Damiano Brigo (Imperial College London)

Prof. Damiano Brigo is Chair of Mathematical Finance and Stochastic Analysis at Imperial College London and Director of the Capco Institute. Damiano’s previous roles include Gilbart Professor and Head of Group at King’s College, Managing Director and Quantitative Innovation Global Head in Fitch, Head of Credit Models in Banca IMI and Fixed Income Professor at Bocconi. 

Damiano published 70+ works in journals for Mathematical Finance, Systems Theory, Probability and Statistics, and books for Springer and Wiley that became field references in stochastic interest rate and credit modelling. Damiano is Editor of the International Journal of Theoretical and Applied Finance and of Mathematics of Control, Signals and Systems.  Damiano’s interests include pricing, risk measurement, counterparty credit risk collateral and funding, stochastic commodities and inflation modelling, exponential and mixture manifolds and nonlinear filtering. Damiano holds a PhD in stochastic filtering with differential geometry.

Khalil Dayiri (Bloomberg)


David Fellah (JP Morgan)



Fabrizio Lillo (University of Bologna)

Fabrizio Lillo is Full Professor of Mathematical Methods for Economics and Finance at the University of Bologna (Italy). Formerly he has been Associate Professor of Mathematical Finance at the Scuola Normale Superiore, Pisa (Italy). He has been also External Faculty and Professor (2009-2012) at the Santa Fe Institute (USA). He received the Master (laurea) in Physics and PhD in Physics at the University of Palermo (Italy). He has been postdoc (1999-2001) and then researcher of the National Institute of the Physics of Matter, INFM (2001-2003). After that he has been postdoc (2003) and member of the External Faculty (2004-2009) of the Santa Fe Institute. He has been awarded the Young Scientist Award for Socio- and Econophysics of the German Physical Society in 2007.

He is author of more than 85 referred scientific papers. According to Google Scholar, his papers have received 5,400 citations and his h-index is 37. He has been invited speaker in more than 25 international conference in the last 5 years. He is also member of the editorial board of 5 journals (including Journal of Statistical Mechanics (JSTAT) and Market Microstructure and Liquidity) and he is referee for 43 international journals and 9 national funding agencies. Besides other projects, he is responsible of one of the units of the H2020 project SoBigData. He has also been responsible of one of the units of the FP7 funded European project CRISIS (Complexity Research Initiative for Systemic InstabilitieS) and of an INET grant, both focused on financial systemic risk and of ELSA and ComplexWorld, two European projects on Air Traffic Management.

Iacopo Mastromatteo (Capital Fund Management)

Marvin Mueller (ETH Zurich)

Marvin Mueller is postdoctoral researcher at ETH Zurich working with Martin Larsson and Josef Teichmann. Previously he was a research assistant and doctoral student of Martin Keller-Ressel at TU Dresden. Until October 2014, Marvin was a research fellow at the Research Training Group 1845 “Stochastic Analysis with Applications in Biology, Finance and Physics” at TU Berlin.

Marvin’s research aims to get a better understanding of modern order book driven financial markets and of the corresponding mathematical systems – in a rigorous and general framework. His research interests go in two directions: applied quantitative finance and, on the other hand, abstract theory of stochastic analysis.


Eyal Neuman (Imperial College London)

Eyal Neuman is a  Research Associate at the Department of Mathematics at Imperial College London. His research interests are in the area of probability and stochastic processes. He is mainly working on stochastic partial differential equations and mathematical finance. Previously he was a Visiting Assistant Professor at the University of Rochester. Eyal received his PhD in stochastic processes from the Technion in 2014.

Pamela Saliba (Autorité des Marchés Financiers)

Sasha Stoikov (Cornell University)

Sasha Stoikov is a senior research associate at Cornell financial engineering Manhattan. Stoikov holds a BS from MIT and a MS in mathematics from the University of Wisconsin, Madison in addition to his Ph.D. from the University of Texas. He has worked in the financial services industry as a consultant for the Galleon Group and Morgan Stanley and as a VP in the High Frequency Trading group at Cantor Fitzgerald. Stoikov was also an instructor at the Courant Institute of New York University and a lecturer at Columbia’s IEOR department. His research is in market microstructure, market incompleteness and their impact on the optimal strategies of stock and option traders. In particular, his quantitative finance research focuses on models of volatility, dynamics of limit order books and market-making techniques