<strong>CQF</strong> facultyWorld-renowned practitioners and academicsDr. Paul WilmottPaul is internationally renowned as a leading expert on quantitativefinance and founder of the <strong>CQF</strong>. His research work is extensive, withmore than 100 articles in leading mathematical and finance journals,as well as several internationally acclaimed books on mathematicalmodeling and derivatives, including the best-selling Paul Wilmott onQuantitative Finance. He has extensive consulting experience withleading US and European financial institutions, founded a volatilityarbitrage hedge fund and a university degree course.Dr. Riaz AhmadRiaz is Head of <strong>CQF</strong> Faculty and teaches Mathematical Finance,C++ programming and Mathematical Methods-based courses. Riazis an applied mathematician with teaching and research interests inthe mathematical and computational aspects of financial derivatives– in particular, stochastic volatility and jump diffusion models,exotic options and interest rate modeling. Amongst others, Riaz haslectured in Mathematical Finance at University College London andOxford University.Dr. Espen Gaarder HaugEspen has worked in derivatives trading and research for more than20 years. He worked as a proprietary option trader at J.P. Morgan inNew York, and as an option trader for two multibillion dollar hedgefunds, Amaranth and Paloma Partners. He also worked as an optionmarket maker for Chase Manhattan Bank (now J.P. Morgan Chase).He has been involved in almost every option market, includingequity, currency, fixed income, energy and commodities. He has aPhD <strong>fr</strong>om the Norwegian University of Science and Technology.Neil GrahamNeil joined Barclays International in 1985 initially in the foreignexchange, money markets and derivatives operations areas beforemoving to the trading room in 1991. Here, his roles included bothinter-bank and sales positions in spot and forward FX, moneymarkets and treasury derivatives. After leaving Barclays in 1995,Neil became a local on the London International Financial Futuresand Options Exchange (LIFFE), trading own account positions ininterest rate, bond and equity derivatives.Dr. Sébastien LleoSébastien is a Professor of Finance at Reims Management Schoolin France, a lecturer on <strong>CQF</strong> in the UK and a Visiting Lecturer atthe Frankfurt School of Finance and Management in Germany.Previously, he held a research position at Imperial College Londonin the UK. Before that, he worked for seven years in the investmentindustry in Canada and held consulting positions. He holds a PhDin Mathematics <strong>fr</strong>om Imperial College London.Dr. Randeep GugRandeep is the Head of Professional Qualifications at Fitch Learningand a lecturer on the <strong>CQF</strong>. He spent five years working in theEquities division at Salomon Smith Barney and later traded futuresand options on the Indian National Stock Exchange (NSE). Aqualified teacher, he has a First-class honors degree and a PhD forresearch in semiconductor physics.Dr. Richard Vladimir DiamondRichard advises family offices on private equity, asset allocation,investment performance and effectiveness of hedges. He designsand executes trades – his specialties are volatility regimes modelingand VIX futures arbitrage. Richard earned his doctorate <strong>fr</strong>om theUniversity of Southampton (UK), studying complexity and projectrisk of IT operations in banking. Since 2005, he has been teachingin operations management, statistics and financial mathematics,recently at Cass Business School and Regent’s College in London.Dr. Iris MackIris earned a Harvard doctorate in Applied Mathematics and aLondon Business School MBA. She is also a former DerivativesQuant/Trader who has worked in financial institutions in the US,London, Asia and the Caribbean. Iris serves on a National Academyof Sciences Research Advisory Board and on the Advisory Boardsof the Women Mentor Women Foundation.Dr. Peter JäckelPeter is the founder and Managing Director of OTC Analytics.He received his DPhil in Physics <strong>fr</strong>om Oxford University in 1995.Peter migrated into quantitative analysis and financial modeling in1997 when he joined Nikko Securities. When Nikko closed downits European operations in 1998, he changed to NatWest, whichlater became part of the Royal Bank of Scotland group. In 2000, hemoved to Commerzbank Securities’ product development group.From 2004 to 2008, he was with ABN AMRO as Global Head ofCredit, Hybrid, Inflation, and Commodity Derivative Analytics. Peteris the author of the book Monte Carlo Methods in Finance (2002).Professor Moorad ChoudhryMoorad is Treasurer, Corporate Banking Division at the RoyalBank of Scotland. He was previously Head of Treasury at EuropeArab Bank, Head of Treasury at KBC Financial Products, andVice-President in structured finance services at J.P. MorganChase Bank. Moorad is Visiting Professor at the Department ofMathematical Sciences, Brunel University, and Visiting TeachingFellow at the Department of Management, Birkbeck, and Universityof London. He is a Fellow of the Chartered Institute for Securities& Investment, and a member of the Board of Governors of the ifsSchool of Finance.16
www.cqf.comDr. Alonso PeñaAlonso is SDA Professor at the SDA Bocconi School ofManagement in Milan. He has worked as a quantitative analyst inthe Structured Products group for Thomson Reuters Risk and forUnicredit Group in London and Milan. He holds a PhD <strong>fr</strong>om theUniversity of Cambridge on finite element analysis. He has lecturedand supervised graduate and post-graduate students <strong>fr</strong>om theuniversities of Oxford, Cambridge, Bergamo, Pavia, Castellanzaand the Politecnico di Milano. His area of expertise is the pricing offinancial derivatives, in particular structured products.Dr. Siyi ZhouSiyi is an Associate Lecturer for the <strong>CQF</strong>. He teaches appliedquantitative finance in volatility arbitrage, stochastic interest ratemodels and credit derivative pricing and risk management. Beforejoining Fitch Learning, Siyi worked as a senior risk analyst in a Cityof London-based consulting firm, providing constructive solutionsto leading banks and insurance companies. He has worked on manyprojects in counterparty credit risk and market risk management.Currently he is working at Moody’s Analytics, based in London.Dominic ConnorDominic has been programming in C and C++ since the 1980swhen he graduated <strong>fr</strong>om Queen Mary University of London. Hehas built trading systems for bond and equity markets, securenetworks for the British government, reviewed C++ compilersfor PC Magazine, and debugged operating systems for IBM andMicrosoft. At some point he has written code for every majorenvironment including Windows, OS/2, Reuters, Bloomberg, VMS,AS/400, DOS, VM and Unix.Dr. Patrick HaganPatrick received his BS and PhD in Applied Mathematics <strong>fr</strong>omCaltech. Over the years he has worked at Bloomberg and severalbanks designing trading systems for fixed income, credit, andforeign exchange derivatives, as well as developing the componentmodels, calibration methods, and numerical algorithm. Beforeentering finance he was Deputy Director of the CNLS and amember of the Computer Research and Applications group at LosAlamos. He has also worked at Exxon Science Laboratories, andhas taught at Caltech, Stanford, the Institute for Mathematics andits Applications, and NYU.Professor Stephen TaylorStephen has held a Chair in Finance at Lancaster UniversityManagement School since 1993. His degrees are in Mathematicsand Operational Research. He teaches financial econometricsat Lancaster and in recent years has been a Visiting Lecturerat universities in Norway, China, Australia and New Zealand.His seminal work on stochastic volatility and GARCH models isincorporated in the highly cited book on Modelling Financial TimeSeries (Wiley 1986 & World Scientific 2008). His most recentresearch interests are density forecasts for asset prices obtained<strong>fr</strong>om option prices and the jump intensity of asset prices inferred<strong>fr</strong>om high-<strong>fr</strong>equency prices.17
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