Quantitative Finance

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CREDIT RISK MODELS. Currently responsible of building his company multi-commodity risk and hedging platform, Thomas led several risk/pricing related projects in the banking and commodity industries. He’s specialized in market and credit risk system design, risk modelling and pricing, capital allocation and performance measures. He has co-published several articles in various journals, e.g. Risk magazine, Journal of Credit Risk, and has given several contributions to seminars and conferences. He was a referee for Risk magazine and co-supervisor of several quantitative theses. Thomas holds a PhD Es Sciences [Physics and quantitative finance] and is based in Hong Kong.
ASSET PRICING: PRACTICE. Lieven Baele is Associate Professor of Finance at Tilburg University. His research is mostly in the field of Empirical Asset pricing and International Finance. He has published in journals such as the Review of Financial Studies or the Journal of Financial and Quantitative Analysis. In recent papers, he searches for the fundamental determinants of asset return comovements, and to what extent return correlations change in times of market stress. He has taught Risk Management, International Finance, and Global Asset Allocation both in (under)graduate and executive programmes (Tias-Nimbas, Vlerick, and Solvay Brussels School of Economics and Management). He has been a consultant to both the public sector (European Central Bank, European Commission) and to private financial institutions.
ADVANCED PROGRAMMING (C++) Olivier Devroede started as a physicist and obtained his PhD in 2003 on the design of a detector for high energy physics called CMS (Compact Muon Solenoid). Hereafter, he worked in the field of medical imaging where he helped in the design of a positron tomograph for the use on small animals (mainly rodents). Presently he is responsible for a team that manages the Belgian T2 cluster where physicists from all over the world can analyse the data coming out of the CMS detector.
OVERVIEW OF FINANCIAL MARKETS AND FINANCIAL REGULATION. Pierre Francotte has been Professor at Solvay Brussels School of Economics and Management since 2011, where he teaches on the functioning of financial markets and on financial governance and regulation. He is also an independent Board member of Belfius Bank (formerly named Dexia Bank Belgium) and a Senior Advisor at Kreab Gavin Anderson. He was CEO of Euroclear group from 2000 until 2010, after having held several senior positions in the company since 1993. Prior to this, he was an Assistant General Counsel at the International Monetary Fund, where he has been working for over 10 years. He was Chairman of the ECMI-CEPS Task Force on MiFID Review in 2011-12, which made recommendations on behalf of market participants to the European Commission on the MiFID review.

DERIVATIVE PRICING:PRACTICE. Stefano Galluccio is currently Head of Interest Rate and Credit Trading at BNP Paribas Fortis in Belgium. Prior to the current role, he held several positions in the investment banking industry, including : Deputy Head of Quantitative Research at BNP Paribas Europe and Head of Options Trading Europe at BNP Paribas in London. Dr. Galluccio holds a Ph.D. In mathematical physics from University of Fribourg (CH), a DEA in mathematical finance from University VI in Paris and a Master in mathematical physics from University of Rome I “La Sapienza”. Stefano Galluccio is the author of several academic publications in mathematical physics and mathematical finance, and he is an invited speaker at conferences and workshops worldwide.

STOCHASTIC CALCULUS/PROBABILITY THEORY. Siegfried Hörmann has started his academic career as Research Assistant at the Statistics Department of Graz University of Technology, where he obtained a PhD in Mathematics in 2006. After working 2 years as Assistant Professor at the University of Utah, he joined in 2009 the Mathematics Department of the ULB. His research interests cover different areas in statistics and probability theory, such as change point analysis, PCA, environmental statistics, time series, fluctuation theory, empirical processes, and limit theorems. His latest research is related to functional time series analysis.
INTRODUCTION TO PROGRAMMING. Bart Jansen obtained a PhD in Computer Science in 2005 with research in the domain of developmental robotics. Currently, his research focusses on biomedical signal processing and artificial intelligence techniques for various e-health domains, for instance game based software for rehabilitation.
FIXED INCOME/SEMINAR IN QUANTITATIVE FINANCE. Jeroen Kerkhof is currently a Director at VAR Strategies BVBA, a consultancy and analytics firm in the area of financial engineering & risk management. He is also a visiting lecturer at Imperial College business school in London and was a visiting lecturer at Singapore Management University in Singapore. Previously he was Head of non-linear rates at Danske Bank in Copenhagen, Head of Analytics at Jefferies, Head of Interest Rate and Inflation Desk Strategies at Morgan Stanley Europe, a Director in the Fixed Income Modelling Group at Lehman Brothers and he was in the Product Development Group at ABN-Amro Bank in Amsterdam during his PhD. Jeroen’s work focuses on interest rate, inflation and interest rate hybrid derivative products. He holds a PhD in Quantitative Finance from CentER at Tilburg University (Netherlands) and has published several articles in international refereed finance journals.
PRODUCT STRUCTURING. Mr Karim Marrakchi has assumed various positions in structuring and risk management of interest rates and equity derivatives. His previous experiences include Head of Equity Structuring Desk at ING and his current position focuses on providing solutions for Insurance/Pension funds and asset managers at ING. His areas of experience and expertise include the managing, pricing and products structuring of Equity Structured Products, Hybrids& Strategy derivatives, as well as structuring solutions for Variable Annuities and hedging of profit sharing/asset linked liabilities on the side of Insurers. Karim holds an MPhil in Mathematical Finance from the Sorbonne University, as well as a Master degree from Rouen Business School.
FINANCIAL ECONOMETRICS. Bertrand Melenberg is a research fellow at CentER, Tilburg University, professor in Econometrics and Quantitative Finance at the Department of Econometrics & OR, Program Director of the MSc Economics and Finance of Aging, and senior researcher at Netspar. He is also part-time affiliated to the Finance Department of the University. His research interests cover various fields such as Empirical Micro-Econometrics and Empirical Finance (Asset Pricing). He taught various courses in econometrics, finance, and statistics at both undergraduate and graduate level and supervised several Ph.D. students.
ESTIMATION TECHNIQUES. D. Paindaveine holds a Ph.D. in Statistics from ULB, 2002. He is full professor of Statistics at the Solvay Brussels School of Economics and Management, ULB. He sits in the editorial board of six international journals, among which the Annals of Statistics, Statistica Sinica, the Journal of Statistical Planning and Inference, and Statistics and Probability Letters. Since 2005, he is an elected member of the International Statistical Institute (ISI) and is a visiting professor at Université Pierre-et-Marie-Curie (Paris 6). In 2007, the American Statistical Association gave him the Gottfried E. Noether Young Scholar Award, for contributions to nonparametric statistics. He was co-director of ECARES from 2006 to 2012.
ASSET PRICING: THEORY. Ph.D. in Economics, University of Maryland at College Park. He is currently Associate Professor at Tilburg University (Department of Finance) and associate editor of the Journal of Empirical Finance. Areas of expertise: Asset Pricing, Financial Econometrics and Mathematical Finance. He has taught extensively in these areas of expertise, and published his research in the Journal of Monetary Economics, Journal of Empirical Finance and Management Science.
DERIVATIVE PRICING: THEORY. Olivier Scaillet, Belgian, is professor of finance and statistics at the Geneva Finance Research Institute of the University of Geneva and has a senior chair at the Swiss Finance Institute. He holds both a master and a Ph.D. from University Paris IX Dauphine in applied mathematics. Professor Scaillet’s research expertise is in the area of derivatives pricing, econometric theory and econometrics applied to finance and insurance. He has published several papers in top journals in econometrics and finance, and co-authored a book on financial econometrics. He has been one of the winners of the bi-annual award for the best paper published in the Journal of Empirical Finance on the topic of quantitative risk management and of the Banque Privée Espirito Santo award prize, on the topic of mutual fund performance. He is associate editor of several leading academic journals in econometrics, statistics, banking and finance. He is a long-term advisor for the research teams of BNPParibas.
RISK & RISK MANAGEMENT IN FINANCIAL INSTITUTIONS. Andrew Threadgold has been Head of Market Risk (Americas) at Royal Bank of Scotland since 2010. He was previously Head of Risk and Compliance – Institutional at Fidelity, Group Head of Market Risk at UBS, and Head of Risk Management at Euroclear. He held various senior positions at JP Morgan both on the risk management side, including Head of Investment Banking Markets Valuation and Risk, Chief Risk Officer (CRO) at JP.Morgan in New York, and CRO Asia Pacific in Tokyo, and on the business side, including Chief Operating Officer for Equity Derivatives in London, and Head of Structured Products Group in New York. Andrew also managed trading units in various market sectors. He is an advisor to the Risk Policy Committee at Euroclear. He is a former Board member of various infrastructures including FICC and Euroclear. He was also a contributor to the Counterparty Risk Management Policy Group II and has served as arbitrator for the Municipal Securities Rulemaking Board (MSRB).
PRINCIPLES OF FINANCE. Céline Vaessen is General Advisor of the Belgian Federal Holding and Investment Company, managing the Belgian State shares in financial institutions which benefited from State aid. Previously, Céline has been an investment banker responsible for financial institutions coverage in Benelux for 4 years. Céline is teaching Corporate Finance principles at the Executive Master in Finance and tutorials at the MBA of the Solvay Brussels School of Economics and Management.
ASSET PRICING: PRACTICE. Wim Van Hyfte is Senior Manager – Quantitative Equity Analyst at Dexia Asset Management. He obtained his Master’s degree in Applied Economics from Ghent University in 1998 and subsequently an MBA in finance at the Vlerick Leuven Gent Management School. From September 1998 until September 1999, he was also part-time research assistant at the department of Corporate Finance, Ghent University, engaged in studying venture capital. He joined the department of Financial Economics, Ghent University, in October 1999 as a PhD research and teaching assistant carrying out doctoral research within the field of asset pricing. He obtained his PhD in Economics from Ghent University in 2005. After obtaining his PhD he became Postdoctoral Researcher at the Department of Financial Economics (Ghent University) and professor in Finance at the University of Antwerp Management School. From 2007 to 2012, he was also Professor at the Vlerick Business School teaching the Investment course. His research interests include asset pricing, portfolio management and risk management. His work has been presented at several national and international conferences. Some of his studies have already been published in international scientific journals.
ESTIMATION THEORY AND SIMULATION. T. Verdebout holds a Ph.D in Statistics form the ULB, 2008. He spent 5 years (2009-2014) at the University of Lille 3 as an assistant professor (maître de conférence). He is currently professor (chargé de cours) at the Mathematics Department of the ULB. He has been a visiting researcher at the Princeton University and is currently in the editorial board of Statistics and Probability Letters. Since 2013, he is an elected member of the International Statistical Institute (ISI). He received in 2011 an annual price in applied mathematics of the Académie des Sciences de Belgique and got a bonus for scientific excellence in 2012, France.