Main Conference Day One - GMT (Greenwich Mean Time, GMTZ)
The widespread adoption of AI and machine learning in finance is having a major impact on quantitative finance and the nature of quant careers in finance. What is the impact of AI on the quant profession and its implication for the training of future quants?
- Rama Cont - Chair of Mathematical Finance, University of Oxford
- Amal Moussa - Managing Director, Head of US Single Stocks Exotic Derivatives Trading, Goldman Sachs
- Nicole Königstein - Chief AI Officer, Head of AI & Quant Research, quantmate
- Dara Sosulski - Managing Director, Head of AI and Model Management, Markets and Securities Services, HSBC
- AI and humans perform surprisingly alike in classic behavioural psychology experiments
- These experiments show that AI shares many cognitive biases of humans and is prone to human-like errors of logical reasoning and recall
- We will examine the reasons for this surprising and perhaps even shocking finding, some superficial and some profound
- Our analysis will lead to concrete, practical techniques for avoiding these biases and increasing the reliability of AI in business settings
- Alexander Sokol - Executive Chairman, CompatibL
Buyside perspectives on quant funds and allocation trends
- Caspar Berry - Guest speaker & former poker player, Caspar Berry
Forty years after starting to work as a quant at Goldman Sachs and later teaching at Columbia, I look back at which approaches to financial modeling work well, in my opinion, and which don’t.
- Emanuel Derman - Professor of Practice Emeritus, Columbia University
- Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
How are quants adapting these two key markets to their investments?
- Richard Turner - Managing Director, Currency Management, Mesirow Financial
Play a few hands of poker dealt and hosted by former professional poker player (and poker advisor on Casino Royale), Caspar Berry who will give insight into the different things that poker can teach us about investing and life.
*No money will change hands
- Caspar Berry - Guest speaker & former poker player, Caspar Berry
How can neural networks improve fast calibration and pricing?
From 14.00 - 15.30
- Alexander Sokol - Executive Chairman, CompatibL
Beyond the well-charted territory of equity portfolio construction lies the complex challenge of fixed income – a domain where traditional quantitative approaches have struggled. While equity markets benefit from simple asset properties and good data access, fixed income presents formidable obstacles. The few quantitative methods in fixed income – notably stratified sampling for passive strategies – merely scratch the surface. These techniques are incomplete workarounds rather than solutions to the fundamental challenge: the absence of high-quality fixed income risk models.
Our research tackles this through sophisticated interest rate and granular issuer spread curves, coupled with systematic factor models similar to equity approaches. We'll explore theoretical aspects of model construction, including "risk entities" that capture fixed income's multidimensional nature, along with the unique challenges of implementing these models in portfolio optimization frameworks.
Join us to discover research breakthroughs enabling truly quantitative fixed income portfolio construction and optimization.
- Alan Langworthy - Head of Fixed Income and Multi-Asset Class Analytics Research, SimCorp
- Adrian Zymolka - Managing Director, Axioma Client Experience, SimCorp
- Hamza Bahaji - Head of Financial Engineering and Investment Solutions, Amundi ETF, Indexing & Smart Beta,, Amundi
- Brian Huge - Head of Financial Modelling, Trafigura
Integration of ML in credit risk
Play a few hands of poker dealt and hosted by former professional poker player (and poker advisor on Casino Royale), Caspar Berry who will give insight into the different things that poker can teach us about investing and life.
*No money will change hands
- Caspar Berry - Guest speaker & former poker player, Caspar Berry
- The quadratic rough Heston (QRH) model
- Simulating SPX and VIX under QRH
- The skew-stickiness ratio (SSR)
- The SSR under QRH
- Joint fits and the SSR on one day in history
- Why does QRH fit so well?
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
Best practice approaches
Bridging the gap with NLP
Quantitative methods for optimising equity portfolios.
- Universal regimes for nominal, real and inflation rates
- Universal regimes across economic periods and across markets
- Fundamentals behind the universal regimes. Critical role of Central Banks. Tenor dimension
- Universal regimes across P and Q universes
- Expanding Fisher equation from rate levels to its volatilities: is knowing two out of three enough?
- Vladimir Chorniy - Managing Director, Head of Risk Model Fundamentals and Research Lab, Senior Technical Lead, BNP Paribas
- Vinay Kotecha - Head of Rates & FX, Risk Analytics & Modelling, Group Risk Management, BNP Paribas
- Daniel Mayenberger - Head of Quants Markets Solutions – Digital Products, J.P. Morgan
What are the best practices for scaling quant research, managing codebases, and deploying models?
How do you validate alpha over time, stress-test your edge, and manage crowding effects?
What’s changing in how firms assess, measure, and respond to risk across portfolios?
Play a few hands of poker dealt and hosted by former professional poker player (and poker advisor on Casino Royale), Caspar Berry who will give insight into the different things that poker can teach us about investing and life.
*No money will change hands
- Caspar Berry - Guest speaker & former poker player, Caspar Berry