Speaker Bios
Speaker Bios
Dilip Madan
Dilip Madan is the Professor Emeritus of Mathematical Finance at the Robert H. Smith School of Business. Currently, he serves as a consultant to Morgan Stanley and Norges Bank Investment Management. He is a founding member and Past President of the Bachelier Finance Society. He received the 2006 Von Humboldt Award in applied mathematics, was the 2007 Risk Magazine, Quant of the Year, received the 2008 Medal for Science from the University of Bologna, held the 2010 Eurandom Chair, and is the IAQF Financial Engineer of the Year 2021. He has published over 200 papers and serves on the Advisory Board of Frontiers of Mathematical Finance.
Bruno Dupire
Bruno Dupire is head of Quantitative Research at Bloomberg L.P., which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets, and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk Magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008.
Jelena Kovačević
Jelena Kovačević became the Dean of the NYU Tandon School of Engineering in August 2018. She is the first woman to head the school since its founding in 1854 as the Brooklyn Collegiate and Polytechnic Institute. She was a plenary/keynote/tutorial/invited speaker at the Graph Signal Processing Workshop 2016, CompImage 2014, IEEE GlobalSIP 2013, IEEE Signal Processing in Medicine and Biology Symposium 2012, Automated Imaging & High-Throughput Phenotyping 2012, Mathematics and Image Analysis 2012, IS&T/SPIE Electronic Imaging Symposium 2011, From Banach Spaces to Frame Theory and Applications 2010, 20 Years of Wavelets 2009, European Women in Mathematics 2009, MIAAB Workshop 2007, Statistical Signal Processing Workshop 2007, Wavelet Workshop 2006, NORSIG 2006, ICIAR 2005, Fields Workshop 2005, DCC 1998 as well as SPIE 1998.
Barry Blecherman
Barry Blecherman is the Interim Chair of the Department of Finance and Risk Engineering at NYU Tandon. Since his arrival on campus in 1994, Barry has served as the director of five distinct degree programs, the dean of undergraduate academics, and the creator of at least two dozen individual courses.
Robert Jarrow
Robert Jarrow is a Professor at Cornell University and director of research at Kamakura Corporation. He is a creator of the Heath-Jarrow-Morton model, the forward price martingale measure, and reduced form credit risk models. His research was the first to distinguish forward/futures prices and study option pricing with market manipulation. He has been the recipient of numerous awards including the CBOE Pomerance Prize for Excellence in Options Research, the Graham and Dodd Scrolls Award, the Bernstein Fabozzi/Jacobs Levy Award, and the 1997 IAFE/SunGard Financial Engineer of the Year. In 2009 he received Risk Magazine’s Lifetime Achievement Award. He is included in both the Fixed Income Analysts Society Hall of Fame and Risk Magazine’s 50-member Hall of Fame. He has written seven textbooks, including the first on the Black Scholes and HJM models, and has over 200 academic journal publications.
Liuren Wu
Liuren Wu is the Wollman Distinguished Professor of Finance at Zicklin School of Business, Baruch College, City University of New York. Professor Wu’s research interests include option pricing, credit risk, term structure modeling, market microstructure, and general asset pricing. Professor Wu has published over 50 articles, many of them in top finance journals such as the Journal of Finance, the Journal of Financial Economics, Review of Financial Studies, the Journal of Financial and Quantitative Analysis, Management Science, and Journal of Monetary Economics. Wu has worked extensively as a consultant in the finance industry, including data vendors, investment banks, several fixed incomes, equity, and equity options hedge funds, and market-making firms. As a consultant, he has developed statistical arbitrage strategies, risk management procedures, optimal trade execution, market-making strategies, and quantitative models for pricing fixed income and equity derivative securities.
Helyette Geman
Helyette GEMAN is the Director of the Commodity Finance Centre at Birkbeck – University of London and a Research Professor at Johns Hopkins University. She is a graduate of Ecole Normale Supérieure in Mathematics, holds a Master’s degree in Theoretical Physics, a Ph.D. in Probability from the University Pierre et Marie Curie, and a Ph.D. in Finance from the University Pantheon Sorbonne.
Professor Geman has been a scientific advisor to major financial institutions and commodity trading companies for the last 21 years, covering the subjects of interest rates, crude oil, metals, and Agriculture. Her books, Commodities and Commodity Derivatives, Agricultural Finance, and Weather and Insurance Derivatives are references in the field.
She has published more than 145 papers in top international finance Journals and counts Nassim Taleb, author of The Black Swan among her former Ph.D. students.
Professor Geman is a Senior Fellow for Office Cherifien des Phosphates Policy Center in Rabat and is President of the Society ‘Women- for- Climate- Sciences’.
Her current research focuses on Climate Change, Renewable Energy, and Green Cryptocurrencies.
Jim Gatheral
Jim Gatheral is Presidential Professor of Mathematics at Baruch College, CUNY teaching in the Masters of Financial Engineering (MFE) program. Prior to joining the faculty of Baruch College, Jim was a Managing Director at Bank of America Merrill Lynch, and also an adjunct professor at the Courant Institute, NYU. His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. Jim (along with Mathieu Rosenbaum) was awarded 2021 ‘Quant of the Year’ by RISK Magazine for his work on rough volatility modeling. His best-selling book, The Volatility Surface: A Practitioner’s Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling.
Roger Lee
Roger Lee is an Associate Professor of Mathematics at the University of Chicago. He also serves as an Associate Editor of Mathematical Finance and an Associate Editor of the SIAM Journal on Financial Mathematics. His research interests include robust pricing and hedging, implied volatility asymptotics, and volatility contracts. He has a Ph.D. from Stanford and a B.A. from Harvard.
Nassim Nicholas Taleb
Nassim Nicholas Taleb was an option arbitrage trader for more than two decades, closing more than half a million option transactions, before becoming a researcher and scholar of risk and probability. He is the author of Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley 1997), which bridges the gap between theory and practice, as well as Statistical Consequences of Fat Tails (STEM 2020), on how to adapt statistical methods to handle nonGaussian distributions. Taleb spent 12 years at Tandon as a distinguished professor of risk engineering and published more than 70 technical papers related to applied probability. His nontechnical work, grouped in the Incerto (which includes The Black Swan and Antifragile, etc.) is published in 47 languages.
Stephan Sturm
Stephan Sturm is an Associate Professor of Mathematical Sciences at Worcester Polytechnic Institute (WPI) in Massachusetts. After obtaining his Ph.D. in Mathematics from TU Berlin (Germany), he became a Postdoctoral Research Associate and Lecturer at ORFE before joining WPI as a faculty member. Sturm’s research covers mainly different areas of financial Andrey Itkinmathematics, but he is interested in stochastic modeling in general, such as applications to climate science. In finance, his work is devoted in particular in questions of value adjustments for derivative securities (XVAs), optimal portfolio selection, and systemic risk in financial markets.
Andrey Itkin
Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering, and Director, Senior Research Associate at Bank of America. He received his Ph.D. in physics of liquids, gases, and plasma, and degree of Doctor of Science in computational physics. During his academic carrier, he published a few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in the financial industry and also is a member of multiple professional associations in finance and physics.
Julien Guyon
Julien Guyon is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor in the Department of Mathematics at Columbia University and at the Courant Institute of Mathematical Sciences, NYU, and a Louis Bachelier Fellow. Julien serves as an Associate Editor of Finance & Stochastics, SIAM Journal on Financial Mathematics, and Journal of Dynamics and Games, as well as a Managing Editor of Quantitative Finance. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years and was an adjunct professor at Universite Paris Diderot and Ecole des Ponts ParisTech.
Julien co-authored the book Nonlinear Option Pricing (Chapman & Hall, 2014) with Pierre Henry-Labordere. He has published more than 20 articles in peer-reviewed journals (including Finance and Stochastics, SIAM Journal on Financial Mathematics, Quantitative Finance, Risk, Journal of Computational Finance, Annals of Applied Probability, Stochastic Processes and their Applications) and is a regular speaker at international conferences, both academic and professional. His main research interests include nonlinear option pricing, volatility and correlation modeling, (nonlinear) optimal transport, and numerical probabilistic methods.
A big soccer fan, Julien has also developed a strong interest in sports analytics, and has published several articles on the FIFA World Cup, the UEFA Champions League, and the UEFA Euro both in academic journals and in top-tier newspapers such as The New York Times, The Times, Le Monde, and El Pais, including a new, fairer draw method for the FIFA World Cup. Some of his suggestions for draws and competition formats have already been adopted by FIFA and UEFA. His paper “Risk of collusion: Will groups of 3 ruin the FIFA World Cup?” won the 2nd prize at the 2021 MIT Sloan Sports Analytics Conference, the biggest sports analytics event in the world.
Pasquale Cirillo
Pasquale Cirillo specializes in risk and extreme value theory, with applications in economics, finance, and the social sciences. He is a Professor of Data Science in the ZHAW School of Management and Law of the Zurich University of Applied Sciences, Switzerland. He previously held positions at the University of Nicosia (CY), Delft University of Technology (NL), and the University of Bern (CH). He has been a regular visiting scholar of NYU FRE, and he is one of the instructors of the FRE Summer boot camp.
He has published in top international journals in statistics, probability, and finance, for example, Quantitative Finance, the Journal of Banking and Finance, Nature Physics, the Royal Society Open Science, and Insurance: Mathematics and Economics. Besides his academic career, as a statistical consultant, he has collaborated with international institutions, like the World Bank, and many private corporations.
His online courses in risk management have been attended by more than 110’000 students from all over the world.
He is a proud amateur cook.
Claudio Tebaldi
Claudio Tebaldi is Scientific Director of the Bocconi Algorand Fintech Lab and Associate Professor of quantitative methods for economics, finance, and insurance at the Department of Finance of Bocconi University, and research affiliate of Baffi-Carefin and IGIER. His research is mainly focused on financial risk management, asset, and derivative pricing. His research has been published in high-impact journals in the field of quantitative finance like Management Science, Mathematical Finance, Operations Research, and The Review of Financial Studies.
David Shimko
Dr. Shimko specializes in valuation and risk management. As a professor at the University of Southern California, he published articles on the valuation of insurance contracts and energy derivatives. While at JPMorgan, he worked as a derivatives banker, advising commodity-producing clients and investment funds on derivative contracts structuring and investment strategy. At Bankers Trust, he headed a risk management advisory function for corporate clients, a career he continued as co-founder of Risk Capital, a specialist valuation and risk advisory firm. His academic work in credit and three issued patents lead him to co-found Credit Circle, a peer-to-peer startup.
He now teaches corporate finance for the Department of Finance and Risk Engineering at the NYU Tandon School of Engineering and is developing a textbook in the subject specifically designed for engineers and other students with strong mathematical backgrounds.
Douglas Costa
Doug Costa was a Professor of Mathematics at the University of Virginia from 1974 to 1997. After consulting for SIG in the mid-90’s, he joined SIG full-time as Director of Quantitative Research in 1997 and led that group until 2015. Since 2015 he has been a part-time lecturer in SIG’s internal education program. He also serves on the board of Friends Fiduciary Corporation.
He received his Professorial Habilitation in Applied Statistics from the University of Bern, Switzerland, and his Ph.D. in Statistics from Bocconi University, Italy. In addition to statistics, he studied economics at Sant’Anna School of Advanced Studies in Pisa, Italy.
Prithvi Ramesh
Prithvi Ramesh heads the Interest Rate Quantitative Analytics team in the US, at UBS Investment Bank, where he has worked for close to 12 years. Previously, he worked at Duff & Phelps in their Financial Engineering team, where he advised the court-appointed examiner in the Lehman Brothers bankruptcy case on their valuation methodologies and practices, and prior to that at Merrill Lynch as a front-office Interest Rates Quantitative Analyst.
Pavel Levin
Pavel Levin is an Adjunct Associate Professor at St. John’s University, Dept. of Mathematics & Computer Sciences. He’s also CEO & President at Vaposun Inc., an innovative consulting startup company in Brooklyn, NY. He holds a Ph.D. in Materials Science from Donetsk National Technical University, Ukraine. His research interests relate to drift-diffusion problems and their applications in such diverse fields as mobile networks, nano-devices, medtech, and financial asset pricing. Dr. Levin works on IT projects as a Data Science Lead applying advanced statistics and machine learning to industrial problems.
Cody Hyndman
Cody Hyndman is Chair of the Department of Mathematics and Statistics at Concordia University in Montréal, Canada. He is also the director of the Mathematical and Computational Finance program at Concordia and a co-founder of the NSERC CREATE Program on Machine Learning in Quantitative Finance and Business Analytics (FIN-ML). His research interests include mathematical and computational finance; probability and stochastic analysis; filtering and control; and machine learning algorithms.
Federico Maglione
Federico Maglione is a post-doctoral researcher at Scuola Normale Superiore, Pisa, Italy. He received a BSc in Economics and Finance and an MSc in Computational Finance from Ca’ Foscari University of Venice, Italy, and has a Ph.D. in Finance from Bayes Business School, University of London, UK. His research interests span from derivative pricing to asset management and has worked on multifractal processes, compound options, and credit risk.