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Main Conference Day 1
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Main Conference Day 1
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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
10:50 - 11:2030 mins
B: Quant Innovation & Computational and Numerical Efficiency
Introduction to NLP
- Saeed Amen - Founder, Cuemacro
11:20 - 11:3515 mins
B: Quant Innovation & Computational and Numerical Efficiency
Short break
11:35 - 12:0530 mins
B: Quant Innovation & Computational and Numerical Efficiency
A Neural Network Approach to Understanding Implied Volatility Movements
12:05 - 12:2015 mins
B: Quant Innovation & Computational and Numerical Efficiency
Short break
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
13:30 - 14:0030 mins
B: Quant Innovation & Computational and Numerical Efficiency
Proxying alternative data alongside traditional data
14:00 - 14:1515 mins
B: Quant Innovation & Computational and Numerical Efficiency
Short break
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
14:45 - 15:0015 mins
B: Quant Innovation & Computational and Numerical Efficiency
Short break
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
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
16:30 - 16:4515 mins
B: Quant Innovation & Computational and Numerical Efficiency
Short break
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
17:15 - 17:3015 mins
B: Quant Innovation & Computational and Numerical Efficiency
Short break
17:30 - 18:0030 mins
B: Quant Innovation & Computational and Numerical Efficiency
Cloud GPUs for Risk Calculations
18:00 - 18:1515 mins
B: Quant Innovation & Computational and Numerical Efficiency
Short break
18:15 - 18:5035 mins
B: Quant Innovation & Computational and Numerical Efficiency
Deeply Learning Derivatives: Tackling the Toughest Models
- Ryan Ferguson - Founder & CEO, Riskfuel
18:50 - 19:0010 mins
B: Quant Innovation & Computational and Numerical Efficiency
Chair's closing remarks
- Alexandre Rubesam - Professor of Finance, IESEG School of Management
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