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MSCF Speaker Series '09-'10

January 29, 2010 (From New York)
Yann Coatanlem - Citi Institutional Client Group
Managing Director and Head, Multi-Asset quantitative Analysis Group
"Commodity Derivatives: Term Structure Modeling and Risk Management"

Yann Coatanlem is a Managing Director in Citi Institutional Client Group and head of the Multi-Asset quantitative Analysis Group. He joined the Arbitrage Desk of Salomon Brothers in London in 1994. His current responsibilities include research, development and trading support for the Hybrid and Multi-Asset Derivatives desk, the Commodity desk and Prime brokerage globally. MAQA’s key responsibility is to help businesses at all stages of a new product development cycle: structuring and marketing, analysis of key risk factors and market inputs, modeling and pricing, integration in various front end technology platforms, risk management, market value adjustments, model validation, credit approval, economic capitals, quantitative strategies. Amongst various activities outside Citi, Yann runs a think tank, Club Praxis, which focuses on economic and social reforms in France. He graduated in Mathematics from Ecole Nationale Supérieure d’Informatique et de Mathématiques Appliquées de Grenoble (ENSIMAG), and from Hautes Etudes Commerciales (HEC) in Paris.
 

January 22, 2010 (From New York)
David Ye - Nomura
Managing Director and Head of Risk Management for the Americas
"Modeling Mortgage Loan Loss"

Dr. Ye holds a Ph.D. in Mathematics from Duke University. He joined PNC Bank in 1996 and rose to the position of Chief Market Risk Officer for PNC Financial Services Group. In 2005 David joined Nomura as a Managing Director and Head of Risk Managment for the Americas, a position he is leaving in January 2010. At Nomura, Dr. Ye led a team of 50 risk professionals with responsibilities for market, credit and operational risk. He played an instrumental role in the decision of Nomura management to exit the mortgage-backed security market in early 2007, and subsequently be in a position to acquire portions of Lehman Brothers.


December 4, 2009 (From New York)
George Nunn - BNP Paribas
Managing Director and Head, Interest Rate and FX Structuring
"Interview Skills"

George Nunn is a Managing Director and Head of Interest Rates and Foreign Exchange structuring. His group develops new fixed income financial products and provides tailored solutions that address BNP's client needs across debt financing, derivatives and accounting. His group also builds customer facing businesses which complement BNP's fixed income activities in the Americas. George spent four years as head of interest rate option trading for CSFB in London before joining BNP Paribas in 1991 where he held senior positions in both London and New York until 2000. George left BNP for HSBC where he was Head of Interest Derivative trading until returning to BNP in 2007. George received two B.Sc. Degrees in Mechanical Engineering and Management from the Massachusetts Institute of Technology.


November 20, 2009 (From New York)
Mark Carhart - Goldman Sachs
Co-Chief Investment Officer of the Quantitative Investment Strategies Group
"Insights on the Direction of Institutional Asset Management"

Mark M. Carhart, Ph.D., CFA recently retired as Co-Chief Investment Officer of the Quantitative Investment Strategies Group at Goldman, Sachs & Co. Mark joined Goldman in 1997, was named Managing Director in 1999 and Partner in 2004. While at Goldman, he served on the Investment Management Division's Management Committee and Investment Policy Group. Prior to joining Goldman, Mark was Assistant Professor of Finance and Business Economics at the Marshall School of Business at USC, a Senior Fellow of The Wharton Financial Institutions Center, a member of the Investment Board of Mercer Global Advisors and a consultant for Dimensional Fund Advisors. His academic research on the predictability of mutual fund performance has been published in The Journal of Finance and the Review of Financial Studies, and he also contributed to the book, Modern Investment Management: An Equilibrium Approach. Mark began his investment career as a research analyst for Latimer Management in 1988. Mark earned a B.A. from Yale in 1988 and and a Ph.D. from the University of Chicago Graduate School of Business in 1995.


November 13, 2009 (From New York)
Bruce Tuckman - Barclays Capital
Head of Quantitative Research for Prime Services
"Consistent Pricing of FX Forwards, Cross-Currency Basis Swaps, and Interest Rate Swaps in Several Currencies"

Bruce Tuckman was most recently a Managing Director at Barclays Capital, as the Head of Quantitative Research for Prime Services and as a member of the executive committee of that division. After receiving his Ph.D. in economics from M.I.T., Bruce was a professor of finance at New York University¹s Stern School of Business and a visiting professor of finance at UCLA¹s Anderson Graduate School of Management. He began his Wall Street career in 1994 at Salomon Brothers¹ Fixed Income Proprietary Trading Group. Since then he managed several research functions in the fixed income, financing, and prime brokerage areas, including his tenure at Lehman Brothers from 2002. Bruce is the author of many academic and industry articles and of the book Fixed Income Securities, 2nd Edition published by John Wiley & Sons. He is now working with a think tank on government policy as it relates to financial markets.


November 6, 2009 (From New York)
Dmitry Sendersky - BlackRock
Director and a co-head of Term Structure and Security Valuation
"From Chaos to Order - the Evolution of the CDS Market"

Dmitry Sendersky is Director and co-head of the Term Structure and Security Valuation team, part of the Financial Modeling Group within BlackRock Solutions. Dmitry entered the financial modeling field in 2000, joining Kiodex, a start-up delivering commodity risk management services. In 2002, he moved to RiskMetrics where he worked on corporate credit. In 2005, he joined BlackRock, becoming head of Corporate Credit Modeling. Dmitry has a BS/MS in Applied Math from Kiev Polytechnic Institute, an MS in Math from the University of Cincinnati, and a PhD in Applied Math from SUNY Stony Brook.


October 30, 2009 (From New York)
Keith Grimaldi and Stephen Antczak - Cantor Fitzgerald
Managing Directors
"Is it Time to Short the Credit and Equity Markets?"

Keith Grimaldi is a Senior Managing Director at Cantor Fitzgerald, and is responsible for the trading of all CDOs and other Structured Products. Mr. Grimaldi was formerly the Global Head of CDO Trading and Origination at UBS Securities. Prior to joining UBS Mr. Grimaldi was an Executive Director at CIBC from 1998 to 2003 where he was in charge of the syndication, trading and distribution of collateralized debt obligations and other esoteric securitized transactions in the public and private placement markets. Mr.
Grimaldi was also a Vice President at Citicorp where he held various positions including Head Asset-Backed Securities Trader. Prior to his experience at Citicorp, Mr. Grimaldi was a stock-index futures trader with Thomson McKinnon where he worked on the NY Futures Exchange. Mr. Grimaldi holds a MBA from Fordham University and a BS in Business Administration from Georgetown University.

Stephen Antczak is a Managing Director at Cantor Fitzgerald, where he heads the firm¹s Corporate Strategy effort. Steve has worked in a strategy capacity for more than fourteen years across a broad range of asset classes, including the government bond, high-grade corporate, leveraged finance, structured finance, and equity markets. Stephen's work includes developing general market views and strategies, building valuation and hedging models, as well as making specific trade recommendations for both internal and external clients. Prior to joining Cantor, Stephen headed the Leveraged Finance Strategy team at UBS, and prior to that was a senior strategist at Merrill Lynch. He also previously worked at the Bureau of Labor Statistics as an economist. Stephen is also an Adjunct Professor at Baruch University and at Fordham University. Stephen recently co-authored a book titled Leveraged Finance: Concepts, Methods, and Trading of High-Yield Bonds, Loans, and Derivatives with Frank Fabozzi. He also earned a ranking on Institutional Investor's All-American Research Team this year. Stephen graduated from the University of Michigan with a B.A. in economics and an MBA. He was awarded Chartered Financial Analyst status in 1999.


October 23, 2009 (From New York)
Javed Ashraf - UBS
US head of Equities Quantitative Strategies
"Blind Signal Separation Volatility Surface Process"

Javed Ashraf is the US head of Equities Quantitative Strategies at UBS. Over the last twelve years, Javed has developed derivative valuation models, trading strategies and auto hedging algorithms for the equity derivative/equity linked business. Javed earned a BEng in computer engineering from Salford, an MBA from City University and a MSc. in financial mathematics from the University of Chicago. Javed's presentation provides insight into the proprietary trading of equity/equity-linked derivatives.


October 9, 2009 (From New York)
Bulent Baygun - BNP Paribas

Managing Director and Head of Interest Rate Strategy
"Building Fixed Income Portfolios"

Bulent Baygun is a Managing Director and head of US interest rate strategy at BNP Paribas. His team develops strategies for Treasuries, swaps, interest rate derivatives, Agencies, TIPS and MBS. Prior to joining BNPP, Bulent worked at Barclays Capital, first as head US interest rate strategist, and most recently as the global head of quantitative strategy. He started in finance at Salomon Brothers in the Government Bond Strategy group (now part of Citigroup Global Markets), after working as a research scientist in oil exploration at Schlumberger Doll Research. Bulent has a PhD in Electrical Engineering, and a M.S. in Mathematics, both from the University of Michigan, as well as M.S. and B.S. degrees in Electrical Engineering from The Middle East Technical University, Ankara, Turkey.


October 2, 2009 (From New York)
Hitesh Mittal - ITG

Managing Director and Head of Liquidity Management
"Liquidity Management"

Hitesh Mittal is Managing Director and Head of Liquidity Management at ITG. In this role he oversees ITG's algorithmic trading and crossing products. Hitesh has been with ITG since 2001. Hitesh has a BS in computer science from JNV University and MBA in finance from Stern School of Business.


September 25, 2009 (From New York)
Ramon Verastegui - Societe General Corporate and Investment Bank
Vice President, Global Equity Derivatives Solutions Division
"Innovations in Exotic Equity Derivatives"

Dr. Ramon Verastegui is Vice President at Societe General Corporate and Investment Bank in the Global Equity Derivatives Solutions Division where he is in charge of the engineering group that structures and prices equity and hybrid exotic derivatives for the firm's Americas-based hedge fund clients. Dr. Verastegui has degrees from ICAI in Madrid (B.S.,M.S.), Ecole Superieure d'Electricite (M.S.,D.E.A.) in Paris and Columbia University (M.S., M.Phil., Ph.D.). He has also been a visiting scholar at the Massachusetts Institute of Technology.


September 18, 2009 (From New York)
Giuseppe Nuti - Deutsche Bank
Head of Algorithmic Trading Desk, Global Rates
"Algorithmic Trading"

Dr. Nuti runs the algorithmic trading desk within Deutsche Global Rates. The Algorithmic Trading team develops, implements and runs trading strategies in both a market-making and a proprietary setting. The market-making algorithms developed are primarily aimed at inventory management and P&L generation. Within the proprietary trading algorithms, most of the research is aimed at high-frequency strategies and flow analysis. Dr. Nuti teaches mathematical finance and algorithmic trading components of the Financial Computing course at at University College London and supervises PhD students at both University College London, and the Cass Business School. Dr. Nuti's research interests are in trading probability in exchange driven markets, the interaction between market participants in price-setting microstructure (both in simulated and real life environments, and market-making algorithms within different auction methods.

 
September 11, 2009 (From New York)
Robert Cohen, Mick Kalishman, & John Haldi - C&C Trading
Managing Members
"Applications of Computational Finance in Prop Trading"

Robert Cohen and Mick Kalishman both joined Charlton/SLK in 1995 on the floor of the American Stock Exchange in the equity options specialist group. In 1998, Rob created Charlton/SLK's on-floor Index/ETF Arbitrage operation and in 2000, with Mick, co-founded the off-floor arbitrage and market making division of C&C Trading. John Haldi John has been responsible for technology at C&C since he joined the firm in 2007. His background includes time spent as an option specialist on the floor of the Amex and also as the CTO of an upstairs options market making firm.

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