Personal Descriptions

• Dr. Carole Bernard, University of Waterloo


Carole Bernard is currently assistant professor in mathematical finance and actuarial science at the university of Waterloo, Canada. She obtained her PhD from the University of Lyon in France. Her research interests lie at the intersection of Finance, Insurance and Economics. For example she wrote recent papers in financial engineering (i.e. about the pricing of barrier and Parisian options, and about hedging volatility risk), in behavioral finance (about the demand for retail structured products) and in insurance (about long-term path-dependent options embedded in equity indexed annuities).


• Christoph Becker, Frankfurt School of Finance & Management


Christoph Bekcer is completing his PhD at the Frankfurt School of Finance & Management, under the supervision of Prof. Dr. Wolfgang M. Schmidt. His main research interests are modelling the dependencies between financial assets, and exploring their consequences in risk management and asset allocation. Previously, he completed studies in Applied Mathematics at the University of Trier (German Diplom). Christoph was an intern with Commerzbank and with KPMG, and has consulted for MathFinance AG and Tachyles Ltd.


• Dr. Andreas Binder, MathConsult


Andreas Binder received his Ph.D. in Applied Mathematics (University of Linz) in 1991. After some academic years (Oxford, Linz), he joined MathConsult in 1996 as CEO. He is also managing director of the Industrial Mathematics Competence Center (IMCC) and member of the advisory board of the Austrian Mathematical Society. His book “Einführung in die Finanzmathematik” (co-authored with Hansjörg Albrecher and Philipp Mayer) appeared in Birkhäuser Verlag in 2009.


• Alexander Giese, Unicredit Markets and Investment Banking


Alexander Giese is Co-Head of Financial Engineering Equities, Commodities and Funds at Unicredit Markets and Investment Banking which he joined in 2002. He studied financial mathematics at the Technical University of Berlin and also holds an MSc from Florida State University in Financial Mathematics.


• Dr. Jürgen Hakala, EFG Financial Products


Jürgen is with EFG Financial Products, the derivatives house of EFG, involved in modelling and financial engineering for all asset classes. His initial interest was foreign exchange, where he is co-editor of a textbook about FX derivatives. He is a regular speaker at a variety of conferences.


• Dr. Christian Kahl, Commerzbank


Christian Kahl is a Financial Engineer in the Equity and Commodity group of Commerzbank, which he joined in 2009 from ABN Amro, where he was working on exotic Equity, Hybrid and Commodity derivatives. His reasearch focus include stochastic volatility models and computational finance, in particular numerical solutions of Fourier inversion applications. He holds a doctor degree in numerical analysis from the University of Wuppertal.


• Sebastien Kayrouz, Murex


Sebastien Kayrouz is Manager of Foreign Exchange Derivatives at Murex. Sebastien Kayrouz joined Murex in Paris eight years ago. Seba is a telecommunications engineering graduate of Beirut Saint Joseph University School of Engineering. Prior to working on the cross-asset volatility framework, Seba focused on the validation and market testing of Murex' Tremor stochastic/local volatility hybrid model. Sebastien is based in Murex NA, New York.


• Prof. Steve Kou, Columbia University


Steve Kou is Professor in the Department of Industrial Engineering and Operations Research at Columbia, where he teaches Financial Engineering. He is a specialist in mathematical finance and is well-known internationally for his research on exotic options, jump diffusion models, and credit risk. Some of his results have been widely used in Wall Street, and have been incorporated into standard MBA textbooks, such as the textbook by John Hull.


• Prof. Dilip Madan, University of Maryland


Dilip Madan is Professor of Finance at the Robert H. Smith School of Business. He specializes in Mathematical Finance. He also serves as a consultant to Morgan Stanley, Caspian Capital LLC, and the FDIC. He is a founding member and immediate Past President of the Bachelier Finance Society, Co-Editor of Mathematical Finance and Associate Editor for the Journal of Credit Risk and Quantitative Finance. His work is dedicated to improving the quality of financial valuation models, enhancing the performance of investment strategies, and advancing the understanding and operation of efficient risk allocation in modern economies. Recent major contributions have appeared in Mathematical Finance, Finance and Stochastics, Quantitative Finance, Journal of Computational Finance, among other Journals.


• Dr Fabio Mercurio, Bloomberg


Fabio is a Senior Business Manager at Bloomberg LP, New York joining them in 2008 as a senior quant researcher. Previously, he was the head of Financial Engineering at Banca IMI, Milan providing quantitative support to the bank's desks of equity, interest-rate, forex and credit-derivatives trading.
Fabio is the most cited author in Risk Magazine for the year 2008. He has published extensively in books and international journals. He has jointly authored the book ‘Interest rate models: theory and practice’, (Springer ’01/’06) and edited the book ‘Modelling Interest Rates: Advances in Derivatives Pricing’ (Risk Books ‘09). He has been an Adjunct professor at Bocconi University and a course teacher both for Risk and Marcus Evans. Fabio holds a BSc in Applied Mathematics from the University of Padua and a PhD in Mathematical Finance from the Erasmus University of Rotterdam.


• Dr. Attilio Meucci, Bloomberg


Attilio Meucci leads the research effort of ALPHA, the portfolio analytics and risk platform at Bloomberg. Concurrently he is adjunct professor at the Master's in Financial Engineering - Baruch College - CUNY. Previously, Attilio was a researcher at Lehman Brothers, a trader at the hedge fund Relative Value International, and a consultant at Bain & Co. Attilio is the author of Risk and Asset Allocation - Springer and several other publications in practitioners and academic journals. He teaches graduate courses on quantitative risk- and portfolio-management worldwide and he is frequently invited as a speaker to conferences, financial institutions and universities. Attilio Meucci holds a BA summa cum laude in Physics from the University of Milan, a MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and he is CFA chartholder. Attilio is fluent in six languages and loves physical activity in the outdoors.


• Dr. Rolf Poulsen, University of Copenhagen


Rolf Poulsen has a PhD from the University of Aarhus, Denmark, and is currently professor of Mathematical Finance at the University of Copenhagen. His research interests include derivative pricing (with a view towards model risk) and mortgage choice.


• Dimitri Reiswich, Frankfurt School of Finance & Management


Dimitri Reiswich is a PhD student at Frankfurt School of Finance and Management. He has a Diploma in Business Mathematics from the University of Hamburg. Dimitri’s research interests include volatility smile analyses and their relation with risk-neutral densities with a focus on FX smiles.


• Prof. Ekkehard Sachs, University of Trier


Ekkehard Sachs is a Professor at the University of Trier and previously has held positions at Virginia Tech and North Carolina State University. He is an expert in numerical methods for optimization problems, in particular with partial differential equations and serves on various editorial boards of international journals in optimization. He has published three books and more than 100 research papers. His interest in finance is in calibration and hedging of options and, in particular, the numerical aspects of these tasks.


• Dr. Christof Schmidhuber, Fintegral Asset Management


Christof Schmidhuber is founder and managing partner at Fintegral Asset Management. Before, he was Global Head of Risk Management for Credit Suisse hedge fund investments. He and his teams in New York and Zürich were responsible for operational due diligence and market risk monitoring of several hundred managers. He exercised the veto for funds and portfolios in the investment committees. Prior to joining Credit Suisse in 2004, Christof Schmidhuber was deputy head of the quantitative group at RMF Investment Products, where his responsibilities included hedge fund portfolio construction, strategic asset allocation, due diligence on quantitative managers and the management of research projects. Dr. Schmidhuber received his Ph.D. in Theoretical Physics in 1993 from the California Institute of Technology with a thesis on superstring theory. Subsequently he worked as a Postdoc at Princeton University, as Heisenberg fellow at CERN, and as Privatdozent for Physics at the University of Berne. .


• Prof. Uwe Schmock, Technical University of Vienna


Dr. Uwe Schmock is professor and head of the Institute for Mathematical Methods in Economics at the Vienna University of Technology. He is working in the research group for financial and actuarial mathematics and leads the Christian Doppler Laboratory for Portfolio Risk Management (PRisMa Lab), a large-scale research cooperation with financial industry partners (Bank Austria, ÖBFA, FJA) in Vienna. He also serves as vice president of the Actuarial Association of Austria. His main research interests are currently in modelling and estimation of stochastic dependence with applications in risk management.
Dr. Schmock was formerly research director of RiskLab at ETH Zurich and director of the Master of Advanced Studies in Finance, offered by ETH and University of Zurich.


• Dr. Roland Seydel, d-fine


Roland Seydel is a senior consultant with d-fine GmbH, where he is member of the Applied Financial Engineering business unit. His interests range from numerical methods for option pricing and stochastic and impulse control in finance to nonlinear PIDEs. Roland holds an MSc in Financial and Industrial Mathematics from the Technical University of Munich. From 2007 to 2009, he conducted his PhD thesis under the supervision of Prof. Rüdiger Frey in Leipzig.


• Prof. Michel Vellekoop, University of Amsterdam


Michel Vellekoop is currently professor of Actuarial Sciences at the University of Amsterdam. He obtained his PhD at Imperial College in London, where he worked on nonlinear filtering algorithms for stochastic processes. His current reseach interests include models for derivative pricing, with an emphasis on options with early exercise possibilities, and the application of such models to life insurance problems.


• Prof. Uwe Wystup, MathFinance


Uwe Wystup is Professor of Quantitative Finance, the academic director for the Masters Program in Quantitative Finance and head of the Department of Finance at Frankfurt School of Finance and Management. 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 founder and managing director of MathFinance AG and editor of the MathFinance Newsletter and the Annals of Finance. 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.

• Dr. Gerd Zeibig, Murex


Gerd Zeibig is an Applied Quantitative Consultant at Murex. Having joined the equity team six years ago Gerd is now working cross-asset and is overseeing Murex’ volatility derivatives management. Gerd holds a Ph.D. in pure mathematics from Kent State University and has published in leading mathematical journals. Gerd is based in Murex NA, New York.

Produced by MathFinance AG - www.mathfinance.com Last modified: July 2009