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Computational Finance Workshop |
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| Mark Broadie is the Carson Family Professor of Business at Columbia University. His research focuses on problems in the pricing of derivative securities, risk management, and portfolio optimization. His paper with Boyle and Glasserman "Recent advances in simulation for security pricing'' was honored as a landmark paper in the four decades of the Winter Simulation Conference. He is editor-in-chief of the Journal of Computational Finance and serves as associate editor for Operations Research, Finance and Stochastics and Computational Management Science. | |||||||||||||
| Peter Forsyth is a Professor in the David R. Cheriton School of Computer Science at the University of Waterloo, and is also currently the Scientific Director of the Institute for Quantitative Finance and Insurance. Previously, he was the Director of the Institute for Computer Research, and also served as the Associate Director of the School of Computer Science Prior to joining Waterloo in 1987, he was a Senior Simulation Scientist with the Computer Modelling Group (1979-1985) and was also President of Dynamic Reservoir Systems (1985-87). Peter's research interests include pricing and hedging of exotic options, and numerical solution of optimal stochastic control problems. | |||||||||||||
| Qing Hou is a senior equity derivatives structurer for Goldman Sachs, based in Hong Kong. His work focuses on creating innovative investment solutions for institutional, corporate, retail and high-net-worth clients using equity as well as other asset classes. Prior to joining Goldman Sachs, Qing worked in JP Morgan's derivative research department covering equity, rate-fixed and credit risk, based in New York, London and Hong Kong. Qing obtained his Ph.D. degree in physics from University of Illinois at Urbana-Champain and B.S. degree from University of Science and Technology of China. | |||||||||||||
| David Li is Head of Quantitative Analytics in the Credit Derivatives Group at Barclays Capital in New York. He leads Barclays Capital quantitative development efforts to support the global credit derivative trading business. He has achieved broad recognition in the industry for his groundbreaking work on pricing portfolio credit derivatives, such as CDOs, using copula functions. David has previously worked at Citigroup, AXA Financial, The RiskMetrics Group and CIBC. David has a PhD degree in statistics from the University of Waterloo, and Master's degrees in economics, finance and actuarial science. He is an associate of the Society of Actuaries and an Associate Editor of the North American Actuarial Journal. | |||||||||||||
| Yuying Li is a Professor in the David R. Cheriton School of Computer Science at the University of Waterloo. She received her PhD in Computer Science from the University of Waterloo, Canada, in 1988. She is the recipient of the 1993 first prize of Leslie Fox Prize in numerical analysis held at Oxford, England. Her main research interests include computational finance and computational optimization. She has published more than twenty papers in the refereed journals in finance as well as optimization. In addition, she has taught many courses at Cornell University, including computational finance and scientific computing. | |||||||||||||
| Dan Rosen is the President of R2 Financial Technologies and acts as an advisor to institutions in Europe, North America, and Latin America on derivatives valuation, risk management, economic and regulatory capital. He is a research fellow at the Fields Institute for Research in Mathematical Sciences and an adjunct professor at the University of Toronto's Mathematical Finance program. Up to July 2005, Dr. Rosen had a successful ten-year career at Algorithmics Inc., where he held senior management roles in strategy and business development, research and financial engineering, and products. Dr. Rosen lectures extensively around the world on financial engineering, enterprise risk and capital management, credit risk and market risk, and has authored numerous papers. He is a member of advisory Boards for the Fields Institute, Fitch, IAFE, and is the regional director in Toronto of PRMIA. He holds a Ph.D.from the University of Toronto. | |||||||||||||
| Liuren Wu is an associate professor of economics and finance at Zicklin School of Business, Baruch College, City University of New York. Before he joined Zicklin in 2003, he was an assistant professor at Fordham University. Liuren's major research interests include option pricing, credit risk and term structure modeling, market microstructure, and general asset pricing. During the past six years, Liuren has published over 20 articles, many of them in top finance journals such as the Journal of Finance, the Journal of Financial Economics, and the Journal of Financial and Quantitative Analysis. Liuren has worked extensively as a consultant in the finance industry, including Bloomberg, Morgan Stanley, and several fixed income and equity hedge funds and options market makers. As a consultant, he has developed statistical arbitrage strategies, risk management procedures, and quantitative models for pricing fixed income and derivative securities. | |||||||||||||
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