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Main Conference Day 1

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Main Conference Day 1

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07:35 - 08:5075 mins
Registration & welcome coffee
    08:50 - 09:0010 mins
    Plenary
    Chairman's opening remarks
      09:00 - 09:4040 mins
      Plenary
      Slowbalisation?
      • John Hulsman - Geopolitical Expert & Life Member, U.S. Council On Foreign Relations
      09:00 - 09:4040 mins
      In the boardroom discussion
      Building profitable partnerships between industry and academia
        09:40 - 10:2040 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
        09:40 - 10:2040 mins
        In the boardroom discussion
        Libor: Reform or replace? Overnight or secured?
        • Erik Vynckier - Interim Chief Executive, Foresters Friendly Society
        10:20 - 11:0040 mins
        Plenary
        KickBox Innovation
          10:20 - 11:0040 mins
          In the boardroom discussion
          Sustainable Finance: Climate Change Risk
          • Wim Schoutens - Professor Of Financial Engineering, University of Leuven
          11:00 - 11:3030 mins
          Morning coffee & networking break
            11:30 - 11:4010 mins
            A: Volatility Modelling & Trading
            Chair's opening remarks
              11:30 - 11:4010 mins
              B: Quant Innovation
              Chair's opening remarks
              • Alexandre Rubesam - Professor of Finance, IESEG School of Management
              11:30 - 11:4010 mins
              C: Computational & Numerical Efficiency
              Chair's opening remarks
                11:30 - 11:4010 mins
                D: Regulation developments
                Chair's opening remarks
                  11:30 - 13:0090 mins
                  E: Masterclass
                  Deep Analytics Masterclass
                  • Antoine Savine - Quantitative Research , Danske Bank
                  • Brian Huge - Chief Quantitative Analyst, Danske Bank
                  11:40 - 12:2040 mins
                  A: Volatility Modelling & Trading
                  Practicalities of Multi-asset stochastic volatility / local-stochastic volatility models
                  • Lorenzo Bergomi - Head of Quantitative Research, Société Générale
                  11:40 - 12:2040 mins
                  B: Quant Innovation
                  Introduction to NLP
                  • Saeed Amen - Founder, Cuemacro
                  11:40 - 12:2040 mins
                  C: Computational & Numerical Efficiency
                  Quantum Machine Learning
                  • Alexei Kondratyev - Managing Director, Global Head of Data Analytics, CCIB, Standard Chartered Bank
                  11:40 - 12:2040 mins
                  D: Regulation developments
                  Convexity with collateral for Stochastic Libor-OIS/SOFR spreads, a semi-analytic approach
                  • Emiliano Papa - Director - Head of Rates and FX, Deutsche Bank
                  12:20 - 13:0040 mins
                  A: Volatility Modelling & Trading
                  When (rough) Heston meets Zumbach and Guyon: A simple solution to the SPX/VIX smile calibration problem
                  • Mathieu Rosenbaum - Professor, Ecole Polytechnique
                  12:20 - 13:0040 mins
                  B: Quant Innovation
                  Deep learning calibration of option pricing models: some pitfalls, solutions and examples
                  • Andrey Itkin - Director, Senior Research Associate, Bank Of America Merrill Lynch
                  12:20 - 13:0040 mins
                  C: Computational & Numerical Efficiency
                  Cloud GPUs for Risk Calculations
                    12:20 - 13:0040 mins
                    D: Regulation developments
                    IBOR: how the yield curve is going to look like in the future
                      13:00 - 14:0060 mins
                      Lunch
                        14:00 - 14:4040 mins
                        A: Volatility Modelling & Trading
                        The Joint S&P 500/VIX Smile Calibration Puzzle Solved With Continuous Stochastic Volatility Models
                        • Julien Guyon - Senior Quant, Bloomberg L.P.
                        14:00 - 14:4040 mins
                        B: Quant Innovation
                        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
                        14:00 - 14:4040 mins
                        C: Computational & Numerical Efficiency
                        Deeply Learning Derivatives: Tackling the Toughest Models
                        • Ryan Ferguson - Founder & CEO, Riskfuel
                        14:00 - 14:4040 mins
                        D: Regulation developments
                        Modelling framework for term rates replacing LIBOR
                        • Maurizio Garro - Senior Lead - IBOR Transition programme, Lloyds Bank
                        14:00 - 14:4040 mins
                        E: QuantMinds Alpha Forum
                        Panel: Extracting alpha through quantitative finance
                        • Yuri Lobyntsev - Co-founder & CTO, Cindicator Capital
                        • David Mascio - Managing Founder and Principal, Della Parola Capital Management, LLC
                        • Kostas Iordanidis - Managing Partner, KI Capital
                        • Abhijeet Gaikwad - Managing Director, Trium Capital
                        14:40 - 15:2040 mins
                        A: Volatility Modelling & Trading
                        Adding Optionality
                        • Peter Carr - Department Chair, Finance and Risk Engineering, NYU Tandon School
                        14:40 - 15:2040 mins
                        B: Quant Innovation
                        Proxying alternative data alongside traditional data
                          14:40 - 15:2040 mins
                          C: Computational & Numerical Efficiency
                          Neural Networks with Asymptotic Control
                          • Alexandre Antonov - Chief Analyst, Danske Bank
                          • Vladimir Piterbarg - MD, Head of Quantitative Analytics and Quantitative Development, NatWest Markets
                          14:40 - 15:2040 mins
                          D: Regulation developments
                          SA-CCR: the final countdown
                          • Matteo Rolle - Senior Director, Head of In Business Risk, Capital and Collateral, Lloyds Banking Group
                          14:40 - 15:2040 mins
                          E: QuantMinds Alpha Forum
                          From Smart Betas to Smart Alphas
                          • Milind Sharma - CEO, QuantZ Capital Management
                          15:20 - 15:5030 mins
                          Afternoon tea & networking break
                            15:50 - 16:3040 mins
                            A: Volatility Modelling & Trading
                            Arbitrage Free Evolution of the Volatility Surface
                            • Jesper Andreasen - Kwant Daddy, SaxoBank
                            15:50 - 16:3040 mins
                            B: Quant Innovation
                            Modeling Causality for Quantitative Finance
                            • Ioana Boier - Head of Quantitative Portfolio Solutions, Alphadyne Asset Management
                            15:50 - 16:3040 mins
                            C: Computational & Numerical Efficiency
                            Pricing of Digital exotic Options by Monte Carlo
                            • Julien Hok - Director, Quantitative Analysis, Credit Agricole-CIB
                            15:50 - 16:3040 mins
                            D: Regulation developments
                            Calibration for the standardised approach and capital output floor
                              15:50 - 16:3040 mins
                              E: QuantMinds Alpha Forum
                              New perspectives in smart beta portfolio construction: a clustering-based industry classification
                              • Hamza Bahaji - Head of Engineering and Solutions, Amundi
                              16:30 - 17:1040 mins
                              A: Volatility Modelling & Trading
                              Numerical acceleration of option pricing by characteristic function methods
                                16:30 - 17:1040 mins
                                B: Quant Innovation
                                Large-Scale and Cost-Efficient Risk Calculations in Clouds
                                • Oliver Caps - Director, Product Owner Market Risk Analytics, Commerzbank
                                16:30 - 17:1040 mins
                                C: Computational & Numerical Efficiency
                                Natural Language Processing to estimate indicators for Risk and Portfolio management
                                • Erdem Ultanir - Quantitative Credit Risk Analytics Lead, Barclays
                                16:30 - 17:1040 mins
                                D: Regulation developments
                                FRTB – The end of fund derivatives?
                                • Alexander Giese - Managing Director, Head of Quantitative and Digital Development for Trading, UniCredit
                                16:30 - 17:5080 mins
                                E: QuantMinds Alpha Forum
                                Quant Challenge: Geopolitical war game
                                • John Hulsman - Geopolitical Expert & Life Member, U.S. Council On Foreign Relations
                                17:10 - 17:5040 mins
                                A: Volatility Modelling & Trading
                                ADOL - Markovian approximation of rough lognormal model
                                • Andrey Itkin - Director, Senior Research Associate, Bank Of America Merrill Lynch
                                17:10 - 17:5040 mins
                                B: Quant Innovation
                                Deep Pricing Theory and Practice
                                • Youssef Elouerkhaoui - Managing Director And Global Head Of Credit & Commodities Quantitative Analysis, Citigroup
                                17:10 - 17:5040 mins
                                C: Computational & Numerical Efficiency
                                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
                                17:10 - 17:5040 mins
                                D: Regulation developments
                                The US Repo Market
                                • Samim Ghamami - Financial Economist, Goldman Sachs
                                17:50 - 18:0010 mins
                                A: Volatility Modelling & Trading
                                Chair's closing remarks
                                  17:50 - 18:0010 mins
                                  B: Quant Innovation
                                  Chair's closing remarks
                                  • Alexandre Rubesam - Professor of Finance, IESEG School of Management
                                  17:50 - 18:0010 mins
                                  C: Computational & Numerical Efficiency
                                  Chair's closing remarks
                                    17:50 - 18:0010 mins
                                    D: Regulation developments
                                    Chair's closing remarks
                                      17:50 - 18:0010 mins
                                      E: QuantMinds Alpha Forum
                                      Chair's closing remarks
                                        18:00 - 19:0060 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
                                        19:00 - 19:055 mins
                                        End of main conference day 1
                                          AI & ML Summit, Volatility Workshop and AAD Workshop
                                          NextMain Conference Day 2

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