Luca Capriotti / Modelling and Quantitative Finance

Brief Bio

// Luca is currently a Managing Director at Credit Suisse Group, where he works in Quantitative Strategies (QS), the front-office team responsible for the development of the analytics used for pricing and risk management of the derivatives portfolio of the Global Markets division.

// Luca is based in New York and he is responsible for all the quantitative activities in multiple business areas with revenues of over 2 billion dollars (Global Credit Products, Credit and Financing, Commodities, Structured Notes, Corporate Bank and Treasury), and the regional teams in Zurich and Brazil (Equity, Macro, Commodities and Credit). He is currently managing a team of about 60 highly skilled, Ph.D./Master level educated, professionals, in 6 countries.

// In addition to this role, for 3 years, Luca was responsible for credit market risk (VaR, IRC and FRTB), Liquidity risk and IRRBB modelling, rebuilding and leading a global team of 120 quants and delivering a number of transformative initiatives.

// Previously to these roles, Luca was EMEA and US head of QS Global Credit Products, he has worked in credit and commodities exotics in New York and London and in a cross-asset modelling R\&D group in London. For a number of years, Luca was the coordinator of Credit Suisse campus recruiting initiative and summer internship program curriculum. Luca has strong connections with Academia and a demonstrated ability to attract and retain talent.

// Luca is also adjunct professor at Columbia University, where he teaches in the master of Financial Engineering programs in the Mathematics and Industrial Engineering departments. He previously was visiting professor at the Department of Mathematics, University College London. Luca regularly gives seminars and graduate level courses worldwide. He has supervised the work of several interns and graduate students often leading to published research. His current research interests are in the field of credit models, computational Finance, applications of quantum mechanics to Finance, and machine learning. Luca serves as Associate Editor of the journal Quantitative Finance and over the years has served as referee for several top-tier scientific publications.

// Luca's best know contribution is his work on Adjoint Algorithmic Differentiation (AAD), a computational technique he has helped introducing to Finance and Physics, and which has revolutionized the way risk is computed in large financial institutions and for which he holds a US Patent.

// 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 Physics.

// Luca was awarded the Director's fellowship at Los Alamos National Laboratory, the Wigner Fellowship at Oak Ridge National Laboratory, and he has published over 60 peer-reviewed research papers, with the top 3 papers collecting to date over 1000 citations (source: Google scholar).

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