Robert Dubil, Ph.D.
Associate Professor –
Lecturer of Finance
EDUCATION
ACADEMIC
EXPERIENCE
University
of Utah Associate
Professor – Lecturer of Finance 2005-present
ESC Rouen Visiting
Professor of Finance 2004,
05, 06
FINANCIAL INDUSTRY
EXPERIENCE
HedgeStreet.com,
Chief Market Strategist
-
Dr.
Bob’s Weekly Economic Outlook and other learning center content
Merrill Lynch,
Director
of Risk Analytics Technology and Senior Strategy Consultant
-
Set
strategy on market risk measurement, limit administration, and regulatory
disclosure in
-
Oversight
of Value-at-Risk and stress-testing infrastructure for all 3000 trading books
of the global institutional business.
Union Bank of
Director and Head of
-
Fixed
income options dealer and book runner of non-vanilla swap derivatives (annual
trading profit of $100m).
-
Manager
of structured products financial engineering team.
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Approved
pricing; credit and market risk modeling.
-
Quantitative
expert for institutional client consulting.
Chase Manhattan Bank,
Head of U.S. Dollar Exotic Options
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Leader
of a start-up trading business in fixed-income path-dependent, CMT and digital
option products.
-
Market
maker and business manager of risk modeling and systems.
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Early
research into credit derivatives structuring off the bank's loan portfolio.
Merrill Lynch,
VP,
Derivatives Trader, Global Debt Markets
-
Responsible
for pricing, modeling and volatility management of US dollar swap options,
index-principal swaps and Libor range floaters.
VP,
Derivatives Trader, Global Equity Markets
-
Trader
of US stock basket options and OEX arbitrage.
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Japanese
warrant and convertible specialist.
-
Quantitative
strategist for Australian debt and equity options.
Nomura Securities,
VP,
Senior Quantitative Researcher
-
Risk
analysis of warrant and convertible arbitrage; collaboration on a mortgage
prepayment panel led by John Cox of MIT.
JP
Quantitative
Researcher
-
Risk
modeling of caps, swaptions and bond futures.
Co-wrote a working paper on the pricing of Asian options on Libor averages.
Lydall,
Inc. 1986
- 1987
Internal
Audit Associate
-
Pre-
and post acquisition audits of new manufacturing divisions.
BOOK PUBLICATIONS
“Financial Engineering and Arbitrage in the
Financial Markets” – J. Wiley (October 2011), professional
textbook, hardcover, ISBN: 0-470-746017, 380 pages
“An Arbitrage Guide to Financial
Markets”
– J. Wiley Europe (August 2004)
and U.S. (October
2004) –
professional textbook,
hardcover, ISBN: 0-470-85332-8, 336 pages
BOOK CHAPTERS
“A
Practitioner’s Critique of Value-at-Risk Models”, Chapter 8, pp. 147-181, of The VaR Modeling Handbook, ed. Greg N. Gregoriou,
McGraw-Hill, 2009
“An Arbitrage
Perspective of the Purpose and Structure of Financial Markets”, Handbook of
Finance,
ed. Frank J. Fabozzi, pp. 93-106, Chapter 8, Volume
I, J. Wiley, 2008
“On rankings and loss aversion”, a chapter in
“Focus on Macroeconomic Research”, ed. Lawrence Z. Pelzer, ISBN: 1-59454-124-8,
Nova, 2004-05
JOURNAL PUBLICATIONS
“Hedge Funds:
Alpha, Beta and Replication Strategies” – Journal of Financial Planning, pp.68-77,
October 2011
“The Varying
Cost of Options and Implications for Choosing the Right Strategy”
– Journal of Financial Planning,
pp.62-70, May 2010
“Benefits of
Protecting Investment Portfolios with Options: A Historical Perspective”
– Journal of Financial Planning, pp.
62-70, February 2008
“Economic
Derivatives Markets – New Opportunities for Individual Investors: A Research
Agenda” – Financial
Services Review 16 (2), pp. 89-104, (Summer) 2007
“Binary Economics: How To Trade Inflation, Gas, Oil,
Gold…And Even Hurricanes” – Stocks,
Futures and Options, pp. 63-68 – February 2007
“You Want To
Diversify Risk? Consider Economic Derivatives” - Journal of Wealth
Management 9(4), pp. 37-43, Spring 2007
“Lifetime
Dollar Cost Averaging: Forget Cost Savings, Think Risk Reduction”
– Journal of Financial Planning, pp.
90-3, October 2005
“Investment
Averaging: A Risk-Reducing Strategy” – Journal of Wealth Management 7 (4), Spring
2005
“The Optimality of Multistage
Venture Capital Financing: An Option-Theoretic Approach” – Journal of Entrepreneurial Finance and Business
Ventures, 9 (3), December 2004, pp.1-14
“The Arbitrage Trading Game for use in
Capital Markets instruction” – Journal of Financial Education, Fall
2004, pp. 62-75
“The risk and return of investment averaging:
An option-theoretic approach” – Financial Services Review 13
(4), 2004
“Does less competition lead to better
capital allocation? On rankings and loss aversion”
– Corporate Finance Review, 9 (2),
Sept-Oct. 2004
“Are venture capital firms and hedge
funds safer than mutual funds? A theory of investor loss aversion”, 2003, Journal of Wealth
Management, Vol. 6, No. 2 (Fall), with M. Harjoto
“The Risk/Return Tradeoff When Converting
Wealth into Cash”, 2003, Journal
of Investing, Vol. 12, No. 3 (Fall)
“A Simple
Utility Approach to Private equity Sales”, 2003, Journal of Entrepreneurial Finance and
Business Ventures, Vol. 8, Issue 1
“How to Include Liquidity in a Market VaR
Statistic?,” 2003, Journal
of Applied Finance, Vol. 13, No. 1 (Spring/Summer)
“Optimal
Liquidation of Venture Capital Stakes”, 2002, Journal of Entrepreneurial Finance and Business Ventures, Vol. 7,
Issue 2
“How quickly should you liquidate your vested stock?”, 2002, Financial Services Review, Vol. 11, No. 1
“Optimal Liquidation of Large
Security Holdings in Thin Markets”, in Research in International Entrepreneurial Finance and
Business Ventures at the Turn of the Third Millennium, Editor: Yochanan Shachmurove, Academy of
Entrepreneurial Finance, special proceedings issue
PRESS AND MEDIA
A New Look at Hedging
with Options, Advisor Solutions 2 (2), TD Ameritrade, 2010.
KSL-5TV – interview on
stock markets, 2010
CNNMoney.com – interview on dollar
cost averaging – March 2007
http://www.tradersnation.com/ - radio interview w/
Kurt Schemers on Dec 11, 2006
Chicago Board of
Options Exchange
– 9Nov2006 – “Binary Strategies”, Live Webinar , CBOE Options Institute, J.
Bittner moderator
Kiplinger Personal
Newsletter – TBD2007 – Dollar Cost Averaging, interview
Fifth Annual MDA EarthSat Energy Conference for Weather Analysts – 26Oct2006
– “Weather Derivatives” – Las Vegas, NV
TheMarketVuShow.com – 18Oct2006 – “Trading Binaries”, Live Webinar
TradingMarkets.com –
25Oct2006 – “Leveraging with
Futures, FX and Binaries”, also on Yahoo!Finance
Chicago Board of
Options Exchange TV Channel – 20Sept2006 – “Binary Options”,
Interview with Dr. J.
, click on CBOE News and Events
TradingMarkets.com –
Sept2006 – “Buy low – sell high
with binaries”
TurtleTrader.com –
10Aug2006 – “HedgeStreet Binaries – A New Opportunity
INTERESTS
Capital
Markets Regulation, Risk Mgmt, Derivatives, Personal and International Finance
German, Russian, Polish –
deteriorating but decent spoken and written
“Hedge Fund Replication: Alpha or Beta?”
“The Valuation of Options on Averages” ” (with
D. Dachille, J. P. Morgan Chase Bank)
SCHOLARLY
PRESENTATIONS AT PROFESSIONAL CONFERENCES
“Replication with ETFs”, Academy of
Financial Services, Anaheim, 2009
“Optimal Liquidation of Venture
Capital Stakes”, Financial Management Association,
“Fixed
Income Derivative Management”, Risk Magazine Annual Congress,
PAPERS
ACCEPTED FOR CONFERENCES
PROFESSIONAL
WORKSHOPS AND SEMINARS
Session chair, Academy of Financial
Services, Denver 2010 and Anaheim, 2009