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This is the 2021 agenda. The 2022 agenda will be added soon. - CET (Central European Time, GMT+1)
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This is the 2021 agenda. The 2022 agenda will be added soon. - CET (Central European Time, GMT+1)
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08:00 - 08:5555 mins
Networking
Registration & coffee
Morning sessions - titles and timings subject to change
08:55 - 09:005 mins
Option Pricing, Trading & Volatility
Chair's opening remarks
- Andrew McClelland - Director, Quantitative Research, Numerix
08:55 - 09:005 mins
Alpha & Quant Investing
Chair's opening remarks
- Matthew Rooney - VP, Head of Quant Analytics Europe, Selby Jennings
08:55 - 09:005 mins
Quant Innovation: Data, Computational & Numerical Efficiency
Chair's opening remarks
09:00 - 09:4040 mins
Option Pricing, Trading & Volatility
When the going gets rough — the tough get going
- Jesper Andreasen - Kwant Father, Saxo Bank
09:00 - 09:4040 mins
Alpha & Quant Investing
Market Generators and Regime detection
- Blanka Horvath - Lecturer in Financial Mathematics, Technical University of Munich
09:00 - 09:4040 mins
Quant Innovation: Data, Computational & Numerical Efficiency
Have your cake and eat it: reverse-mode AD via operator overloading
- Viktor Mosenkis - Senior Software Engineer, NAG
09:40 - 10:2040 mins
Option Pricing, Trading & Volatility
Signatures: building blocks for path dependence
- Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
09:40 - 10:2040 mins
Alpha & Quant Investing
Credit Variance Risk Premium
- Nicolo Marini - Proprietary Trader - Macro Risk Management, Intesa Sanpaolo
- Marco Scaringi - Quantitative Analyst, Intesa Sanpaolo
09:40 - 10:2040 mins
Quant Innovation: Data, Computational & Numerical Efficiency
AAD integration strategies for top performance and ease of use
- Dmitri Goloubentsev - CTO | Head of Automatic Adjoint Differentiation, Matlogica
10:20 - 11:0040 mins
Option Pricing, Trading & Volatility
Local volatility under rough volatility
- Peter Friz - Professor of Mathematics, TU Berlin, Weierstraß-Institut Berlin
- Stefano De Marco - Assistant Professor in Applied Mathematics, Ecole Polytechnique
10:20 - 11:0040 mins
Alpha & Quant Investing
A Human-Machine systematic investment framework for wealth management
- Emilio Llorente Cano - CIO, Recognition AMS
10:20 - 11:0040 mins
Quant Innovation: Data, Computational & Numerical Efficiency
Recent advances in quantitative financial regulation
- Mathieu Rosenbaum - Resident Professor, Ecole Polytechnique
11:00 - 11:3030 mins
Networking
Coffee & networking
Mid-Morning sessions - titles and timings subject to change
11:30 - 12:1545 mins
Option Pricing, Trading & Volatility
Learning Path-Dependent Volatility
- Julien Guyon - Senior Quantitative Analyst, Bloomberg L.P.
11:30 - 12:1545 mins
Alpha & Quant Investing
Tackling ESG challenges to smart beta strategies
- Hamza Bahaji - Head of Engineering and Solutions, Amundi
11:30 - 12:1545 mins
Quant Innovation: Data, Computational & Numerical Efficiency
A PDE-based Quantum Algorithm for Pricing Financial Derivatives
- Ángel Rodríguez-Rozas - Associate Director – Quantitative Analyst, Model Validation, Banco Santander
12:15 - 13:0045 mins
Option Pricing, Trading & Volatility
Hedging with Asymmetric Greeks
- Nadhem Meziou - Head of Fixed Income Quantitative Research, Natixis
12:15 - 13:0045 mins
Alpha & Quant Investing
ESG Optimal Allocation for insurance companies
- Aymeric Kalife - CEO and Founder, iDigital Partner
12:15 - 13:0045 mins
Quant Innovation: Data, Computational & Numerical Efficiency
Harvesting the FX volatility risk premium with Python
- Saeed Amen - Founder, Cuemacro
13:00 - 14:0060 mins
Networking
Lunch
Extended sessions - titles and timings subject to change
14:00 - 15:3090 mins
Option Pricing, Trading & Volatility
Rough Volatility Deep Dive
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
- Mathieu Rosenbaum - Resident Professor, Ecole Polytechnique
14:00 - 15:3090 mins
Alpha & Quant Investing
Leveraging market microstructure to trade better
- Zoltan Eisler - Senior Execution Strategist, Element Capital Management
- Michael Steliaros - Global Head of Quantitative Execution Services, Goldman Sachs
- Mehdi Tomas - PhD Student, École Polytechnique
- Fabrizio Lillo - Full Professor of Mathematical Methods for Economics and Finance, University of Bologna
14:00 - 15:3090 mins
Quant Innovation: Algo Trading & ML
Alternatives to Deep Neural Networks for Function Approximations in Finance
- Alexander Antonov - Chief Analyst, Danske Bank
Afternoon sessions - titles and timings subject to change
15:30 - 16:0030 mins
Option Pricing, Trading & Volatility
Tea & Networking
15:30 - 16:0030 mins
Alpha & Quant Investing
Tea & Networking
15:30 - 16:0030 mins
Quant Innovation: Data, Computational & Numerical Efficiency
Tea & Networking
15:30 - 15:4010 mins
Riskminds Technical Lectures, Gran Salo Gaudi 2
Tea & Networking
15:40 - 16:1535 mins
Riskminds Technical Lectures, Gran Salo Gaudi 2
Machine Learning and stress testing
- John Hull - Maple Financial Professor of Derivatives & Risk Management, Joseph L. Rotman School of Management at University Of Toronto
16:00 - 16:4040 mins
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
16:00 - 16:4040 mins
Alpha & Quant Investing
Systematic strategies for crypto assets
- Artur Sepp - Head Systematic Solutions & Portfolio Construction, Sygnum Bank
16:00 - 16:4040 mins
Quant Innovation: Data, Computational & Numerical Efficiency
High Frequency Trading and DeFi: Ideas, strategies, building blocks and other considerations
- Jesus Rodriguez - Chief Technology Officer, IntoTheBlock
Late afternoon sessions
16:40 - 17:2040 mins
Option Pricing, Trading & Volatility
Pricing and risk analysis in hyperbolic local volatility model with quasi Monte Carlo
- Julien Hok - Senior Quantitative Analyst, Investec bank
- Sergei Kucherenko - Senior Research Fellow, Imperial College London
16:40 - 17:2040 mins
Alpha & Quant Investing
Investment Management 2.0 and Blockchain in Asset Management: Using AI to unlock personalized alpha strategies and investing based on to Core Values & Ethos for retail clients
- Grigorios Papamanousakis - CEO, Prometheus Technologies
- Anthony Flynn - Director, Alliances and Partnerships, Prometheus Technologies
16:40 - 17:2040 mins
Quant Innovation: Data, Computational & Numerical Efficiency
Smart contract technology: transforming how financial securities and derivatives are modelled
- Jochen Theis - ., Deon Digital
17:20 - 18:0040 mins
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
17:20 - 18:0040 mins
Quant Innovation: Data, Computational & Numerical Efficiency
Arbitrage-free Neural-SDE Market models
- Samuel Cohen - Associate Professor,Theme lead for ML in Finance Alan Turing Institute, University of Oxford
18:00 - 20:00120 mins
Networking
Networking drinks and roundtables
- Marie-Astrid Renard - AVP, Market Specialist, Selby Jennings
- Sebastian Schlenkrich - Senior Manager, d-fine GmbH
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