January 30, 2009 (From New York)
Milind Sharma- RBC Capital Markets
Director in Global Arbitrage & Trading
"Crashes, Crises & Quants: Reminiscences of a Prop Trader”
Milind Sharma is a Director in Global Arbitrage & Trading at RBC Capital Markets where he has been a Portfolio Manager for Quant Long-Short & Event Driven portfolios. He was Director and Senior Proprietary Trader at Deutsche Bank responsible for Statistical Arbitrage. Previously, he was VP and Co-Founder of Risk and Performance at Merrill Lynch Investment Managers, where his investment role spanned a dozen quantitatively managed funds (including the five star rated ML Large Cap Series). At MLIM, his investment models were applied towards the active management of approx $30 Billion in assets. Prior to MLIM, he was Manager of the Risk Analytics and Research Group at Ernst & Young LLP. His financial publications have appeared in Risk Books, Journal of Investment Management, Wiley Finance, HedgeQuest, World Scientific & Elsevier amongst others. Milind holds dual MS degrees in Computational Finance and Applied Mathematics from Carnegie Mellon University, where he was also in the doctoral program. He graduated Summa Cum Laude from Vassar College and completed the Honors Moderation curriculum at Oxford University en-route. He is a frequent speaker at industry conferences particularly on Hedge funds.
January 23, 2009 (From New York)
Emad M. Mahmoud- Prudential
Investment Senior Vice President, Enterprise Risk Management
Emad joined Prudential in 2001 with a position in the Investment Risk Management group and in January 2007 was named head of Quantitative Risk Analysis in that group. In April 2008, he transferred to the Risk Management Strategy and Economic Capital Unit. In his new role, Emad is responsible for setting the technical standards for calculation of company wide Economic Capital.
Emad earned a bachelor degree in Engineering from Alexandria University, an MS in Computational Finance from Carnegie Mellon University, an MBA from Pace University, an ME in Engineering and an MA in Economic from City University of New York. He also holds the Chartered Financial Analyst, Chartered Alternative Investment Analyst, Financial Risk Manager, Professional Risk Manager, Licensed International Financial Analyst, and Professional Engineer designations.
January 16, 2009 (From Pittsburgh)
Dr. Allan Meltzer- Tepper School of Business
"Lessons from the Current Financial Crisis"
Dr. Meltzer has been a faculty member of Carnegie Mellon since 1957, serving as Acting Dean of the Business School, in the mid 70's. He has earned countless academic and professional awards and is a prolific writer, publishing hundreds of papers and articles. His best known work may be his exhaustive financial history of the United States entitled, A History of the Federal Reserve published in 2002. His most well-known, non-academic efforts may be as Co-founder of the Shadow Open Market Committee in 1973 (and, since 1989, as Chairman), a group of twelve 'shadow governors' that critique Open Market policy actions of the Federal Reserve, considering other policy choices that could lead to better outcomes. Dr. Meltzer has a BA in Economics, from Duke University, and an M.A. and Ph.D. in Economics for the University of California, Los Angeles.
December 5, 2008 (From New York)
Sabine Schels- Merrill Lynch
Global Commodity Strategist
Chintan Kotecha- Merrill Lynch
Associate, Equity Derivatives Research
Yuriy Shchuchinov- Merrill Lynch
Associate, Credit Strategy
"Quant Research 101"
Sabine Schels is a Global Commodity Strategist, based in New York, and responsible for Commodity Research coverage in the Americas. She joined Merrill Lynch 4 years ago and set up the Commodity Research franchise together with the head of the group, Francisco Blanch. The team continues to expand globally and conducts both fundamental as well as quantitative analysis on commodity markets. Prior to joining Merrill Lynch, Sabine was part of the Global Economics group at Goldman Sachs, based in London. She holds an MSc and MPhil Economics from the London School of Economics.
Chintan Kotecha is an Associate in the Equity Derivatives Research group at Merrill Lynch and works in the New York office. He joined Merrill Lynch in 2008 shortly after completing the MSCF program at Carnegie Mellon University. Prior to the MSCF program, Chintan spent three years working in the credit markets technology group at JPMorgan. Chintan also holds a B.S. in Electrical and Computer Engineering from Rutgers University.
Yuriy Shchuchinov is an Associate in Credit Strategy at Merrill Lynch in New York. His area of expertise is USD corporate credit, including cash bonds and CDS. Prior to joining Merrill Lynch Yuriy was an analyst in the Securities and Finance practice at NERA, an economic consulting firm in New York. Yuriy is a graduate of Carnegie Mellon University MSCF program (2005), and Grinnell College, IA (BA, Economics, Mathematics, 2000).
November 14, 2008 (From New York)
Ilia Bouchouev PhD- Koch Supply & Trading LP
"Trading Volatility in Commodity Markets"
For the last ten years Ilia Bouchouev has been managing the global energy derivatives business for Koch Industries, the world largest privately held company. Koch Structured Products group became one of the most active liquidity providers of energy options to corporate end-users and hedge funds with desks in New York, Wichita (Kansas), Geneva, and Singapore. The group has pioneered a number of unique energy derivatives instruments and been recognized as a leading quantitative volatility trader in commodities. Ilia has PhD in Applied Mathematics, and has been a regular speaker at various industry conferences.
November 7, 2008 (From New York)
John Arabadjis PhD- State Street Associates
"Hydrodynamics and Investor Behavior – Confessions of a Lapsed Physicist"
John received his PhD in astrophysics from the University of Michigan. After many years studying large scale motions in the physical universe as a researcher in the MIT physics department, he moved to State Street Associates, a quant shop up the street from MIT at Harvard Square, where he studies the large scale movements of capital in the financial universe.
October 10, 2008 (From Pittsburgh)
Daniel Nehren- Deutsche Bank
"Algorithmic Trading- A Quant Perspective"
Daniel Nehren is the Deputy Global Head of the Quantitative Products One (QP1) at Deutsche Bank. QP1 is the quantitative arm of DB Global Markets Equity responsible for algorithmic trading strategies and all 1-Delta models and analytics. He joined Deutsche Bank in August 2006. Prior to joining Deutsche Bank he worked five years in the Equity Strategies group at Goldman Sachs, both in Chicago and in London, designing and developing high frequency trading strategies. He started his career in Italy as a software professional. In 1997 he moved to the US and worked as a software architect and manager for various startups before joining the financial industry in 2000. Daniel holds the title of Doctor in Electronic Engineering at the Politecnico di Milano.
September 26, 2008 (From New York)
Tim Klassen- Getco Algorithmic Trading
"What's New With Variance Swaps?"
Variance Swaps have become a popular equity derivative product over the last few years, being elevated from a "mild exotic" to a flow product. They allow one to take a view on volatility without the labor-intensive delta-hedging required for options trading. Variance swaps took off only after quants and traders figured out how to properly value and risk-manage them. We describe the theory and practice of the valuation of variance swaps and related products, including the CBOE's "new VIX". We also present a new result on how to value variance swaps in the presence of cash dividends.
Tim received his PhD in theoretical particle physics from the University of Chicago. After a period as a research physicist at Cornell and Columbia University, he joined Goldman Sachs in 2000 as an equity derivative strategist. He moved to Wachovia in 2003 to build their equity derivative modeling group. In 2007, he joined Deutsche Bank as a Director in the Quantitative Products Analytics team. He has been with Getco since June 2008. His interests include volatility surface modeling, stochastic volatility, the design of robust and fast calibration algorithms, and automated options market making.
September 19, 2008 (From New York)
Reha Tutuncu – Goldman Sachs Asset Management
"Optimization Models for Quantitative Asset Management"
Reha Tutuncu is a portfolio manager in the Quantitative Investment Strategies team at Goldman Sachs Asset Management. After receiving his PhD in Operations Research at Cornell University in 1996, Reha worked as a professor in the Department of Mathematical Sciences at Carnegie Mellon University for nine years. At CMU, Reha's teaching and research focused on optimization, applied mathematics, and asset management. During this period, Reha authored more than 20 articles and a graduate level textbook titled "Optimization Methods in Finance" published by Cambridge University Press. He moved to GSAM in 2005. At GSAM, Reha focuses on the development and implementation of quantitative models and methods for portfolio construction.
September 12, 2008 (From Pittsburgh)
Associate Professor, Chris Telmer- Tepper School of Business
"The Macroeconomics of Exchange Rates: Myths and Realities"
Dr. Telmer- Associate Professor of Financial Economics, received his Ph.D. from Queen's University in 1992. His teaching and research interests include models of international fixed-income pricing, the determinants of real exchange rates and the effects of labor market risk on optimal portfolio choice and equilibrium asset prices. Professor Telmer has served as an educational consultant in Japan, The Russian Federation, Ukraine and New York City. He has been a visiting scholar in Japan, Spain, Sweden and in the Federal Reserve System. His research articles have been published in top economic and finance journals, including The Journal of Finance, The American, Economic Review and The Journal of Political Economy. In 1995 he was awarded the Undergraduate Teaching Award by the Department of Industrial Management at The Tepper School of Business. In 2001 he was awarded the George Leland Bach Award for MBA teaching at the Tepper School.
September 5, 2008 (From Pittsburgh)
David Sylvan – KeyBanc Capital Markets Inc.
Senior Vice President and National Sales Manager
Dennis Jarecke – KeyBanc Capital Markets Inc.
Vice President and Sector Manager, Derivatives Trading
"Wall Street to Main Street: The Middle Market Derivatives' Perspective"
David joined Keybanc Capital Markets, Inc. in 1998, following eight years with the Internatioal Management Group, where his responsibilities included new acquisition due-diligence and negotiation, forex and interest rate hedging. At Keybanc, he manages a team of derivatives professionals providing client hedging consultation, trade execution and position monitoring. Mr. Sylvan earned a Bachelor's and Graduate degree (South Africa) in Commerce and Business Law, an M.B.A. from Case Western Reserve University and holds a Series 7.
Dennis began his career studying elementary particle models at Kent State where he earned his Ph.D. in Theoretical Nuclear Physics. Dennis joined KeyBanc in 2003 pricing and hedging interest rate derivatives, P&L reconciliation, and portfolio management. In addition to his Ph.D., Dennis holds a bachelor's degree in Physics from Missouri State University and a master's degree in Financial Engineering from Kent State University.