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Main Conference Day 1
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Main Conference Day 1
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08:20 - 08:5030 mins
Registration & welcome coffee
08:50 - 09:0010 mins
Plenary
Chairman's opening remarks
09:00 - 09:3030 mins
Plenary
What the pandemic has wrought: Political Risk in the age of Covid
- John Hulsman - Geopolitical Expert & Life Member, U.S. Council On Foreign Relations
09:30 - 09:4515 mins
Plenary
Short break
09:45 - 10:1530 mins
Plenary
Hello World: Being Human in the Age of Algorithms
- Hannah Fry - Associate Professor in the Mathematics of Cities at the Centre for Advanced Spatial Analysis, UCL
10:15 - 10:4530 mins
Morning coffee & networking break
10:45 - 10:505 mins
A: Volatility Modelling & Trading + Regulatory Developments
Chair's opening remarks
- Matthew Rooney - Head of Quant Analytics, Selby Jennings
10:45 - 10:505 mins
B: Quant Innovation & Computational and Numerical Efficiency
Chair's opening remarks
- Alexandre Rubesam - Professor of Finance, IESEG School of Management
10:45 - 10:505 mins
C: QuantMinds Alpha Forum
Chair's opening remarks
10:45 - 12:50125 mins
D: Masterclass
Geopolitical War Game
- John Hulsman - Geopolitical Expert & Life Member, U.S. Council On Foreign Relations
10:50 - 11:2030 mins
A: Volatility Modelling & Trading + Regulatory Developments
SA-CCR: the final countdown
- Matteo Rolle - Senior Director, Head of In Business Risk, Capital and Collateral, Lloyds Banking Group
10:50 - 11:2030 mins
B: Quant Innovation & Computational and Numerical Efficiency
Introduction to NLP
- Saeed Amen - Founder, Cuemacro
10:50 - 11:2030 mins
C: QuantMinds Alpha Forum
New Perspectives in smart beta portfolio construction: the investment value of target price forecasts to multifactor strategies
- Hamza Bahaji - Head of Engineering and Solutions, Amundi
11:20 - 11:3515 mins
A: Volatility Modelling & Trading + Regulatory Developments
Short break
11:20 - 11:3515 mins
B: Quant Innovation & Computational and Numerical Efficiency
Short break
11:20 - 11:3515 mins
C: QuantMinds Alpha Forum
Short break
11:35 - 12:0530 mins
A: Volatility Modelling & Trading + Regulatory Developments
FRTB – The end of fund derivatives?
- Alexander Giese - Managing Director, Head of Quantitative and Digital Development for Trading, UniCredit
11:35 - 12:0530 mins
B: Quant Innovation & Computational and Numerical Efficiency
Sustainable Finance: Climate Change Risk
- Wim Schoutens - Professor Of Financial Engineering, University of Leuven
- Jan De Spiegeleer - Visiting Professor, KU Leuven
11:35 - 12:0530 mins
C: QuantMinds Alpha Forum
Predicting Intraday Risk and Liquidity with News Analytics
- Giuliano De Rossi - Executive Director, Goldman Sachs
12:05 - 12:2015 mins
A: Volatility Modelling & Trading + Regulatory Developments
Short break
12:05 - 12:2015 mins
B: Quant Innovation & Computational and Numerical Efficiency
Short break
12:05 - 12:2015 mins
C: QuantMinds Alpha Forum
Short break
12:20 - 12:5030 mins
A: Volatility Modelling & Trading + Regulatory Developments
Libor: Reform or replace? Overnight or secured?
- Erik Vynckier - Interim Chief Executive, Foresters Friendly Society
12:20 - 12:5030 mins
B: Quant Innovation & Computational and Numerical Efficiency
Challenges faced when dealing with alternative data: an efficient time series and data proxy analysis
- Andrés Berenguer Alonso - Market Risk Director – Derivative Valuations Area, Santander
12:20 - 12:5030 mins
C: QuantMinds Alpha Forum
Crowding in alternative risk premium strategies
- Zoltan Eisler - Co-Head of Execution, Capital Fund Management
12:50 - 13:3040 mins
Lunch
13:30 - 14:0030 mins
A: Volatility Modelling & Trading + Regulatory Developments
Regularized Markov regression: A unified framework and its statistical and computational guarantees
- Michael Dempster - Professor Emeritus & Founder, Centre For Financial Research, Department Of Pure Mathematics And Statistics, University Of Cambridge
13:30 - 14:0030 mins
B: Quant Innovation & Computational and Numerical Efficiency
Innovations in margin modelling
- Udesh Jha - Managing Director, CME Group
13:30 - 14:0030 mins
C: QuantMinds Alpha Forum
Risk, Return, and Frequency Domain
- Arta Babaee - Formerly Academic Visitor, Imperial College London
14:00 - 14:1515 mins
A: Volatility Modelling & Trading + Regulatory Developments
Short break
14:00 - 14:1515 mins
B: Quant Innovation & Computational and Numerical Efficiency
Short break
14:00 - 14:1515 mins
C: QuantMinds Alpha Forum
Short break
14:15 - 14:4530 mins
A: Volatility Modelling & Trading + Regulatory Developments
The Impact of Collateral and Stays on Financial Stability
- Samim Ghamami - Senior Economist and Managing Director, Financial Services Forum
14:15 - 14:4530 mins
B: Quant Innovation & Computational and Numerical Efficiency
Black Basket Analytics for Mid-Curves and Spread-Options
- Alexandre Antonov - Chief Analyst, Danske Bank
14:15 - 14:4530 mins
C: QuantMinds Alpha Forum
Modeling Causality for Quantitative Finance
- Ioana Boier - Head of Quantitative Portfolio Solutions, Alphadyne Asset Management
14:45 - 15:0015 mins
A: Volatility Modelling & Trading + Regulatory Developments
Short break
14:45 - 15:0015 mins
B: Quant Innovation & Computational and Numerical Efficiency
Short break
14:45 - 15:0015 mins
C: QuantMinds Alpha Forum
Short break
15:00 - 15:3030 mins
A: Volatility Modelling & Trading + Regulatory Developments
ADOL - Markovian approximation of rough lognormal model
- Andrey Itkin - Director, Senior Research Associate, Bank Of America Merrill Lynch
15:00 - 15:3030 mins
B: Quant Innovation & Computational and Numerical Efficiency
Large-Scale and Cost-Efficient Risk Calculations in Clouds
- Oliver Caps - Director, Product Owner Market Risk Analytics, Commerzbank
15:00 - 15:3030 mins
C: QuantMinds Alpha Forum
Long-term performance and risk-profile of managed futures strategies
- Artur Sepp - Director of Research, Quantica Capital AG
15:30 - 16:0030 mins
Afternoon tea & networking break
16:00 - 16:3030 mins
A: Volatility Modelling & Trading + Regulatory Developments
Bermudian Optionality
- Peter Carr - Department Chair, Finance and Risk Engineering, NYU Tandon School
16:00 - 16:3030 mins
B: Quant Innovation & Computational and Numerical Efficiency
Deep Pricing Theory and Practice
- Youssef Elouerkhaoui - Managing Director And Global Head Of Credit & Commodities Quantitative Analysis, Citigroup
16:00 - 16:3030 mins
C: QuantMinds Alpha Forum
Panel: Extracting alpha through quantitative finance
- Arta Babaee - Formerly Academic Visitor, Imperial College London
- Yuri Lobyntsev - Co-founder & CTO, Cindicator Capital
- Kostas Iordanidis - Managing Partner, KI Capital
- Abhijeet Gaikwad - Managing Director, Trium Capital
16:30 - 16:4515 mins
A: Volatility Modelling & Trading + Regulatory Developments
Short break
16:30 - 16:4515 mins
B: Quant Innovation & Computational and Numerical Efficiency
Short break
16:30 - 16:4515 mins
C: QuantMinds Alpha Forum
Short break
16:45 - 17:1530 mins
A: Volatility Modelling & Trading + Regulatory Developments
Local Volatility in Multi Dimensions
- Jesper Andreasen - Kwant Daddy, SaxoBank
16:45 - 17:1530 mins
B: Quant Innovation & Computational and Numerical Efficiency
Quantum Machine Learning
- Alexei Kondratyev - Managing Director, Global Head of Data Analytics, CCIB, Standard Chartered Bank
16:45 - 17:1530 mins
C: QuantMinds Alpha Forum
From Smart Betas to Smart Alphas
- Milind Sharma - CEO, QuantZ Capital Management & QMIT
17:15 - 17:3015 mins
A: Volatility Modelling & Trading + Regulatory Developments
Short break
17:15 - 17:3015 mins
B: Quant Innovation & Computational and Numerical Efficiency
Short break
17:15 - 17:3015 mins
C: QuantMinds Alpha Forum
Short break
17:30 - 18:5080 mins
A: Volatility Modelling & Trading + Regulatory Developments
Special Session on the Joint SPX/VIX Smile Calibration Problem
- Julien Guyon - Senior Quant, Bloomberg L.P.
- Mathieu Rosenbaum - Professor, Ecole Polytechnique
17:30 - 18:0030 mins
B: Quant Innovation & Computational and Numerical Efficiency
Cloud GPUs for Risk Calculations
- Andrew Green - Managing Director and XVA Lead Quant, Scotiabank
17:30 - 18:0030 mins
C: QuantMinds Alpha Forum
Learning non-linear relationships in the cross-section: a machine learning approach to factor investing
- Valerio Sperandeo - Senior Application Engineer, MathWorks
- Ricardo Pachon Cortes - Vice President, Credit Suisse
18:00 - 18:1010 mins
B: Quant Innovation & Computational and Numerical Efficiency
Chair's closing remarks
- Alexandre Rubesam - Professor of Finance, IESEG School of Management
18:00 - 18:1515 mins
C: QuantMinds Alpha Forum
Short break
18:15 - 18:5035 mins
C: QuantMinds Alpha Forum
Has factor investing lost its premium?
- George Mylnikov - Vice President, Head of Quantitative Research, Charles Schwab Investment Management
18:50 - 19:0010 mins
A: Volatility Modelling & Trading + Regulatory Developments
Chair's closing remarks
18:50 - 19:0010 mins
C: QuantMinds Alpha Forum
Chair's closing remarks
19:00 - 20:0060 mins
Networking drinks reception & champagne roundtable discussion groups
- Wim Schoutens - Professor Of Financial Engineering, University of Leuven
- Remo Minero - Head of Quant Development, NN Group
- Peter Carr - Department Chair, Finance and Risk Engineering, NYU Tandon School
20:00 - 20:055 mins
End of main conference day 1
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