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Speaker Series '03-'04

September 17, 2003 (From Pittsburgh)
Ken Abbott  — Banc of America Securities

Managing Director, Market Risk Management
"The Role of Market Risk Management in a Global Bank"

Ken Abbott, Managing Director, is responsible for Market Risk Management in the Western Hemisphere for Bank of America. His group covers market risk for high yield debt, high grade debt, distressed debt, credit derivatives, mortgages, emerging markets, equities, equity derivatives, foreign exchange, and commodities. He is also responsible for credit risk quantification and model validation. Before joining Bank of America, Mr. Abbott worked for ABN-AMRO in New York for 18 months where he ran market risk for their New York trading activities. Prior to that, he worked for Bankers Trust for more than 14 years. At Bankers Trust he worked in a variety of areas including corporate finance, research, trading, and risk management. Mr. Abbott holds a B.A. in Economics from Harvard College, an M.A. in Economics from NYU and an MS in Statistics and Operations Research from the NYU Stern School of Business.
 

September 26, 2003 (From Pittsburgh)
David Hartney and Pavan Wadhwa — J.P. Morgan

"Trading TED Spreads with Eurodollar Futures"

David Hartney is CME trading floor manager for J.P. Morgan Futures Inc. and a sales specialist in Eurodollar options. Pavan Wadhwa is a vice president in the fixed income research group at J.P. Morgan Futures, working with clients to develop optimal hedging strategies and to identify relative value trades. David and Pavan will discuss the enormous popularity of Eurodollar futures and options contracts and the role these instruments play as the primary hedging vehicle for swaps and other spread products.


October 3, 2003 (From New York)
Yariv Herstein — Credit Suisse First Boston

Vice President - Advanced Execution Trading Desk
"Minimizing Implementation Shortfall thru Algorithmic Trading"

Yariv is a Vice President at Credit Suisse First Boston, based in New York. He is working on the Advanced Execution Trading Desk and is also responsible for the firm's relationship with ECNs. Prior to CSFB, Yariv was on the Equities Electronic Trading Desk at Lehman Brothers, where he worked for 3 years, RAFAEL (Armament Development Corporation) and the Israeli Air Force. Yariv received a B.A in Economics from the Technion - Israel Institute of Technology and an MBA from Carnegie Mellon University in Pittsburgh.
 
October 24, 2003 (From New York)
Jeffrey Rosenberg — Banc of America Securities

Managing Director and Head of Credit Strategy Research
"Computational Finance for Credit Markets"

Jeffrey Rosenberg is Managing Director and head of the Fixed Income Credit Strategy research group for Banc of America Securities (BAS). In this role, he is responsible for the coordinated efforts of BAS credit strategy, both high-grade and high-yield, on a global basis. Recent accomplishments include launching a proprietary credit risk model, Credit Option Adjusted Spread, and a credit portfolio risk measurement methodology, Lighthouse. The group also produces the BAS family of corporate bond indices. Rosenberg is based in New York. Rosenberg joined the BofA in 2002. Previously, he was the U.S. investment-grade strategist at Credit Suisse First Boston, where he also was responsible for quantitative credit analysis. As part of that role, he developed the company’s credit risk model. Rosenberg also has worked on derivative pricing and risk management models at Bankers Trust. Prior to that, he was a mortgage trader for a money management firm. Rosenberg has bachelor’s degrees in business and mathematics and received his master’s degree in computational finance from Carnegie Mellon University. He has been a CFA charter holder since 1997.


November 7, 2003 (From New York)
Patrick Hagan — Bloomberg

"Market Smiles Revisited"

Local volatility models are the most popular method for pricing and hedging options in the presence of market smiles and skews. A careful analysis of these models show that they predict that market smiles move in the opposite direction as the price of the underlying asset, contrary to all trading experience. This difference causes the hedges to be unstable, which can lead to serious 'leakage' in option books. A deeper look at the theory leads us to a stochastic volatility model, the SABR model. We solve this model to obtain an explicit, closed form solution for the implied volatility. This solution shows good agreement with the observed volatility smiles. More importantly, it shows that the SABR model predicts the correct smile dynamics, which leads to stable hedging of our skew/smile exposures.

Patrick received his Ph.D and B.S in Applied Mathematics from the California Institute of Technology. He has worked at Bear-Stearns, Nomura, NumeriX, BNP Paribas, and Morgan Stanley designing trading systems for fixed income, credit, and foreign exchange derivatives, as well as developing the component models, calibration methods, and numerical algorithms. He now works in the Advanced Research Group at Bloomberg. Before entering finance he worked at CNLS and in the Computer Research and Applications group at Los Alamos, and at Exxon Science Laboratories. Patrick has taught at the California Institute of Technology, at the Institute for Mathematics and its Applications, and at Stanford University.
 


November 14, 2003 (From Pittsburgh)
Richard Cohen — Clinton Group

Director of Research and Technology
Valuation and Hedging of Mortgage-Backed Securities
 

The mortgage-backed securities market is the world's largest debt market, and trading and issuing MBS is one of the security industry's largest and most profitable businesses. MBS analysis requires a combination of option valuation and econometric techniques along with detailed knowledge of the complexities of the mortgage debt. Dr. Cohen will give an overview of the market and valuation and hedging technology.
 

Richard Cohen is responsible for analytical systems and quantitative
research. Before joining Clinton Group in 1998, Dr. Cohen was a vice president at Citicorp Securities, where he held senior positions in fixed income research, mortgage structuring, and derivatives technology. His duties focused on the development of trading systems for fixed income securities, including risk management systems and analytical tools. As
head of CMO structuring and research, he was responsible for structuring
residential and commercial mortgage deals, analyzing CMO structures for
investors, and developing hedging strategies. Prior to Citicorp, Dr. Cohen
conducted research in Radio Astronomy at Columbia University and for the
National Aeronautics and Space Administration. Dr. Cohen holds a BA in Physics from Princeton University and MA and Ph.D. degrees in Physics from Columbia University.

November 21, 2003 (From Pittsburgh)
Diego Jara — Lehman Brothers

"Exotic Options in Interest Rate Markets"

Greater liquidity in interest rate derivatives has supported the creation and development of a structured note market which provides private investors with access to products and risks not available through other channels. Diego will discuss the basic structure of this market and, after describing generic products, touch on various aspects of managing the risk of an exotics book.
 

Diego is Vice President at Lehman Brothers, where he has worked for four years in Fixed income Derivative Research, Government Trading and Fixed Income Derivatives. He currently trades Exotic Options. Diego received his B.S. in Mathematics and Mechanical Engineering at Los Andes University, Colombia, and a Ph.D. in Mathematical Finance at Carnegie Mellon.


November 25, 2003 (From Pittsburgh)
Alan Brace — BNP Paribas

"Modelling Treasury Bond Futures"

Alan is Head of the New York office of the Fixed Income Research and Strategy Team (FIRST) for BNP-Paribas. FIRST-NY is responsible for delivering fixed income and other models not concerned with equities. Globally, FIRST has fifty people between London, Tokyo and New York.
 

 

December 5, 2003 (From New York)
Peter Acciavatti — J.P. Morgan

"High Yield Strategy"

Peter is Vice President and Head of High-Yield Research and Global High-Yield Strategy, providing high-yield investment strategies to JPMorgan’s investor clients. He was selected to Institutional Investor Magazine’s 1999, 2000, 2001, 2002 and 2003 All-America Fixed-Income Research Teams and included in the "Who's the Best" categories for both useful/timely client contact and accessibility. Peter began his career at Chemical Bank in the Middle Market Banking Group in 1994. He holds a bachelor’s degree in Finance and Management Information Systems from Albany State University, and an MBA degree from Columbia University Graduate School of Business.


January 16, 2004 (From New York)
Charles Wyman — PIMCO

Head of Credit Research
"The Role of Credit Research in Fixed Income Asset Management"

Charles Wyman is an Executive Vice President and head of global credit research at PIMCO. Prior to Pimco, Mr. Wyman spent 15 years at Morgan Stanley and Lehman Brothers in a variety of roles including high yield research, equity research, equity capital markets, corporate finance, and mergers & acquisitions.
 


January 23, 2004 (From New York)
Peter Carr — Bloomberg
Head - Quantitative Research
"Volatility Derivatives and the New VIX"

Dr. Peter Carr heads Quantitative Research at Bloomberg LP. He also directs the Masters in Mathematical Finance program at NYU's Courant Institute. Prior to his current positions, he headed equity derivative research groups at Banc of America Securities and at Morgan Stanley. Dr. Carr was a finance professor for eight years at Cornell University. Selected as Risk Magazine's prestigious "Quant of the Year'' for 2003, Peter has published extensively in both academic and industry-oriented journals and is currently the treasurer of the Bachelier Finance Society and an associate editor for six academic journals related to mathematical finance and derivatives. Peter received his PhD. in Finance from UCLA in 1989.
 

January 30, 2004 (From New York)
Jaidev Iyer, CFA — Citigroup Asset Management

Global Head - Risk Management
"An Integrated Model for Buy-side Risk Management"

Jaidev is Global Head of Risk Management at Citigroup Asset Management. In this capacity, he is responsible for Travelers Life & Annuity for Investment Risk, as well as Global Retirement Services; Jaidev serves as a member of Citigroup's Operational Risk Committee, and its Economic Capital Committee. Previous positions at Citi include Global Head, Derivatives and Structured Products; New York Global Market Risk Manager for Citibank’s Private Bank, Regional Treasury & Capital Markets Head for the Middle East in Bahrain; Regional Financial Engineering Head for Asia in Hong Kong.  
 

 

February 6, 2004 (From New York)
Michael Lustig - BlackRock
Managing Director, Senior Portfolio Manager
"CMO Portfolio Management Techniques"

Michael P. Lustig is a member of BlackRock's Investment Strategy Group and Fixed Income Operating Committee. Responsible for managing the firm's taxable closed-end funds, derivative products and the internal training program, Michael focuses on the Structured Mortgage Securities sector and provides overall market intelligence and trade execution for the firm's Advisory clients. Previously, Michael developed quantitative analytical models for security and portfolio analysis, assisted in the structuring of BlackRock's mutual funds and analyzed the asset/liability structure of client portfolios. Prior to joining BlackRock in 1989, he worked for Security Pacific, developing models to trade derivative products including caps, floors, swaps, callable/putable bonds, futures and options. Michael has a BA in computer science and art history from Columbia University.
 

February 13, 2004 (From Pittsburgh)
John A. Dodson — American Express Financial Services
VP Quantitative Risk Management
"Target Tracking Error"

John has an undergraduate degree in physics and mathematics from Stanford University and interned in high energy physics labs in the US and Europe before switching to banking and finance. He has worked in various capacities for major financial institutions in Europe and the US, including the Bank for International Settlements and Lehman Brothers. He came back to school to get his MSCF degree in 1996. For the past two years, he has been employed by American Express Financial Services at their headquarters in Minneapolis, where he is the Vice President for analytics, infrastructure, and new developments in their Risk Management unit.


 February 20, 2004 (From New York)
Michael Chong — SAC Capital

Director Of Quantitative Research
"Quantitative Finance in the Hedge Fund Industry"

Michael Chong started in finance in 1992 working for UBS Equity Derivatives, specializing in exotic structures. In 1998 Mr. Chong joined Credit Agricole Lazard Financial Products, a boutique bank focused on tailored products for mergers and acquisitions. Currently Mr. Chong is the Director of Quantitative Research at SAC Capital. Prior to working in finance, Mr. Chong worked for Hewlett Packard and NEC as an electrical engineer. Mr. Chong received a Ph.D. from Cambridge University and a B.Sc. degree from Imperial College, London University.
 


 March 19, 2004 (From New York)
Steve S. Kim - Credit Suisse First Boston

Managing Director, Proprietary Trading Group
"Winning Edge and Risk"

Steve's responsibility is proprietary trading idea generation. Prior to his current assignment, Steve headed North American Equity Derivatives and Quantitative Strategy. Before joining CSFB in June 2001, Steve initiated and headed North American Equity Derivatives Strategy for Merrill Lynch. Both teams ranked first in the Institutional Investor's survey of analysts. Steve has a B.A. from Cornell University and an M.B.A. from New York University.
 


 March 26, 2004 (From New York)
Guillaume Gimonet - Credit Suisse First Boston

Director, Global Modeling and Analytics Group
"Exploiting Relative Value Opportunities in Liquid Fixed Income Markets"

Guillaume develops and manages complex models for use on customer and proprietary trading desks. Their group's primary focus is US fixed income securities and derivatives markets. Guilliaume is also involved in the firm's major analytics projects and in arbitrage trade structuring. Prior to joining CSFB on 2001, Guillaume worked from 1997-2001 at Merrill Lynch as a Quantitative strategist in their Fixed Income Strategy group and from 1996-1997 in Paris at Caisse des Dépôts et Consignations on their proprietary fixed income trading desk. In 1994, Guillaume earned his MS from Ecole Nationale des Ponts et Chaussées in Applied Mathematics with his dissertation on numerical methods for hyperbolic system solvers.
 

April 2, 2004 (From Pittsburgh)
Dean Thompson and Dave Mawhinney - Peak Strategy

"The Appropriate Use of Historical Data"

Peak Strategy has developed a decisions support software application, Strategy ShaperTM, for the financial asset management industry which blends a human expert’s judgment with a computer’s speed to intelligently infer decision rules from large data sets. A patent application has been filed to protect the technology.

Mr. Mawhinney, co-founder and CEO is an experienced entrepreneurial executive and a former General Partner of PNC Technology Investors. He has helped to found four ventures, including Premier Health Exchange (acquired by Medibuy), Hawk Medical (acquired by McKesson), and IndustryNet (merged with AT&T Business Network to form Nets, Inc.). He holds an MBA from Carnegie Mellon University and a B.S. in Physics from Indiana University of Pennsylvania.
 

Mr. Thompson, co-founder and CTO is an expert in transaction and distributed computing systems, and has a long history of leadership roles in technology businesses. He co-founded Transarc (now IBM Pittsburgh Labs), was Chief Operating Officer at e-Transport (acquired by DesCartes), was Chief Technology Officer at Premier Health Exchange (acquired by Medibuy) and was Chief Technology Officer at Medebiz (merged with Moai Technologies). He holds a B.S. in Computer Science from Carnegie Mellon University.


 April 23, 2004 (From Pittsburgh)
Frank T. Troise — SoHo Capital LLC

Senior Managing Partner

SoHo Capital LLC is an investment management firm founded in 1997 and co-GP of the hedge fund The Navellier Dynamic Opportunities Fund LP. SoHo directly manages a series of equity overlay strategies for separate accounts; and an investment advisory practice. Mr. Troise has over 14 years of direct investment experience managing multi-billion dollar, multi-asset class portfolios in the public and private markets. He managed over $100 million in assets for Donaldson, Lufkin & Jenrette in both public and private investments, was a consultant for over $35 billion in institutional assets for Wilshire Associates, and co-head of proprietary trading for a multi-billion dollar global arbitrage portfolio for ABB Financial Services. Mr. Troise has an M.B.A. in Finance from New York University and a B.S. in Managerial Economics from Carnegie Mellon University.

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