October 7, 2005 (From Pittsburgh)
Eric Liverance — Morgan Stanley
Executive Director, Quantitative Interest Rate Strategy
"Morgan Stanley's Model For Extracting Fed Expectations From The Market"
Mr. Liverance is head of Quantitative Interest Rate Strategy at Morgan Stanley. His responsibilities include analytical modeling, relative value and trading model construction and implementation, as well as publishing and client relationship management for the group. He joined Morgan Stanley in 2003. Prior to joining Morgan Stanley, Eric worked for Clinton Group, a fixed income hedge fund, where he did interest rate derivatives modeling and quantitative trading of interest rate derivatives. Eric received an MSCF degree from Tepper School of Business in 1999, a PhD in Pure Mathematics from University of Maryland in 1993 and a MA in Pure Mathematics from Yale University in 1985.
October 14, 2005 (From New York)
Eric Beinstein — JPMorgan
Head of North America Corporate Quantitative Research
"Structured Products Risk"
Mr.Beinstein is a Managing Director and Head of North America Corporate Quantitative Research at JPMorgan. He is responsible for quantitative analysis of credit derivative products, the CDX suite of credit derivative indices, credit options and structured products. He is also responsible for Equity Derivatives Research and Quantitative Cross Asset Class Research. His fixed income research responsibilities include North America Investment Grade and High Yield Corporate markets. Eric produces several daily reports that provide timely analytics on these products and contributes views and recommendations in JPMorgan's High Grade, High Yield and Fixed Income weekly strategy publications. Previously he was responsible for Global Credit Derivatives Research for Emerging Markets Fixed Income at JPMorgan, and also held trading and sovereign research positions in JPMorgan's Emerging Market Fixed Income business. Eric holds BS in Economics from the Wharton School and an MBA from New York University. Eric's presentation will cover two areas: (1) Structured credit products and risk management in the context of market events in May of this year. The sharp sell off in Auto Manufacturers bonds and credit default swaps in the spring gives some interesting insights about hedging strategies and risk management. We will review the basics on structured credit in this context. (2) Equity market and credit market relative performance and observations of the link between pricing in these markets and the opportunities which arise from time to time.
October 28, 2005 (From New York)
David Greely — Goldman Sachs
Senior Energy Economist
"Quantitative Analysis in Commodities Markets"
Mr. Greely is Vice President and Senior Energy Economist in the Commodities Research Group at Goldman Sachs. Responsible for covering global energy commodities, David joined Goldman in October 2001. He previously worked at the Federal Deposit Insurance Corporation as a Research Economist. David has a Ph.D. in economics from the University of Chicago.
November 4, 2005 (From New York)
Doug Lucas — UBS
Head of CDO Research
"CDO's: How to Value A CDO And The Limits of Quantitative Analysis"
Mr. Lucas is a Director at UBS and head of CDO Research. He is responsible for UBS' CDO research and ranked top three in CDO research in the Institutional Investors fixed income analyst survey. Prior to joining UBS in 2001, Douglas was head of CDO research at JPMorgan. Before that, he was co-CEO of Salomon Swapco for six years and had credit control positions with two boutique swap dealers. Douglas was at Moody's Investors Service from 1987 to 1993 where he wrote the rating agency's first default and rating transition studies. He also quantified the expected loss rating approach and developed Moody's rating methodologies for collateralized debt obligations and triple-A special purpose derivatives dealers. He is known for doing some of the first quantitative work in default correlation. Douglas has a BA magna cum laude in Economics from UCLA and an MBA with Honors from the University of Chicago.
November 11, 2005 (From New York)
Milind Sharma — Deutsche Bank
Senior Proprietary Trader
"Risk Adjusted Performance Measures"
Mr. Sharma is Director and Senior Proprietary Trader at Deutsche Bank responsible for Statistical Arbitrage. Previously, he was VP and Co-Founder of Risk and Performance at Merrill Lynch Investment Managers, where his investment role spanned a dozen quantitatively managed funds (including the five star rated ML Large Cap Series). At MLIM, Milind’s investment models were applied towards the active management of over $30 Billion in assets. Prior to MLIM, he was Manager of the Risk Analytics and Research Group at Ernst & Young LLP. His financial publications have appeared in Risk Books, Journal of Investment Management, Wiley Finance & Elsevier amongst others. Milind holds dual MS degrees in Computational Finance and Applied Mathematics from Carnegie Mellon University, where he was also in the doctoral program. He graduated Summa Cum Laude from Vassar College and completed the Honors Moderation curriculum at Oxford University en-route.
November 18, 2005 (From New York)
Mircea Marinescu — Barclays Capital
Global Head of Commodities Modeling Group
"After Black Scholes - Stochastic Volatility, Levy Processes, or both?"
Dr. Marinescu is Global Head of Commodities Modeling Group at Barclays Capital. Prior to Barclays Capital, he worked for the commodities group at Morgan Stanley. Mircea earned his Ph.D in Physics from Harvard.
December 2, 2005 (From New York)
Frank Zhang — ING
Senior Quantitative Derivatives Strategist and Head of Quantitative Financial Modeling
"Challenges and Opportunities for Quantitative Financial Engineers in the Life Insurance Industry"
Mr. Zhang is a Senior Quantitative Derivatives Strategist and the head of Quantitative Financial Modeling and Hedging department at ING USFS Retail Annuities Market Risk Management. He has managed ING's dynamic hedging program for 3 1/2 years and oversees the quantitative developments of models, systems, and strategies to hedge and manage its rapidly growing, capital market risk portfolio. He is a Fellow of the Society of Actuaries, a CFA charter holder and a 2001 MSCF graduate.
December 9, 2005 (From New York)
Abib Bocresion — JPMorgan
Managing Director, Equity Exotics
"Commonalities of Exotic Derivatives Across Products and Markets"
Dr. Bocresion is Managing Director and Head of the North America Credit Hybrids and Equity Exotics trading desks at JPMorgan. These desks trade synthetic structured credit derivatives, cross-asset hybrids and equity exotic derivatives. Prior to this role, Abib worked in synthetic structured credit trading and in Interest Rate exotic derivatives trading for JPMorgan in London. He joined JPMorgan in 1994 in the Fixed Income Research department. Abib holds a BA in Engineering and Computing Science from Oxford University and an MSc in Economics from the London School of Economics.
January 20, 2006 (From New York)
Aleksandar Kocic — Deutsche Bank
Director, Fixed Income & Relative Value Research
"The Price Discovery Process in Options Markets"
Dr. Kocic earned a degree in theoretical physics from the University of Illinois. He has been in his current position at Deutsche since 2002. Prior experience includes six years at Lehman in fixed income research.
January 27, 2006 (From New York)
Reha Tutuncu and Pierre Collin-Dufresne — Goldman Sachs
Quantitative Resources Group at Goldman Sachs Asset Management
"Quantitative Asset Management"
Dr. Tutuncu is a Vice President in the Quantitative Resources Group at Goldman Sachs Asset Management where he focuses on developing and implementing optimization models. Prior to joining Goldman, Reha was a tenured Associate Professor in the Department of Mathematical Sciences at Carnegie Mellon University. Dr. Tutuncu is a recipient of an NSF CAREER Award, and has won the Leslie Fox prize for the outstanding publication in Numerical Analysis. He is one of the authors and architects of the popular, powerful SDPT3 code for semidefinite and conic optimization. He has published in journals such as Finance and Stochastics, Mathematical Programming, and SIAM Journal on Optimization. His book "Optimization Methods in Finance" (co-authored with G. Cornuejols) will be published by Cambridge University Press this fall.
Dr. Collin-Dufresne joined the Quantitative Strategies Group of Goldman Sachs Asset Management in July 2005. Pierre is currently on leave from the Haas School of Business of University of California, Berkeley where he has been an Associate Professor of Finance since 2004. After obtaining his Ph.D. in 1998 from the HEC School of Management in Paris, he started as an Assistant Professor of Finance at the Tepper School of Business at Carnegie Mellon University, where he became Associate Professor in 2003. Pierre's teaching and research interests include Asset and Contingent Claim Pricing, Fixed Income Securities, Default Risk, Emerging Markets, International Finance, and Real Estate Economics. His research has been published in refereed journals such as Econometrica, Journal of Finance, and Journal of Derivatives. He is a member of the NBER and of the Advisory Research Board of Moody's. He served as associate editor for the Journal of Quantitative Financial Analysis and the Review of Financial Studies.
February 3, 2006 (From New York)
David Cushing — Lehman Brothers
Managing Director, Equity Quantitative Analytics Group
"Applications of Quantitative Analytics"
Mr. Cushing works in Lehman's Equity Quantitative Analytics group. In this capacity, he is involved in the creation and distribution of Lehman Brothers’ quantitative equity trading and analysis tools. He also conducts and publishes original market microstructure research. Prior to joining Lehman Brothers in 2004, David worked as the co-founder and chief executive officer at Inference Group LLC, a hedge fund and investment management company from 2000 to 2004. While at Inference, he was actively involved in investment and trading strategy design. Before working at Inference, he was the managing director of research at ITG, Inc., an electronic agency brokerage firm. He joined ITG in 1991 as a vice president in the sales and trading area and formed the company’s research department in 1993. While at ITG, David was also appointed to ITG’s management committee, which serves as the ranking executive body for the company. Starting in 1986, David first worked for Lehman Brothers in the equity derivatives and program trading department. While in this position, he traded options, futures and equity portfolios on both a principal and an agency basis. He was also responsible for index portfolio construction and management and simultaneously published articles on the topic. Two years before joining Lehman Brothers, he worked at Walsh Green Information Systems in New York. David received his undergraduate degree in biochemistry from Brown University and has held the CFA charter since 1991.
February 17, 2006 (From New York)
Frank Neilsen — MSCI Barra
Executive Director, Research Consulting Group
"Dynamic Volatility and its Implications for Active Portfolio Management"
Mr. Nielsen manages the Research Consulting Group that develops risk management solutions for investment management firms based on MSCI Barra analytics and financial models. Since joining Barra in 1993, Frank has held various positions in enterprise risk management and Equity and Fixed Income product management. Prior to joining Barra, Frank was a managerial trainee with Vereinsbank in Germany, where he worked in different areas including security and credit analysis. Frank has an MBA from Hamburg University, Germany.
March 24, 2006 & March 31, 2006 (From New York)
Alla Gil — Nomura Securities
Managing Director, Capital Solutions Group
"Practical Risk Management for Strategic Decision Making"
During this two part series Dr. Gil considers the concept of strategic risk management (proactive vs. reactive); the need for new risk methodologies incorporating dynamic correlation and extreme market conditions; portfolio optimization through structured products overlays, how regulatory environment impacts capital management; and the difference between strategic and tactical hedges.
Dr. Alla Gil is the head of Nomura's International Capital Solutions Group. Responsible for providing enterprise-level finance advisory for Nomura's international clients, her group develops innovative methodologies for analyzing and modeling clients' exposures to different risk facets, including asset/liability and economic capital management and optimization and liquidity, currency, interest rate and credit risk. Alla's background is in theoretical mathematics and optimization. She has fifteen years of financial experience at Nomura, Citigroup, Goldman Sachs and CIBC.
April 7, 2006 (From Pittsburgh)
Doug Costa — Susquehanna International Group
Director, Quantitative Research Group
"Quantitative Research and Modeling at Susquehanna"
After completing his Ph.D. in commutative algebra from the University of Kansas in 1974, Dr. Costa joined the faculty of the mathematics department at the University of Virginia. In 1994 he began consulting for Susquehanna International Group and joined the firm full-time as Head of Quantitative Research.