SPEAKERS

Damiano Brigo (Imperial College London)

Professor Damiano Brigo is Chair of Mathematical Finance (MF) and Stochastic Analysis and co-Head of the MF group at Imperial College, London, consistently ranked among the top 10 Universities in the world. Damiano’s previous roles include Gilbart Professor and Head of Group at King’s College London, Director of the Capco Institute, Managing Director and Global Head of Quantitative Innovation in Fitch Ratings, Head of Credit Models in Banca IMI, Fixed Income Professor at Bocconi University, and Quantitative Analyst at Banca Intesa. Damiano worked on quantitative analysis of counterparty risk, interest rates-, FX-, credit- and equity- derivatives, risk management and structured products, and funding costs and collateral modelling.

Damiano published 80+ works in top journals for Mathematical Finance, Systems Theory, Probability and Statistics, with H-index 35 on Scholar, and books for Springer and Wiley that became field references in stochastic interest rate and credit modeling. Damiano is Managing Editor of the International Journal of Theoretical and Applied Finance, he is in the board of Mathematics of Control, Signals and Systems, Credit Review, Applied Mathematical Finance, and has been the most cited author in Risk Magazine in 2006, 2010 and 2012. His current interests include valuation, risk measurement, funding, counterparty risk, stochastic models for commodities and inflation, dependence dynamics, liquidity risk, optimal execution, stochastic differential geometry, information geometry, exponential families, mixture families, nonlinear stochastic filtering. Damiano obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam, following a BSc in Mathematics with honours from the University of Padua.

 

Khalil Dayiri (Bloomberg)

Khalil Dayri is a quantitative researcher in the algorithmic trading group of Bloomberg Tradebook. Based in London, he focuses on quantitative research relating to dark execution, price formation process, smart order routing, best execution and transaction cost analysis. Khalil holds a PhD in Applied Math from Ecole Polytechnique and an MSc in Statistics and Financial Mathematics from University of Chicago. Prior to Bloomberg, Khalil was in the Algorithmic trading team at Bank of America Merrill Lynch in New York and at the fund Antares Technologies in Paris. Khalil is a regular contributor to the Bloomberg Tradebook blog at https://www.bloombergtradebook.com/blog/author/khalil-dayri/” and has made various contributions to different trading and microstructure journals.

David Fellah (J.P. Morgan)

David started his career in New York, writing trading algorithms for ITG in 1998 – mainly focusing on stat-arb customised strategies for clients.He joined a start-up in 2004 called Miletus Trading, which used technology from a Stat-arb hedge fund Thales. Miletus Trading was acquired by Liquidnet in 2007 where he continued to run the global strategies group.

David is currently is head of the EMEA Linear Quant Research group at J.P. Morgan. He previously ran the NY/Americas team before moving to London to help build out the Central Risk Book platform in 2012. His main interests lie in market impact research and algorithm design for equities and futures, execution analysis, and machine learning.

 

Jose Figueroa-Lopez (Washington University in St. Louis)

José Figueroa-López is a full Professor of Mathematics at Washington University in St. Louis. Formerly he was Associate Professor of Statistics at Purdue University, where he served as associate director of the Computational Finance Program. Professor Figueroa’s ongoing research includes diffusion limits of Limit Order Book models, optimal limit order placement problems, and optimal tuning of high frequency econometric methods. José was awarded the NSF career award in 2012 and currently has two active NSF grants on the interplay of finance, statistics, and probability. He is currently associate editor of the SIAM Journal on Financial Mathematics (SIFIN) and a former associate editor of Electronic Journal of Statistics.

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)

Iacopo Mastromatteo is an Research Associate at Capital Fund Management (Paris). He has received a Master in Theoretical Physics from the University of Trieste (Italy), and holds a PhD in Statistical Physics from the International School for Advanced Studies (Italy). He has been a researcher in École Polytechnique (Paris) working on high-dimensional inference.

His current activity involves the construction and the implementation of algorithmic trading strategies in CFM, whereas his main research interests focus on market microstructure, price formation and statistical learning. He has authored more than 20 scientific publications in international peer-reviewed journals.

 

Marvin Mueller (ETH Zurich)

Marvin Mueller is postdoctoral researcher in the financial mathematics group at ETH Zurich. He is working on high dimensional stochastic models for limit order books in electronic financial markets, and on the mathematical theory beyond that. Generally, his research interests go in two directions: applied quantitative finance and, on the other hand, abstract theory of stochastic analysis. Previously, he was research assistant at TU Dresden, where he received his PhD in 2016. Until October 2014, he was research fellow and doctoral student at TU Berlin.

 

Johannes Muhle-Karbe (Carnagie Mellon University)

Johannes Muhle-Karbe joined Carnegie Mellon’s Department of Mathematical Sciences as an Associate Professor in September 2017 from Michigan. His research focuses on market frictions such as transaction costs, model uncertainty, and asymmetric information, and their impact on  portfolio choice and asset prices.

 

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)

Pamela Saliba works in the Surveillance departement of the French regulator AMF (Autorité des Marchés Financiers)  and is a PhD student at Ecole Polytechnique. She holds a master in probability and finance (El Karoui master program) from University Paris 6 and Ecole Polytechnique. Her PhD is in the area of market microstructure, in particular high frequency data analytics, market impact, understanding high frequency traders’s behaviour and modelling orderbook dynamics.

Sasha Stoikov (Cornell University)

 

Dr. Stoikov is Senior Research Associate at Cornell Financial Engineering Manhattan (CFEM). He holds a PhD in Mathematics from The University of Texas at Austin, and a BS in Mathematics from MIT. 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. He was also an instructor at the Courant Institute of New York University and a lecturer at Columbia’s IEOR department.

Carla Ysusi (Financial Conduct Authority)

Carla Ysusi is a technical specialist in the Economics Department of the Financial Conduct Authority (FCA). Her work mainly focuses on market microstructure and capital markets infrastructure. Carla holds a PhD and MSc in Applied Statistics from the University of Oxford.