Andreza Barbosa: Andreza wrote her doctoral thesis on hedging with futures and exchange traded funds, and subsequently published several papers, notably in the Journal of Portfolio Management and the Journal of Banking and Finance and a book from her thesis on Exchange Traded Funds. She was Vice President Prime Brokerage and OTC Clearing Risk at JP Morgan in London, Director, EMEA Head of Risk, Futures and OTC Clearing at Citigroup and Head of Market Risk at NYSE Euronext, where she managed the clearing transition of the LIFFE business to ICE Clear Europe in 2013. Then she was Director of Risk and headed ICE’s Financials and Softs Risk team until 2016. Currently she is Executive Director of the Model Risk Management team at Goldman Sachs.
Xi Chen holds a BSc in Economics in the University of Shanghai for Science and Technology, majoring in Finance. After a year and a half of working in KPMG, she came to the UK and in 2009 obtained an MSc in Financial Risk Management from the ICMA Centre, ranking in the top three among all Masters students that year. In 2014 she completed her PhD in extending the real option theory and developing real option valuation models. She currently works as the Research and Development Co-Director at Oxford Risk and a post-doctoral researcher at Smith School of Enterprise and Environment, University of Oxford
Anca Dimitriu: Anca holds an MSc from DOFIN Bucharest (2000) and a PhD from the ICMA Centre (2004). During her doctoral research she published many papers on quantitative hedge fund strategies, notably in the Journal of Portfolio Management, Journal of Alternative Investments and Quantitative Finance. After almost 5 years in the equity quant trading team at Goldman Sachs, in 2009 she joined a large quant trading team at Millenium Partners in London, focussing on business development. In 2016 she became COO, Quant Strategies at Balyasny Asset Management L.P.
Naoufel El-Bachir: Naoufel holds a BSc in Business Economics and an MSc in Finance from HEC-University of Lausanne and a DEA in Stochastic Modelling and Statistics from University of Paris VII. His PhD thesis was on stochastic default intensity models with jumps and their application to single-name credit derivatives and credit portfolios. After his doctorate he had a one year stint with Fitch Ratings where he worked on different credit modelling projects including CDO-squareds, cross-currency CDS, CVA, and empirical analysis of CDS quotes provided by a pool of dealers. Since then, he has been working on modelling and system implementation for counterparty risk and CVA/FVA, first as a consultant with RBS, then CIBC. He is currently employed by CIBC where he continues to work on solutions for the pricing and risk management of Valuation Adjustments.
Yang Han: Yang graduated from the Technical University of Munich with an MSc in Finance and Information Management and a BSc in Mathematics. Throughout his studies he received a scholarship from the German National Academic Foundation. Yang has gained work experience through internships at BCG, A.T. Kearney and Rocket Internet and through his work as a freelance management consultant for over 6 companies, so far. His PhD research will focus on quantitative finance and its application to energy markets.
Andreas Kaeck: Andreas holds a Master in Business from the University of Augsburg, and an MSc in Finance and Information Management from the Elite Graduate programme at the Technical University of Munich (TUM). Subsequently, in September 2010 he obtained his PhD with a thesis entitled “Equity Index and Index Derivative Dynamics”. Andreas started his career in academia as an Assistant Professor of Finance at St Gallen University (Switzerland) and he joined the University of Sussex as Reader in Finance in 2013.
Julia Kapraun: Julia studied Mathematics with majors in Mathematical Finance and Stochastic Analysis at the TU Berlin. During and after her studies she gained practical experiences in equity derivatives markets at UBS and BNP and worked as a junior risk controller at Union Investment. She joined WHU – Otto Beisheim School of Management for her PhD studies on volatility investments, when she spent a semester at Sussex working with Carol on trading and investing in volatility products. She obtained her PhD in 2014 and is now an Assistant Professor in Finance at WHU. Her recent research focus is on financial modelling, asset pricing and wealth management.
Dimitris Korovilas completed his PhD in 2012 at the Henley Business School with a doctoral thesis on exchange-traded volatility products. Since then he joined Citigroup in London and he is currently a Vice President in the quantitative investment strategies team which focuses on the structuring of risk premia strategies. His area of expertise lies on multi-asset risk premia and portfolio construction. He also holds a BSc from the Piraeus Business School in Greece and an MSc from the ICMA Centre in the UK.
Joydeep Lahiri: Joydeep holds a B.Tech (First Class) in Computer Science and Engineering from Mangalore University, India and started his career as a programmer in Information Technology. His PhD is on approximate solutions for jump-diffusion models with applications to CDS spreads. He has held various positions as Technical Lead, Architect and Project Manager, executing projects for Fortune 100 clients in United Kingdom, Bahrain, Japan and the US. He joined the BT Pension Scheme Management on completing his PhD, then moved to RWC to work on risk, attribution and performance.
Emese Lazar: Emese is an Associate Professor in Finance at the ICMA centre. She holds a BSc in Computer Science, University of Bucharest, a BSc in Finance and Banking, Academy of Economic Studies in Bucharest, and an MSc in Financial Engineering and Quantitative Analysis (with distinction) from Henley Business School. Her PhD was on multi-state volatility models and current research interests include volatility and correlation models and their application in pricing structured products and risk management.
Daniel Ledermann: Dan graduated from the University of Oxford with firsts in both his Undergraduate and Masters degrees in Mathematics. He developed a new method of simulation based on Random Orthogonal Matrices (ROM simulation) obtaining his PhD in 2010. Dan started his career as a Quant Analyst for SunGard in London, then a senior analyst developing Risk and Valuation models for HSBC in Canary Wharf. Currently he is Senior Quantitative Analyst at HSBC Global Banking and Markets, London
Stamatis Leontsinis: Stamatis obtained his PhD, on model-free option-based volatility and higher moment indices, in 2010. His work derives important new formulae for the construction on volatility, skewness and kurtosis indices which are applicable to all underlying, including interest rates. He joined Fulcrum Asset Management in 2010 and as the head of systematic volatility trading strategies he developed the Multi Asset Volatility fund (MAV), trading variance risk premia in Equities, Commodities, Currencies and Rates. As a Portfolio Manager of MAV, he led the fund’s strategy construction and evolution, implementation, and risk management. MAV grew to over $1bl in AUM during its first year. In 2015 he joined RWC Partners as Head of Derivatives Strategies in the Quantitative Strategies team, focusing on developing multi-asset volatility and other derivatives systematic strategies. In 2017 he joined CdR Capital Ltd, London as Research Director for quantitative derivatives and volatility strategies. He has held guest lectures in the Business Schools of Newcastle University and University of Sheffield. He also holds an MSc from Henley Business School and a BSc from the Department of International and European Economic Studies at the Athens University of Economics and Business.
Dmitri Lvov: Dmitri holds a BSc from Moscow university and an MSc in International Securities Investment and Banking at the ICMA Centre (2001), graduating with distinction. His PhD was on Monte Carlo methods for pricing and hedging with applications to Bermudan swaptions and convertible bonds. Since his PhD he has been working at JP Morgan-Chase bank, London and his current position is Executive Director, Commodities Quant Research.
Leonardo Nogueira: Leo holds a BSc in Computer Science from the Federal University of Pernambuco in Recife, Brazil, an MSc (distinction) in Financial Engineering and Quantitative Analysis at the ICMA Centre, and his PhD was on hedging options with local and stochastic volatility models. He works for the Brazilian central bank, where he is currently Head of the Governor’s Office, advising the bank on monetary and FX policy issues. His main research interests are in pricing and hedging derivatives, risk management, volatility modelling, portfolio optimization and central banking in general.
Johannes Rauch: Johannes holds an MSc in Finance and Information Management from Technical University of Munich. His Master Thesis about commodity derivatives is a co-operation with risklab GmbH, a subsidiary of Allianz Global Investors. Johannes has gained working experience with A.T. Kearney strategy consulting as well as in his father’s own consulting business. He completed his PhD at Sussex and in 2015 he joined our team here as a Lecturer in Finance.
Silvia Stanescu: Silvia obtained an MSc in International Securities, Investment and Banking (ICMA Centre), as well as a BSc in Business Economics from the University of Reading, ranking the first in her class on both occasions. Silvia also holds a BSc in Banking and Finance from the Academy of Economic Studies in Bucharest. Upon completing her PhD thesis on analytic moments for GARCH processes, she was a Lecturer in Finance at the University of Kent for almost 4 years. She subsequently joined the Equity Derivatives Research team at Deutsche Bank in London.
Anannit Sumawong: Poppy holds a BEng in Mechanical Engineering from Imperial College London (2008), an MSc in International Financial Management from the University of Surrey (2009), an MSc in Financial Risk Management from the University of Reading (2010) and a PhD in Finance from the University of Sussex (2015) with a thesis entitled ‘Risk Management for Energy Derivatives: Applications to Hedging and Margin Requirements’. He continued this work as a postdoctoral researcher at the University of Sussex, funded by the Global Risk Institute, and after working in the Risk, Research, & CCP Policy Division, Financial Market Infrastructure Directorate, Bank of England he became a Quantitative Analyst at GAM, Asset Management, London.
Aanand Venkatramanan: Aanand graduated from Sri Sathya Sai Institute, India with first class Honours in Mathematics. As a Felix scholar he obtained a distinction on the MSc in Numerical Solutions of Differential Equations at the University of Reading. He obtained his PhD on analytic approximations for multi-asset option pricing in 2010, supervised by Carol Alexander and then worked for three years in structured products for Goldman Sachs, London. After two years as Lecturer in Finance at the University of Sussex he recently returned to the city of London as VP Systematic Trading Strategies and Indices for Barcap.
Ali Bora Yigitbasioglu: Ali holds a BA in Mathematics from Cambridge University, and MSc in Financial Mathematics from Imperial College. His PhD thesis was on the inclusion of volatility uncertainty and call notice periods in the pricing of convertible bonds with PDEs. Since his doctorate he has worked in London: at Lehman Brothers (FX exotics and structured trading in emerging markets), as Senior hybrid exotics trader and macro prop trader, Dresdner Kleinwort (2008-2010) and is currently Senior portfolio manager, emerging markets rates and FX macro prop trading, at The Cambridge Strategy.