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6-10 December 2021
Hotel Fairmont Barcelona Rey Juan Carlos IBarcelona
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Main Conference Day 1 Draft Agendae - CET (Central European Time, GMT+1)

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Main Conference Day 1 Draft Agendae - CET (Central European Time, GMT+1)

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08:30 - 09:0030 mins
Registration & coffee
    Morning sessions - titles and timings subject to change
    09:00 - 09:4040 mins
    A: Option Pricing, Trading & Volatility
    When the going gets rough — the tough get going
    • Jesper Andreasen - Kwant Father, Saxo Bank
    09:00 - 09:4040 mins
    B: Alpha & Quant Investing
    Beyond Convexity
    • Jessica James - Managing Director, Senior Quantitative Researcher, Commerzbank AG
    09:00 - 09:4040 mins
    C: Interest Rate Modelling, Trading & IBOR
    The state of play; transitioning legacy trades - title tbc
    • Vladimir Piterbarg - MD, Head of Quantitative Analytics & Development, NatWest Markets
    09:00 - 09:4040 mins
    D: Quant Innovation: Data, Computational & Numerical Efficiency
    Numerical stability of Adjoints of implicit functions
    • Uwe Naumann - Professor Of Computer Science, RWTH Aachen University
    09:40 - 10:2040 mins
    A: Option Pricing, Trading & Volatility
    Multilayer heat equations, application to finance
    • Andrey Itkin - Director, Senior Research Associate, Bank Of America
    09:40 - 10:2040 mins
    B: Alpha & Quant Investing
    Next generation machine learning techniques for alpha generation
    • Andrea Nardon - Chief Quant Officer, Fund Manager, Black Alpha Capital
    09:40 - 10:2040 mins
    C: Interest Rate Modelling, Trading & IBOR
    Completing the Generalized Forward Market Model: Genesis and Extensions
    • Fabio Mercurio - Head of Quant Analytics, Bloomberg L.P.
    09:40 - 10:2040 mins
    D: Quant Innovation: Data, Computational & Numerical Efficiency
    New frontiers in data science and quant finance: Topological data analysis for stock selection
    • Matthew Dixon - Assistant Professor of Finance, Department of Applied Mathematics & Stuart School of Business - Illinois Institute of Technology
    10:20 - 11:0040 mins
    A: Option Pricing, Trading & Volatility
    Local volatility under rough volatility
    • Peter Friz - Professor of Mathematics, TU Berlin, Weierstraß-Institut Berlin
    10:20 - 11:0040 mins
    B: Alpha & Quant Investing
    A Human-Machine systematic investment framework for wealth management
    • Emilio Llorente Cano - Head of Investments, Recognition AMS
    10:20 - 11:0040 mins
    C: Interest Rate Modelling, Trading & IBOR
    From quantum to quantos: effective path integral approximations for semi-analytical pricing of quanto CDS
    • Luca Capriotti - Head Quantitative Strategies Credit Products and Structured Notes, Credit Suisse
    10:20 - 11:0040 mins
    D: Quant Innovation: Data, Computational & Numerical Efficiency
    Have your cake and eat it: reverse-mode AD via operator overloading
    • Jacques Du Toit - Product Manager, Financial Services, NAG
    11:00 - 11:3030 mins
    Coffee & networking
      Mid-Morning sessions - titles and timings subject to change
      11:30 - 12:1545 mins
      A: Option Pricing, Trading & Volatility
      The Beauty and Power of Forward Equations
      • Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
      11:30 - 12:1545 mins
      B: Alpha & Quant Investing
      Tackling ESG challenges to smart beta strategies
      • Hamza Bahaji - Head of Engineering and Solutions, Amundi
      11:30 - 12:1545 mins
      C: Interest Rate Modelling, Trading & IBOR
      What short rate model should I use?
      • Colin Turfus - Quantitative Analyst, Deutsche Bank
      11:30 - 12:1545 mins
      D: Quant Innovation: Data, Computational & Numerical Efficiency
      The role of alternative and synthetic data in engineering for future
      • Ioana Boier - Head of Quantitative Portfolio Solutions, Alphadyne Asset Management
      12:15 - 13:0045 mins
      A: Option Pricing, Trading & Volatility
      Modeling volatility index with a conformal process
      • Gregory Pelts - Director, Scotia Bank
      12:15 - 13:0045 mins
      B: Alpha & Quant Investing
      Downside Variance Risk Premium
      • Nicolo Marini - Proprietary Trader - Macro Risk Management, Intesa Sanpaolo
      • Marco Scaringi - Quantitative Analyst, Intesa Sanpaolo
      12:15 - 13:0045 mins
      C: Interest Rate Modelling, Trading & IBOR
      Between Scylla and Charybdis: The Bermudan swaptions pricing odyssey
      • Dariusz Gatarek - Professor, Systems Research Institute, Polish Academy of Sciences
      12:15 - 13:0045 mins
      D: Quant Innovation: Data, Computational & Numerical Efficiency
      Evaluating new sources of and different applications of common data sources
        13:00 - 14:0060 mins
        Lunch
          Afternoon sessions - titles and timings subject to change
          14:00 - 14:4545 mins
          A: Option Pricing, Trading & Volatility
          A Malliavin calculus approach to volatility modelling
          • Elisa Alòs Alcalde - Associate Professor, Universitat Pompeu Fabra (UPF)
          • David Garcia Lorite - Quantitative Analyst, Caixabank
          14:00 - 14:4040 mins
          B: Alpha & Quant Investing
          Systematic strategies for crypto assets
          • Artur Sepp - Quantitative Strategist, Independent
          14:00 - 14:4545 mins
          C: Interest Rate Modelling, Trading & IBOR
          Pricing interest rate options
          • Emiliano Papa - Director - Head of Rates and FX, Deutsche Bank
          14:00 - 14:4545 mins
          D: Quant Innovation: Data, Computational & Numerical Efficiency
          High Frequency Trading and DeFi: Ideas, strategies, building blocks and other considerations
          • Jesus Rodriguez - Chief Technology Officer, IntoTheBlock
          14:40 - 15:2545 mins
          B: Alpha & Quant Investing
          Integrating Time Series and Onchain Data For quntitative investing in the Crypto space
          • Gurraj Sangha - Chief Quantitative Investment Officer, Token Metrics Ventures
          14:45 - 15:3045 mins
          A: Option Pricing, Trading & Volatility
          Pricing and risk analysis in hyperbolic local volatility model with quasi Monte Carlo
          • Julien Hok - Director, Quantitative Analysis, Credit Agricole-CIB
          • Sergei Kucherenko - Senior Research Fellow, Imperial College London
          14:45 - 15:3045 mins
          C: Interest Rate Modelling, Trading & IBOR
          Pricing Forward Starting Swaptions
          • Sander Willems - Quantitative Analyst, RBC Capital Markets
          14:45 - 15:3045 mins
          D: Quant Innovation: Data, Computational & Numerical Efficiency
          Smart contract technology: transforming how financial securities and derivatives are modelled
          • Jochen Theis - tbc, Independent
          15:30 - 16:0030 mins
          Afternoon tea & networking
            Extended sessions - titles and timings subject to change
            16:00 - 17:3090 mins
            A: Option Pricing, Trading & Volatility
            Rough Volatility
            • Mathieu Rosenbaum - Resident Professor, Ecole Polytechnique
            16:00 - 16:3030 mins
            B: Alpha & Quant Investing
            Market Microstructure
            • Mehdi Tomas - PhD Student, École Polytechnique
            • Zoltan Eisler - Senior Execution Strategist, Element Capital Management
            16:00 - 17:3090 mins
            C: Interest Rate Modelling, Trading & IBOR
            IBOR Transition
              16:00 - 17:3090 mins
              D: Quant Innovation: Data, Computational & Numerical Efficiency
              Alternative & Synthetic Data
              • Samuel Cohen - Associate Professor,Theme lead for ML in Finance Alan Turing Institute, University of Oxford
              17:30 - 18:3060 mins
              Networking drinks and working groups
                Summit & Workshops
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