Numerix Quantitative Research and Development Roundtable Discussion

About the session:

In this roundtable, senior members of Numerix’s quant team including Dr. Serguei Issakov, SVP and Global Head of Quantitative Research, Dr. Andrew McClelland, SVP of Quantitative Research, and Dr. Michael Konikov, SVP and Global Head of Quantitative Development, speak with Emily Jean-Pierre, SVP, Marketing and Corporate Communications, about the key areas of research and development Numerix’s quant team focused on in the past year, how it has enhanced the analytics of our products, and areas of focus for the year ahead.

Speakers:

Dr. Serguei Issakov, Senior Vice President, Global Head of Quantitative Research and Development

Dr. Issakov, as Global Head of Quantitative Research, oversees the company’s quantitative research globally, including the research of pricing models at Numerix. Since joining Numerix in 1999, his earlier roles at Numerix included Vice President of Financial Applications, Head of Engine Development (the forerunner to Numerix 7) and Head of Risk Analytics.

Prior to joining Numerix, Dr. Issakov held research positions in theoretical physics at the Nordic Institute for Theoretical Physics in Copenhagen, the University of Paris (Laboratory of Theoretical Physics and Statistical Models), the University of Oslo and the Center for Advanced Study in Oslo. Before that, he led research on models of brain rhythms at the Medical Radiological Center in Obninsk Russia.

Dr. Issakov has published over 40 papers in mathematics and theoretical physics. He is a co-author of the Issakov-Ouvry-Wu equations in fundamental quantum statistical mechanics. He has received numerous fellowships and research grants, including a NATO Visiting Professorship and grants from the Russian Foundation for Basic Research. He holds PhD in Theoretical and Mathematical Physics from Moscow Institute of Physics and Technology, from the Theory Group led by Physics Nobel Laureate Vitaly Ginzburg.

Dr. Andrew McClelland, Senior Vice President of Quantitative Research

Andrew McClelland’s quantitative research at Numerix focuses on XVA pricing and hedging, generating counterparty credit risk metrics for structured products, and estimating risk model parameters via time-series estimation. He earned his PhD in finance at the Queensland University of Technology for a thesis on financial econometrics. He considered markets exhibiting crash feedback, option pricing for such markets, and parameter estimation for such markets using particle filtering methods. Dr. McClelland’s work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

Dr. Michael Konikov, Senior Vice President and Head of Quantitative Development

Dr. Michael Konikov is a Senior Vice President and Head of Quantitative Development at Numerix, where he manages a team responsible for the development and delivery of models in Numerix software. Previously, he worked at Citigroup, Barclays, and Bloomberg in quantitative research and desk quant roles. He completed his PhD in mathematical finance at the University of Maryland College Park, concentrating in particular on the application of pure jump processes to option pricing. Dr. Konikov's publications cover diverse asset classes ranging from equity to interest rates and credit.

Emily Jean-Pierre, Senior Vice President, Marketing

Ms. Jean-Pierre is Senior Vice President of Marketing and Communications at Numerix responsible for content marketing, digital strategy, and corporate communications. Ms. Jean-Pierre’s team is responsible for leadership programs, demand generation and lead generation activities. Prior to her role on the content marketing team where her responsibilities expanded to digital marketing solutions and social strategy, Ms. Jean-Pierre worked at Numerix focusing media relations activities, brand messaging and company positioning.

Before joining Numerix in 2011, Ms. Jean-Pierre worked as an Account Supervisor at Lansons Intermarket specializing in public relations activities for fintech, risk management, trading technology and enterprise software solutions. She holds a B.S. degree from Fordham University, Gabelli School of Business in Marketing and Communications.

 

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