Dr Michael Villaverde

Product Manager (Partner) for Bluecrest Capital Management

Research Interests

Mathematical finance, behavioural finance, hedge funds, optimization, statistics

General

Michael works in the area of mathematical finance, with particular emphasis on practical problems relating to quantitative trading and investment. His work in the area includes stochastic optimization based methods of asset-liability management and portfolio construction, term structure modelling and pricing and hedging assets in incomplete markets.

Michael has been a Quantitative Analyst at Citigroup Emerging Markets Special Opportunities, Portfolio Manager at Marshall Wace and Product Manager of a systematic equity market neutral fund at BlueCrest Capital Management and is currently a Partner of Ashenden Capital LLP in the City of London. He holds a BS in mathematics and an MS in financial engineering from the University of Michigan and a PhD in quantitative finance from Cambridge.

Recent Publications

Long-Term Interest Rates and Consol Bond Valuation (with MAH Dempster and EA Medova), Journal of Asset Management 11 (2-3), 2010, 113-135

Hedging European and Barrier Options with Stochastic Optimization, Quantitative Finance 4 (5), 2004, 549-557

Structured Products for Pension Funds (with MAH Dempster, M Germano and EA Medova), in K Marti, Y Ermoliev and G Pflug (eds.), Dynamic Stochastic Optimization, Springer-Verlag, Berlin (2004), 115-130

Portfolio Management for Pension Funds (with S Arbeleche, MAH Dempster, EA Medova and GWP Thompson), Proceedings of the IDEAL 2003 International Conference, Hong Kong, Springer-Verlag, Berlin (2003), 462-466

Global Asset Liability Management (with MAH Dempster, M Germano and EA Medova), British Actuarial Journal 9 (2003), 137-216

Empirical Tests of the Partial Differential and Value-at-Risk Based Hedging Methods (with J Garrison and S Li), Proceedings of IAFE Conference (1999)

Asset Pricing With Multiple Real-World Probability Measures, Working Paper (2003)

Global Fund Management Using Stochastic Optimization, Working Paper (2003)