News highlights

New Chair of Financial Mathematics appointed

17 May 2010, PR 110/10

The School of Physical Sciences & Engineering at King's has appointed Dr Damiano Brigo to the Gilbart Chair of Financial Mathematics. Dr Brigo is currently Visiting Professor of Mathematical Finance at Imperial College and Managing Director and Global Head of the Quantitative Innovation team at Fitch Solutions.

Dr Brigo is a specialist in stochastic mathematical models in finance, signal processing, filtering and control. Two of his main works are ‘Interest Rate Models - Theory and Practice’, with F. Mercurio, and a new book on ‘Credit Models and the Crisis’, with A. Pallavicini and R. Torresetti. He has published more than 50 articles in top journals for Mathematical Finance, Systems Theory, Probability and Statistics. Dr Brigo is Managing Editor of the International Journal of Theoretical and Applied Finance, he is a member of the Fitch Academic Advisory Board and is part of scientific committees for academic conferences occurring at MIT and other academic and industry institutions.

Record of innovation

Dr Brigo is listed as the most popular author and second most prolific credit author in defaultrisk.com and waslisted as the most cited author in Risk Magazine in 2006. He has also been a charter member of Risk Who's Who since 2007. His current interests include valuation and pricing, risk measurement, credit and default modelling, counterparty risk, stochastic dynamical models for commodities and inflation, the interaction between the exponential statistical manifold and the dynamic features of stochastic processes laws, nonlinear stochastic filtering, and stochastic processes consistent with mixtures of distributions.

He obtained a PhD in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam, following a BSc in Mathematics with honors from the University of Padua.

Chris Mottershead, Vice-Principal (Research & Innovation), welcomed Dr Brigo's appointment, saying: ‘I am delighted that Damiano is joining the Financial Mathematics group at King's. He brings massive experience and a record of innovation in credit risk and interest rate modelling that perfectly complements the group's interests.’



Notes to editors

About the Chair
The Professorship is named after the distinguished English banker and author James William Gilbart (1794-1863). JW Gilbart was the first General Manager of the London and Westminster Bank. His principal works on banking were Practical Treatise on Banking (1827), The History and Principles of Banking (1834); The History of Banking in America (1837); Lectures on the History and Principles of Ancient Commerce (1847); Logic for the Million (1851); and Logic of Banking (1857). He was elected a Fellow of the Royal Society in 1846. The Gilbart Lectures on Banking were an annual institution at King's dating back to 1872, and more recent speakers included Eddie George (1996), Howard Davies (1998).

About Financial Mathematics
The King's Financial Mathematics Group was founded in 2000 and now numbers two full professors, one visiting professor, one reader and two lecturers, in addition to visiting and temporary staff, and eight PhD students. The group runs a large weekly seminar attended by academics and City of London practitioners, and a world-renowned MSc in Financial Mathematics with around 50 students.

King's College London
King's College London is one of the top 25 universities in the world (Times Higher Education 2009) and the fourth oldest in England. A research-led university based in the heart of London, King's has nearly 23,000 students (of whom more than 8,600 are graduate students) from nearly 140 countries, and some 5,500 employees. King's is in the second phase of a £1 billion redevelopment programme which is transforming its estate.

King's has an outstanding reputation for providing world-class teaching and cutting-edge research. In the 2008 Research Assessment Exercise for British universities, 23 departments were ranked in the top quartile of British universities; over half of our academic staff work in departments that are in the top 10 per cent in the UK in their field and can thus be classed as world leading. The College is in the top seven UK universities for research earnings and has an overall annual income of nearly £450 million.

King's has a particularly distinguished reputation in the humanities, law, the sciences (including a wide range of health areas such as psychiatry, medicine and dentistry) and social sciences including international affairs. It has played a major role in many of the advances that have shaped modern life, such as the discovery of the structure of DNA and research that led to the development of radio, television, mobile phones and radar. It is the largest centre for the education of healthcare professionals in Europe; no university has more Medical Research Council Centres.

King's College London and Guy's and St Thomas', King's College Hospital and South London and Maudsley NHS Foundation Trusts are part of King's Health Partners. King's Health Partners Academic Health Sciences Centre (AHSC) is a pioneering global collaboration between one of the world's leading research-led universities and three of London's most successful NHS Foundation Trusts, including leading teaching hospitals and comprehensive mental health services. For more information, visit: www.kingshealthpartners.org.



Further information
Alison Denyer, Senior Communications Manager
Public Relations Department
Email: alison.denyer@kcl.ac.uk
Tel: 020 7848 3073

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