Board of Directors
Paul A. Bilokon is CEO and Founder of Thalesians Ltd. He has previously served as Director at Deutsche Bank, where he ran the global credit and core quant teams, part of Markets Electronic Trading (MET) group. He is one of the pioneers of electronic trading in credit, including indices, single names, and cash, and has worked in e-trading, derivatives pricing, and quantitative finance at bulge bracket institutions, including Morgan Stanley, Lehman Brothers, Nomura, and Citigroup. His more than a decade-long career spans many asset classes: equities, FX spot and options, rates and credit.
Paul has graduated from Christ Church, Oxford, with a distinction, and twice from Imperial College London. The domain-theoretic framework for continuous-time stochastic processes, developed with Prof. Abbas Edalat, earned him a PhD degree and a prestigious LICS paper. Paul's other academic interests include stochastic filtering and machine learning. He is an expert developer in C++, Java, Python, and kdb+/q, with a special interest in high performance scientific computing.
His interests in philosophy and finance led him to formulate the vision for and found Thalesians, a consultancy and think tank of dedicated professionals working in quant finance, economics, mathematics, physics and computer science, the focal point of a community with over 2,500 members worldwide. Thalesians was co-founded with two of Paul's friends and colleagues, Saeed Amen and Matthew Dixon.
Dr. Bilokon is a joint winner of the Donald Davis Prize (2005), winner of the British Computing Society Award for the Student Making the Best Use of IT (World Leadership Forum's SET award, 2005), Ward Foley Memorial Scholarship (2001), two University of London High Achiever Awards (in mathematics and physics, 1999); a Member of the British Computer Society, Institution of Engineering and Technology, and European Complex Systems Society; Associate of the Securities and Investment Institute, and Royal College of Science; and a frequent speaker at premier conferences such as Global Derivatives, alphascope, LICS, and Domains.
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Matthew Dixon is a Managing Director and Head of Americas at Thalesians Ltd.
He is also an Assistant Professor of Finance in the Stuart Business School at the Illinois Institute of Technology. His research focuses on the application of advanced computational techniques to financial modeling and data analysis especially where high performance and scalability are critical for practical application. Matthew's research is currently funded by Intel Corporation. He has contributed to the R package repository and published around twenty peer-reviewed technical articles. He has taught financial econometrics, derivatives, machine learning and text mining at the University of San Francisco and held visiting appointments in CS/Math at Stanford University and UC Davis.
Prior to joining academia, he has held industry appointments as a quant at banks such as Lehman Brothers, the Bank for International Settlements and Barclays Capital. He chairs the workshop on computational finance at the annual SuperComputing conference and serves on the program committee of HPC and on the editorial board of the Journal of Financial Innovation. Matthew holds a MEng in Civil Engineering from Imperial College London, a MSc in Parallel and Scientific Computation (with distinction) from the University of Reading, and a PhD in Applied Math from Imperial College London. He became a chartered financial risk manager in 2014.
New York Leader
Harvey Stein (New York City)
Harvey J. Stein is Head of the Quantitative Risk Analytics Group at Bloomberg, responsible for all quantitative aspects of Bloomberg's risk analysis products. Dr. Stein graduated from Worcester Polytechnic Institute in 1982 with a Bachelor's degree in mathematics. After working at Bolt, Beranek and Newman for three years on developing and designing the precursor to the Internet, Dr. Stein went to graduate school at the University of California, Berkeley, where he studied arithmetical geometry while working at Wells Fargo Investment Advisors. He received his PhD in mathematics from Berkeley in 1991.
For the last twenty-three years, Dr. Stein has worked at Bloomberg LP. He built one of the top quantitative finance research and development groups in the industry. His group supplied derivative valuation models for interest rate derivatives, mortgage backed securities, foreign exchange, credit, equities, and commodities, and built Linux clusters to supply these valuations to Bloomberg's customers.
Dr. Stein is well known in the industry, having published and lectured on mortgage backed security valuation mortgage backed security valuation, CVA calculations, interest rate modeling, credit exposure calculations, and other subjects. Dr. Stein built Bloomberg's business in the area of counterparty credit risk modeling and is currently focusing on regulation and risk modeling. He is also a member of the advisory board of the IAQF, an adjunct professor at Columbia University, and a board member of the Rutgers University Mathematical Finance program and of the NYU Enterprise Learning program.
Attila Agod (Budapest)
Attila Agod organises our Budapest talks, establishing our first Thalesians branch in mainland Europe. He has served in a number of high profile roles within MSCI including as head of research at MSCI in Budapest.
Jan Novotny (Prague)
Jan Novotny is a Visiting Lecturer at Cass Business School and Research Fellow at the Centre for Econometric Analysis at Cass Business School. Besides the academic activities, Jan Novotny serves as a Head of Research at Richfox Capital, a Prague-based investment company, and manages Quantum Finance CZ, a quantitative consultancy company he co-founded during his PhD studies. Jan holds an MSc from Nuclear Physics from Czech Technical University and PhD in Economics from CERGE-EI.
Pavel Motuzenko (Prague)
Pavel is an experienced business executive, risk manager and quantitative developer. Pavel has over 10 years of management and entrepreneurial experience and over 15 years of software development experience. Pavel holds Master Degree in Computer Science (major in Artificial Intelligence) from Moscow State Institute of Electronic Technology, and he is a Certified Financial Risk Manager by Global Association of Risk Professionals (GARP). Currently Pavel works for Barclays Investment Bank (Barclays Capital) in Risk & Analytics Group.
Pavel's professional interests lie in the fields of Quantitative Development and Trading, Functional Programming, and Risk Management. Pavel is a member of GARP, The F# Software Foundation, and The R Foundation for Statistical Computing.
Jochen Papenbrock (Frankfurt/Quant Finance Group Germany)
Dr. Jochen Papenbrock is a FinTech entrepreneur with focus on quantitative modeling, Data Science and AI at financial service companies. He is CEO/co-founder of the FinTech company Firamis which has developed InvestTech, WealthTech, RiskTech and RegTech solutions based on a proprietary AI software platform. Customers include banks and asset managers. Jochen has a degree and doctorate from KIT, where the scientific foundation of the approaches was laid. Firamis conducts own scientific research and is committed to FinTech ecosystems.
Adrian Zymolka (Frankfurt/Quant Finance Group Germany)
Dr. Adrian Zymolka has a decade of experience in working with clients of Axioma’s sophisticated products in the financial industry. With his mathematical and optimization background, he is passionate about making sure that any users have maximum benefit from the portfolio construction, risk management and performance attribution software tools as well as content products like risk models and factor libraries.
From 2015 on, Adrian heads Axioma's new Frankfurt office servicing German-speaking Europe. In 2010, he moved to New York to lead the Client Services team in the US. Adrian joined Axioma in 2007 in the London office as Director of Client Services Europe, offering training, consulting services and mathematical support to users.
Prior to Axioma, Adrian was a research assistant at the Zuse Institute Berlin (ZIB) in the Optimization department headed by Prof. Martin Grötschel. During his Ph.D. time, he developed optimization methods for highly complex problems in the area of telecommunication network design. Besides leading and participating in various industrial projects, he also carried out a strong research record. In 2006, he joined atesio, a ZIB spin-off company, where he worked as optimization developer and consultant.
Adrian holds a Ph.D. in Mathematics (Optimization) from the Technical University in Berlin and a Master in Mathematics from Philipps University in Marburg, Germany.
Swati Mital (Zurich)
Swati Mital is a Quantitative Analyst at Credit Suisse in Zurich where she works on credit portfolio modelling in bank's Credit Analytics group. Prior to this, she was a front office Senior Quantitative Analyst at Aberdeen Asset Management and Associate Director for Institutional Product and Consultancy at Moody's Analytics in the UK. She has an Honours degree in Mathematics from St. Stephen's College, Delhi University and an M.A. in Computer Science from University of Cambridge. She is also currently pursuing MSc. in Mathematical Finance from University of Oxford on a part-time basis.
Claudio Albanese is a Visiting Professor at the Financial Mathematics Group at King's College and an independent consultant at Global Valuation Ltd. He received his doctorate in Physics from ETH Zurich, following which he held post-doctoral positions at New York University and Princeton University. He was Associate Professor in the Mathematics Department of the University of Toronto and then Professor of Mathematical Finance at Imperial College London.
Alper Atamturk is a chancellor's professor in the Department of Industrial Engineering & Operations Research at the University of California-Berkeley and head of optimization research at Bloomberg LP. He received his Ph.D. from the Georgia Institute of Technology in 1998 with a major in Operations Research and minor in Computer Science. His research interests are in the broad area of optimization, including conic optimization, mixed-integer programming, and robust optimization with applications to finance and operations.
He serves on the editorial boards of Journal of Risk, Discrete Optimization, Operations Research, and Networks. He regularly serves on the organizing committees of optimization conferences. He served as elected vice chair-integer programming of INFORMS Optimization Society. Professor Atamturk was appointed a national security fellow by the US Department of Defense in 2010.
Iain J. Clark (MIMA CMath, MInstP CPhys, CStat, FRAS) has over 14 years experience as a front office quant. He has worked as Head of FX and Commodities Quantitative Analysis at Standard Bank, as Head of FX Quantitative Analysis at Unicredit and at Dresdner Kleinwort, and at Lehman Brothers, BNP Paribas and JP Morgan. Iain has a PhD in applied mathematics from Queensland University and a MSc in financial mathematics from Edinburgh and Heriot-Watt Universities. His main research interests are on exotic options, stochastic models for FX and commodities, and numerical methods for option pricing. He is a frequent contributor to industry conferences, training courses and invited speaker at various universities.
His first book Foreign Exchange Option Pricing: A Practitioner's Guide was published in November 2010 by Wiley Finance and his second book Commodity Option Pricing: A Practitioner's Guide is due to appear in early 2014 (also with Wiley Finance).
Dan Crisan is a Professor in Mathematics at Imperial College London. His expertise lies in the area of Stochastic Analysis with applications in Engineering and Finance. His current research is on developing high-order numerical algorithms for solving stochastic differential equations, approximating schemes for backward SDEs and particle methods for nonlinear filtering. His book, Fundamentals of Stochastic Filtering appeared at Springer Verlag at the begining of the year and he is currently involved in editing an advanced handbook on Nonlinear Filtering to be published by the Oxford University Press. Dr. Crisan is a member of the editorial board of the Journal of Mathematics and Computation. He is also actively involved in teaching. Among numerous other courses, he has taught stochastic filtering, numerical stochastics, and measure-valued processes at Imperial College; applied probability, and stochastic calculus and applications at Cambridge University.
Patrick Hagan has made several fundamental contributions to mathematical finance, particularly in the area of interest rate derivatives modelling, where he pioneered the SABR volatility model - now the de-facto approach for including stochastic volatility within the LIBOR market model. Patrick Hagan received his Ph.D and B.S in Applied Mathematics from Caltech. Over the years he has worked at Bloomberg and several banks designing trading systems for fixed income, credit, and foreign exchange derivatives, as well as developing the component models, calibration methods, and numerical algorithms. He served at Head of Quantitative Analytics and Chief Investment Officer at JP Morgan. Before entering finance he was Deputy Director of the CNLS and a member of the Computer Research and Applications group at Los Alamos National Laboratory. He has also worked at Exxon Science Laboratories, and has taught at Caltech, Stanford, the Institute for Mathematics and its Applications, and NYU.
Zari Rachev is a co-founder and President of BRAVO Risk Management Group — originator of the Cognity methodology, which was acquired by FinAnalytica where he serves as Chief Scientist. Rachev holds Chair-Professorship in Statistics, Econometrics and Mathematical Finance at University of Karlsruhe, and is the author of 12 books and over 300 published articles on finance, econometrics, statistics and actuarial science. At University of California at Santa Barbara, he founded the Ph.D.program in mathematical and empirical finance. Rachev holds PhD (1979) and Doctor of Science (1986) degrees from Moscow University and Russian Academy of Sciences. Rachev's scientific work lies at the core of Cognity's newer and more accurate methodologies in risk management and portfolio analysis.
Berç Rustem (FIMA, CMath) (Professor of Computational Methods in Operations Research, Imperial College, London) is editor of Automatica, co-editor of Computational Management Science, Advisory Editor of Journal of Economic Dynamics & Control (JEDC), and on the editorial board of Computational Economics, Journal of Global Optimization, Cybernetics, and several book series. He was President of the Society for Computational Economics (2000-2002), editor of JEDC (1987-2002), chair of the IFAC Technical Committee "Computation in Economics & Finance" (1992-2000), and chair of the IPC IFAC Symposium "Computation in Economics & Finance" (2001). He also was the Principal Investigator in various research projects that led to the development of optimisation software for nonlinear economic models (supplied to HM Treasury), and financial and engineering risk management software. He has authored over 150 journal and conference publications, edited many journal special issues (including JEDC, Parallel Computing), and 4 book volumes (published by MacMillan and Kluwer). He is the author of 3 research monographs on optimisation algorithms, multiple-objective decision making and min-max robust design (Springer-Verlag, Wiley & Sons, Princeton University Press). He is the author of "Projection Methods in Contrained Optimisation and Applications to Optimal Policy Decisions", "Algorithms for Nonlinear Programming", and "Algorithms for Worst-Case Design and Applications to Risk Management".
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