Tutor Biographies

Igor Smirnov, Head of Flow Research, BNP PARIBAS

Igor Smirnov has worked in quantitative research since 1998, joining BNP Paribas in 2000, where most recently as Global Head of Flow Research Group he was responsible for quantitative research and modelling of flow products across Fixed Income (including interest rates, Credit and other product areas).

Igor has tackled a number of research areas during his career, with a long standing focus on term structure modelling and risk dimensionality issues, as well as liquidity, funding and counterparty risks.Marcello Minena, Head of Quantitative Analysis, CONSOB

Marcello Minnena, Head of Quantitative Analysis, CONSOB

Marcello Minnena is Head of Quantitative Analysis at CONSOB (the Italian Securities and Exchange Commission) where he is in charge of analysing and developing quantitative models for surveillance.

Marcello has taught extensively in the field of financial mathematics at institutions across the world and is known for his engaging and charismatic approach. He received his PhD in applied mathematics for social sciences from the State University of Brescia, his MA in mathematics in finance from Columbia University and his degree in economics from Bocconi University.

His research interests include quantitative models for surveillance in addition to more general areas of finance.

Marco Avellaneda, Professor of Mathematics, Courant Institute of Mathematical Sciences NEW YORK UNIVERSITY (Risk Awards, Quant of the Year 2010)

Marco Avellaneda is widely known in the financial field as the inventor of the Uncertain Volatility model and for his work on the weighted Monte Carlo algorithm and the theory of Dispersion Trading, as well as for several other papers in quantitative finance and derivatives.

Marco has extensive experience in the fields of derivatives, quantitative strategies in equities and volatility trading from the point of view of hedge funds and Wall Street firms. He sits on many editorial boards, has authored many seminal textbooks and was recognised in 2010 amongst his peers by receiving the prestigious Risk Awards 'Quant of the Year' 2010 for his groundbreaking work on the effect of short-selling restrictions on price dynamics.

Marco is a Professor of Mathematics and the Director of the Division of Financial Mathematics at New York University's Courant Institute of Mathematical Sciences. Beginning his career in Wall Street as vice-president of the Morgan Stanley Derivative Products Group, Marco later held the positions of portfolio manager in equity volatility strategies at Gargoyle Strategic Investments LLC, Head of Volatility Arbitrage at Capital Fund Management and, more recently, Portfolio Manager in quantitative equity strategies at the Galleon Group in New York.

David Jessop, Managing Director, Global Head of Equities Quantitative Research, UBS

David Jessop is the Global Head of Equities Quantitative Research at UBS. His areas of research include portfolio analysis and construction, style analysis and risk modelling. He also helps clients understand, use and implement the quantitative tools available from UBS.

David joined UBS  in 2002.  Prior to this, he spent seven years at  Citigroup as Head of Global Quantitative Marketing. Before moving to the sell side he spent 6 years at Morgan Grenfell Asset Management, where he managed index funds, asset allocation funds and also an option overwriting fund. David graduated from Trinity College, Cambridge with a MA in Mathematics.

Eric li, Global Head of CVA modelling and analytics, STANDARD CHARTERED BANK

Before joining SCB, Eric spent more than 5 years as a senior vice president in the Derivatives Research Group at Lehman Brothers Inc in New York from 2004 - 2009. At Lehman, he was the head of CVA modelling and the head of EM modelling.

Before then, Eric was vice president in Quantitative Research Group at the Bank of America in Chicago from 2002 to 2004; vice president and the head of Quantitative Research and Analytics at Blackbird Holding Inc. in Charlotte, North Carolina from 1996 to 2001. Before moved to United States, Eric taught mathematics at Northern Jiaotong University (now Beijing Jiaotong University) for about six years from 1988 to 1994.

Dr Li received B.S. degree in Computational Mathematics from Fudan University, Shanghai, China in 1986, M.S. degree in Computational Mathematics from Nanjing Aeronautical Institute (now Nanjing University of Aeronautics and Astronautics) Nanjing, China in 1988, M.S. degree in Computer Science in 1997 and Ph.D. degree in Applied Mathematics in 2002 from University of North Carolina.