Technical Advisory Board

David Edelman, S.M., MPhil, PhD

Formerly an Associate Professor of Finance in Australia, David is now on the Faculty of University College Dublin (Ireland), and a Member of the Institute for Numerical Computation and Analysis (INCA) Dublin. A longtime consultant in the mathematical modeling of energy, financial, and wagering markets, he is one of the leading experts on Optimal Growth strategies, though probably best known as the originator of the Local Cross Entropy (LCE) method for the Options-Inverse problem. David received his PhD in Mathematical Statistics from Columbia University in 1983 and hist Masters' and Bachelors' degrees from MIT in 1978. He has published over fifty research articles, and is co-editor of the recent Chapman & Hall/crc volume "Numerical Methods for Finance" (2007).

Jean-Pierre Fouque

Jean-Pierre Fouque is Professor in the department of Statistics and Applied Probability at the University of California Santa Barbara and the Director of the Center for Research in Financial Mathematics and Statistics (CRFMS) opened in 2006. Prior to joining Santa Barbara he held positions at the French National Center for Scientific Research (CNRS), the Ecole Polytechnique, and North Carolina State University where he established the Masters of Financial Mathematics program. His research is in the domain of random media with applications ranging from wave propagation phenomena to financial mathematics. He published over sixty research articles and co-authored two books; "Derivatives in Financial Markets with Stochastic Volatility" (Cambridge University Press 2000), and "Wave Propagation and Time Reversal in Randomly Layered Media" (Springer, 2007).

Zydrunas Gimbutas

Zydrunas Gimbutas has more than 10 years of experience in Applied Mathematics and Scientific Computing. His research interests include fast algorithms, numerical solution of integral equations, and large scale particle simulations. He has worked as a Research Scientist with Plain Sight Systems and MadMax Optics, Inc., Hamden, Connecticut, where he was responsible for development of fast solvers for electromagnetic scattering simulation; compression schemes for large matrices; and statistical data analysis tools. Zydrunas Gimbutas received his Ph.D. in Applied Mathematics from Yale University, New Haven, Connecticut in 1999 and his M.S. in Mathematics from Vilnius University, Vilnius, Lithuania, in 1993.

Kay Giesecke, MSc, PhD

Kay Giesecke is an Assistant Professor of Management Science & Engineering at Stanford University. He is on the faculty of Stanford's Financial Mathematics Program. Kay's research and teaching address the quantitative modeling of financial risk, in particular credit risk. His research group CreditLab has been funded by grants from JP Morgan, Moody's Corp, Credit Suisse, American Express and the Global Association of Risk Professionals. Kay has served as a consultant to banks, risk management firms and the European Commission. Prior to joining Stanford in 2005, he taught financial engineering at Cornell University's School of Operations Research and Information Engineering. Kay holds an M.Sc. in Electrical Engineering & Economics and a Ph.D. in Economics.

Vladimir Rokhlin, MSc, PhD

Vladimir Rokhlin, Professor of Computer Science and Mathematics at the Yale University Department of Computer Science acts as an advisor to Julius Finance Corporation. Professor Rokhlin's interests include numerical scattering theory, elliptic partial differential equations, numerical solution of integral equations, quadrature formulae for singular functions, numerical linear algebra, and large-scale particle simulations. Rokhlin is a member of the Society for Industrial and Applied Mathematics, of the Society of Exploration Geophysicists, and of the National Academy of Sciences. He is a recipient of the 2001 Leroy P. Steel Prize for a Seminal Contribution to Research, and a recipient of the 2001 Rice University Distinguished Alumnus Award.

Erik Schlögl, DipVw, PhD (Bonn), MBFS

Associate Professor Erik Schlögl is the Director of the Quantitative Finance Research Centre at the University of Technology, Sydney (UTS). Erik received his Ph.D. in Economics from the University of Bonn, Germany, for work on term structure models and the pricing of fixed income derivatives and has gained broad-based experience in computational financial engineering. He has consulted for financial institutions and software developers in Europe, Australia and in the US. His publications list includes articles in Finance and Stochastics, Applied Mathematical Finance, Risk, Journal of Financial Engineering and the International Journal of Theoretical and Applied Finance. His research interests focus on credit risk modelling as well as integrating FX and interest rate risk. In addition to UTS, he held positions at the University of New South Wales and the University of Bonn, Germany. He has also conducted a variety of professional development seminars at UTS, at the conferences organised by Risk, and in-house at major banks.

Julius Finance is so named after Sir George Julius, inventor of the world's first fully automated real-time data aggregation and pricing apparatus. Julius Finance was founded one hundred years after Sir Julius' largely unsung feat of financial engineering.