Conference Key Speakers

Special address: Prof Eduardo Schwartz

Dr Etienne Amic
Dr Robert Doubble
Dr Alexander Eydeland
Prof Hélyette Geman
James Grove
Michael Lewis
Dr Aram Sogomonian
Dr Nassim Taleb

Special Address by Prof Eduardo Schwartz:

Unspanned stochastic volatility and the pricing of commodity derivatives

- Evidence of unspanned stochastic volatility from crude-oil futures and options

- A new model for pricing commodity derivatives featuring unspanned stochastic volatility

- Applications of transform techniques

- Applications of the model for pricing, hedging and risk-managing crude-oil derivatives


Prof Schwartz is the California Professor of Real Estate and Professor of Finance at the Anderson Graduate School of Management, University of California, Los Angeles. He has an Engineering degree from the University of Chile, along with a Masters and a PhD in Finance from the University of British Columbia. He was a faculty member at the University of British Columbia and visiting member at the London Business School and the University of California at Berkeley.

His wide-ranging research interests have focused on different dimensions in asset and securities pricing. Topics in recent years include interest rate models, asset allocation issues, evaluating natural resource investments, pricing Internet companies, the stochastic behavior of commodity prices and valuing patent-protected R&D projects. His collected works include more than ninety articles in finance and economic journals, two monographs, an edited book, and a large number of monograph chapters, conference proceedings, and special reports. He has won a number of awards for both teaching excellence and for the quality of his published work. He has been associate editor of more than a dozen journals, including the Journal of Finance, the Journal of Financial Economics and the Journal of Financial and Quantitative Analysis. He is past president of the Western Finance Association and the American Finance Association. He is a Fellow of the American Finance Association and the Financial Management Association International. He is a Research Associate of the National Bureau of Economic Research and was awarded a Doctor Honoris Causa by the University of Alicante in Spain. He has also been a consultant to governmental agencies, banks, investment banks, asset management firms and industrial corporations.

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Dr Etienne Amic:
Case Study: From Precious Metals to Electricity and Agricultural Commodities

Dr Etienne Amic is Global Head of Commodities at Calyon. He was Manager of the Origination Group at Total Gas & Power Ltd, the London affiliate of the oil and gas major in charge of worldwide energy trading. Previously he was head of structured products and power trading in London. Before 2000 he was a trader at Total Oil Trading SA (TOTSA) in Geneve, the crude oil and refined products trading entity of the Total Group.

Etienne is a former student at Ecole Normale Superieure and is an Ingenieur du Corps national des mines. He holds advanced degrees in Quantum Physics and in Financial and Commodity Markets from Dauphine University.

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Dr Robert Doubble:
BP Case Study:Valuing & Hedging an LNG Contract
Robert Doubble heads BP's quantitative finance team in London where he has worked for the past four years. Prior to this he has worked in various upstream roles for BP as a petroleum engineer. He has a PhD in solid state physics where he studied quantum critical electronic behaviour, and a BSc degree in mathematics and physics.

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Dr Alexander Eydeland:
Energy Derivatives: New Developments and Challenges

Dr Alexander Eydeland is Managing Director at Morgan Stanley in charge of global commodities analytic modelling. His previous positions include Head of Research at Mirant Corp., Vice President with Lehman Brothers and Fuji Capital Markets, and Associate Professor of Mathematics at the University of Massachusetts.

Dr Eydeland holds a PhD in Mathematics from Courant Institute of Mathematical Science. His papers on risk management, scientific computing, optimization and mathematical economics have appeared in a number of major publications, and he has lectured extensively on these subjects throughout the United States, Europe and Japan. Dr Eydeland is co-author (with K Wolyniec) of the book "Energy and Power Risk Management" published in 2002 by Wiley and Co.

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Prof Héylette Geman:
Inventory, Forward Curve and Stochastic Volatility in Commodity Markets


Prof Hélyette Geman is a Professor of Mathematical Finance and Director of the Finance Commodities Centre at Birkbeck, University of London.
She is a graduate of École Normale Supérieure in mathematics, holds a Masters in theoretical physics, a PhD in probability from the University Pierre et Marie Curie and a PhD in finance from the University Panthéon Sorbonne. Her research includes asset price modelling using Lévy processes, exotic option pricing and commodity spot and forward curve dynamics modelling, and is one of the authors of the CGMY.
She has published more than 80 papers in major journals including the Journal of Finance, Journal of Financial Economics, Journal of Business, Mathematical Finance, Finance and Stochastics and was the first President of the Bachelier Finance Society. Professor Geman has been a scientific advisor to a number of major energy companies for the last decade, and in 2005, published the reference book “Commodities and Commodity Derivatives”.
She was named in the 2004 Hall of Fame of Energy Risk.

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James Grove:
Commodities as an asset class

James Groves is Director and Head of Commodity Hybrids Trading at Barclays Capital. On joining the organisation in 2002, he was initially responsible for precious metals risk in the Asian time zone.
In 2004 he moved to multi-asset commodity derivatives.
Prior to joining Barcap James managed the precious metals exotics risk at Credit Suisse. James holds an MA in Mathematics from Cambridge.


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Michael Lewis:
Commodities Outlook: Opportunities & Pitfalls In 2007

Michael joined Deutsche Bank in 1990, where he is the Global Head of Commodities Research. Michael's group analyses the macro fundamental forces driving commodity markets with the ultimate aim of delivering directional, curve and volatility trading strategies with particular focus on the global energy, industrial metals, precious metals and European power, freight and coal markets. In addition, the team also examine the properties of commodiies as a distinct asset class.

Before joining Commodities Research in 2003, Michael was the Deputy Head of Foreign Exchange Research for seven years.

Michael holds a BSc in Economics from the University of Bristol and an MSc in Economics from the London School of Economics.

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Dr Aram Sogomonian:
Coal and Freight Markets

Dr Aram Sogomonian is Senior Vice President and Head of the Risk Management Group at Constellation Energy Commodities Group the full-service global commodities business of Constellation Energy Group. Aram's responsibilities include taking a lead role in the risk management activities for the CECG business and working with the Chief Risk Officer, John Collins, to design an Enterprise Wide risk organization. Prior to Constellation, Aram held a variety of management positions at Pacificorp, Edison International and Enron.
Aram has a PhD in Management Science from the Anderson Graduate School of Management at UCLA, a master of science degree in Operations Research and bachelor of arts degrees in Applied Mathematics and Economics from the University of California at Berkeley.

Dr Nassim Taleb:
Commodities, Model Risk and Extreme Events

Nassim Nicholas Taleb is an essayist, empiricist and veteran derivatives trader known for his mixing of practice with research. He is currently the Dean's Professor in the Sciences of Uncertainty at the University of Mass Amherst and the owner of volatility funds. He specialises in 'off-model' uncertainty and the limits and failures of mathematical models in their applications to the real world. Taleb had a lengthy senior trading derivatives career with Wall Street firms. He holds a PhD from University Paris-Dauphine (under H Geman) and an MBA from the Wharton School. He is the author of Dynamic Hedging and Fooled by Randomness, which has more than half a million readers in 20 languages. His next book The Black Swan, is coming out in April 2007.



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