Dr. Timothy Klassen (CEO) is an expert in fast and robust pricing and calibration methods, as well as
and automated risk management, with over 16 years of experience in quantitative finance.
Before founding Vola Dynamics LLC in 2016, he built the options analytics infrastructure and quant team at Getco LLC from the ground up, starting in 2008. Getco was one of very few successful new equity options market makers post-penny pilot. He started his career in finance as an equity derivatives quant in Emanuel Derman's team at Goldman Sachs in 2000. In 2003 he had the opportunity to build the equity derivatives quant team and modeling library at Wachovia Securities from scratch, covering all quantitative aspects of the ED business.
Besides discovering the first classes of modern, asymptotically arbitrage-free implied volatility curves, Tim is best known for designing the (new) VIX, the widely quoted fear gauge (the “new VIX” the CBOE started disseminating in Sep. 2003 was based on a proposal by Tim, Sandy Rattray, and Devesh Shah, then all at Goldman Sachs). He is an authority on modeling and fitting volatility surfaces. He received his Ph.D. in particle physics from the University of Chicago.
Dr. Jiri Hoogland is an expert in modeling and pricing complex cross-asset derivatives as well as the
for fully automated pricing and risk-management systems with 20 years of experience in the financial
After working on financial modeling at CWI, the Dutch center for Mathematics and Computer Science, in Amsterdam from 1997-2001, he spent two years at Mirant, modeling power and storage assets. From 2003-2005 he built equity derivatives pricing and risk management models at Wachovia Securities in New York. He was at Morgan Stanley from 2006-2015, working first for the commodities business, building the analytics for the oil/natgas/metals options and exotic derivatives desks. Next he developed fully automated cross-asset derivative pricing solutions for the fixed income business. This experience has given him an extensive knowledge of successfully modeling and building complex, robust financial pricing/risk-management systems. He received his Ph.D. in theoretical particle physics from the University of Amsterdam.
Dr. Misha Fomytskyi is an expert in derivatives trading, risk management, and volatility modeling.
Prior to co-founding Vola Dynamics LLC, he spent 12 years working in the derivatives space in trading and quant roles, including head of the options trading team at Getco LLC, as portfolio manager at JD Capital Management, and the founder and CEO of Mivol LLC. Having a deep understanding of trading, modeling, and technology allowed him to be a driving force in adopting quantitative techniques in valuation, risk management and trading analysis in these businesses. He received his Ph.D. in physics from The University of Texas at Austin in 2004.
Dr. Jim Gatheral is Presidential Professor of Mathematics at Baruch College, CUNY, teaching mostly courses in the Masters of Financial Engineering (MFE) program.
Prior to joining the faculty of Baruch College, Jim was involved in all of the major derivative product areas as bookrunner, risk manager, and quantitative analyst in London, Tokyo and New York, in a career in the financial industry that spanned over 27 years.
Jim has served as a Managing Editor of the International Journal of Theoretical and Applied Finance and as Associate Editor of the SIAM Journal on Financial Mathematics; he currently serves as Joint Editor-in-Chief of Quantitative Finance with Michael Dempster.
His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. Jim (along with Mathieu Rosenbaum) was awarded 2021 ‘Quant of the Year’ by RISK Magazine for his recent work on ‘rough volatility’ modeling.
Jim is also a frequent speaker at both practitioner and academic conferences around the world. His best-selling book, The Volatility Surface: A Practitioner's Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling.
He received his Ph.D. in theoretical physics from Cambridge University.