Dr Sebastian del Bano Rollin is the Programme Director for the MSc in Mathematical Finance and the MSc in Financial Computing at Queen Mary. Previously he held a number of senior positions in investment banking, including Global Head of FX & LM Quantitative Research, Global Head of FX and Equity Quant Research, Quantitative Analyst, and Trader at several financial institutions (Citigroup, Nomura and RBS). In these roles he focussed on using mathematical finance (stochastic processes, numerical analysis, and partial differential equations) and technology to generate revenue through trading and risk management. Prior to his financial career he worked in mathematics where he participated with the Max Planck Institut fuer Mathematik, UPC at Barcelona and the State University of NY at Stony Brook amongst other institutions.
Dr Adrian Baule is interested in stochastic processes and non-equilibrium statistical physics. In particular, he uses nonlinear stochastic differential equation to model the dynamics of systems subject to random fluctuations, which has applications not only in physics and biology, but also in finance. His recent work deals with a path-integral framework for piecewise-smooth systems subject to non-Gaussian noise. Currently, he is starting a research group working on the analysis of financial time series using methods from statistical physics.
Dr Gonçalo Faria(link is external) is a visiting lecturer at Queen Mary, and also consults for various financial sector institutions. His research interests include portfolio optimization, risk management, asset management and asset pricing with a focus on derivatives pricing, derivative trading strategies, hedge funds, asset allocation, volatility and correlation. Previously Gonçalo worked as a Private Equity Fund consultant and as a Managing Partner of a hedge fund. He has also worked as an equity analyst and a proprietary trader. He holds a degree in economics from the University of Porto, is a CFA charterholder and holds a PhD in financial economics, also from the University of Porto.
Professor Liudas Giraitis(link is external) is a Professor of Econometrics at Queen Mary. His research bridges the fields of econometrics, statistics and probability theory, with a substantial emphasis on time series analysis, and he has published numerous articles in the leading statistical and econometric journals. Currently he is exploring time-varying random coefficient models, their properties and estimation methods, forecasting under on-going change approaches, and heteroscadasticity and mean-variance constancy testing procedures. Liudas received his PhD in from Vilnius University, and has also undertaken research at Heidelberg and Boston Universities, and at the London School of Economics.
Professor Alexander Gnedin undertakes research on combinatorial models of applied probability and their connection with continuous-time and space random processes such as Brownian motion and Levy processes. His current interests include random combinatorial structures with various kinds of sufficiency or stochastic symmetry; these form a sustainable bridge between theoretical constructions and concrete problems, where the toolbox of researchers and practitioners has been fundamentally constrained by the paradigm of uniform distribution. He has been teaching courses and supervising projects on mathematical finance since the start of the MSc Mathematical Finance programme at Queen Mary. He also maintains contacts with leading banks, and cooperates with them on applications of rigorous mathematical methods.
Jesse McDougall(link is external) is a Visiting Professor of Finance at QMUL. She also works as a Portfolio Manager of a proprietary, quantitatively-driven asset management strategy for Liquid Capital Markets. She worked for 5 years at Barclays Capital in their Equity Derivatives Proprietary Trading team, researching and trading arbitrage strategies and in a prior role, in Corporate Finance Advisory with Bank of Montreal. Jesse’s research interests are focused in the equities space, on tradable market anomalies and behavioural finance.
Dr Michael Phillips is Senior Lecturer in Financial Mathematics in the School of Mathematical Sciences. Prior to joining Queen Mary, he worked for over 10 years as a quantitative analyst and software engineer for a number of well-known investment banks in the City of London. There he developed state-of-the-art pricing models for a wide range of financial products, including interest rate derivatives, commodity options and exotic credit derivatives. He has also spent time working on a bond trading desk, devising trading strategies using proprietary statistical arbitrage techniques. Michael is a graduate of Cambridge University, and holds a PhD from Brunel University (London) in Mathematical Physics.
Dr Seth Sarfo is the admissions tutor for the MSc Mathematical Finance and the MSc Financial Computing programmes at Queen Mary. His research work is on commodity market analysis and agricultural policy. Seth’s recent work focuses on market-based mechanisms for risk management, such as futures, options, commodity-linked bonds and crop insurance. Seth holds a PhD in Mathematical Finance from Birkbeck College, University of London.
Dr Luigi Ventimiglia(link is external) has been an investment manager for 10 years in London and Boston. He has invested on behalf of institutional clients in the sovereign, credit and currency markets through a broad range of alpha strategies including hedge funds. He holds a BSc in Mechanical Engineering (Bologna), an MSc in Financial Economics (London) and a PhD in Economics (London). He lectured finance, macroeconomics and econometrics (undergraduate and postgraduate) at City University and at the School of Oriental and African Studies. Luigi’s research interests and publications focus on commodity markets, commodity-currencies and development polices for commodity dependent countries.