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Advisory Panel Bios

Claudio Albanese

Claudio Albanese is a Visiting Professor of Financial Mathematics at King's College London and CEO of Global Valuation Limited, a specialised consulting firm which focuses on the application of High Throughput Computing (GPU Technology) to risk management and investment banking.

His recent papers include Coherent Global Market Simulations and Securitization Measures for Counterparty Credit Risk and Optimal Funding Strategies for Counterparty Credit Risk Liabilities.

Carol Alexander

Professor Carol Alexander is Chair of Risk Management at the ICMA Centre, Henley Business School at Reading. With industry experience ranging from work as a Fixed Income Trader to being Head of Market Risk Modeling, she is currently a Board member and Chair of PRMIA's Academic Advisory Council, (Professional Risk Manager’s International Association).

She publishes widely on a broad range of topics, including: volatility theory; option pricing and hedging; trading volatility; hedging with futures; alternative investments; random orthogonal matrix simulation; game theory and real options.

Lisa Borland

Lisa Borland is a former physicist whose early work in synergetics, a field of statistical physics that aims to understand how order can arise from chaos, at the Max Planck Institute informed her later career in industry. She is currently Senior Researcher at San Francisco Hedge Fund, Cogence Capital and was previously Head of Derivatives Research at Quant Fund, Evnine & Associates.

Lisa's publications include A Theory of Non-Gaussian Option Pricing and Market panic on different time-scales.

Patrick Burns is the author of The R Inferno (pdf) and a prominent member of the R programming commumnity. He was formally employed in equities at Citigroup and before that was a lead developer of S-Plus.

Patrick founded technology consulting firm, Burns Statistics in 2002 and has developed a tools for the generation of Random Portfolio called Portfolio Probe.

Dave Cliff is Professor of Computer Science at the University of Bristol, with research specialising in ultra-large-scale complex adaptive systems.

During 1998-2005 Professor Cliff worked in industry, as a Department Scientist for Hewlett-Packard Laboratories, and then as a Director/Trader in the Complex Risk Group at Deutsche Bank’s London foreign exchange (FX) trading floor. In 1995 Professor Cliff invented an autonomous adaptive trading algorithm, which in 2001 was shown by IBM researchers to consistently beat human traders in experimental versions of financial-market auction systems, and which is now widely recognized as one of the two first autonomous adaptive algorithmic trading systems with real-world applicability.

Professor Cliff is one of the Lead Experts guiding the UK Office for Science Foreseight Project on the Future of Computer Trading in Finance Markets.

Michael Dempster

Professor Michael Dempster is Managing Director of Cambridge Systems Associates Limited and Professor Emeritus, Centre for Financial Research, University of Cambridge. Michael has taught and researched in leading universities on both sides of the Atlantic, including Oxford, Cambridge, Stanford, California-Berkeley, Princeton, Toronto and Rome, and is currently founding Editor-in-Chief of Quantitative Finance and an Associate Editor of Stochastics, Computational Finance and the Journal of Risk Management in Financial Institutions.

Emanuel Derman

Emanuel Derman is a South African-born academic, businessman and writer. He is best known as a quantitative analyst, and author of the book My Life as A Quant: Reflections on Physics and Finance. He is a co-author of Black-Derman-Toy model, one of the first interest-rate models, and the Derman-Kani local volatility or implied tree model, a model consistent with the volatility smile.

In 2000 Emanuel was named IAFE/SunGard Financial Engineer of the Year and in 2002 was elected to the Risk Hall of Fame (pdf). His forthcoming book Models.Behaving.Badly, will be published by Free Press in October 2011 and can be preordered here.

Emanuel Derman J. Doyne Farmer is a professor at the Santa Fe Institute. He has broad interests in complex systems, and has done research in dynamical systems theory, time series analysis and theoretical biology. At present his main interest is in developing quantitative theories for social evolution, in particular for financial markets. He was a founder of Prediction Company, a quantitative trading firm that was sold to the United Bank of Switzerland, and was their chief scientist from 1991 - 1999. During the eighties he worked at Los Alamos National Laboratory, where he was an Oppenheimer Fellow, founding the Complex Systems Group in the theoretical division.
Jim Gatheral

Jim Gatheral worked at Bank of America and Bankers Trust before heading the Equity Quantitative Analytics group at Merrill Lynch in 1996, where he was a managing director for 17 years.

In 1998 he became a fellow of the Masters Program of Mathematics in Finance at the Courant Institute of Mathematical Sciences of New York University. In March 2010 Jim assumed a tenured full professor position at the Financial Engineering Masters Program at Baruch College where he is teaching volatility surface modeling and market microstructure. You can read an interview with Jim over at the excellent QuantNet resource for MFE Students.

Jon Gregory

Dr Jon Gregory is a consultant specialising in counterparty risk and credit derivatives. Until 2008, he was Global Head of Credit Analytics at Barclays Capital based in London. Jon has worked on many aspects of credit modelling over the last decade, being previously with BNP Paribas and Salomon Brothers (now Citigroup). In addition to publishing papers on the pricing of credit risk and related topics, he was in 2001 co-author of the book Credit: The Complete Guide to Pricing, Hedging and Risk Management, short-listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance. He is author of the book Counterparty risk : the next challenge for the global financial markets published by Wiley Finance in December 2009.

Mark Joshi

Mark Joshi is a prominent member of the quantitative finance community, regularly producing research papers, presenting at conferences, conducting workshops and posting on forums. Since finishing as the Head of QuaRC at RBS, he is currently a Professor in the Centre for Actuarial Studies at the University of Melbourne.

Mark’s book The Concepts and Practice of Mathematical Finance CUP 2003 has become a standard introductory text in the area, and his other book C++ Design Patterns and Derivatives Pricing CUP 2004, has also proved popular. Mark was pivotal in the creation of the LIBOR Market Model module for QuantLib.

Piotr Karasinski

Piotr Karasinski is a pioneering quantitative analyst, best known for the Black–Karasinski model which he co-developed with the late Fischer Black. His contributions to quantitative finance include models for interest rates, equity and hybrid products, and random volatility.

He is currently Senior Advisor at the European Bank for Reconstruction and Development and sits on the editorial board of the journal, Quantitative Finance.

Steve Keen

Steve Keen is Professor of Economics & Finance at the University of Western Sydney, and author of the popular book Debunking Economics, a second edition of which has just been published. He has over 60 academic publications on topics as diverse as financial instability, the money creation process, mathematical flaws in the conventional model of supply and demand, flaws in Marxian economics, the application of physics to economics, Islamic finance, and the role of chaos and complexity theory in economics.

In March 2007, he started the blog Steve Keen’s Debtwatch, which now has over 13,000 members and more than 60,000 unique readers each month.

Alan Kirman Alan Kirman is Professor Emeritus at the Universite Paul Cezanne in Aix-en Provence, Director of Studies at the Ecole des Hautes Etudes en Sciences Sociales, (EHESS) and member of the Institut Universitaire de France. He is a Fellow of the Ecoonometric Society, of the European Economics Association, and has held a Houblon Norman Fellowship at the Bank of England. He was awarded the Humboldt Prize and has been president of the Association of Southern European Economic Theorists, (ASSET). His main interest is in the way in which markets and their participants actually function and the link between micro and macro behaviour.
David Koenig

David R. Koenig is the Chief Executive Officer of The Governance Fund Advisors, LLC. His work has included the active management of complex portfolios over $50 billion in notional exposures, risk oversight of public equity and fixed-income mutual fund portfolios and capital markets trading portfolios and trading of fixed income securities, equities, currencies, commodities, options, over-the-counter and exchange-traded derivatives.

Mr. Koenig served as the Chair of the Board of Directors of PRMIA from 2002 to 2005 and was the Executive Director of PRMIA and President of the PRMIA Institute from their inception until September, 2007.

Blake LeBaron Blake LeBaron is Professor of Finance in the Graduate School of International Economics and Finance at Brandeis University.His interests extend to learning and evolution in international and national financial markets, and the nonlinear behaviour of financial and macroeconomical time series. He has investigated the application of chaos theory to economic time series. He is currently working on understanding how systems of adaptive agents can replicate observed real world phenomenon, particularly the behavioural characteristics of traders in financial markets.

He is a Faculty Research Fellow at the National Bureau of Economic Research, and an External Faculty of the Santa Fe Institute.

Rosario N. Mantegna is, today, recognized as one of the leading pioneer in the field of econophysics. He started to work in the area of the analysis and modeling of social and economic systems with tools and concepts of statistical physics as early as in 1990. He published the first econophysics paper in a physics journal in 1991. He also co-authored the first econophysics paper in Nature, in 1995.  In 1999 he published the first book on econophysics. 

Wayne Marr is a Full Professor of Business Administration at the University of Alaska Fairbanks. He has published more than 40 academic articles and a large number of trade publications in the areas of money and banking, regulation, and economics. Wayne was one of the orginal founder of the Social Science Research Network (SSRN) with Michael Jensen, Eugene Fama and other internationally known economists. Today, Wayne is studying and writing on the TARP and more specifically on the new Lending Facilities such as TALF and CPLF which the Federal Reserve created to open up the financial markets via quantiative easing.

Additionally, Wayne has a blog in Financial Economics ( that focuses primarily on the economic crisis facing the US and world; the blog is also used in his classes.

Richard Olsen Chairman and CEO of Olsen, Dr. Richard Olsen holds a Licentiate in Law from the University of Zurich (1979), a Masters in Economics from Oxford University (1980) and a Ph.D. from the University of Zurich (1981). He worked in banking as a researcher and foreign exchange dealer before founding Olsen and Associates in 1985 and becoming the firm's Chief Executive Officer. He is also CEO of OANDA.
Barry Schachter Barry Schachter is currently Director, Quantitative Resources, for a large hedge fund. Previously he had served as Chief Risk Officer for three other hedge funds. He also has worked on the "sell side" in risk management. He was a Financial Economist in the Risk Analysis Division of the U.S. Office of the Comproller of the Currency. He also was an Economist (and acting Research Director) at the Commodity Futures Trading Commission. He began his career in academia, spending most of that period at Simon Fraser University.

Barry is a Fellow of the Program in Mathematics in Finance at the Courant Institute of Mathematics at NYU, a member of the Advisory Board of the IAFE, a Research Associate of the EDHEC Risk Institute, and an active member of PRMIA. He writes and speaks on risk management topics in both academic and practitioner venues.

Gilles Zumbach is a fomer physicist turned Quant who works on many topics in finance, ranging from high-frequency data to long term forecasts, from option pricing to bond portfolio construction, from optimizing market orders to risk evaluations for complex portfolios. He has held various positions at banks, hedge funds and service providers and has written over 30 research papers in finance.
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