The Effects of The Current Crisis on the Future of Quantitative Finance
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Date: 11-24-2008
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Richard Lindsey (Calcott Group), Paul Russo (Goldman Sachs), Michael Mendelson (AQR), Peter Carr (Bloomberg)
Location: 412 Schapiro CEPSR, Davis Auditorium
ABSTRACT
A panel discussion and question-and-answer session with four speakers from four different sectors of the financial community.
BIO
Dr. Peter Carr has over twelve years of experience in the derivatives industry. For the past 5 years, Dr. Carr has headed Quantitative Financial Research at Bloomberg and the Masters in Mathematical Finance program at NYU’s Courant Institute. Prior to his current positions, he headed equity derivative research groups at 2 major banks and was a finance professor for 8 years at Cornell University. Conducting research in the interface between academia and industry, he has published extensively in both academic and industry-oriented journals. He is currently the treasurer of the Bachelier Finance Society and an associate editor for 8 journals related to mathematical finance. He recently won the ISA Medal for Science for the CGMY model from the University of Bologna. Previous awards are from Wilmott Magazine for Cutting Edge Research and from Risk Magazine for “Quant of the Year”.
Richard R. Lindsey is president and CEO of the Callcott Group, LLC, a consulting group specializing in financial markets, risk management, and quantitative portfolio analysis. He is the Chairman of the International Association of Financial Engineers.
Until December 2006, Dr. Lindsey was president of Bear, Stearns Securities Corporation and a member of the Management Committee of The Bear Stearns Companies, Inc. Before joining Bear Stearns, Dr. Lindsey served as the Director of Market Regulation for the U.S. Securities and Exchange Commission and as the Chief Economist of the SEC. He was a finance professor at the Yale School of Management before joining the SEC.
Dr. Lindsey has served on several corporate and not-for-profit boards, including those of the International Stock Exchange, Strike Technologies, New Hedge Fund Corporation, and the Options Clearing Corporation where he was the vice-chairman.
Dr. Lindsey has done extensive work in the areas of market micro-structure and the pricing of derivative securities. He has held the positions of Visiting Academic at the Nikko Research Institute in Tokyo, Japan, and Visiting Economist at the New York Stock Exchange. He has a B.S. in Chemical Engineering from Illinois Institute of Technology, an M.S. in Chemical Engineering from Berkeley, an M.B.A. from the University of Dallas, and a Ph.D. in Finance from the University of California, Berkeley.
Michael Mendelson is a Principal at AQR Capital Management and the Director of Global Trading Research. Prior to joining AQR in 2005, Michael worked at Goldman Sachs where he was Managing Director and Head of Quantitative Trading. Prior to founding that effort, he was Head of US Program Trading. At Goldman Sachs, Michael served on the Equities Division Risk Committee. Michael received his undergraduate and graduate degrees from MIT.
Paul Russo is a managing director in Equities in New York. He is head of US Equities Trading and co-head of Global Equity Volatility Trading. In these roles, Paul oversees our cross-product Equity franchise activities for the Americas and the Global Volatility franchise businesses.
Paul first joined the firm in New York in 1989 as a summer associate in the Trading and Arbitrage Division and returned in 1990 in US Equity Derivatives. He was responsible for the Portfolio Trading business and the Index Volatility business and co-headed the US Volatility Product. In 1997, Paul moved to Hong Kong to assume responsibility for the non-Japan Asia Equity Derivatives business. In 2000, he transferred to co-head the Fixed Income, Currency and Commodities Division in non-Japan Asia. In 2002, he transferred back to the Equities Division in London to head the Equity Derivatives business in Europe. In 2003, Paul was named co-head of European Equity Product Group Trading. In 2004, he returnedto New York. Paul was named managing director in 1998 and partner in 2000.
Paul earned an MBA from the University of Chicago in 1990 and a BS from Carnegie Mellon University in 1986.