JOIS 3 4 authors
The Journal of Investment Strategies
Volume 3, Issue 4
Tung-Lam Dao
Tung-Lam Dao graduated from Ecole Polytechnique in 2004 then from Ecole Normale Superieure for the Master degree in 2005. He obtained his PhD in theoretical physics in 2008 at Center for Theoretical Physics (CPHT), Ecole Polytechnique under the supervision of Prof. Antoine Georges (Professor at College de France). His work concerned mainly the application of Dynamical Mean Field Theory (DMFT) for strongly correlated systems in lattices such as ultracold atoms in optical lattices. During his postdoc (2009-2011), he worked on Bose-Einstein condensations in disordered potentials in the group of Prof. Alain Aspect at Optical Institute. In 2011, he worked with Thierry Roncalli (head of R&D, Lyxor Asset Management) and Nicolas Gaussel (CIO of Lyxor Asset Management) on some novel estimations techniques for momentum strategies and the theoretical framework for analyzing CTA performace. Currently, he is researcher manager at Capital Fund Management (CFM). He works mostly on the investment strategies for trading volatility and the portfolio-allocation methods. Recently, he co-works with Jean-Philippe Bouchaud on the research of the dynamics of the implied volatility surface
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Floyd B. Hanson
Floyd B. Hanson is an Emeritus Professor in the Department of Mathematics, Statistics and Computer Science at the University of Illinois at Chicago and a relatively recent past Visiting Professor in the Financial Mathematics Program at the University of Chicago. He is an Applied Mathematician with interest in Mathematical Modelling, Computational Science, Optimal Control and Stochastic Analysis with Jump Processes, with most of his recent work in Computational Finance and Optimal Portfolios. He obtained his Ph.D. in Fluid Dynamics from Brown University in 1968 and did Post-Doctoral research at the Courant Institute of Mathematical Sciences at New York University. At the University of Illinois, he was also Associate Director of both the Laboratory of Advanced Computing and the Laboratory for Control and Information. Among his many publications is the SIAM Books text “Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computations”, 2007, including application chapters on Financial Engineering and Mathematical Biology-Medicine. He has also two invited encyclopedia articles on the topic of Computational Stochastic Dynamic Programming.
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Tim Brunne
Tim Brunne has more than 10 years of professional experience in banking and finance and began his career as a consultant at Arthur Andersen in Frankfurt. He currently works as Senior Strategist in UniCredit CIB. Tim is an Oxford MSc in mathematical finance and holds a doctoral degree in physics from Freie Universität Berlin.
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Chengran Du
Cheng-Ran Du is currently a professor in College of Science at Donghua University in Shanghai. His research interests include mathematical finance, complex system, and plasma physics. Cheng-Ran Du received his master's degree from Technical University of Munich and a doctoral degree from Ludwig Maximilian University of Munich
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