Izzy Nelken

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Founder, Super Computer Consulting, Inc.

Introduction

Dr. Israel ("Izzy") Nelken (the "Options Professor") provides expert witness and consulting services. Key specialties:

  • Derivatives
  • Exotic Options
  • Risk Management
  • Hedge Funds
  • Mutual Funds
  • Credit Derivatives
  • ETFs (Exchange Traded Funds) and ETNs(Exchange Traded Notes)
  • Volatility and Correlation Products
  • Fixed Income, Currency and Equity Derivatives
  • Structured Products

Recognized by the US Tax Court as an: "Expert in the Application of Mathematical Principles to the Analysis of Financial Instruments."

"Izzy is easy to work with. One of his key strengths is that he is able to explain complex mathematical and financial issues in layman's terms." (A Client.)

Academic Credentials

B.Sc. in Mathematics and Computer Science, Tel Aviv University 1984
M.Sc. in Computer Science, Rutgers University, 1986
Ph.D. in Computer Science, Rutgers University, 1989
Postdoctoral Fellowship at the University of Toronto, 1989-1991
1997-2015 : Lecturer, Graduate program in Mathematical Finance, Mathematics Department, University of Chicago.

Specialties

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Convertible Bonds:

Developer of a convertible bond model licensed by clients including Thomson Reuters (Refinitiv) – now owned by London Stock Exchange (LSE). Thousands of people use it every month.

Engaged on several valuation and bifurcation projects.

Equity Options:

Member of the Product Development Committee at Cboe (Chicago Board Options Exchange).

Developed a valuation model for warrants on SPACs (blank check companies) which is currently in use by several hedge funds.

Exotic (e.g., Barrier) Options:

Has written/edited two books on the topic.

ExoticOp (a software created by SuperCC - Izzy's company) was one of the first products to value exotic options.

Volatility :

Serves on the Product Development Committee at Cboe (Chicago Board Options Exchange) and was instrumental in launching the VIX complex, including the VIX index, VIX Options and other VIX-like indexes.

Co-authored a paper with John Hull and Alan White (University of Toronto) on the connection between credit and volatility.

Former partner at a tail risk hedge fund that specialized in volatility trading.

Gave numerous seminars on the topic all over the world including the Options Institute at the Cboe.

Served as an expert witness in a regulatory case related to a volatility linked ETN.

Worked on big bank cases and helped answer charges of misrepresentation in the volatility markets.

Testified in an arbitration between Cboe (Chicago Board Options Exchange) and Equitec Holdings.

Spoofing/Market Manipulation:

Worked on big bank cases and assisted in answering charges of market manipulation in commodities and currencies.

Co-authored a Law360 article on the topic.

Trading Systems (Including Market Micro-structure):

Created several fast-trading algorithmic trading systems for several hedge fund clients as well as for own use.

Worked on a regulatory case for a broker dealer and later on recommended enhancements to the broker-dealer’s systems.

Served as an expert witness in an IP (intellectual property) case regarding alleged misappropriation of trade secrets related to trading system.

Served as an expert witness in a case regarding alleged patent infringement for an options trading software.

Blockchain/NFTs:

Serves as an Advisory Board member of KnectIQ (a cybersecurity startup).

A Chicago City Co-Leader for BitAngels (a platform for cryptocurrency and blockchain projects to present to the community).

Gave seminars on Bitcoin, blockchain and cryptocurrency, including the keynote speaker at the FinTank conference in Chicago.

Coauthored a Law360 article on NFTs.

Hedge Funds:

Former partner in a long/short hedge fund that traded stocks.

Former partner at a tail risk hedge fund that traded volatility.

Gave seminars on hedge funds, including to senior officers of the FDIC.

Explanation of Complex Topics in Financial Mathematics to Non-Experts:

Former Lecturer at the MSFM (Master of Science in Financial Mathematics) at the Mathematics Department at The University of Chicago for eighteen years.

Gave seminars to thousands of delegates all over the world in areas such as: exotic options, convertible bonds and hybrid instruments, hedge funds, advanced risk management, trading volatility as an asset class, energy derivatives, credit derivatives and more.

Serves as an expert witness on a variety of cases.


Other:

Able to quickly process large amounts of information as well as deal with vast amounts of data.

Works well in a team.

Deposition and testimony experience.

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Biography

Izzy is the Founder and President of Super Computer Consulting, Inc. in Northbrook, Illinois. Super Computer Consulting Inc. specializes in complex derivatives, structured products, risk management and hedge funds.  Izzy holds a Ph.D. in Computer Science from Rutgers University and was on the faculty at the University of Toronto.  Izzy's firm has many consulting clients including several regulatory bodies, major broker-dealers, large and medium sized banks as well as hedge funds. The firm has also been called upon to do specialized expert witness work in complex court cases involving derivatives and risk management.

 Izzy is a lecturer at the prestigious mathematics department at the University of Chicago. He teaches numerous courses and seminars around the world on a variety of topics. Izzy's seminars are known for being non mathematical. Instead they combine cutting edge analytics with real world applications and intuitive examples.  Izzy was a member of the Chicago Board Options Exchange (Cboe) Product Development Committee and was a Director of the Cboe Futures Exchange (CFE).

IZZY's Books
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