Speakers

Professor 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. 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 in Milan, 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, and books for Springer and Wiley that became field references in stochastic interest rate and credit modeling. Damiano is Editor in Chief of the EY Journal of Financial Perspectives, 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 liquidity, 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.

Professor Christian L. Dunis

Acanto Research
Hannover, Germany

Christian L. Dunisis a Founding Partner of Acanto Research (www.acantoresearch.com), an advisory company which is dedicated to producing superior risk-adjusted returns through quantitative trading strategies. At Acanto, he has promoted the use of state-of-the-art mathematical and statistical methods to generate long-term sustainable returns and trading platforms geared to limiting downside risks and drawdowns.

He has been a consultant to asset management firms for many years, specialising in the application of nonlinear methods to financial management and quantitative trading. From 2011 through 2015 he was Joint General Manager in charge of global risk and new products at Horus Partners Wealth Management Group SA in Geneva (Switzerland).

He is Emeritus Professor of Banking and Finance at Liverpool John Moores University where he directed the Centre for International Banking, Economics and Finance (CIBEF) from February 1999 through August 2011. He is also a Visiting Professor of Quantitative Finance at the University of Venice, at the Doctoral School of the University of Aix-Marseille II and at the ECE School of Engineering in Paris.

Current research interests include nonlinear model combinations, volatility modelling and risk analysis, market-neutral stock arbitrage strategies and quantitative trading.

He has published some 100 papers in several refereed journals and is the founding co-editor of the Palgrave Macmillan quantitative finance series ‘New Developments in Quantitative Trading and Investment’. He is also the editor and co-author of ‘Artificial Intelligence in Financial Markets’, ‘Applied Quantitative Methods for Trading and Investment’, ‘Developments in Forecast Combination and Portfolio Choice’, ‘Advances in Quantitative Asset Management’, ‘Nonlinear Modelling of High Frequency Financial Time Series’, ‘Forecasting Financial Markets’, and ‘Exchange Rate Forecasting’. Commenting on ‘Developments in Forecast Combination and Portfolio Choice’, Professor C.W.J. Granger, Nobel Prize of Economics in 2003, wrote: “A modern book on financial econometrics has to consider interesting and relevant topics from the viewpoint of recently developed techniques that have been shown to actually work. This book delivers in all aspects”. 

Professor Gianluca Fusai

Università del Piemonte Orientale, Italy
Cass Business School, City University, London

Gianluca Fusai is Professor in Mathematical Finance at Università del Piemonte Orientale, Italy, and Reader in Mathematical Finance at Cass Business School, City University of London. His research interests focus on Financial Engineering, Numerical Methods for Finance and Energy Markets. He has published extensively on these topics in international refereed journals. He holds a PhD in Finance from Warwick Business School, an MSc in Statistics and Operational Research from the University of Essex and a BSc in Economics from Bocconi University. Gianluca has co-authored the best-sellling textbook ‘Implementing Models in Quantitative Finance’ (Springer Finance) and the 'Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management' (Wiley Finance).

Professor Steven Kou

Director of the Risk Management Institute
National University of Singapore

Steven Kou is a Class ‘62 Chair Professor of Mathematics and the Director of the Risk Management Institute at the National University of Singapore. Previously, he taught at Columbia University (from 1998 to 2014), University of Michigan (1996-1998), and Rutgers University (1995-1996). He teaches courses in quantitative finance, stochastic models, and statistics. Currently he is a co-area-editor for Operations Research, and has served on editorial boards of many journals, such as Management Science, Mathematical Finance, Advances in Applied Probability, Mathematics of Operations Research. He won the Erlang Prize from INFORMS in 2002. Some of his research results have been incorporated into standard MBA textbooks and have implemented in commercial software packages and terminals, e.g. in Bloomberg Terminals.