Ken Abbott is a Managing Director and Chief Risk Officer for the Americas at Barclays, a major global financial services provider. He was recently Chief Operating Officer (COO) for all Firm Risk at Morgan Stanley where he worked for over nine years. There he covered Commodities, Rates, FX, Retail and Emerging Markets businesses, and was CRO for Morgan Stanley’s buy-side activity. He became the COO for Market Risk in January 2008 and assumed the role of Chief Operating Officer for all of Firm Risk in May 2011.
Ken Abbott spent 14 years at Bankers Trust in a number of trading, research and risk management roles. He also spent over 5 years at Bank of America in several senior Market Risk Management roles. He currently sits on the Boards of the New Jersey Scholars Program, the Harvard Club of New Jersey, and CGU’s Financial Engineering Program, where he has recently been appointed as a Senior Fellow.
Ken Abbott has a Bachelor of Arts in Economics from Harvard University; a Master of Arts in Economics and Master of Science in Statistics and Operations Research from New York University. He is an avid musician, playing clarinet, saxophone, oboe, English horn, and tuba.
Leif B. G. Andersen is the Global Co-Head of The Quantitative Strategies Group at Bank of America Merrill Lynch. He holds MSc's in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from University of Aarhus Business School. He was the co-recipient of Risk Magazine’s 2001 Quant of the Year Award, and has worked for more than 20 years as a quantitative researcher in the derivatives pricing area. He has authored influential research papers and books in all areas of quantitative finance, including the three-volume monograph ``Interest Rate Modelling’’ (co-authored with Vladimir Piterbarg). He is an Associate Editor of Journal of Computational Finance.
- Leif Andersen and Vladimir V. Piterbarg, "Interest Rate Modeling. Volume 1: Foundations and Vanilla Models," Atlantic Financial Press (February 6, 2010)
Managing Director, Investment Management Division, Goldman Sachs, Farshid is currently the head of the Strategic and Quantitative Asset Allocation in the Investment Strategy Group, where he is responsible for the quantitative modeling and analysis of tactical views and strategic asset allocations. Previously, he spent two years as a strategist in the Fixed Income, Currency and Commodities and the Equity Divisions at Goldman Sachs, developing quantitative models for credit and volatility trading. Farshid joined Goldman Sachs in 2006 and was named managing director in 2011. Prior to joining Goldman Sachs, Farshid was a senior vice president of Risk Analytics at GMAC, where he focused on strategic direction and leadership in the development and operations of the risk management systems and processes for GM, GMAC and GM Asset Management. Farshid has been a program fellow and adjunct professor at Courant Institute of Mathematical Sciences at New York University since 2005. He has published various papers in quantitative journals and presented at conferences and has led a number of workshops in quantitative trading. Farshid earned a PhD in Stochastic Optimal Control and an MS in Financial Engineering from the University of Michigan in 2002. He is the recipient of the 2005 Carl T. Humphrey Memorial Alumni Award from Villanova University.
Marco's research centers around quantitative trading strategies and financial models. He has published in mathematical finance and applied mathematics, including volatility modeling, the design of composite materials and hydrodynamic turbulence. He was a V.P. at Morgan Stanley in 1997 and 1998 in the Derivatives Products Group; Portfolio Manager at Capital Fund Management, where he created the Nimbus Fund 2004; Portfolio Manager at a major New York hedge fund where he ran Statistical Arbitrage 2006 to 2008; Partner at Finance Concepts LLC, a risk management consultancy with offices in New York and Paris 2003 to present ; Editor of journals Quantitative Finance, International Journal of Theoretical and Applied Finance, where he was editor in chief from 1998 to 2003; Managing editor of the International Journal of Theoretical and Applied Finance; Associate editor of Communications in Pure and Applied Mathematics and Mathematical Methods in Applied Sciences. Marco is the author of the textbook ''Quantitative Modeling of Derivative Securities: From Theory to Practice," and edited the collection "Quantitative Analysis in Financial Markets, Vols I - III." Marco wasnamed Quant of the Year 2010 by Risk Magazine.
- Marco Avellaneda, "Quantitative Analysis in Financial Markets - Collected Papers of the New York University Mathematical Finance Seminar," World Scientific Publishing Company Inc; 1st edition (January 31, 2002)
- Marco Avellenda, "Quantitative Analysis in Financial Markets," World Scientific Publishing Company; 1st edition (January 11, 2001)
- Macro Avellaneda and Peter Laurence, "Quantitative Modeling of Derivative Securities: From Theory To Practice 1st Edition," Chapman and Hall/CRC; 1st edition (September 17, 1999)
Jerome Benveniste was a member of the Quantitative Trading Group at Highbridge Capital Management, LLC for twelve years, the last six as Portfolio Manager and Managing Director. He was involved in nearly every aspect of Highbridge’s quantitative business, including forecast generation, risk modeling, transaction cost modeling, and optimization. Before joining Highbridge, he was a mathematician working in the areas of differential geometry, Lie theory, and ergodic theory, and was on the faculties of Stanford and Case Western Reserve Universities. Jerome holds an A. B. from Harvard University and a Ph.D. from the University of Chicago, both in mathematics.
Sébastien Bossu is Principal at Ogee Group LLC in New York where he runs his startup hedge fund focused on macro option strategies, and serves as adjunct professor at NYU Courant and The Johns Hopkins Carey Business School (Baltimore). He has ten years’ experience in banking and the financial industry and worked at institutions such as J.P. Morgan, Dresdner Kleinwort and Goldman Sachs. An expert in financial derivatives, Sébastien has published several papers and textbooks in his field and is a regular speaker at international conferences. He is a graduate from The University of Chicago, HEC Paris, Columbia University and Université Pierre et Marie Curie.
- Sebastien Bossu and Peter Carr, "Advanced Equity Derivatives: Volatility and Correlation," Wiley; 1 edition (May 5, 2014)
- Sebastien Bossu and Philippe Henrotte, "An Introduction to Equity Derivatives: Theory and Practice," Wiley; 2 edition (May 14, 2012)
- Sebastien Bossu and Philippe Henrotte, "Finance and Derivatives: Theory and Practice," Wiley; 1 edition (December 8, 2005)
Paul earned his Ph.D. in Mathematics from Université Paris 6, France, in 2009. He received an M.S. in Probability from Université Paris 6, France, and an M.S. in Computer Science from Computer Science, Telecom Paris, France, in 2007. He received his B.S. in Mathematics and Physics, École Polytechnique, France, in 2006. His research lies in probability theory (random matrices, stochastic analysis) and its connections with other domains of mathematics like partial differential equations.
Aaron Brown spent 35 year on Wall Street as a trader, portfolio manager, head of mortgage securities and risk manager for some of the largest global financial institutions, the last ten as risk manager for AQR Capital Management. He has written a few books, and a lot of articles, most recently a column for Bloomberg and another one for Wilmott magazine. Aaron holds an B.S. degree in applied mathematics from Harvard, and an MBA in finance and statistics from the University of Chicago. He lives right across the Pennsylvania border from New York, on a lake near the Delaware river with his wife of 30 years, Deborah Pastor. He has two children, Jacob who is now at the University of Chicago Booth School of Business, and Aviva who is finishing up high school.
Ivailo is a Senior Quant Researcher at Bloomberg LP. He joined the firm in 2011 and is a member of the Quant Research Solutions group where he provides quantitative, data science and analytics solutions to senior management, external and internal clients. Ivailo has worked extensively both on quantitative finance projects in equity, Tradebook, FX, credit and bonds, as well as on alternative data projects in News & Twitter, collaborative filtering, Bloomberg Sports and election modeling. Prior to joining Bloomberg, Ivailo was a quant at the derivative analysis group at Goldman Sachs covering equity derivatives. He has a Ph.D. in physics from UCLA and an M.S. in Mathematics in Finance from NYU Courant.
After having headed derivatives research teams at Societe Generale, Paribas and Nikko FP, Bruno joined Bloomberg in New York in 2004 to develop advanced analytics. He is best known for his work on volatility modelling, including the Local Volatility Model (1993), simplest extension of the Black-Scholes-Merton model to fit all option prices, and subsequent results on stochastic volatility and volatility derivatives. He was included in December 2002 in the Risk magazine "Hall of Fame" of the 50 most influential people in the history of derivatives. He is the recipient of the 2006 "Cutting edge research" Wilmott award and was voted in 2006 the most important derivatives practitioner of the past 5 years in the ICBI Global Derivatives industry survey.
Eran is the Chief Operating Office of Pragma Securities, which he joined 2007. He leads the technology and research teams in developing new and innovative algorithmic trading products and services. Previously, Eran worked at Hite Capital Management. Eran holds a Ph.D. in Electrical Engineering from Israel's Tel Aviv University, and an MBA from the Stern School of Business at New York University. Eran is an expert in the field of parameter estimation and detection theory and has published over 40 technical papers in the area of statistical signal processing.
Bjorn Flesaker is Director of Quantitative Research, Fixed Income, for Lord Abbett & Co. LLC, where he is responsible for developing quantitative models and techniques to conduct portfolio risk analysis and security valuation for their fixed-income portfolios. Mr. Flesaker joined Lord Abbett & Co. LLC in 2017. His prior experience includes serving as Managing Director, Head of Quantitative Research at Prudential Fixed Income. Previously, he worked in fixed income R&D and business management at Bloomberg L.P., and he managed derivatives oriented quant groups for several institutions, including Morgan Stanley, Bear Stearns, UBS Securities and Merrill Lynch. He currently serves as Managing Editor of the International Journal of Theoretical and Applied Finance. He earned a Master of Management degree in finance from BI Norwegian Business School and a Ph.D. in finance from the University of California, Berkeley.
Samim Ghamami is currently a senior economist at the Office of Financial Research within the US Department of the Treasury. He is also an adjunct professor of mathematical finance at NYU's Courant Institute of Mathematical Sciences and a senior researcher at UC Berkeley Center for Risk Management Research. Samim obtained his Ph.D. in Operations Research and Mathematical Finance from the University of Southern California in 2009. His work has broadly focused on finance, risk management, and stochastic modeling. Samim has been an economist at the Board of Governors of the Federal Reserve System, an advisor to the Basel Committee on Banking Supervision, a visiting scholar at the Department of Economics at UC Berkeley, a senior quantitative researcher at MSCI, a quantitative analyst at Barclays Capital in New York, an adjunct faculty member of USC, and a post-doctoral researcher at CREATE Homeland Security Center. His publications have appeared in various journals including the Journal of Applied Probability, Mathematics of Operations Research, Journal of Credit Risk, Journal of Derivatives, Probability in the Engineering and Informational Sciences, Quantitative Finance, and the international Journal of Financial Engineering.
Jonathan earned his Ph.D. in 1982 from Stanford University, specializing in computational and applied mathematics. His research interests have ranged from the mathematical theory of shock waves to innovative Monte Carlo methods in quantum chemistry. His private consulting has included work on computational methods in finance for Morgan Stanley & Co. and NumeriX.
Julien Guyon is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor at Columbia University. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years (2006-2012). He co-authored the book Nonlinear Option Pricing (Chapman & Hall, CRC Financial Mathematics Series, 2014) with Pierre Henry-Labordere. Julien holds a Ph.D. in Probability Theory and Statistics from Ecole des ponts (Paris). He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des ponts. He was also an adjunct professor at Universite Paris 7 and Ecole des ponts. His main research interests include nonlinear option pricing, volatility and correlation modeling, and numerical probabilistic methods.
A big football fan, Julien has also developed a strong interest in sports analytics, and has published several articles on the FIFA World Cup, the UEFA Champions League, and the UEFA Euro in top-tier newspapers such as The New York Times, Le Monde, and El Pais, including a new, fairer draw method for the FIFA World Cup.
Alireza Javaheri is the Global Head of Equity Derivatives Quantitative Research at Credit Suisse. He has been working since 1994 in the field of derivatives quantitative analysis in various investment banks including J.P. Morgan, Goldman Sachs and Citigroup. He holds an M.Sc. in Electrical Engineering from Massachusetts Institute of Technology and a Ph.D. in Finance from Ecole des Mines de Paris. He is also a CFA charter holder. He has authored several quantitative finance papers on the subject of volatility, including articles with Peter Carr, Paul Wilmott and Espen Haug. His book "Inside Volatility Arbitrage" was elected the quantitative finance book of the year by Wilmott magazine.
Bob received his Ph.D. from Princeton University in 1979. His research interests include materials science, nonlinear partial differential equations, inverse problems and optimization as well as finance.
Petter's research interests include quantitative trading strategies, delegated portfolio management, financial econometrics, risk management, and optimal portfolio strategies. He is a member of the editorial board of the Journal of Portfolio Management. Previously, Petter worked in the Quantitative Strategies Group at Goldman Sachs Asset Management where his responsibilities included researching and developing new quantitative investment strategies for the group's hedge fund. Petter coauthored the books Financial Modeling of the Equity Market: From CAPM to Cointegration (Wiley, 2006), Trends in Quantitative Finance (CFA Research Institute, 2006), and Robust Portfolio Management and Optimization (Wiley, 2007). He holds a doctorate in mathematics from Yale University, an M.Phil. in applied mathematics from the Royal Institute of Technology in Stockholm, and an M.S. in mathematics from ETH Zurich.
Alexey is a senior quant at Citigroup Emerging Markets Fixed Income unit where his team is responsible for analytics used by the LATAM part of the business. Alexey's expertise lies in the areas of derivative pricing, portfolio risk management and CVA calculation. Prior to joining Citigroup in 2015 Alexey held various roles at JPMorgan Quant Research team. He holds a Ph.D. in Probability Theory from NYU Courant and an MS in Applied Math from Moscow Institute of Physics and Technology.
Yadong Li is currently the head of Trading Book Risk modeling team in Quantitative Analytics of Barclays. Previously he held leadership roles in various areas of quantitative modeling in Lehman and Barclays, including Credit Correlation, Emerging Market Credit, Basel 2.5 Market Risk and Basel 3 Counterparty Exposure Risk etc. His current research interests are in Risk and regulatory capital modeling, including stress testing, CCAR, FRTB, back-testing, risk capital allocation and optimization etc. Yadong held a Ph.D. in Physics and a MS in Computer Sciences from Wisconsin-Madison, and a Master in Financial Engineering degree from UC-Berkeley.
Bryan Liang is a Senior Quant Researcher, Bloomberg LP. Bryan Liang joined the Bloomberg quant research team in 2011. He has been working extensively on various aspects of derivatives modelling, including pricing, hedging, risk management, structuring, market making, trading strategies and parallel computing. One of particular themes of his recent work is the proper use of derivatives, an effort trying to bring derivatives back to their initial economic purposes and aiming to align product to problem. Before joining Bloomberg, He worked for derivatives analysis group at Goldman Sachs, covering interest rate derivatives modelling. Bryan received his Ph.D. in mathematics from University of Michigan and taught math at Northwestern University and UC Davis before he moved to finance.
Alexander Lipton is Connection Science fellow at MIT Media Lab, adjunct professor of mathematics at NYU Courant Institute, and an advisory board member at the Oxford-Man Institute.
In the end of May, he departed as a managing director, quantitative solutions executive, from Bank of America where he served for ten years. Prior to this role, he was a managing director, co-head of the Global Quantitative Group at Bank of America Merrill Lynch. Earlier, he was a managing director and head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago; he has also worked for Credit Suisse, Deutsche Bank and Bankers Trust. While working full time as a banker, Alex held several prestigious academic appointments, including visiting professor of quantitative finance at Oxford University, visiting professor of mathematics at Imperial College London, and visiting professor of mathematics at the University of Illinois. Before switching to finance, Alex was a full professor of Mathematics at the University of Illinois and a consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees in pure mathematics from Moscow State University.
His current professional interests include holistic risk management, FinTech, including distributed ledger and other applications of cryptography in banking and payment systems, etc. His scientific interests are centered on quantitative development of modern monetary circuit theory, mechanisms of money creation, interlinked banking networks, etc.
In 2000 Alex was awarded the first Quant of the Year Award by Risk Magazine. Alex is the author of two books (Magnetohydrodynamics and Spectral Theory and Mathematical Methods for Foreign Exchange) and the editor of five more, including, most recently, Quant of the Year 2000-2014, All Award Winning Papers. He has published more than a hundred papers on hydrodynamics, magnetohydrodynamics, astrophysics, chemical physics, and financial engineering. Alex is a founding patron of The 14-10 Club at the Royal Institution (jointly with David Harding). Alex is an avid collector of military optics and is currently working on a book on the history of military binoculars.
- Itkin A, Lipton A, 2016, Structural default model mutual obligations, Review of Derivatives Research, Vol: 19, Pages: 1-32
- Lipton A, 2016, Modern monetary circuit theory, stability of interconnected banking network, and balance sheet optimization for individual banks, International Journal of Theoretical and Applied Finance, Vol: 19, 1650034 (57 pages)
- Itkin A, Lipton A, 2015, Efficient solution of structural default models with correlated jumps and mutual obligations, International Journal of Computer Mathematics, Vol: 92, Pages: 2380-2405
- Lipton A, Pesavento U, Sotiropoulos M, 2014, Trading strategies via book imbalance, Risk Magazine, Vol: 27(4), Pages: 70-75
- Lipton A, Gal A, Lasis A, 2014, Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results, Quantitative Finance, Vol: 14, Pages: 1899-1922
- Lipton A, Savescu I, 2014, Pricing credit default swaps with bilateral value adjustments, Quantitative Finance, Vol: 14, Pages: 171-188
- Lipton A, Serguieva A, Yao X, 2014, IEEE CIFEr 2014 – Leading forum on computational finance and economic research in academia and industry, IEEE Computational Intelligence Magazine, Vol: 9(3), Pages 8-10
- Lipton A, Savescu I, 2013, CDSs, CVA and DVA - a structural approach, Risk Magazine, Vol: 26(4), Pages: 60-65
- Andersen L, Lipton A, 2013, Asymptotics for exponential Levy processes and their volatility smile: survey and new results, International Journal of Theoretical and Applied Finance, Vol: 16, 1350001 (98 pages)
- Lipton A, Shelton D, 2011, Credit default swaps with and without counterparty and collateral adjustments, Stochastics: An International Journal of Probability and Stochastic Processes, Vol: 84, Pages: 603-624
- Lipton A, Sepp A, 2011, Filling the gaps, Risk Magazine, Vol: 24(10), Pages: 86-91
- Inglis S, Lipton A, Sepp A, 2009, Factor models for credit correlation, Risk Magazine, Vol: 22(4), Pages: 106-107
- Lipton A, Sepp A, 2009, Credit value adjustment for credit default swaps via the structural default model, The Journal of Credit Risk, Vol: 5, Pages: 123-146
- Inglis S, Lipton A, Savescu I, Sepp A, 2008, Dynamic credit models, Statistics and its Interface, Vol: 1, Pages: 211-227
- Lipton A, Sepp A, 2008, Stochastic volatility models and Kelvin waves, Journal of Physics A-Mathematical and Theoretical, Vol: 41, 344012 (23 pages)
- Inglis S, Lipton A, 2007, Factor models for credit correlation, Risk Magazine, Vol: 20(12), Pages: 110-115
- Lipton A, 2002, On the log-log linearity of the size distribution for growth stocks, Risk Magazine, Vol: 15(7), Pages: 70-70
- Lipton A, 2002, The vol smile problem, Risk Magazine, Vol: 15(2), Pages: 61-65
- Lipton A, 2002, Assets with jumps, Risk Magazine, Vol: 15(9), Pages: 149-153
- Lipton A, McGhee W, 2002, Universal barriers, Risk Magazine, Vol: 15(4), Pages: 81-85
- Albanese C, Campolieti G, Carr P, Lipton A, 2001, Black-Scholes goes hypergeometric, Risk Magazine, Vol: 14(12), Pages: 99-103
- Carr P, Lipton A, Madan D, 2000, Going with the flow, Risk Magazine, Vol: 13(8), Pages: 85-89
- Faierman M, Lifschitz A, Mennicken R, Moeller M, 1999, On the essential spectrum of a differentially rotating star, Zeitschrift fur Angewandte Mathematik und Mechanik, Vol: 79, Pages: 739-755
- Lipton A, 1999, Similarities via self-similarities, Risk Magazine, Vol: 12(9), Pages: 101-105
- Lipton-Lifschitz A, 1999, Predictability and unpredictability in financial markets, Physica D, Vol: 133, Pages: 321-347
- Fabijonas B, Lifschitz A, 1998, Asymptotic analysis of secondary instabilities of rotating fluids, Zeitschrift fur Angewandte Mathematik und Mechanik, Vol: 78, Pages: 597-606
- Lifschitz A, Miyazaki T, Fabijonas B, 1998, A new class of instabilities of rotating flows, European Journal of Mechanics B/Fluids, Vol: 17, Pages: 605-613
- Miyazaki T, Lifschitz A, 1998, Three-dimensional instabilities of inertial waves in rotating fluids, Journal of the Physical Society of Japan, Vol: 67, Pages: 1226-1233
- Nijboer R, Goedbloed J, Lifschitz A, 1998, The spectrum of MHD flows about X-points, Journal of Plasma Physics, Vol: 60, Pages: 421-446
- Fabijonas B, Holm D, Lifschitz A, 1997, Secondary instabilities of flows with elliptic streamlines, Physical Review Letters, Vol: 78, Pages: 1900-1903
- Goedbloed J, Lifschitz A, 1997, Stationary symmetric magnetohydrodynamic flows, Physics of Plasmas, Vol: 4, Pages: 3544-3564
- Hyer T, Lifschitz A, Pugachevsky D, 1997, Passport to success, Risk Magazine, Vol: 10(9), Pages: 127-131
- Lifschitz A, 1997, On the spectrum of hyperbolic flows, Physics of Fluids, Vol: 9, Pages: 2864-2871
- Lifschitz A, Goedbloed J, 1997, Transonic magnetohydrodynamic flows, Journal of Plasma Physics, Vol: 58, Pages: 61-99
- Nijboer R, Lifschitz A, Goedbloed J, 1997, Spectrum and stability of a rigidly rotating compressible plasma, Journal of Plasma Physics, Vol: 58, Pages: 100-121
- Bayly B, Holm D, Lifschitz A, 1996, Three-dimensional stability of elliptical vortex columns in external strain flows, Philosophical Transactions of the Royal Society, London, Series A, Vol: 354, Pages: 895-926
- Goedbloed J, Lifschitz A, 1996, Symmetry of magnetohydrodynamic flows, Astrophysical Letters and Communications, Vol: 34, Pages: 261-267
- Lebovitz N, Lifschitz A, 1996, New global instabilities of the Riemann ellipsoids, The Astrophysical Journal, Vol: 458, Pages: 699-713
- Lebovitz N, Lifschitz A, 1996, Short wavelength instabilities of Riemann ellipsoids, Philosophical Transactions of the Royal Society, London, Series A, Vol: 354, Pages: 927-950
- Lifschitz A, 1996, Spectral problems of hydrodynamics and magnetohydrodynamics, Zeitschrift fur Angewandte Mathematik und Mechanik, Vol: 76S2, Pages: 225-228
- Lifschitz A, Fabijonas B, 1996, A new class of instabilities of rotating fluids, The Physics of Fluids, Vol: 8, Pages: 2239-2241
- Lifschitz A, Suters H, Beale T, 1996, A numerical and analytical study of vortex rings with swirl, ESAIM: Proceedings, Vol: 1, Pages: 565-575
- Lifschitz A, Suters H, Beale T, 1996, The onset of instability in exact vortex rings with swirl, Journal of Computational Physics, Vol: 129, Pages: 8-29
- Goedbloed J, Lifschitz A, 1995, Comment on “Symmetry analysis of the nonlinear MHD equations” by T. Wu, Physics Letters A, Vol: 198, Pages: 467-468
- Goedbloed J, Lifschitz A, 1995, Comment on “Alfven resonance reconsidered” by P.M. Bellan, Physics of Plasmas, Vol: 2(9), Pages: 3550-3551
- Lifschitz A, 1995, Exact description of the spectrum of elliptical vortices in hydrodynamics and magnetohydrodynamics, The Physics of Fluids, Vol: 7, Pages: 1626-1636
- Lifschitz A, 1995, Instabilities of ideal fluids and related topics, Zeitschrift fur Angewandte Mathematik und Mechanik, Vol: 75, Pages: 411-422
- Lifschitz A, 1994, On the instability of certain motions of an ideal incompressible fluid, Advances in Applied Mathematics, Vol: 15, Pages: 404-436
- Lebovitz N, Lifschitz A, 1993, Local hydrodynamic instability of rotating stars, Astrophysical Journal, Vol: 408, Pages: 603-614
- Lifschitz A, Hameiri E, 1993, Localized instabilities of vortex rings with swirl, Communications on Pure and Applied Mathematics, Vol: 46, Pages: 1379-1408
- Turkington B, Lifschitz A, Spruck J, Eydeland A, 1993, Multiconstrained variational problems in magnetohydrodynamics, Journal of Computational Physics, Vol: 106, Pages: 269-285
- Lebovitz N, Lifschitz A, 1992, Short wavelength instabilities of rotating compressible fluid masses, Proceedings of the Royal Society, London. A, Vol: 433, Pages: 265-290
- Lifschitz A, 1992, On the instability of three-dimensional flows of an ideal incompressible fluid, Physics Letters A, Vol: 167, Pages: 465-474
- Lifschitz A, 1991, Short wavelength instabilities of incompressible three dimensional flows and generation of vorticity, Physics Letters A, Vol: 157, Pages: 481-486
- Lifschitz A, 1991, Essential spectrum and local stability condition in hydrodynamics, Physics Letters A, Vol: 152, Pages: 199-204
- Lifschitz A, Hameiri E, 1991, Local stability conditions in fluid dynamics, The Physics of Fluids A, Vol: 34, Pages: 2644-2651
- Lifschitz A, 1990, A new description of Alfven modes, Physics Letters A, Vol: 143, Pages: 305-310
- Lifschitz A, 1989, An echo effect in hydrodynamics, Soviet Physics - Doklady, Vol: 34, Pages: 783-785
- Burkov S, Lifschitz A, 1988, Stability of soliton superstructures, Physics of the Earth and Planetary Interiors, Vol: 50, Pages: 56-59
- Lifschitz A, 1987, Continuous spectrum in general toroidal systems (ballooning and Alfven modes), Physics Letters A, Vol: 122, Pages: 350-356
- Lifschitz A, Fedorov E, 1986, Hydromagnetic oscillations in the magnetosphere - ionosphere cavity, Transactions (Doklady) of the USSR Academy of Sciences, Earth Science Sections, Vol: 287, Pages: 11-13
- Lifschitz A, 1985, The Fermi Golden Rule for ideal magnetohydrodynamics, Journal of Plasma Physics, Vol: 33, Pages: 249-256
- Lifschitz A, Fedorov E, 1985, Oscillation modes in ideal and resistive magnetohydrodynamic systems, Soviet Physics - Technical Physics, Vol: 30, Pages: 458-459
- Lifschitz A, Petrova M, 1985, On the control of a stationary flow of matter in some chemical reactions, Soviet Journal of Chemical Physics, Vol: 3, Pages: 1113-1121
- Lifschitz A, Rybnikov G, 1985, Dissipative structures and Couette flow in a non-Newtonian fluid, Soviet Physics - Doklady, Vol: 30, Pages: 275-278
- Burkov S, Lifschitz A, 1984, Stability of travelling vortex lattices in long Josephson junctions, Physics Letters A, Vol: 106, Pages: 71-73
- Krylov A, Lifschitz A, 1984, Quasi - Alfven oscillations of magnetic surfaces, Planetary and Space Science, Vol: 32, Pages: 481-492
- Krylov A, Lifschitz A, 1984, Problems with continuous spectrum in plasma physics, Russian Mathematical Surveys, Pages: 218-219
- Krylov A, Lifschitz A, 1984, Langmuir oscillations of a three - dimensional nonuniform plasma, Soviet Physics - Doklady, Vol: 29, Pages:535-536
- Lifschitz A, 1984, Weakly connected systems with non-propagating waves, Functional Analysis and its Applications, Vol: 18, Pages: 142-144
- Lifschitz A, 1984, On the continuous spectrum in some problems of mathematical physics, Soviet Physics - Doklady, Vol: 29, Pages: 625-627
- Lifschitz A, Fedorov E, Schaper U, 1984, Comment on the paper “On the influence of the Hall effect on the spectrum of the ideal magnetohydrodynamic cylindrical pinch” by U. Schaper, Journal of Plasma Physics, Vol: 31, Pages: 173-175
- Burkov S, Lifschitz A, 1983, Stability of moving soliton lattices, Wave Motion, Vol: 5, Pages: 197-213
- Krylov A, Lifschitz A, 1983, The form of resonant pulsations of the magnetic shells in the magnetosphere, Izvestiya of the Academy of Sciences the USSR, Earth Physics, Vol: 19, Pages: 835-842
- Krylov A, Lifschitz A, 1983, The shape of Alfven modes in an axisymmetric adiabatic trap (the magnetosphere), Transactions (Doklady) of the USSR Academy of Sciences, Earth Science Sections, Vol: 268, Pages: 32-35
- Krylov A, Lifschitz A, 1983, Localized waves in a cool nonuniform plasma, Soviet Physics - Doklady, Vol: 28, Pages: 621-622
- Lifschitz A, 1983, Spectral properties of degenerate systems of ordinary differential equations on a finite interval, Functional Analysis and its Applications, Vol: 17, Pages: 62-63
- Burkov S, Lifschitz A, 1982, Stability of moving soliton superstructures, JETP Letters, Vol: 35, Pages: 233-235
- Gokhberg M, Krylov A, Lifschitz A, 1982, Relation between the Alfven velocity and phase delays in a one-dimensionally inhomogeneous plasma, Geomagnetism and Aeronomy, Vol: 22, Pages: 337-339
- Krylov A, Lifschitz A, Fedorov E, 1981, On the resonant properties of the magnetosphere, Izvestiya of the Academy of Sciences of the USSR, Earth Physics, Vol: 17, Pages: 429-434
- Krylov A, Lifschitz A, 1980, On hyperbolic systems with nonpropagating perturbations, Soviet Mathematics - Doklady, Vol: 21, Pages: 868-871
- Krylov A, Lifschitz A, Fedorov E, 1980, Resonance properties of magnetospheric lines of force, Geomagnetism and Aeronomy, Vol: 20, Pages: 478-480
- Lifschitz A, 1980, Oscillations of anisotropic resonators, Functional Analysis and its Applications, Vol: 14, Pages: 132-133
- Krylov A, Lifschitz A, Fedorov E, 1979, On the resonant properties of a plasma in a curvilinear magnetic field, Doklady Akademii Nauk SSSR, Vol: 247, Pages: 1094-1095
- Krylov A, Lifschitz A, 1979, Natural oscillations of anisotropic media, Soviet Physics - Doklady, Vol: 24, Pages: 542-543
- Lipton A, Editor, 2014, Quant of the Year 2000-2014 - All the Award-Winning Papers, London, Publisher: Risk Books, xix+378 pages, ISBN: 9781782720980
- Lipton A, Rennie A, Editors, 2011, The Oxford Handbook of Credit Derivatives, Oxford, Publisher: Oxford University Press, xxvi+677 pages, ISBN: 9780199546787
- Lipton A, Editor, 2008, Theory and Practice of Credit Risk Modelling, London, Publisher: Risk Books, xlii+300 pages, ISBN: 9781904339649
- Lipton A, Rennie A, Editors, 2008, Credit Correlation: Life after Copulas, Singapore, Publisher: WSPC, vii+170 pages, ISBN: 9789812709493
- Lipton A, Editor, 2003, Exotic Options: The Cutting Edge Collection, London, Publisher: Risk Books, xxx+312 pages, ISBN: 9781904339090
- Lipton A, 2001, Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach, Singapore, Publisher: WSPC, xxii+676 pages, ISBN: 9789810246150
- Lifschitz A, 1989, Magnetohydrodynamics and Spectral Theory, Dordrecht, Publisher: Kluwer Academic Publishers, xii+446 pages, ISBN: 9789024737130
- Lipton A, Introduction, 2014, Quant of the Year 2000-2014 - All the Award-Winning Papers, Editor: Lipton A, London, Publisher: Risk Books, Pages: 1- 49, ISBN: 9781782720980
- Lipton A, 2013, Foreword, Post-crisis Quant Finance, Editor: Cesa M, London, Publisher: Risk Books, Pages: xxi--xxiv, ISBN: 9781782720072
- Lipton A, Rennie A, 2011, Technical Introduction, The Oxford Handbook of Credit Derivatives, Editors: Lipton A, Rennie A, Oxford, Publisher: Oxford University Press, Pages: 17-36, ISBN: 9780199546787
- Lipton A, Shelton D, 2011, Single- and Multi-Name Credit Derivatives: Theory and Practice, The Oxford Handbook of Credit Derivatives, Editors: Lipton A, Rennie A, Oxford, Publisher: Oxford University Press, Pages: 196-256, ISBN: 9780199546787
- Lipton A, Sepp A, 2011, Credit Value Adjustment in the Extended Structural Default Model, The Oxford Handbook of Credit Derivatives, Editors: Lipton A, Rennie A, Oxford, Publisher: Oxford University Press, Pages: 406-463, ISBN: 9780199546787
- Manzano J, Kamotski V, Pesavento U, Lipton A, 2011, A Valuation Model for ABS CDOs, The Oxford Handbook of Credit Derivatives, Editors: Lipton A, Rennie A, Oxford, Publisher: Oxford University Press, Pages: 631-656, ISBN: 9780199546787
- Lipton A, Shelton D, 2010, Pricing of Credit Derivatives with and without Counterparty and Collateral Adjustments, Lessons from the Financial Crisis, Editor: Berd A, London, Publisher: Risk Books, Pages: 347-377, ISBN: 9781906348472
- Lipton A, 2010, Multiname Reduced Form Models, Encyclopedia of Quantitative Finance (4-Volume Set), Editor: Cont R, Hoboken, Publisher: Wiley, Pages: 1288-1296, ISBN: 978-0470057568
- Lipton A, 2008, Introduction, Theory and Practice of Credit Risk Modelling, Editor: Lipton A, London, Publisher: Risk Books, Pages: xxi-xlii, ISBN: 9781904339649
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- Lipton A, Song JZ, Lee S, 2007, Systems and methods for modeling credit risks of publicly traded companies, U.S. Patent 7,236,951
Wujiang Lou is a director trader with HSBC‘s global fixed income, currently specializing in structured repo and HY credit trading. Lou joined HSBC in 2006 as a lead quant from Morgan Stanley’s structured credit trading unit and has since moved to the trading side. He headed the US structured finance trading of the global structured credit products during the financial crisis until the legacy business was substantially unwound. Having painstakingly managed large short term funding books during the crisis, Lou is among the first to recognize asymmetric funding cost into derivatives pricing and funding valuation adjustment (FVA). Leveraging his frontline experience of managing counterparty risk, funding and capital, Lou has conducted independent research on derivatives pricing under funding, margin, collateral and capital costs, and has published multiple technical articles in Risk magazine covering credit, funding, margin, and capital valuation adjustments -- CVA, FVA, MVA, and KVA. His other research interests cover structured products, asset-backed security valuation, and repo pricing.
Lou is a "rocket scientist" by training, holding a Ph.D. in aircraft design from Nanjing University of Aeronautics and Astronautics with publications in aerodynamics, and later studied light scattering and combustion physics at Louisiana State University.
Lee has over twenty years of experience on Wall Street and has worked and consulted for some of its largest and best known firms. Since 1991, Lee has worked primarily in the trading and investment management fields, specializing in the application of statistical methods, modeling, and high frequency simulation. From 1993 to 1997, Lee ran a quantitative trading department for Mint Investment Management, which, at the time, was one of the largest commodity trading advisors in the world. In 2002, Lee was one of the founding partners of Pragma Financial Systems and, for the next six years, served as its Director of Research. At Pragma, Lee's work focused on the development of optimal execution and dynamic portfolio management tools. He is a frequent speaker on the topic of algorithmic trading and computational finance.
Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management. Fabio has jointly authored the book "Interest Rate Models: Theory and Practice" and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a B.S. in Applied Mathematics from the University of Padua, Italy, and a Ph.D. in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.
Robert is a Portfolio Manager for Millennium Partners, a multistrategy hedge fund, where he develops and trades various quantitative equity strategies. Prior to that, he was Vice President at J.P. Morgan in the Foreign Exchange Options group (1994-1997) and the Proprietary Trading group (1997-2000). He holds a Ph.D. in Finance from the Wharton School and a BS and MS in Systems Engineering from the University of Pennsylvania.
Gordon Ritter completed his Ph.D. in mathematical physics at Harvard University in 2007, where he published in top international journals across the fields of quantum computation, quantum field theory, and abstract algebra. Prior to that he earned his Bachelor's degree with honours in Mathematics from the University of Chicago, completing many graduate courses while still an undergraduate. Gordon is currently a senior portfolio manager and leader of a team trading a broad range of market-neutral absolute return strategies across geographies and asset classes. Gordon is also responsible for directing all research in GSA's New York office. GSA has won the Equity Market Neutral & Quantitative Strategies category at the Eurohedge awards four times, with numerous other awards. Prior to joining GSA, Gordon was a Vice President of Highbridge Capital Management and a core member of the firm's statistical arbitrage group. Concurrently with his positions in industry, Gordon teaches at three of the nation's leading MFE programs, including Baruch College and NYU (both ranked in the top 5 MFE programs). He has published several articles on portfolio optimization in Risk, the most widely-read practitioner journal, and is frequently invited to speak at the top industry conferences, such as Risk USA and Global Derivatives.
Dr. Amir Sadr received his Ph.D. in 1990 from Cornell University with thesis work on the Foundations of Probability Theory. After working at AT&T Bell Laboratories until 1993, he started his Wall Street career at Morgan Stanley, initially as a Vice President in Quantitative Modeling and development of exotic interest rate models, and later on as an exotics trader in Derivative Product Group. He founded Panalytix, Inc. in 1997 to develop financial software for pricing and risk management of interest-rate derivatives. In 2001, he joined Greenwich Capital as a Managing Director for proprietary trading. He joined HSBC in 2005 as Senior Trader in charge of CAD exotics and USD inflation trading. In 2008, he was the COO of Brevan Howard US Asset Management in Connecticut. Since 2009, he has been the COO of Yield Curve Trading, LLC, a fixed-income proprietary trading firm.
He is the author of the 2009 Wiley book "Interest Rate Swaps and their Derivatives," and a contributor to 2017 Wiley book, "The Capital Markets: Evolution of the Financial Ecosystem."
Rodney Sunada-Wong is the Chief Risk Officer for Morgan Stanley’s U.S. Broker Dealer, it’s major U.S. Swap Dealers and its Mexican Swap Dealer. He teaches a grad-level course in Corporate Finance at Columbia University’s IEOR school, and in Modeling Securitized Products at NYU’s Courant Institute. Previously, he oversaw market risk for Morgan Stanley’s deposit-taking banks, and the Wealth Management and Global Treasury divisions, and before that, for Merrill Lynch’s deposit-taking banks. Mr. Sunada-Wong began his risk management career at Commodities Corporation (Goldman Sachs Hedge Fund Strategies) and at Bankers Trust. He received his MBA in Finance from Cornell University’s Johnson Graduate School of Management, and his B.A. from Harvard College.
Leon Tatevossian was a director in Group Risk Management at RBC Capital Markets, LLC from 2009 to 2016. At RBC he covered market risk for securitized products in secondary trading, origination, and proprietary-trading areas. Leon has twenty-eight years of experience in the fixed-income capital markets, including positions as a trader, quantitative strategist, derivatives modeler, and market-risk analyst. In 2006-07, he was a principal/senior trader in the MBS/ABS principal-investment group at Banc of America Securities. Leon's product background includes US Treasury securities, US agency securities, interest-rate derivatives, MBSs, and credit derivatives. He graduated from MIT (B.S in mathematics) and was a graduate student in mathematics (algebraic number theory) at Brown University.