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23-27 May, 2022
Online virtual conferenceBST (British Summer Time, GMT+1)

AI & ML - Monday 24th May

With AI & ML playing an increasing large part in the day-to-day role of the quant and with so many new applications out there, we are running a dedicated summit on the topic to enable leaders in the field to share best practice and future opportunities. currently confirmed speakers and session topics include the following:

Deeply learning derivatives without model calibration
Deeply learning derivatives without model calibration

Applications: interest rate and equity derivatives with Hull-White and Heston models

  • Machine learning and derivative pricing
  • From model parameters to market data
  • Configuring and training ML algorithms

With Marco Bianchetti, Head of Fair Value Policy, Financial and Market Risk Management, and Pietro Rossi at Intesa Sanpaolo

Recommender Systems
Recommender Systems

A Machine Learning application to corporate bond trading.

With Luca Capriotti, Global Head, Quantitative Strategies, Credit & Financing, Credit Suisse

Latest findings and research on deep learning for hedging
Latest findings and research on deep learning for hedging
  • A new tool for hedging: reinforcement learning
  • When is it applicable? What does it achieve?
  • Using reinforcement learning in conjunction with neural networks
  • Cash flow vs. P&L approach
  • Sample results

With John Hull & Zissis Poulos, University of Toronto

AI & ML - Associate Partners