Jamil Baz is an Executive Vice-President with PIMCO, where he manages global portfolios. Prior to this, Jamil was a Managing Director in the Proprietary Trading Group of Goldman Sachs, the Chief Investment Strategist of Deutsche Bank and a Managing Director with Lehman Brothers. Jamil holds degrees from the Ecole des Hautes Etudes Commerciales ("Diplôme"), the London School of Economics (MSc), the Massachusetts Institute of Technology (SM) and Harvard University (AM, PhD). He has taught Financial Economics at Georgetown University and Harvard University.
Russel Caflisch is a professor of Mathematics at the University of California at Los Angeles (UCLA). Russel has been on the faculty of Stanford University and New York University and was a Sloan Research Fellow. His research interests include computational finance, and he is a leading expert on Monte Carlo methods applied to finance. He is also one of the top researchers in the new field of quasi-Monte Carlo methods. He was one of the inventors of the Brownian bridge method for application of quasi-Monte Carlo to high-dimensional financial computations.
Damien Challet is a Junior Research Fellow at Nomura Centre for Quantitative Finance, University of Oxford. He is a co-author of Minority Games: interacting agents in financial markets. His research interests include price dynamics, information ecology and market inefficiency of agent-based market models.
Hans-Peter Deutsch is Manager of d-fine GmbH. He was formerly a Partner at Arthur Andersen and head of financial and commodities risk consulting Germany. Previously he headed trading system development at a major German Bank and served as a consultant with Andersen Consulting. He is Chairman of the Advisory Board of the MathFinance Institute at Johann Wolfgang Goethe-Universität in Frankfurt. He was also Director of the German Chapter of the Global Association of Risk Professionals (GARP). He has written several books and scientific publications, mainly on Monte Carlo simulations of stochastic processes. Hans-Peter holds a PhD in theoretical physics.
Jeff Dewynne is a senior fellow in the School of Finance and Economics at the University of Technology Sydney. Previously, he was the founding course director of the Diploma and MSc and a lecturer in mathematics at the University of Oxford. He is also the co-director of the Oxford Centre for Computational Finance, the co-founding Editor-in-Chief of Applied Mathematical Finance and has co-authored two books on mathematical finance.
Mike Giles is a professor of scientific computing at the University of Oxford, and a tutorial fellow in mathematics at St Hugh's College.
After many years of developing new algorithms in computational fluid dynamics with applications to aircraft engine design, he has recently moved into computational finance working on both Monte Carlo and finite difference methods. He and Paul Glasserman of Columbia Business School were named Quants of the Year 2007 by Risk magazine for their research on the use of adjoint techniques for efficient Monte Carlo estimation of Greeks.
Patrick Hagan received his BS and PhD in Applied Mathematics from Caltech. Over the years he has worked at Bloomberg and several banks designing trading systems for fixed income, credit, and foreign exchange derivatives, as well as developing the component models, calibration methods, and numerical algorithm. He is now Head of Quantitative Analysis at JP Morgan's Chief Investment Office. Before entering finance he was Deputy Director of the CNLS and a member of the Computer Research and Applications group at Los Alamos. He has also worked at Exxon Science Laboratories, and has taught at Caltech, Stanford, the Institute for Mathematics and its Applications, and NYU.
Ben Hambly is a lecturer in mathematical finance at the University of Oxford. His interests include probabilistic approaches to finance, stochastic volatility, credit risk modelling, energy pricing and higher-dimensional American style options.
Raphael Hauser studied mathematics and theoretical physics at ETH Zurich, from where he graduated in 1993, having written a master thesis in the representation theory of C*-algebras. He spent the next two years teaching as an assistant at ETH and as a lecturer at the Fachhochschule of Lucerne, specialising in the area of applied probability. In 1995 he joined the PhD programme in Operations Research at Cornell University in Ithaca (NY), where he wrote a thesis in the area of interior-point methods for conic optimisation. In 1999 Raphael took up a position as a postdoctoral research associate at the Department of Applied Mathematics and Theoretical Physics of the University of Cambridge, and in October 2001 he joined the faculty of the Numerical Analysis Group of the Oxford University Computing Laboratory where he is currently a reader. His research areas are optimisation and applied probability. Raphael is also a Tutorial Fellow of Pembroke College Oxford.
Christian T. Hille works for Deutsche Bank asset management (DWS) as a Managing Director running the Absolute Return and Fixed Income Solutions team.
Prior to Deutsche Bank, Christian worked for UBS, where he was a Director responsible for structured credit correlation products and market making of european index tranches. Further he was in charge of the prop book on the structured credit desk. Prior to UBS, he was a senior trader in Nomura's International Credit StructuringGroup, responsible for correlation and credit option trading.
Before moving into trading he co-headed Nomura's Models & Methodology Group in Londonand he worked as a Manager for Arthur Andersen Financial Risk Consulting. He has been focussing on pricing and hedging credit basket products using fast valuation techniques and has developed new techniques for pricing and risk-managing CDO squared products. Christian holds a MSc in Physics from Technical University Clausthal and a MSc in Mathematical Finance from the University of Oxford. He is a regular speaker at international conferences and has published papers on pricing and risk management of derivatives products.
Sam Howison is a lecturer in mathematics at the University of Oxford. He is the Director of the Oxford Centre for Industrial and Applied Mathematics and the Nomura Centre for Quantitative Finance. He is a co-author of Option Pricing and The Mathematics of Financial Derivatives and a member of the editorial boards of a number of prestigious mathematical journals. His research interests include market models, stochastic volatility, jump diffusion, transaction costs, energy derivatives and exotic derivatives.
Chris Hunter is a Quantitative Analyst for Fixed Income Research & Strategies Team (FIRST) at BNP Paribas Bank, based in New York. He is also a visiting lecturer in the Mathematics department at Kings College, London. Chris obtained a PhD in general relativity from the University of Cambridge, where he worked under the supervision of Professor Stephen Hawking FRS.
Peter Jäckel received his D. Phil. in Physics from Oxford University in 1995. After a short period in academic research, he migrated into quantitative analysis and financial modelling in 1997, when he joined Nikko Securities. In 1998, he changed to NatWest, which later became part of the Royal Bank of Scotland group. In 2000, he moved to Commerzbank Securities' product development group, and headed up the team jointly with a co-head from 2003. Since September 2004, he has been with ABN AMRO as Global Head of Credit, Hybrid, Inflation, and Commodity Derivative Analytics. Peter Jäckel is the author of the book "Monte Carlo methods in finance" published by Wiley's in 2002.
Daniel Jones was the Global Head of Quantitative Research for KBC Alternative Investment Management until May 2007, when he decided to take a career break and accompany his wife on her research year to Mongolia. He currently trades his own capital full-time, using a totally systematic approach, and continues to be actively involved in academic research in OCIAM. He holds an MA in Mathematics from Cambridge and a DPhil in Mathematics from Oxford.
Piotr Karasinski is Managing Director and Global Head of Quantitative Development at HSBC. He has over 20 years of experience in derivative product modelling across all asset classes. He started his finance career in 1984, in New York, after obtaining a physics PhD from Yale. During his 7 years at Goldman Sachs in New York he developed the Black Karasinski interest rate model with the late Fischer Black. Before joining HSBC in 2005 he spent 8 years at Citigroup in London where he headed the Interest Rates and Hybrids quant team.
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 developement derivatives pricing and asset allocation. Jörg frequently lectures at conferences and in academia at university level. He is the co-author of the book "Monte Carlo frameworks" which will be published by Wiley in the first quarter of 2009. Jörg also works as a consultant giving training courses on quantitative methods in finance.
Gunter Meyer is professor emeritus of mathematics at the Georgia Institute of Technology in Atlanta, where he helped develop and taught in the MS program in quantitative and computational finance. He is currently a Nomura Senior Visiting Fellow at the University of Oxford. His research interests include the numerical solution of nonlinear differential equations in finance.
Michael Monoyios is a University Lecturer in Financial Mathematics in the Mathematical Institute. His PhD was in Theoretical Particle Physics at Imperial College, followed by a postdoctoral work as a Royal Society Research fellow at the Niels Bohr Insitute, Copenhagen. Michael then worked as a trader of interest rate derivative securities for two years, with Security Pacific Hoare Govett in the City of London. He returned to academia via Financial Mathematics. His research interests are in optimal hedging in incomplete markets, problems involving transaction costs, parameter and model uncertainty, and information-based models of insider trading.
Kevin Parrott has focused on the numerical solution of partial differential equations. He has a PhD in computational astrophysics. After a ten year period at Oxford where he co-ordinated an academic group developing and applying numerical methods to industrial problems, Kevin is now a mathematics professor at the University of Greenwich.
Alonso Peña works as a quantitative analyst in the Trade and Risk Management group for Thomson Reuters. He has recently been appointed Adjunct Professor at the SDA Bocconi Business School in Milan. Alonso holds a Ph.D. degree from the University of Cambridge and the Certificate in Quantitative Finance (CQF). His area of expertise is the pricing of financial derivatives, in particular credit derivatives. He has publications in the fields of quantitative finance, applied mathematics, neuroscience and the history of science. He is currently Honorary Visiting Senior Research Fellowship at the University of Cambridge (2006-2009).
David Prieul is a Managing Director and Deutsche Bank’s Head of Asset Liability Management Research. His team focuses on asset allocation, capital management strategies as well as hedging and financing strategies for insurance companies pension funds, banks, corporates and sovereign issuers. Prior to that, David Prieul was a Senior Vice President heading the Quantitative Strategies group at Lehman Brothers. He is currently a research Fellow at the University of Oxford where he teaches mathematical finance. He has degrees from the University of Paris-Panthéon in Mathematical Economics (MPhil), Finance (MSc) and Financial Econometrics (DPhil).
Riccardo Rebonato is the Global Head of Market Risk, CM & Head of Quantitative Research, GBM at the Royal Bank of Scotland Group, London. He holds doctorates in nuclear engineering and science of materials/solid state physics. Formerly Riccardo was Head of the Complex Derivatives Trading Desk and of the Complex Derivatives Research Group at Barclays Capital. He sits on the Board of Directors at ISDA and on the Board of Trustee's at GARP. He is the author of several articles in academic journals and of books on Mathematical Finance.
Christoph Reisinger is Course Director of the MSc in Mathematical Finance. He holds a PhD in applied mathematics from the Interdisciplinary Centre for Scientific Computing in Heidelberg. His research interests include the numerical analysis of financial derivatives and their calibration, with an emphasis on high-dimensional and path-dependent products.
Marek Rutkowski is Associate Professor in Mathematics of Finance at the University of New South Wales in Sydney. Prior to this he held a faculty position at the Warsaw University of Technology. He holds the higher degrees of PhD in stochastic processes and stochastic differential equations and DSc in mathematics of finance. He has co-authored two books on mathematics of finance. The monograph Martingale Methods in Financial Modelling, co-authored by Marek Musiela, was first published by Springer-Verlag in 1997, and the second edition appeared in 2005. The book Credit Risk: Modeling, Valuation and Hedging, co-authored by T.R. Bielecki, was published by Springer-Verlag in 2002. Current interests of Marek Rutkowski focus on issues related to modelling and hedging of credit risk.
Cornelis Oosterlee is a full professor on "Hierarchical Numerical Methods" in Applied Mathematics at the Delft University of Technology, the Netherlands and also works at the CWI, Centre for Mathematics and Computer Science in Amsterdam. His research interests in Numerical Analysis include robust and efficient iterative solution methods for discrete partial differential equations, multigrid methods, Fourier methods, and high performance computing. His main field of application is Computational Finance. He is a co-author of a book called "Multigrid" (Academic Press, 2001), an associate editor for the SIAM journal of Scientific Computing and for the Journal of Computational Finance.
Simona Svoboda-Greenwood is a final year DPhil student at the Centre for Industrial and Applied Mathematics (OCIAM) at the University of Oxford. After completing a Bachelor of Science degree in Applied Mathematics and Computer Science at the University of Witwatersrand, South Africa, she worked in the Finance Industry for six and a half years whilst completing a Masters degree in interest rate modelling. A slightly reworked version of her thesis "Investigation of Various Interest Rate Models and their Calibration in the South African Market" was published as a book called "Interest Rate Modelling", available from the publisher, Palgrave Macmillan. Current interests of Simona Svoboda remain in interest rate modelling, specifically, stochastic volatility in the LIBOR market model framework.
Jochen is Director of Quantitative Risk Management for Merrill Lynch in London. Previously, he worked as a quantitative analyst at Citigroup, the Royal Bank of Scotland and Dresdner Kleinwort Benson. After obtaining a Diplom in Mathematics at Mainz, Germany, he studied for a PhD in Mathematics at Cambridge and is currently revising his thesis.
Dr. Ware received his DPhil in 1991 from Oxford University and since then has held academic positions in Oxford, Durham and Calgary. His research interests are in numerical analysis, computational finance and the mathematical modelling of energy markets. Tony Ware is Director of the Mathematical and Computational Finance Laboratory at the University of Calgary, which consults with various energy companies including Nexen, TransAlta, Enmax and Direct Energy. In Calgary he serves on the board for the local chapters of PRMIA and GARP. He is currently on sabbatical, visiting OCIAM. Prior to his sabbatical leave he was leader of the MITACS project `Modelling trading and risk in the market', which involves researchers from five universities across Canada and works with companies from the financial services, banking, insurance and energy sectors.
Bill Ziemba is the Alumni Professor of Financial Modeling and Stochastic Programming (Emeritus), University of British Columbia. His PhD in management science is from the University of California, Berkeley. He was Nomura Senior Visiting Professor of Financial Mathematics at the Mathematical Institute, at the University of Oxford in 2003 and has taught pension fund management and capital growth theory and practice in the MSc programme since then. He is an active trader, consultant, lecturer and publisher of articles and books on various aspects of financial modeling and portfolio management.