personal descriptions

• Prof Claudio Albanese, Independent Consultant


Claudio Albanese has a PhD in Theoretical Physics from ETH Zurich and has been working in Mathematical Finance since the mid 90s. His academic career involve positions up to the rank of full professor. He currently consults for several financial organizations in the area of structured products and lectures extensively in professional conference and training circuits. Claudio developed a framework for the mathematical finance of long dated derivatives based on constructive probability theory and numerical linear algebra.

• Dr Alexander Antonov, Numerix


Alexander Antonov got his PhD degree from the Landau Institute for Theoretical Physics in 1997 and joined NumeriX LLC in 1998 where he currently works as a Vice President Quantitative Research. His activity is concentrated on modeling and numerical methods for interest rates, cross currency, and credit. He is a regular speaker for NumeriX at international conferences.

• Dr Oliver Caps, Dresdner Bank

Dr. Oliver Caps is a senior quantitative analyst in the model validation team at Dresdner Bank and develops valuation models for exotic interest rate and hybrid products. He holds a Ph.D. in mathematics and an MBA. Currently, his main interests are multi-factor interest rate models and smile modelling with stochastic volatility.

• Dr Jürgen Hakala, Standard Chartered


Jürgen Hakala works at Standard Chartered Bank and is involved in foreign exchange, as well as commodities, equity derivatives, and hybrids modeling. He is interested in all aspects of computational finance and risk management. He is, together with Uwe Wystup, the editor of a book about Foreign Exchange Risk.

• Dr Markus Himmerich, d-fine


Dr Markus Himmerich is a Senior Consultant at d-fine GmbH. He worked on various projects on implementing risk management and performance measurement systems at asset managers, banks and industrial corporates. He studied physics at the Johannes Gutenberg-University of Mainz and at the University of Bristol (UK) and mathematical finance at the University of Oxford (UK). The work presented here was part of a Master thesis done in collaboration with Dr Aleksandar Mijatovic (Imperial College, London).

• Fiodar Kilin, Quanteam AG


PhD student at Frankfurt School of Finance & Management. Education: MSc in Applied Mathematics. Belarus State University (Minsk). Work Experience: 2004-present - Quanteam AG (Frankfurt), consultant. Industrial projects: 2004-present - Development of numerical pricing algorithms for exotic equity derivatives (investment bank, ongoing project). Research areas: Pricing and hedging of forward-skew-sensitive equity derivatives. Model risk.

• Dr Sven Ludwig, Sungard


Dr. Sven Ludwig is Manager Banking Central Europe at Sungard

• Prof Antje Mahayni, University of Duisburg-Essen


Professor Mahayni, born in 1971, studied economics at the University of Bonn. In 2001, she finished her doctoral theses „Absicherungsstrategien auf unvollständigen Zinsmärkten“ (Hedging in Incomplete Markets) supervised by Prof. Dr. Dieter Sondermann. From 2001 to 2006 she worked as an Assistant Professor with Prof. Dr. Klaus Sandman and received her venia legendi at the University of Bonn with the post-doctoral thesis „Risk Management of Minimum Return Guarantees and Embedded Options“. Selected publications of Prof. Mahayni appeared in the Journal of Economic Dynamics and Control, the German Economic Review and the Journal of Theoretical and Applied Finance. Prof. Mahayni is a regular speaker at national and international conferences. 2003, she received an Outstanding Paper Award from the German Finance Association for her contribution „The Risk Management of Minimum Return Guarantees“ (joined work with Erik Schlögl). In 2007, Prof. Mahayni was appointed to the newly founded chair of “Insurance and Risk Management” at the Mercator School of Management (University of Duisburg-Essen).

• Dr Jan Maruhn, UniCredit Markets & Investment Banking


Jan Maruhn is working as a quantitative researcher in the Financial Engineering Equities and Hybrids team (Structured Products Development) of UniCredit Markets and Investment Banking. He obtained his PhD in mathematics from the University of Trier, Germany. His research interests include the application of nonlinear and stochastic optimization techniques as well as numerical methods in general to problems arising in mathematical finance.

• Prof Hans Mittelmann, Arizona State University


Hans Mittelmann is a professor of Computational Mathematics at Arizona State University. Prior to his appointment he was a professor at the University of Dortmund. He has a PhD in Mathematics from the Technical University of Darmstadt, where he also obtained the Habilitation. He has written over 120 papers in Computational Mathematics and currently maintains two of the most frequented websites in the area of optimization software. His research has for more than 30 years been done in interdisciplinary collaboration, lately nearly exclusively in optimization. He is on the editorial board of several journals and book series including Computational Management Science, Computational Optimization and Applications, and International Series in Numerical Mathematics. Membership in professional societies includes INFORMS, the Institute for Operations Research and the Management Sciences and the Society for Industrial and Applied Mathematics.

• Håkan Norekrans, Sungard


Håkan Norekrans is Product Manager SunGard FRONT ARENA, responsible for pricing and risk management of equities and equity derivatives.

• Andrea Odetti, Commerzbank


Andrea Odetti is a quantitative analyst at Commerzbank Corporates and Markets and is involved in equity derivatives as well as commodities modelling. He holds a MSc in Probability and Finance from Universite Paris VI. His main interests are correlation and smile modelling with stochastic volatility and Levy models and numerical techniques for financial problems.

• Prof Goran Peskir, University of Manchester

Goran Peskir holds a Chair in Probability at the University of Manchester, where he is Head of Probability and Statistics, currently comprising 20 specialists and 28 research students in the field. Together with Albert N. Shiryaev he has co-authored the book Optimal Stopping and Free-Boundary Problems which describes the state of the art of optimal stopping and its applications. His current research interests in Mathematical Finance include Option Pricing Theory.

• Dr Kay Pilz, Sal. Oppenheim


Kay Pilz is working as a Quantitative Analyst for Sal. Oppenheim in Frankfurt. His work and research interests focus mainly on the development and implementation of equity as well as commodity models for pricing and hedging derivative securities. Kay graduated in mathematics from the University of Frankfurt and holds a PhD in mathematical statistics from the University of Bochum.

• Prof Eckhard Platen, Sydney University of Technology


Eckhard Platen is a Professor of Quantitative Finance at the University of Technology, Sydney. Prior to this appointment he was Head of the Centre of Financial Mathematics in the Institute of Advanced Studies at the Australian National University. He has a PhD in Mathematics from the Technical University in Dresden and obtained his Dr.sc. from the Academy of Sciences in Berlin. He is co-author of two books on numerical methods for stochastic differential equations and has authored more than hundred papers in applied mathematics and finance. He serves on the editorial boards of four international journals in finance and mathematics, including “Mathematical Finance”. For over twenty five years he has worked on stochastic numerical methods and has applied these methods successfully to many problems in mathematical finance. His current research interests cover areas ranging from financial market modeling, quantitative methods in derivative pricing and risk analysis to the statistics of stochastic processes in finance.

• Prof Rolf Poulsen, University of Copenhagen


Rolf Poulsen is a professor of mathematical finance at the University of Copenhagen and is currently on a visiting sabbatical at the Gothenburg University. He has a PhD in finance from the University of Aarhus. His current research primarily focuses on practical hedging of exotic options, model risk and optimal mortgage choice.

• Dr Dietmar Schölisch, AXA


Dr. Dietmar Schölisch studied Economics and Business Administration, majoring in Banking and Finance as well as Auditing. The subject of his thesis was "Integrated value and risk ma-nagement of life insurers". Dr. Schölisch is Vice Branch Manager of the German branch of AXA Life Europe Ltd. and responsible for the dynamic hedging of VA products of the AXA Group in Germany. Since 1999 he has worked at various companies in the practical side of investment controlling, pri-marily involved in developing ALM systems and the management of bond/equity portfolios using quantitative methods.

• Sanjeev Shukla, Commerzbank


Sanjeev Shukla is a quantitative analyst at Commerzbank Corporates and Markets, where he works in areas of interest rate derivatives and hybrids. He holds an MSc from Cambridge University in Pure and Applied Mathematics. His main areas of interest are rates and hybrid models, smile modelling in hybrids and numerical techniques.

• Dr Jianwei Zhu, LPA


Dr. Jianwei Zhu is currently a senior quant at LPA with focus on equity/interest rate derivatives modelling. He was a VP at Sal. Oppenheim and was responsible for implementing interest rate /cross-asset pricing library. Prior to that, he was a senior quant for exotic equity derivatives at WestLB in Düsseldorf. Dr. Jianwei Zhu began his career in the model validation team at Dresdner Bank. He holds a MSc in mathematic economics from University of Dortmund, and a PhD in quantitative finance from University of Tübingen. Dr. Jianwei Zhu published a book "Modular Pricing of Options" in Springer Verlag, on the application of Fourier analysis to stochastic volatilities, stochastic interest rates and random jumps.

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