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Main Conference Day 2
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Main Conference Day 2
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Streams
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08:30 - 08:5525 mins
Registration & welcome coffee
08:55 - 09:005 mins
A: Option pricing & volatility
Chair’s opening remarks
- Leif Andersen - Global Co-Head Of Quantitative Strategies Group, Bank Of America Merrill Lynch
08:55 - 09:005 mins
B: Quant 2.0: Being A Quant In The New Era
Chair’s opening remarks
- Andrey Chirikhin - Head of Structured Credit Quantitative Analytics, Barclays Investment Bank
08:55 - 09:005 mins
C: Interest rate & IBOR
Chair’s opening remarks
- Andrew McClelland - SVP, Quantitative Research, Numerix
08:55 - 09:4045 mins
D: Masterclass
Deep Analytics
- Antoine Savine - Quantitative Research , Danske Bank
- Brian Huge - Chief Quantitative Analyst, Danske Bank
09:00 - 09:3030 mins
A: Option pricing & volatility
Pricing of Digital exotic Options by Monte Carlo
- Julien Hok - Quantitative Analyst, INVESTEC Bank
09:00 - 09:3030 mins
B: Quant 2.0: Being A Quant In The New Era
Panel: How is technology and regulation affecting the quant role?
- Nadhem Meziou - Head of Fixed Income Quantitative Research, Natixis
- Samim Ghamami - Senior Economist and Managing Director, Financial Services Forum
- Christoph Burgard - Head of Risk Analytics For Global Markets, Bank of America Merrill Lynch
- Massimo Morini - Head of Interest Rate and Credit Models, Banca IMI
- Andrey Chirikhin - Head of Structured Credit Quantitative Analytics, Barclays Investment Bank
09:00 - 09:3030 mins
C: Interest rate & IBOR
Discounting big-bang: convexity adjustment
- Marc Henrard - Visiting Professor, University College London
09:30 - 09:4515 mins
A: Option pricing & volatility
Short break
09:30 - 09:4515 mins
B: Quant 2.0: Being A Quant In The New Era
Short break
09:30 - 09:4515 mins
C: Interest rate & IBOR
Short break
09:45 - 10:1530 mins
A: Option pricing & volatility
Deep learning calibration of option pricing models: some pitfalls, solutions and examples
- Andrey Itkin - Director, Senior Research Associate, Bank Of America Merrill Lynch
09:45 - 10:1530 mins
B: Quant 2.0: Being A Quant In The New Era
Tackling nonlinear high dimensional problems in finance with low rank tensor techniques and deep neural networks
- Kathrin Glau - FELLOW co-founded by Marie Skłodowska Curie at École Polytechnique Fédérale de Lausanne & Financial Mathematics, Queen Mary University of London
09:45 - 10:1530 mins
C: Interest rate & IBOR
Modelling framework for term rates replacing LIBOR
- Maurizio Garro - Senior Lead - IBOR Transition programme, Lloyds Bank
10:15 - 10:3015 mins
A: Option pricing & volatility
Short break
10:15 - 10:3015 mins
B: Quant 2.0: Being A Quant In The New Era
Short break
10:15 - 10:3015 mins
C: Interest rate & IBOR
Short break
10:30 - 11:0030 mins
A: Option pricing & volatility
Arc-sine Law and the Libor Reform
- Vladimir Piterbarg - MD, Head of Quantitative Analytics and Quantitative Development, NatWest Markets
10:30 - 11:0030 mins
B: Quant 2.0: Being A Quant In The New Era
Explaining AI - Theory and Practice
- Daniel Mayenberger - Co-Author, Upcoming book "Reverse Stress Testing in Banking" (2021) - Artificial Intelligence Applications
10:30 - 11:0030 mins
C: Interest rate & IBOR
Efficient pricing of rates and hybrid derivatives post-Libor
- Colin Turfus - Quantitative Analyst, Deutsche Bank
11:00 - 11:3030 mins
Morning coffee & networking break
11:30 - 12:0030 mins
A: Option pricing & volatility
Hybrid Monte Carlo-FEM method: a new way to solve complex pricing problems
- Angel Rodriguez-Rozas - Associate Director – Quantitative Analyst, Model Validation, Banco Santander
11:30 - 12:0030 mins
B: Quant 2.0: Being A Quant In The New Era
Incorporating Negative Prices and Strikes into the Black Model
- Richard Martin - Independent, Trader
11:30 - 12:0030 mins
C: Interest rate & IBOR
Convexity with collateral for Stochastic Libor-OIS/SOFR spreads, a semi-analytic approach
- Emiliano Papa - Director - Head of Rates and FX, Deutsche Bank
12:00 - 12:1515 mins
A: Option pricing & volatility
Short break
12:00 - 12:1515 mins
B: Quant 2.0: Being A Quant In The New Era
Short break
12:00 - 12:1515 mins
C: Interest rate & IBOR
Short break
12:15 - 12:4530 mins
A: Option pricing & volatility
The right kind of volatility
- Marcos Costa Santos Carreira - PhD Candidate, École Polytechnique
12:15 - 12:4530 mins
B: Quant 2.0: Being A Quant In The New Era
Explainable Artificial Intelligence for Quantitative Finance
- Fabien Choujaa - Global Head of Algorithmic Trading Model Risk Management, Morgan Stanley
12:15 - 12:4530 mins
C: Interest rate & IBOR
Swaptions Modelling in a Risk-Free Rate framework
- Dominique Bang - Director, Bank of America Merrill Lynch
12:45 - 13:0015 mins
A: Option pricing & volatility
Short break
12:45 - 13:0015 mins
B: Quant 2.0: Being A Quant In The New Era
Short break
12:45 - 13:0015 mins
C: Interest rate & IBOR
Short break
13:00 - 13:3030 mins
A: Option pricing & volatility
The mathematics of cumulants, diamonds and forests
- Peter Friz - Professor of Mathematics, TU Berlin, Weierstraß-Institut Berlin
13:00 - 13:3030 mins
B: Quant 2.0: Being A Quant In The New Era
Quants, Quantum Mechanics and Quantos
- Luca Capriotti - Head of Quantitative Strategies Credit, Credit Suisse
13:00 - 13:3030 mins
C: Interest rate & IBOR
Modelling Interest Rate and FX Derivatives with Division Algebras
- Gregory Pelts - Quant, Wells Fargo & Co
13:30 - 14:3060 mins
Lunch
14:30 - 15:0030 mins
A: Option pricing & volatility
Diamond trees and the forest expansion
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
14:30 - 15:0030 mins
B: Quant 2.0: Being A Quant In The New Era
Using machine learning for risk monitoring and VaR calculations
- Peter Quell - Head of Portfolio Analytics Team for Market & Credit Risk, DZ BANK
14:30 - 15:0030 mins
C: Interest rate & IBOR
Part 1: Looking Forward to Backward-Looking Rates: Completing the Generalized Forward Market Model
- Fabio Mercurio - Global Head of Quant Analytics, Bloomberg L.P.
- Andrei Lyashenko - Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.
15:00 - 15:1515 mins
A: Option pricing & volatility
Short break
15:00 - 15:1515 mins
B: Quant 2.0: Being A Quant In The New Era
Short break
15:00 - 15:1515 mins
C: Interest rate & IBOR
Short break
15:15 - 15:4530 mins
A: Option pricing & volatility
A new framework for the static replication of single- and multi-asset European options
- Sebastien Bossu - Principal, Ogee Group LLC
15:15 - 15:4530 mins
B: Quant 2.0: Being A Quant In The New Era
Designing modern, scalable and cloud ready pricing platforms
- Holger Plank - Partner, d-fine
- Wjatscheslaw Kewlin - Senior Consultant, d-fine
15:15 - 15:4530 mins
C: Interest rate & IBOR
Part 2: Looking Forward to Backward-Looking Rates: Completing the Generalized Forward Market Model
- Fabio Mercurio - Global Head of Quant Analytics, Bloomberg L.P.
- Andrei Lyashenko - Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.
15:45 - 16:0015 mins
A: Option pricing & volatility
Short break
15:45 - 16:0015 mins
B: Quant 2.0: Being A Quant In The New Era
Short break
15:45 - 16:0015 mins
C: Interest rate & IBOR
Short break
16:00 - 16:3030 mins
A: Option pricing & volatility
The Beauty and Power of Forward Equations
- Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
16:00 - 16:3030 mins
B: Quant 2.0: Being A Quant In The New Era
Bias Reducing Optimization Techniques for Neural Nets
- Tyler Ward - Local Search Modeler, Virtu Financial
16:00 - 16:3030 mins
C: Interest rate & IBOR
Tenor Basis Flow
- Andrew McClelland - SVP, Quantitative Research, Numerix
16:30 - 16:355 mins
A: Option pricing & volatility
Chair's closing remarks
- Leif Andersen - Global Co-Head Of Quantitative Strategies Group, Bank Of America Merrill Lynch
16:30 - 16:355 mins
B: Quant 2.0: Being A Quant In The New Era
Chair's closing remarks
- Andrey Chirikhin - Head of Structured Credit Quantitative Analytics, Barclays Investment Bank
16:30 - 16:355 mins
C: Interest rate & IBOR
Chair's closing remarks
- Andrew McClelland - SVP, Quantitative Research, Numerix
16:35 - 16:5015 mins
Short break
16:50 - 17:3040 mins
Deep learning for hedging
- John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management, University Of Toronto
- Zissis Poulos - Postdoctoral fellow at the Joseph L. Rotman School of Management & researcher, Rotman Financial Innovation Hub (FinHub), University of Toronto
17:30 - 19:0090 mins
Networking & roundtable discussion groups
- Michael Konikov - SVP, Head of Quantitative Development, Numerix
19:00 - 19:055 mins
End of main conference day 2
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