prof. dr hab. Marek Musiela
Marek has had a distinguished academic and professional career. He gained a PhD in Mathematics from the Polish Academy of Sciences in 1976 and was awarded the degree of Docteur d’Etat by the University of Grenoble in 1984 for his work on Probability and Stochastics.
Marek is well known for his work on pricing and risk management of financial derivatives and, in particular, for his contribution to the development of term structure models. Among other things he introduced the so-called ‘Musiela parameterisation’ and is the co-developer of the ‘BGM’ or ‘Market Models’, published in the paper ‘The market model of interest rate dynamics’ joint with Alan Brace and Dariusz Gatarek. His book, co-authored with M. Rutkowski, entitled ‘Martingale Methods in Financial Modelling’ provides a comprehensive, self-contained, and up-to-date treatment of the main topics in the option pricing theory and is considered to be a classic in this area and remains one of the most successful reference books for teaching courses in financial mathematics.
After an academic career in 2000 Marek joined BNP Paribas and took on responsibility as Global Head of FIRST (Fixed Income Research and Strategies Team). The team developed implemented and supported quantitative models for credit, foreign exchange and interest rates businesses.
In 2012 Marek returned to academia and was appointed as the first Deputy Director of the Oxford-Man Institute at University of Oxford. His primary role was to offer leadership to the OMI in increasing its portfolio of research with a strong focus on commercial relevance to the wider financial sector.
Marek served on the Editorial Board of various journals in Mathematical Finance and Stochastic Analysis. He has been involved with the Bachelier Finance Society and, more broadly with the development of Financial Mathematics and Quantitative Finance.
Dr Philippe J De Brouwer, HSBC
Head of Independent Model Review department of HSBC in Krakow with 27 years of banking experience. He is a honorary consul for Belgium in Krakow and is also a professor at the University of Warsaw, Jagiellonian University and AGH University of Science and Technology.
Ahmad Farhat, HSBC
Independent Model Review (IMR) Manager– Market Risk. Ahmad got his Master’s degree from the American University of Beirut and PhD from the University of Wroclaw, both in theoretical mathematics. His previous experience includes 6 years in financial industry and 2 years at the university. In his free time he likes travelling, reading, tinkering with mathematical concepts, and all sorts of sports (especially ones involving mountains).
Damiano Tommasini, UBS
Marcin Jaskowski, HSBC
Independent Model Review (IMR) Senior Manager – Market Risk. PhD in Finance from the Vienna Graduate School of Finance. Before joining IMR, Marcin was working as an assistant professor of financial econometrics at the Erasmus School of Economics in Rotterdam. His work focuses on reviewing algorithmic trading models.
Łukasz Bednarski, HSBC
Independent Model Review (IMR) Manager with 5 years of experience in financial industry. He holds a master degree in theoretical physics from Jagiellonian University. Python enthusiast, uses Python on a daily basis. His work focuses on reviewing algorithmic trading used on the FX Spot market for client executions, market making and risk management.