Attilio Meucci is a pioneer in advanced risk and portfolio management. His innovations include Entropy Pooling, Factors on Demand, Effective Number of Bets, Fully Flexible Probabilities, and Copula-Marginal Algorithm.
Attilio is the founder of SYMMYS, under whose umbrella he designed and teaches the ARPM Bootcamp and manages the charity One More Reason. He is the Chief Risk Officer and Director of Portfolio Construction at Kepos Capital LP. Previously, Attilio was the head of research at ALPHA, Bloomberg LP's portfolio analytics and risk platform; a researcher at POINT, Lehman Brothers' portfolio analytics and risk platform; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co, a strategic consulting firm.
Concurrently, he taught at Columbia-IEOR, NYU-Courant, Baruch College-CUNY, and Bocconi University. Attilio is the author of Risk and Asset Allocation - Springer and numerous other publications in practitioner and academic journals. He holds a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA chartholder. Attilio is fluent in six languages.
Bob Litterman is the Chairman of the Advisory Board at Kepos Capital LP. He retired from his position as Chairman of the Quantitative Investment Strategies group of Goldman Sachs Asset Management. Bob is the co-developer, along with the late Fischer Black, of the Black-Litterman Global Asset Allocation Model, a key tool in the Investment Management Division's asset allocation process. Prior to moving to the Investment Management Division, Bob was head of the firmwide Risk Department.Preceding his time in the Operations, Technology & Finance Division, he spent eight years in the Fixed Income Division's research department, where he was co-director. Before joining the firm in 1986, Bob was an assistant vice president in the Research Department of the Federal Reserve Bank of Minneapolis and an assistant professor in the Economics Department at the Massachusetts Institute of Technology. In May 2008, Bob was honored by the CFA Institute Board with the Nicholas Molodovsky Award, which is presented periodically to individuals "who have made outstanding contributions of such significance as to change the direction of the profession and to raise it to higher standards of accomplishment." Bob was also the recipient of the 2008 International Association of Financial Engineers (IAFE)/SunGard Financial Engineer of the Year Award, which recognizes individual contributions to the advancement of financial engineering technology. Bob is a member of the board of the World Wildlife Fund. He earned a BS in Human Biology from Stanford University in 1973 and a PhD in Economics from the University of Minnesota in 1980.
Bruno Dupire is Head of Quantitative Research at Bloomberg L.P. and a Fellow and Adjunct Professor at NYU. Previously, Bruno worked at several small French banks, followed by Société Générale and Paribas. Dupire has an undergraduate degree in Mathematics, a Masters degree in Artificial Intelligence from the University of Jussieu, Paris and a PhD in Numerical Analysis from Pontifical Catholic University of Rio de Janeiro. Dupire is the recipient of the Risk magazine "Lifetime Achievement Award", and has been voted in 2006 as the most important derivatives practitioner of the previous 5 years in the ICBI Global Derivatives industry survey. He has also been included in Dec' 02 in the Risk magazine "Hall of Fame" of the 50 most influential people in the history of derivatives. In 2006 he was awarded the Cutting Edge research award by Wilmott Magazine.
Emanuel Derman is a professor at Columbia University and the director of their program in financial engineering, and is also the Head of Risk at Prisma Capital Partners, a fund of funds. Derman obtained his PhD in theoretical physics from Columbia University in 1973 and engaged in research on particle physics at Oxford University, the University of Pennsylvania and The Rockefeller University. He joined AT&T Bell Laboratories in 1980, and moved to Goldman Sachs in 1985, where he subsequently led the Quantitative Strategies group, co-developing the Black-Derman-Toy interest rate model and the local volatility model. He was appointed a Managing Director in 1997. After retiring from Goldman Sachs in 2002, Derman returned to Columbia University. He is the author of the book My Life as a Quant: Reflections of Physics and Finance. His latest book, Models.Behaving.Badly, was published by Free Press in October 2011.
Fabio Mercurio is a Senior Researcher at Bloomberg LP, New York. He is also director of the research committee of Iason Ltd. Previously, he was the head of the Financial Engineering at Banca IMI, Milan. He holds a BSc in Applied Mathematics from the University of Padua and a Ph.D. in Mathematical Finance from the Erasmus University of Rotterdam. His recent scientific interests include interest rate and inflation modelling for pricing and hedging exotics, the pricing of hybrids and the smile modelling for different asset classes.
Jim Gatheral is a researcher in the field of Mathematical finance, who has contributed to the study of volatility as applied to the pricing and risk management of derivatives.He received his PhD in theoretical physics from Cambridge University, and a B.Sc. in Mathematics and Natural Philosophy from the University of Glasgow.He 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, where he was an adjunct professor for 12 years.
In March 2010, Jim Gatheral left his position at Merrill Lynch to assume a tenured full professor position at the Financial Engineering Masters Program at Baruch College, where he is teaching volatility surface modeling and market microstructure. A recurrent subject in his books and papers is the volatility smile, and he published in 2006 a book 'The volatility surface' based on a course he taught for 6 years at New York University. More recently his work has moved in the direction of Market microstructure, especially as applied to Algorithmic Trading.
Peter Carr is a Managing Director at Morgan Stanley with 15 years of experience in the derivatives industry. He was also a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He is presently the Executive Director of the Math Finance program at NYU's Courant Institute, the Treasurer of the Bachelier Finance Society, and a trustee for the Museum of Mathematics in New York. He has over 70 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and shared in the ISA Medal for Science in 2008. In December 2010, the International Association of Financial Engineers (IAFE) and Sungard jointly selected Dr. Carr as its 2010 Financial Engineer of the Year.
Robert Almgren is President and Cofounder of Quantitative Brokers. In his capacity, he oversees the firm's quantitative research, analysis of best execution algorithms, and transactional cost measurement. Before founding Quantitative Brokers in 2008, Robert was Head of Quantitative Strategies in the Electronic Trading Services group of Banc of America Securities. He is currently a Fellow in the Mathematics in Finance Program at New York University. Robert has an extensive research record in applied mathematics, including several papers on optimal securities trading,transaction cost measurement, and portfolio formation.
Sebastian Ceria - Axioma Sebastian is the Founder and Chief Executive Officer of Axioma. Before founding Axioma, Ceria was an Associate Professor of Decision, Risk and Operations at Columbia Business School from 1993 to 1998. Ceria has worked extensively in the area of optimization and its application to portfolio management.He the author of many articles in publications including Management Science, Mathematical Programming, Optima and Operations Research. Most recently, Ceria's work has focused on the area of robust optimization in portfolio management. He has co-authored numerous papers on the topic, including, "Incorporating Estimation Errors into Portfolio Selection: Robust Portfolio Construction," which was published in The Journal of Asset Management. He is a recipient of the Career Award for Operations Research from the National Science Foundation. Ceria completed his PhD in Operations Research at Carnegie Mellon University's Graduate School of Industrial Administration and his undergraduate degree in Applied Math at the University of Buenos Aires.
Dan DiBartolomeo - Northfield Dan is President and Founder of Northfield Information Services, Inc. Based in Boston since 1986, Northfield develops quantitative models of financial markets. The firm's clients include nearly three hundred financial institutions in twenty countries. Dan is a Visiting Professor at the CARISMA research center of Brunel University in London. In addition, he serves on the Board of Directors of the Chicago Quantitative Alliance and the advisory board of the International Association of Financial Engineers. He is also an active member of the Financial Management Association, and "QWAFAFEW". He has been admitted as an expert witness in US federal courts for litigation matters regarding investment management practices and derivatives.
Mr. diBartolomeo is a director of the American Computer Foundation, and formerly served on the industry liaison committee of the Department of Statistics and Actuarial Sciences at New Jersey Institute of Technology. He continues his several years of service as a judge in the Moscowitz Prize competition, given by the University of California at Berkeley for excellence in academic research on socially responsible investing. Dan has a long list of more than thirty publications including books, book chapters and research papers in professional journals such as Financial Analyst Journal, Quantitative Finance and Journal of Investing. Mr. diBartolomeo has also written extensively for the CFA Research Foundation. His most recent publication is "Equity Risk, Credit Risk, Default Correlation and Corporate Sustainability" which was published in the Journal of Investing in December of 2010.
Chris Donohue - GARP Chris is the Managing Director, Research and Educational Programs for the Global Association of Risk Professionals (GARP), where he is responsible for overseeing the development of content and resources for GARP's risk management programs. Previously, Chris was a partner at a hedge fund where he was responsible for the development of asset allocation tools for pension funds and automated trading systems. Chris was also previously a Director in the Global Research Center at Deutsche Asset Management where he led product research and development in the areas of asset liability management and asset allocation. He holds a BA in Mathematics from Hamilton College and a Ph.D. in Operations Research from the University of Michigan.
Andy Sparks - MSCI Andy is the Head of Technical Product Management for two of MSCI's flagship risk analytic platforms: RiskMetrics RiskManager and BarraOne. Mr. Sparks and his team provide product vision and leadership in the ongoing build-out of these industry leading products. In this role, he is able to leverage his extensive knowledge of indices, valuation models, and portfolio risk tools. Prior to joining MSCI earlier this year, Mr. Sparks had been Head of Product Management for the POINT business at Barclays Capital, where he had responsibility for product strategy and product execution for the POINT portfolio analytics platform. Mr. Sparks was named the founder and Head of the POINT Marketing group at Lehman Brothers in 2004. He also had managerial responsibility for the index business between 2006-2008. Mr. Sparks joined Lehman Brothers in 1995. Other senior level positions he held within the bank include Head of Mortgage Strategies and Head of U.S. Rate Strategies. Before joining Lehman, he had been Head of Mortgage and Rates Research at Citicorp Securities. Mr. Sparks has an M.A. in Economics from the University of Chicago and a B.A. in Economics from UCLA.
MSCI Inc. is a publicly traded company (NYSE: MSCI) and a leading global provider of investment decision support tools, including indices and portfolio risk and performance analytics. MSCI has clients in over 60 countries, and more than 2,000 employees located around the world.