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PLEASE NOTE THIS IS THE 2020 AGENDA - Main Conference Day 1
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10:45 - 10:505 mins
A: Volatility Modelling & Trading + Regulatory Developments
Chair's opening remarks
- Matthew Rooney - Head of Quant Analytics, Selby Jennings
10:50 - 11:2030 mins
A: Volatility Modelling & Trading + Regulatory Developments
SA-CCR: the final countdown
- Matteo Rolle - Head of Crossmarket Trading, Banca Sella Holding
11:20 - 11:3515 mins
A: Volatility Modelling & Trading + Regulatory Developments
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
12:05 - 12:2015 mins
A: Volatility Modelling & Trading + Regulatory Developments
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
13:30 - 14:0030 mins
A: Volatility Modelling & Trading + Regulatory Developments
Exotic Commodity Bond Collateral
- Michael Dempster - Professor Emeritus & Founder, Centre For Financial Research, Department Of Pure Mathematics And Statistics, University Of Cambridge
14:00 - 14:1515 mins
A: Volatility Modelling & Trading + Regulatory Developments
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
14:45 - 15:0015 mins
A: Volatility Modelling & Trading + Regulatory Developments
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
16:00 - 16:3030 mins
A: Volatility Modelling & Trading + Regulatory Developments
Bermudian Optionality
- Peter Carr - Department Chair, Finance and Risk Engineering, NYU Tandon School
16:30 - 16:4515 mins
A: Volatility Modelling & Trading + Regulatory Developments
Short break
16:45 - 17:1530 mins
A: Volatility Modelling & Trading + Regulatory Developments
Local Volatility in Multi Dimensions
- Jesper Andreasen - Kwant Daddy, SaxoBank
17:15 - 17:3015 mins
A: Volatility Modelling & Trading + Regulatory Developments
Short break
17:30 - 18:4575 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
18:45 - 18:5510 mins
A: Volatility Modelling & Trading + Regulatory Developments
Chair's closing remarks
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- PLEASE NOTE THIS IS THE 2020 AGENDA - AI & ML Summit
- PLEASE NOTE THIS IS THE 2020 AGENDA - Main Conference Day 1
- PLEASE NOTE THIS IS THE 2020 AGENDA - Main Conference Day 2
- PLEASE NOTE THIS IS THE 2020 AGENDA - Main Conference Day 3
- PLEASE NOTE THIS IS THE 2020 AGENDA - Main Conference Day 4
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