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PLEASE NOTE THIS IS THE 2020 AGENDA - Main Conference Day 1

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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
                PLEASE NOTE THIS IS THE 2020 AGENDA - AI & ML Summit
                NextPLEASE NOTE THIS IS THE 2020 AGENDA - Main Conference Day 2
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