


• Dr Tilman Huhne, d-fine GmbH


Tilman Huhne is a senior manager with d-fine GmbH. He is responsible for d-fine's energy and commodity risk consulting unit and engages in a broad range of respective topics. Currently his main areas of interest are modelling and pricing of energy and commodity derivatives, risk quantification and aggregation at portfolio level, development of trading and hedging strategies along the supply chain, commodity hedge accounting and integrated risk reporting. Mr. Huhne holds a PhD in Physical Chemistry from the LMU Munich, Germany and an MSc in Mathematical Finance from the University of Oxford, UK.


• Dr Jan Maruhn, UniCredit Markets & Investment Banking


Jan Maruhn is working as a quantitative researcher in the Financial Engineering Equities and Hybrids team (Structured Products Development) of UniCredit Markets and Investment Banking. He obtained his PhD in mathematics from the University of Trier, Germany. His research interests include the application of nonlinear and stochastic optimization techniques as well as numerical methods in general to problems arising in mathematical finance.

• Dr Tamas Mayer, Ernst & Young Zürich


Dr. Tamas Mayer is working as a Senior Consultant Financial Services Risk Management at Ernst & Young Zürich. He studied physics at the University of Zürich, where he received his PhD in 2005. He also holds an advanced degree in mathematical finance (MAS Finance UZH/ETH Zürich). His areas of interest include the valuation of exotic derivatives, market risk models as well as insurance modeling.

• Prof Anthony Neuberger, University of Warwick


Anthony Neuberger is a Professor at the University of Warwick where he heads up the Finance Group. His research interests include option pricing theory, corporate hedging and risk management, investment and pensions policy. Prior to coming to Warwick, he was for some years at the London Business School, and prior to that he was a civil servant working in the UK Department of Energy and Cabinet Office.


• Dr Bereshad Nonas, Commerzbank Financial Engineering


Bereshad Nonas is working as Financial Engineer for Commerzbank's Corporates & Markets Fixed Income trading divison. The recent focus of his research has been on single and multifactor Markov Functional models and their usage for exotic derivatives. He joined the team from the bank's model validation group where he was looking after Foreign Exchange and Fixed Income products. Before that he worked in the risk methodology group. He holds a PhD in Theoretical Physics form the Technical Unversity (RWTH) of Aachen, Germany.

• Prof Wim Schoutens, K.U.Leuven


Wim Schoutens has a degree in Computer Science and a PhD in Science, Mathematics. He is a research professor in the Department of Mathematics at the Catholic University of Leuven, Belgium.

He is a regular independent consultant and trainer to the banking industry on equity modeling, structured products, credit derivatives, and other financial engineering problems.

His research interests cover all areas of financial Mathematics, in particular Lévy jump models. Wim is author of the Wiley book “Lévy Processes in Finance: Pricing Financial Derivatives” and editor (together with A.E. Kyprianou and Paul Wilmott) of the Wiley-book “Exotic Option Pricing and Advanced Lévy Models”.

He recently has published in leading journals i.a. on advanced equity models, model risks, hedging of variance swaps, jump driven credit models, multivariate financial engineering, pricing and hedging of credit derivatives (CDSs, CDOs, CMS, CPPIs, CPDOs, ABSs, …)

He currently teaches several courses related to financial engineering in different Master programs. He is a regular lecturer for the financial industry of in-house courses and public courses.

• Prof Steven E. Shreve, Carnegie Mellon University


Steven E. Shreve is Orion Hoch 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.

• Prof George Skiadopoulos, University of Piraeus


George Skiadopoulos is Assistant Professor in the Department of Banking and Financial Management of the University of Piraeus. He is also an Associate Research Fellow at the Financial Options Research Centre (FORC) of the University of Warwick. He holds a Ph.D. in Financial Derivatives from the University of Warwick, and an M.Sc. in Econometrics and Mathematical Economics from the London School of Economics.

During the period 1995-99, he worked as a Research Fellow in FORC undertaking projects supported by the Centre's Corporate Members such as Deutsche Morgan Grenfell, Foreign and Colonial, HSBC, Kleinwort Benson Securities, Price Waterhouse & Coopers, Robert Fleming, SBC Warwburg, Tokyo Mitsubishi International, and the Central Bank of Austria. From 1999 until 2000 he worked in the Research and Development Department of the Athens Derivatives Exchange (ADEX). He has also acted as a consultant to hedge funds and leading Greek financial institutions.

His research interests include asset allocation, alternative investments, option pricing and hedging under the presence of implied volatility smiles, and risk management focusing on Value-at-Risk.

He has published in academic journals and books, such as the Energy Economics, European Financial Management Journal, International Journal of Theoretical and Applied Finance, Journal of Alternative Investments, Journal of Banking and Finance, Journal of Futures Markets, Journal of Risk Finance, RISK, Review of Derivatives Research, and is a speaker in international conferences. He has also taught a number of executive training courses in Greece and abroad. He is a member of the editorial board of the Journal of Business Finance and Accounting (JBFA) and serves in the Academic Advisory Council of the Professional Risk Managers International Association (PRMIA).



• Dr Radu Tunaru, Cass Business School


With a background in Mathematics and Statistics (Diploma in Mathematics, 5 years full-time, PhD in Probability and Statistics, PhD in Statistical Modeling) Radu Sebastian Tunaru has been specialising in Financial Engineering and Financial Mathematics since 1999. He worked as a Lecturer in Operations Research and Probability (1994-1996), Research Fellow in Finance and Econometrics (1999) and Senior Lecturer in Financial Mathematics (2000-2005). His experience in the finance industry includes working as a quant for Bank of Montreal in Structured Credit Investments dealing with the cash-flow risk management models for two SIVs and the launch of one CDPC, and for Merrill Lynch in Structured Finance, EMEA RMBS. Currently a Senior Lecturer in Financial Mathematics, he is teaching Financial Engineering and Advanced Mathematical Finance courses and doing research on statistical credit arbitrage, Mathematical Finance, numerical methods for pricing derivatives, pricing freight derivatives and pricing property derivatives. He is the recipient of Multinational Finance Journal Best Paper Award, vol 5, 2001, for the paper “Emerging Markets: Investing with Political Risk”, Eastern Finance Association prize for the Outstanding Paper in International Finance for the paper “Modelling Political Risk with a Doubly Stochastic Poisson Process”, Charleston USA 2001; and SMEED prize awarded for the best young researcher in the field, 31st UTSG Annual Conference, York 1999. He has published over 30 articles and book chapters.

• Carlos Veiga, Frankfurt School of Finance & Management


Carlos has started the PhD program on March 2007 having as advisor Prof. Uwe Wystup. He is Portuguese, born in 1976, and moved to Frankfurt to undertake this program.

Before joining the Frankfurt School of Finance & Management, he worked eight years at Millennium bcp's investment bank on the equity derivatives trading desk. The desk's main business lines are the issuing, market-making and hedging of certificates, warrants and structured products.

His academic career was developed at Universidade Nova de Lisboa, Portugal and includes an Economics Degree (4 years) from the Faculty of Economics and a Master in Statistics and Optimization (2 years) from the Faculty of Science and Technology.

Carlos is working on systematically rating structured products.

• Dr Thomas Weber, Weber und Partner


Since several years Thomas Weber is working in close cooperation with SciComp, a software technology provider for pricing derivatives. Before that he was working in the risk methodology group at Deutsche Bank and as an independent consultant in the risk controlling area for major banks and cooperations in Germany.
Thomas earned his PhD from the University of Mannheim (Prof. Bühler). There he researched on interest rate derivatives with a special focus on HJM models.


• Manuel Wittke, University of Bonn


Manuel Wittke is currently working on his PhD at the University of Bonn under supervision of Prof. Klaus Sandmann. Before he started as a research assistant, he studied economics at the universities of Konstanz and Bonn with a strong focus on financial economics. His main research interests lie on contingent claims on multi-asset processes under stochastic interest rates and volatilities, on the influence of the cross-asset correlation structure and numerical valuation methods. He starts working as a quantitative analyst at Deutsche Postbank AG in April 2009.


• Dr Benedikt Wilbertz, Université Paris 6


Benedikt Wilbertz has studied Mathematics and Business Administration at the University of Trier, from which he also received a PhD in mathematics. Currently, his main research interest is the approximation of probability distributions by means of quantization. Starting 2009, he will hold a PostDoc position in the research group "Probabilités numériques et Finance" of Prof Gilles Pagès at the University Paris 6.


• Prof Uwe Wystup, Frankfurt School of Finance & Management


Uwe Wystup is Professor of Quantitative Finance at Frankfurt School of Finance and Management, where he is the academic director for the Masters Program in Quantitative Finance. Before that he worked for Deutsche Bank, Citibank, UBS and Sal. Oppenheim jr. & Cie and as financial engineer and structurer in the FX Options trading team of Commerzbank. He is managing director of MathFinance AG and editor of the MathFinance Newsletter. Uwe holds a PhD in Mathematical Finance from Carnegie Mellon University. He specializes in the quantitative aspects of foreign exchange markets, international treasury management and structured products. He published in many scientific journals and wrote two books on Foreign Exchange Risk and FX Options and Structured Products.

Produced by MathFinance AG - www.mathfinance.com Last modified: October 2008