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QuantMinds International
7 - 10 November, 2022
W Barcelona
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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
                  This is the 2021 agenda. The 2022 agenda will be added soon.
                  NextThis is the 2021 agenda. The 2022 agenda will be added soon.
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