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Instructor
Attilio Meucci leads the research effort of Bloomberg ALPHA, the portfolio analytics and risk platform at Bloomberg L.P. Concurrently he is adjunct professor at the Master's in Financial Engineering, Baruch College, CUNY. Previously, Attilio was a researcher at Lehman Brothers, a trader at the hedge fund Relative Value International, and a consultant at Bain & Co.
Attilio is the author of Risk and Asset Allocation and several other publications in practitioners and academic journals. He teaches graduate courses on quantitative risk- and portfolio-management worldwide and he is frequently invited as a speaker to conferences, financial institutions and universities. Attilio Meucci holds a BA summa cum laude in Physics from the University of Milan, a MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and he is CFA chartholder.
Attilio is fluent in six languages. If you would like to know more, you can visit www.symmys.com
Guests
Bob Litterman recently retired from his position as Chairman of the Quantitative Investment Strategies group of Goldman Sachs Asset Management. Bob is the co-developer, along with the late Fischer Black, of the Black-Litterman Global Asset Allocation Model, a key tool in the Investment Management Division's asset allocation process.
Prior to moving to the Investment Management Division, Bob was head of the firmwide Risk Department. Preceding his time in the Operations, Technology & Finance Division, he spent eight years in the Fixed Income Division's research department, where he was co-director.
Before joining the firm in 1986, Bob was an assistant vice president in the Research Department of the Federal Reserve Bank of Minneapolis and an assistant professor in the Economics Department at the Massachusetts Institute of Technology.
In May 2008, Bob was honored by the CFA Institute Board with the Nicholas Molodovsky Award, which is presented periodically to individuals "who have made outstanding contributions of such significance as to change the direction of the profession and to raise it to higher standards of accomplishment." Bob was also the recipient of the 2008 International Association of Financial Engineers (IAFE)/SunGard Financial Engineer of the Year Award, which recognizes individual contributions to the advancement of financial engineering technology.
Bob is a member of the board of the World Wildlife Fund. He earned a BS in Human Biology from Stanford University in 1973 and a PhD in Economics from the University of Minnesota in 1980. Bob and his wife, Mary, live in Short Hills, New Jersey.
Peter Carr is the Head of Quantitative Financial Research at Bloomberg LP, where his group is responsible for all facets of the business operation relating to modeling and analytics. He is also the Director of the Masters in Math Finance program at NYU's Courant Institute. Prior to his current positions, he headed equity derivative research groups for six years at Banc of America Securities and at Morgan Stanley. His prior academic positions include 4 years as an adjunct professor at Columbia University and 8 years as a finance professor at Cornell University. Since receiving his PhD. in Finance from UCLA in 1989, he has published extensively in both academic and industry-oriented journals. He is currently the treasurer of the Bachelier Finance Society and a practitioner director for the Financial Management Association. Peter is also an associate editor for 8 academic journals related to mathematical finance and derivatives. He has given numerous talks at both practitioner and academic conferences. He is also credited with numerous contributions to quantitative finance including: co-inventing the variance gamma model, inventing static and semi-static hedging of exotic options, and popularizing variance swaps and corridor variance swaps. Peter has recently won awards from Wilmott Magazine for "Cutting Edge Research" and from Risk Magazine for "Quant of the Year".
Bruno Dupire is a senior researcher at Bloomberg L.P. He has headed various Derivatives Research teams at Societe Generale, Paribas Capital Markets and Nikko Financial Products before joining the quantitative research team at Bloomberg. After obtaining a PhD in numerical analysis, he pioneered the widely used local volatility models in 1993. He has subsequently worked on stochastic volatility modelling and Monte Carlo methods for option pricing. He sits on the advisory board of PRMIA. In 2002 he was included in the Risk Hall of Fame of the 50 most influential figures in Derivatives and Risk management.
Fabio Mercurio is a senior researcher at Bloomberg LP, New York. He is also director of the research committee of Iason Ltd. Previously, he was the head of the Financial Engineering at Banca IMI, Milan.
He holds a BSc in Applied Mathematics from the University of Padua and a Ph.D. in Mathematical Finance from the Erasmus University of Rotterdam.
His recent scientific interests include interest rate and inflation modelling for pricing and hedging exotics, the pricing of hybrids and the smile modelling for different asset classes.
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