Financial Engineering Symposium: Interest Rate Models in a Low Rate Environment
March 14:2014 • 10am-5pm
Claremont Graduate University • Burkle Building
How can practitioners manage interest rate risk in a low rate environment?
The Financial Engineering Program and Claremont Graduate University assembled a team of world-renowned speakers to present the latest advances in interest rate modeling, and risk management. The symposium will emphasize practical applications for professionals working in fixed income.
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Professor Damir Flipovic, EPFL
Swissquote Chair in
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The Capital Group
Damir Filipovic, EPFL
Damir Filipovic holds the Swissquote Chair in Quantitative Finance at the Ecole Polytechnique Fédérale de Lausanne (EPFL) and a Swiss Finance Institute Senior Chair. He also acts as head of the Swiss Finance Institute @ EPFL. He holds a Ph.D. in mathematics from ETH Zurich and has been a faculty member of the University of Vienna, the University of Munich and Princeton University. He also worked for the Swiss Federal Office of Private Insurance as co-developer of the Swiss Solvency Test.
He is on the editorial board of several academic journals. His research focus is in quantitative finance and risk management. His papers have been published in a variety of academic journals including the Journal of Financial Economics, Mathematical Finance, Finance and Stochastics, and the Annals of Applied Probability. He is the author of a textbook titled Term-Structure Models.
Pat Hagan, Deutsche Bank
Patrick S. Hagan received his BS and Ph.D. in Applied Mathematics from the California Institute of Technology, where he graduated at the top of his class. He has headed research and development teams for several banks and third party software providers designing trading systems, as well as developing the component models, calibration methods, and numerical algorithms for pricing, structuring, and managing derivatives. He is well-known as the creator or co-creator of several widely used models and methodologies, including the SABR model, the LGM model, auto-calibration, and internal and external adjustors.
Before entering finance, he helped design chemical reactors for Exxon, was a scientist for Los Alamos’s Theory and Computer Research & Applications groups, and was the Deputy Director for Los Alamo’s Center for Nonlinear Science. During this time he created a new technique, half range expansions, which he used to solve Uhlenbeck’s Unsolved problem B and the generalized Milne problem. He is a former director of the US Industrial Study Group, has taught post-graduate courses at Stanford University, California Institute of Technology, and Courant Institute (NYU), and is an adjunct professor at several institutions.
Zheng Liu, Morgan Stanley
Zheng Liu is an associate quant in Morgan Stanley, Market Risk Department, Model Review Group. His job responsibility is to review internal models of CVA asset class. His PhD research in Claremont Graduate University is about bond option pricing under CIR interest rate model. He has a a bachelor degree in physics and master degree in math finance from Peking University.
Peter Matheos, PIMCO
Mr. Matheos is an executive vice president in the Newport Beach office, senior financial engineer and head of portfolio analytics and model validation. Prior to joining PIMCO in 2010, he was with Wilshire Associates for 11 years, most recently as senior managing director and head of fixed income analytics.
He also served on the Board of Directors there. He has 16 years of investment and financial services experience and holds a Ph.D. in pure mathematics from the University of California, Los Angeles. He received a bachelor's degree in pure mathematics from the University of Chicago.
Wesley K.-S. Phoa, Capital Group
Wesley K.-S. Phoa is a fixed-income portfolio manager at Capital Group. As a fixed-income investment analyst at Capital, he covers U.S. government-sponsored entities. He is also an economist, and follows U.S. monetary policy, macro-prudential regulation and fixed-income quantitative research. He has 20 years of investment experience and has been with Capital Group for 15 years. Prior to joining Capital, he was director of research with Capital Management Sciences and a quantitative analyst with Deutsche Bank in Australia.
He holds a PhD in pure mathematics from Trinity College at the University of Cambridge and a bachelor’s degree with honors from the Australian National University. He is an elected member of the Conference of Business Economists and the International Conference of Commercial Bank Economists. Wesley is based in Los Angeles.
Stephen Stone, AIG
Stone, FSA, CFA, FRM, is a Senior Vice President at AIG Life and Retirement where he is responsible for managing dynamic hedging programs for Variable and Index Annuities. He has extensive derivatives management experience, including 17 years using dynamic hedging techniques on both insurance products and OTC derivatives at a number of financial services companies. Stone has a BA from Columbia College and MS degrees from NYU Business School and the University of Chicago.