personal descriptions

• Herman Brodie, Cognitrend

Herman Brodie is the founder and managing partner of Cognitrend, a consultancy that specialises in Behavioural Finance.

• Dr Diana Diaz, Dresdner Bank

Diana Diaz currently works for the Risk Methodology Trading team at Dresdner Bank. She has worked previously for Barclays Capital, Nacional Financiera (one of the largest development banks in Latino America) and the Central Bank of Mexico. She holds a doctorate on Credit Risk Modelling and has presented her research at several international finance conferences. Her academic career includes teaching and lecturing Finance, Statistics and Mathematics at Cass Business School of City University, the London Business School and at the National Autonomous University of Mexico.

• Dr Vitaly Dovgal, Capital Markets Trading GmbH, Frankfurt

Few years ago Dr. Dovgal came to the financial industry from the Assosiate Professor position at the Department of Statistical Modelling, St.Petersburg State University, Russia, where he received his Ph.D degree in Applied Mathematics in 1990. He worked at BNP/Paribas - Deutschland and Capital Markets Trading GmbH in Frankfurt, Germany, as a front office financial engineer, having been involved in intensive development and implementation of mathematical models for market making and proprietary trading on the major derivative markets. Deep practical experience which he received for these years and sufficient theoretical knowledge resulted in his own engineering developments, which have been substantially tested in real market environment. The main guideline in his work he sees in investigation of practical efficiency and usability of various proposed theoretical models.

• Dr Hans-Peter Deutsch, d-fine

Dr Hans-Peter Deutsch is Managing Director of d-fine GmbH, a leading financial services consulting firm in Germany. Before founding this firm he was Partner at Arthur Andersen and head of Andersen's Financial and Commodity Risk Consulting (FCRC) in Germany, which he founded in 1997 and developed from scratch to the over hundred people strong consulting practice which is the d-fine GmbH today.
He has worked with clients in several IT-based and quantitative trading and risk management projects, including software selection and development, pricing and risk management for derivatives. Dr Deutsch is a regular speaker at major conferences and author of many publications in this area including the book "Derivatives and Internal Models", now in its 3rd Edition.
He is also Guest Lecturer and Member of the Advisory Board of the Mathematical Finance Programme at the University of Oxford, UK, and Director of the German Chapter of GARP, the Global Association of Risk Professionals. In addition, he is Chairman of the Advisory Board of the Frankfurt MathFinance Institute at Johann-Wolfgang-Goethe Universität in Frankfurt, Germany.
Before joining Andersen, he headed trading system development at a major German Bank and served as a consultant with Andersen Consulting (now Accenture). He holds a "summa cum laude"-PhD in theoretical physics and is also author of about 20 international scientific publications in this field, mainly on Monte Carlo simulations of stochastic processes.

• Dr Götz Giese, Commerzbank

Götz Giese is Head of Quantitative Credit Risk at Commerzbank, Frankfurt. He holds a PhD in theoretical physics and has worked over the last seven years in Commerzbank in different areas such as derivative pricing, market and credit risk methodology. In his current role he is responsible for credit portfolio modelling and statistical parameter estimation.

• Dr Werner Koch, ComInvest

Dr Werner Koch is a senior quantitative analyst at Cominvest, the asset management divison of Commerzbank, Frankfurt. Within the investment process, his main responsibilities include asset allocation, portfolio construction (model-portfolios), strategies and special client-related projects in these fields as well as asset-liability modeling and – in general – new approaches of quant modeling in finance. For a couple of years, he worked on the bond trading floor on relative value models and the analysis of spread products. Furthermore, he holds seminars and presentations (national and international). Werner holds a PhD in theoretical physics.

• Prof Christoph Kühn, Frankfurt MathFinance Institute (Goethe University)

Christoph Kühn is Juniorprofessor at the Frankfurt MathFinance Institute. He holds a diploma in mathematical economics from the University of Marburg and a PhD in mathematics from Munich University of Technology. His main research interests are pricing and hedging of derivatives in incomplete markets and the microstruture of financial markets.

• Prof Ludger Overbeck, Giessen University / Hypovereinsbank

Ludger Overbeck is professor of mathematics at the University of Giessen. Previously he headed the Research and Development team in the Risk Analytics and Instrument department of Deutsche Bank's credit risk management function. His main responsibilities were the credit portfolio model for the group-wide RAROC process, the risk assessment of credit derivatives, ABS, and other securitization products, and operational risk modeling. Before joining Deutsche Bank in 1997, he worked with the Deutsche Bundesbank in the supervision department, examining internal market risk models. He earned a Ph.D. in Probability Theory from the University of Bonn. After two post-doctoral years in Paris and Berkeley, from 1995 to 1996, he finished his Habilitation in Applied Mathematics during his affiliation with the Bundesbank. In Frankfurt he received a Habilitation in Business and Economics in 2001. He has published papers in several forums, from mathematical and statistical journals, journals in finance and economics, including RISK magazine and practitioners handbooks. In 2003, the book An Introduction to Credit Risk Modeling appeared, jointly authored by Christian Bluhm, Ludger Overbeck and Christoph Wagner.

• Prof Eckhard Platen, Sydney University of Technology

Eckhard Platen is a Professor of Quantitative Finance at the University of Technology, Sydney. Prior to this appointment he was Head of the Centre of Financial Mathematics in the Institute of Advanced Studies at the Australian National University. He has a PhD in Mathematics from the Technical University in Dresden and obtained his Dr.sc. from the Academy of Sciences in Berlin. He is co-author of two books on numerical methods for stochastic differential equations and has authored more than hundred papers in applied mathematics and finance. He serves on the editorial boards of four international journals in finance and mathematics, including “Mathematical Finance”. For over twenty five years he has worked on stochastic numerical methods and has applied these methods successfully to many problems in mathematical finance. His current research interests cover areas ranging from financial market modeling, quantitative methods in derivative pricing and risk analysis to the statistics of stochastic processes in finance.

• Dr Matthias Reimer, Postbank

Matthias Reimer is currently a Senior Specialist for Asset-Liability-Management at Deutsche Postbank Treasury (since 01/2004). He develops quantitative analyses for ALM. From 1999 to 2003 he was with WestLB Equity Derivatives Trading as a Senior Financial Engineer, developing structured products for retail and institutional clients (i.e. multi-asset derivative products), derivative solutions for major German corporates and trading applications. Before this, from 1997 to 1999, he was Senior Risk Controller at Dresdner Bank, validating derivative models and auditing derivative trading books. Matthias holds a PhD in Economics from University of Bonn (Prof. Sondermann). His research focused on numerical option pricing models, exotic options, and volatility smile models. He co-authored the renowned LEISEN-REIMER binomial tree approach.

• Prof Wolfgang Schmidt, HfB - Business School of Finance and Management

Wolfgang M. Schmidt is currently Professor for Quantitative Methods at HfB - Business School of Finance and Management in Frankfurt. From 1992 to 2002 he was Director and Head of Research and Analytics at Deutsche Bank AG in Frankfurt. Prior to joining Deutsche Bank he held teaching and research positions at the University of Jena, Berlin, Moscow and Tbilissi. He graduated in Mathematics from Dresden University of Technology and holds a PhD and Habilitation in the field of probability theory from the University of Jena. Prof. Schmidt is the author of research papers in the fields of probability theory, stochastic processes and mathematical finance as well as co-author (with S. Assing) of the book ''Continuous Strong Markov Processes in Dimension One - A Stochastic Calculus Approach'', Springer Verlag . His current research interests include mathematical finance, risk management, credit default modelling, term structure modelling.

• Dr John Schoenmakers, Weierstrass Institute, Berlin

Dr. John Schoenmakers is deputy head of the research group Stochastic Algorithms and Nonparametric Statistics, and director of the financial mathematics research at the Weierstrass Institute Berlin. One of his main topics is (LIBOR) interest rate modelling and pricing of derivative products, in particular, Bermudan callable structures.

• Milind Sharma, Deutsche Bank, New York

Milind Sharma is Director and Senior Proprietary Trader at Deutsche Bank. He was Vice President and co-founder of Risk & Performance at Merrill Lynch Investment Managers, where his investment role spanned a dozen quantitatively managed funds, including the ML Large Cap Series. Prior to MLIM, he was Manager of the Risk Analytics & Research Group at Ernst & Young LLP.
He holds dual MS degrees in Computational Finance and Applied Mathematics from Carnegie Mellon University, where he was also a doctoral student. He graduated Summa Cum Laude from Vassar College and completed the Honors Moderation curriculum at Oxford University en-route.

• Jurgen Tistaert, ING SWE Brussels

Jurgen Tistaert joined ING Brussels Credit Risk Mananagement Department end 1996 where he later on became responsible for the credit risk modeling team. The main topics included the development of a range of default risk and classification models, the measurement of financial markets counterparty exposure and its credit risk pricing.

He joined Financial Markets end 2001, where the Brussels team develops pricing models for (structures of) equity, interest rate and credit derivatives. He holds a Master in Management Science from Leuven University, where he was a research assistant at the Quantitative Methods group, specialising in statistics and large scale optimisation problems.

He is appointed as a Fellow of the Hogenheuvel College for 2003-2006 (Leuven University)

• Prof Robert G Tompkins, HfB - Business School of Finance and Management

Dr. Robert G. Tompkins was born in Oklahoma, USA and he received his A.B. (1980), his A.M. (1980) and his MBA (honors) (1986) from the University of Chicago. He moved to England in 1986 and subsequently became a British citizen. He earned a Ph.D. (1998) from the University of Warwick and his Habilitation (2000) from the University of Technology, Vienna, where Dr. Tompkins lived from 1998 to 2003.

• Dr Thomas Weber, Weber und Partner

Thomas Weber started in 1997 his own consultancy company focusing on quantitative methods in finance. Since two years his company closely works together with SciComp, an US based software company which provides a platform for financial derivatives modeling and pricing.

• Prof Uwe Wystup, HfB - Business School of Finance and Management

Uwe Wystup is Professor of Quantitative Finance at HfB - Business School of Finance and Management, Frankfurt. Before that he worked for Deutsche Bank, Citibank, UBS and Sal. Oppenheim jr. & Cie and as financial engineer and structurer in the FX Options trading team of Commerzbank. He is managing director of MathFinance.de and editor of the MathFinance newsletter and the Financial Engineering Review. Uwe has a PhD in mathematical finance from Carnegie Mellon University. He also lectures on mathematical finance for Goethe University Frankfurt, organizes the Frankfurt MathFinance Colloquium and is founding director of the Frankfurt MathFinance Institute. His area of specialization are the quantitative aspects of foreign exchange markets, international treasury management and structured products. He recently published a book on Foreign Exchange Risk.

www.mathfinance.de Last modified: December 2004