Main Conference Day 1 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
Main Conference Day 1 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
- The role of regulation and its link with risk modelling
- Repurposing and redistribution of risk modelling capabilities
- The future of model risk management
Chatham House Rules apply
- Anton Merlushkin - Head of Quant Modelling & Analytics, Jain Global
Not all CPU designs are the same. There are a wide range of CPU designs, each optimized for specific workload characteristics. This talk will explore some of the constraints and design tradeoffs that drive these different design choices, highlight some key design choices that benefit Quant workloads, and illustrate the resulting performance delta of different CPU designs.
How NLP broke the status quo in 2023. How it has been used in a financial capacity? Where are we heading? What is the value brought to the finance world? Will AI & ML replace quants?
- Stefano Pasquali - Head of Investment AI Modelling & Research team, BlackRock
- Chandni Bhan - Global Chief Risk Officer, Wise
- Nicole Königstein - Chief Data Scientist and Head of AI & Quantitative Research, Wyden Capital
- Yehuda Dayan - Head of Thematic Data Science, Citigroup
Due to the highly specialized subject matter, the leading commercial (GPT-4) and open source (Llama 2, Code Llama) LLMs are unable to provide specialized comprehension and generation suitable for quant finance applications out of the box.
In this presentation, I will describe fine-tuning and prompt engineering techniques that convert stock LLMs into specialized tools that can assist with the following model governance functions, subject to final sign-off by human analysts:
1) Validation of trade capture using LLM comprehension of trade confirmations
2) Validation of model documentation using LLM comprehension of source code
3) LLM generation of model documentation and release note drafts
- Alexander Sokol - Executive Chairman, CompatibL
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
- Leif Andersen - Global Co-Head Of Quantitative Strategies Group, Bank of America
- Fabio Mercurio - Global Head of Quant Analytics, Bloomberg L.P.
- Yehuda Dayan - Head of Thematic Data Science, Citigroup
- Hamza Bahaji - Head of Financial Engineering and Investment Solutions, Amundi ETF, Indexing & Smart Beta,, Amundi
- Marie Briere - Head of Investor Intelligence and Academic Partnerships, Amundi
- Wim Schoutens - Professor Of Financial Engineering, University of Leuven
- Marie Briere - Head of Investor Intelligence and Academic Partnerships, Amundi
- Andrea Macrina - Professor of Mathematics, University College London
Please note Limited space for boardroom discussions: First-come first-served!
Arora 7
Please note Limited space for boardroom discussions: First- come first-served!
We will learn practical techniques for using and customizing today’s LLMs (GPT-4 Turbo and LLAMA2) to solve real-life problems in financial markets.
Prior knowledge of LLMs or Python programming is not required.
• Prompt engineering (natural language programming of LLMs)
o Principles of prompt engineering
o Prompt types
• Chains (multi-step workflows)
o Divide and conquer
• Retrieval augmentation (using external information)
o Asking questions over documents
• Logit processing
o Enforcing output format using grammar
o Enforcing logical constraints
• Fine-tuning
o Supervised and self-supervised generation and comprehension
• Overcoming limitations
o Large documents (e.g. model documentation)
o Large file repositories (e.g. source code libraries)
• Achieving Reliability
o Suppressing hallucinations
o Reproducing results
• Hands-on examples
o Comprehension of trade term sheets
o Comprehension of pricing model source code
- Alexander Sokol - Executive Chairman, CompatibL
- Rama Cont - Professor of Mathematics and Chair of Mathematical Finance, University of Oxford
- Marco Bianchetti - Head of IMA Market Risk, Market and Financial Risk Management, Intesa Sanpaolo
- Chris Kenyon - Global Head of Quant Innovation, MUFG Securities
- Brian Huge - Head of Quant, Saxo Bank
How do we construct the curves for emerging markets currencies?
- Jessica James - Managing Director, Senior Quantitative Researcher, Commerzbank AG
- Wafaa Schiefler - Executive Director – Commodities Quantitative Researcher, JP Morgan Chase
- Carol Alexander - Professor, University of Sussex
Arora Foyer
Arora Foyer
Arora Foyer
- Matthias Arnsdorf - Global Head of XVA & Counterparty Credit Risk Modelling, JP Morgan Chase