Luca Capriotti / Modelling and Quantitative Finance

Brief Bio

Luca Capriotti is the head of Quantitative Strategies Credit based in New York. Luca is responsible globally for both front office and capital models across Credit, covering a variety of businesses across the Bank. He is also responsible for Liquidity Modelling and IRRBB.

Previous to this role, he was EMEA and US head of Quantitative Strategies Global Credit Products, he has worked in Credit and Commodities Exotics in New York and London and in a cross-asset modeling R&D team in the London office.

// Luca is also visiting professor at the Department of Mathematics at University College London and Adjunct Professor at NYU, Tandon School of Engineering. His current research interests are in the field of Credit Models and Computational Finance, with a focus on efficient numerical techniques for Derivatives Pricing and Risk Management, and applications of Adjoint Algorithmic Differentiation (AAD) for which he holds a US Patent.

// Luca regularly gives seminars and courses worldwide. He has served as supervisor and external examiner for Master and PhD programs and as referee for several scientific publications including Physical Review B, Physical Review Letters, Quantitative Finance, Finance and Stochastics, Algorithmic Finance, Journal of Derivatives, Wilmott Magazine, Journal of Computational Finance, Journal of Risk, and Risk Magazine.

//Prior to working in Finance, Luca was a researcher at the Kavli Institute for Theoretical Physics, Santa Barbara, California, working in the field of High Temperature Superconductivity and Quantum Monte Carlo methods for Condensed Matter systems.

//Luca has been awarded the Director's fellowship at Los Alamos National Laboratory, the Wigner Fellowship at Oak Ridge National Laboratory, and he has published over 70 scientific papers, with the top 3 papers collecting to date over 1000 citations (h factor 23, i10 factor 42).

//Luca holds a M.S. cum laude in General Physics from University of Florence (1996), and an M.Phil. and Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste (2000).