INTEREST RATE MODELLING - Risk Waters Group

C O U R S E T U T O R SProfessor Marco Avellaneda, New York University, Courant Institute of Mathematics (New York course)Professor Marco Avellaneda is currently Director and Professor at the New York University, Courant Institute of Mathematical Sciences. Prior to this he was VicePresident as part of the Derivative Products Group at Morgan Stanley Dean Witter, where he was involved with the quantitative research team supporting the USdollar interest rate derivatives, Brady Bond options and exotic interest rate options. Professor Avellaneda holds a Ph.D. in Mathematics (Probability) from theUniversity of Minnesota and B.S/M.S. Licenciado en Ciencias Matematicas from the University of Buenos Aires. Professor Avellaneda has published over 80research papers in Applied Mathematics and over 15 in quantitative finance.Philippe Balland, Merrill Lynch (London course)Philippe Balland is a Director in the Fixed Income Division at Merrill Lynch, London, where he has the responsibility for developing and implementing stochasticmodels for pricing and hedging complex options. He received his Ph.D. in mathematics from Oxford University.David Chasman, Sempra Energy Trading (New York course)Dr David Chasman directs quantitative analysis at Sempra Energy Trading for North America. His group at Sempra focuses on the hedging of energy optionbooks, the development of models that allow for the hedging of "real options" in the financial markets, and interest rate overlay hedging. Before working atSempra, David worked in the Derivative Quant Group at Bear Stearns. There, he worked on the implementation and calibration on the two-factor RS-HJMmodel for the pricing of interest rate derivatives. Immediately before joining Bear, David was a post-doctoral fellow in the Department of Chemistry at Columbia,where he carried out research on the electronic structure of large molecules - and had the opportunity to learn something about finance. David has a Ph.D. inPhysical Chemistry from MIT and undergraduate degrees in applied math and chemistry from the University of Chicago.Stephen Dodds, Barclays Capital (London course)Stephen Dodds is Director of Research and Development in the Quantitative Analytics Group at Barclays Capital. Stephen started his career on the exoticinterest rate derivatives desk, involved in trading and managing exotic positions, as well as developing and implementing term-structure models for exotics suchas Bermudan swaptions. In addition to his continuing responsibilities on the interest rate side, he is now responsible for model research and development inother asset classes, including commodities, equities and foreign exchange. His areas of interest include practical implementation of Market Models for a widerange of exotics, and their optimal use in hedging. Stephen holds a Ph.D. in theoretical cosmology at the Institute for Astronomy, Edinburgh University, havingspecialised in analytic and numerical models of galaxy formation and evolution, after receiving his first degree in Physics from Oxford University.Gian Marco Felice, Commerzbank (London course)Dr. Gian Marco Felice is a Quantitative Research Specialist at Commerzbank Treasury and Financial Products in Frankfurt where he is currently working onissues associated with interest rate derivative pricing and interest rate models analysis. He holds a Bachelor of Science in Nuclear Engineering from theMassachusetts Institute of Technology and a Ph.D. in Astrophysical Sciences from Princeton University.Patrick Hagan, Nomura Securities International (New York course)Patrick Hagan Ph.D. is currently Head of Quantitative Research at Nomura Securities International in New York where he oversees all the mathematical modellingand numerical algorithms for financial engineering, he also designed the fixed income trading system for pricing and managing interest rate derivatives products.Prior to this he was Gead of Quantitative Research at Numerix, he has also held positions at Banque Paribas and Morgan Stanley. Other professional activitiesinclude Managing Editor of Applied Mathematical Finance. Patrick holds a B.S and Ph.D in Applied Mathematics from the California Institute of Technology.Professor Lane P Hughston, Centre for Financial Mathematics, King's College London (London course)Lane Hughston is Professor of Financial Mathematics at King’s College London. He received his D. Phil. in mathematics from Oxford University. Before joiningKing's he was Director of Derivative Product Risk Management at Merrill Lynch, where he was responsible for managing the development of pricing modelsinterest rate and foreign exchange derivatives, and other products. His research interests include: Mathematical finance and its applications in an investmentbanking context; the pricing and risk management of derivatives; martingale models for interest rates and foreign exchange; the impact of transaction costs;stochastic volatility models; and applications of information geometry and stochastic differential geometry. For more information see: http://www.mth.kcl.ac.uk/Mark S. Joshi, Royal Bank of Scotland (London course)Dr Mark S. Joshi is Senior Quantitative Analyst in the QUARC team of the Natwest group. Here, he is involved with the researching of derivatives pricing, modelvalidation and consulting on quantitative issues within the group. Dr Joshi is currently team leader of QUARC within Group Risk. Previous to this he was anAssistant Lecurer within the Department of Pure Mathematics and Mathematical Statistics at the University of Cambridge. Dr Joshi has published over 20 papersin pure mathematics.Anlong Li, Citadel Investment Group (New York course)Anlong Li Ph.D. is Director of Quantitative Research at Citadel Investment Group, Chicago, IL. Dr. Li was Senior Vice President and head of Structured ProductsGroup for fixed-income derivatives at ABN AMRO North America in Chicago, responsible for structuring, trading and the development of new derivativeproducts, from 1996 to 1999. He was head of Product Development and Derivative Research for Global Derivatives at the First National Bank of Chicago inChicago, IL, from 1994 to 1996. He also worked in derivative products at both Salomon Brothers and Lehman Brothers in New York City, from 1992 to 1993.Mr. Li was a Research Fellow at the Federal Reserve Bank of Cleveland where he worked on the valuation and policy implication of deposit insurance during1990 and 1991. Mr. Li received his Ph.D. in Operations Research from Case Western Reserve University. His work appears in many academic as well asprofession journals. He is a frequent speaker at professional conferences.Riccardo Rebonato, Royal Bank of Scotland (London course)Dr Riccardo Rebonato is Head of Group Market Risk for the Royal Bank of Scotland Group, and Head of The Royal Bank of Scotland Group QuantitativeResearch Centre. He is also a Visiting Lecturer at Oxford University for the Mathematical Finance Diploma and Visiting Fellow at the Applied MathematicalDepartment of Oxford University. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. Prior to joining the Royal Bank ofScotland, he was, at the same time, Head of the Complex Derivatives Trading Desk and of the Complex Derivatives Research Group at Barclays Capital, wherehe worked for nine years. Before that he was a Research Fellow in Physics at Corpus Christi College, Oxford, UK. He is the author of the books 'Interest-RateOption Models' (1996, 1998), 'Volatility and Correlation in Option Pricing' (1999) and Modern Pricing of Interest-rate Derivatives (2001). He has publishedseveral papers on finance (interest-rate option models, computational techniques) in academic journals, and is on the editorial board of several journals. He is aregular speaker at conferences world-wide.Yi Tang, Goldman Sachs & Co. (New York course)Yi Tang currently works for Goldman, Sachs & Co. as a Vice President in a Quantitative Group (DCP). Before joining Goldman, he was a Quantitative Analyst atRubicon Financial Systems, Inc./Cambix, Inc. Formerly, he was an Adjunct Assistant Professor of Physics at UCLA. He holds a Ph.D. degree in CondensedMatter Physics from UCLA.Uwe Wystup, Commerzbank (London course)Dr. Uwe Wystup is a Quantitative Research Specialist at Commerzbank Treasury and Financial Products in Frankfurt, Lecturer on Mathematical Finance atGoethe University, Founder and Managing Director of MathFinance and Editor of the MathFinance Newsletter. He holds a Ph. D. in Mathematical Finance fromCarnegie Mellon University.www.risktraining.com/interest