Michele Cancelli

Michele is the global head of quantitative investment strategies (QIS) and MAG structuring within Citi’s Markets division. The QIS cross-asset team comprises front office professionals based in New York, London and APAC. This team is divided into a quantitative team dedicated to R&D and delivery of systematic investment strategies, and a specialized trading desk solely focused on managing the risk associated with these strategies.

The multi asset group also covers payoff structuring and the franchise, capital and financing structuring team: the former looks after the quant design and pricing of equity exotics derivatives for both retail clients and HFs (hybrids, light exotics and risk recycling); while the latter deals with tax, capital and financing optimization trades for the full equity division (e.g. RWA reduction trades and structured financing transactions).

Michele joined Citi in 2017 with the mandate of leading the QIS development effort in equities, and later expanding to cross-asset. He joined from Goldman Sachs where he was responsible for equity volatility development within the QIS team and later served as co-head of the equity team. Prior to this, Michele also spent several years at J.P. Morgan working in their QIS volatility group. Michele holds a BSc and an MSc in quantitative finance (summa cum laude) from Bocconi University in Italy, which included a spell at The Wharton School, University of Pennsylvania.