April 25, 2003
Bruce Risher — Bear Stearns & Co.
"Generalized Hyperbolic Distributions with Application to the Equity Implied Volatility Smile"
Bruce Risher will speak about "Generalized Hyperbolic Distributions, with Application to the Equity Implied Volatility Smile". Generalized Hyperbolic Distributions (GHD) are a powerful technique for modeling non-normal features of financial data. This talk will give an overview of Generalized Hyperbolic Distributions, with emphasis on the Normal Inverse Gaussian and Variance Gamma sub-classes. Applications of GHD to the equity implied volatility smile will be presented. Mr. Risher is an Associate Director in the Financial Analytics and Structured Transactions group at Bear Stearns. Currently, he provides analytic support to Bear Stearn's stock and index options electronic market making operations in the US and Europe. Before joining Bear Stearns, Mr. Risher worked at O'Connor and Associates, Wellington Partners (now Citadel), UBS and the Hull Group. Mr. Risher received BS and MS Degrees in Chemical Engineering from Illinois Institute of Technology. He developed and taught the Risk Management curriculum for the University of Chicago MS of Financial Mathematics program between 1995 and 1999.
April 18, 2003 - From New York
William Morokoff — Moody's KMV
William is a financial engineer in the research and analytics division at MKMV. He is a project manager for the development of new portfolio management products and is currently leading the development of CDO Analyzer, a risk management tool for structured finance based on a multi-period Monte Carlo simulation implementation of MKMV portfolio technology. Prior to joining MKMV, he was a vice president in quantitative risk management research at Goldman Sachs. His work has focused primarily on developing analytic and numerical methods for risk management and option pricing. He holds a Ph.D. in mathematics from the Courant Institute at New York University.
April 4, 2003
Sharad Chaudhary — Banc of America Securities
Managing Director and Head of Mortgage-Backed Securities and Asset-Backed Securities Research and Analytics
"An Introduction to Prepayment Modeling on Wall Street"
Sharad Chaudhary is a managing director and head of Mortgage-Backed Securities and Asset-Backed Securities Research and Analytics for Bank of America Securities. In this role, he is responsible for managing a team of research analysts that develop and present relative value strategies across the spectrum of mortgage- and asset-backed securities to institutional clients. He also manages a group of quantitative developers that provides analytic services to the trading desk, the sales force and selected clients. He is based in Charlotte. Chaudhary joined Bank of America in 2000 as a managing director and head of Residential Mortgage Research. He was promoted to his current role in 2002. His previous experience includes prepayment modeling and relative value analysis at Salomon Brothers and Prudential Securities. Chaudhary holds a bachelor's degree from Lafayette College in mathematics and computer science, and a PhD in mathematics from Duke University.
March 14, 2003- From New York
Jon Kinol — Deutsche Bank
Managing Director in Global Markets
"The Integration of Mortgages and Derivatives followed by Volatility Trading Strategies"
Mr. Kinol is currently a Managing Director in Global Markets with Deutsche Bank in New York City. He is the head of interest rate derivatives trading in North America and is the co-head of residential mortgages. Before joining Deutsche, Mr. Kinol graduated from GSIA in 1992. Mr. Kinol did his undergraduate studies here in Pittsburgh, majoring in business at Duquesne University.
December 6, 2002- From New York
William R. Yost — DLIBJ Asset Management USA
Senior Vice President and Portfolio Manager
"A Practioner’s Guide to Quantitative Equity Investing"
Mr. Yost is a Senior Vice President and Portfolio Manager at DLIBJ Asset Management USA (DIAM USA). Mr. Yost joined DIAM USA in 2002 as portfolio manager responsible for all quantitative U.S. equity products including the firm’s market neutral, enhanced index and small cap products. Prior to joining DIAM USA, he was the President and Chief Investment Officer of Innovest Capital Management Inc., which he founded in 1997 with the backing of Whitehall Asset Management Inc. and its parent company. Mr. Yost began his work with Whitehall in 1991, where he completed the original research for Whitehall’s quantitative equity market neutral product. Earlier in his career he was a quantitative equity portfolio manager and product development specialist with J.P. Morgan Investment Management and State Street Global Advisors. Mr. Yost graduated from the University of Notre Dame in 1975 and received his MBA from the University of Wisconsin in 1976.
November 15, 2002
R. Scott Morris — Hull Group, Goldman Sachs
Managing Director Automated Execution Strategies
"VWAP and Optimal Execution"
Mr. Morris is the Managing Director of Automated Execution Strategies with the Hull Group, a Goldman Sachs Company. Mr. Morris joined Hull as a financial engineer in 1990, was named a Principal at Hull in 1996, and a Managing Director at Goldman Sachs in 2000. From 1990 until 1999 he was involved in the development of Hull's electronic option pricing system, and developed a number of option pricing and volatility models. Before Hull, Mr. Morris worked in the research department of GNP Commodities. He has an MBA in Finance and Statistics and a BA in Economics, both from the University of Chicago.
November 8, 2002 - From New York
Peter Muller — Morgan Stanley
Mr. Peter Muller is an Advisory Director of Morgan Stanley and provides ongoing counsel to Process Driven Trading, a proprietary trading group in the Institutional Securities Division which he started and ran from 1993 to 2001. Prior to joining the Firm in 1992 as a Vice President in the Institutional Equity Division, Mr. Muller was with BARRA for seven years. He was elected Principal in 1993, Managing Director in 1996, and became an Advisory Director in 2001. At BARRA, Muller created the BARRA brainteaser, a monthly investment-related puzzle. Mr. Muller's published research includes work on financial optimization, mortgage prepayments, and equity valuation models.
October 4, 2002
Gabriela Soppelsa — Morgan Stanley
Market Risk, Morgan Stanley Asset Management
"The Role of Risk Management in Asset Management"
Gabriela Soppelsa currently heads the Market Risk initiative of the Morgan Stanley Asset Management group. Earlier in her career, Ms. Soppelsa was a founding member and then head of the Market Risk Management team in the Asset Management group at Bankers Trust. In 1996, she obtained recognition from the Fed as having implemented a state of the art market risk management process. She has an MBA from MIT, an MSc in Statistics from Carleton University and a BA in Economics/Minor in Mathematics from the University of Ottawa.
September 27, 2002 - From New York
Bin Zhou — Barclay Capital
Fixed Income Derivatives Trader
"Interest Rate Derivatives"
Mr. Zhou is a Fixed Income Derivatives Trader at Barclay Capital. Before he joined Barclay in 1996, he had worked as a Quantitative Analyst at Bankers Trust for two years. He earned his PhD in Physics from the Univeristy of Pittsburgh in 1991.
September 20, 2002
Kosrow Dehnad — Citigroup
Managing Director, Head of Hybrid Product Development & Structuring
"A Random Talk on Random Walk"
According to the "Efficient Market Hypothesis" and "Random Walk" theory, the activities of some practitioners in finance not only do not create value, they actually destroy value. On the other hand, some practitioners view this hypothesis and some of the research in finance as irrelevant and not reflective of the way the real world of finance functions. I will draw on my experience as a practitioner and part-time academic to add fuel to this controversy!
September 13, 2002
Laura Langer — PG&E Corporation
Chief Risk Officer
"The Risk Officer's Role in Restoring Industry Confidence"
Laura Langer joined PG&E Corporation in September 2000 to manage the Corporation's financial exposure associated with market, credit, and operational risks. She oversees mitigation strategies and hedging policies, and works closely to coordinate risk management and counterparty credit policies and procedures. Laura joined PG&E from Deloitte & Touche, where she was a Senior Manager in the company's Energy Transacting and Risk Management division of the Capital Markets Group. Before joining Deloitte & Touche, she was Director of Corporate Risk Management for Equitable Resources, Inc., and held positions at Southern California Gas Company. Laura received her bachelor's and master's degrees in mathematics from the University of Colorado at Boulder, and holds master's degrees in petroleum engineering from Stanford University and in Computational Finance from Carnegie Mellon University.