Luca Capriotti

Managing Director - Head of NCL Quants at UBS Group

Speaker

Luca Capriotti is a Managing Director at Credit Suisse, a UBS Group Company, based in New York, where he is head of the NCL Quants and he is responsible globally for the derivatives analytics for the Non-Core and Legacy division.

Previously to this role he was responsible globally for both the front office and capital models for Credit and Financing, Structured Notes, Corporate Bank and Treasury and the regional teams in Zurich and Brazil covering all asset classes.

Luca is also adjunct professor at Columbia University and was previously visiting professor at University College London. Luca also serves as Associate Editor of the journal "Quantitative Finance". His current research interests are in the field of Interest Rates and Credit Models and Computational Finance. Luca's best known contribution is helping the introduction to Finance of Adjoint Algorithmic Differentiation (AAD), for which he holds a US Patent.

Luca has published over 60 scientific papers, with the top 3 papers collecting to date over 700 citations (h factor 22). 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 Theory, from the International School for Advanced Studies, Trieste.