6-10 December 2021
Hotel Fairmont Barcelona Rey Juan Carlos IBarcelonakeyboard_arrow_right
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Main Conference Day 2 Draft Agenda - CET (Central European Time, GMT+1)
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Main Conference Day 2 Draft Agenda - CET (Central European Time, GMT+1)
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08:30 - 09:0030 mins
Registration & coffee
Morning sessions - titles and timings subject to change
09:00 - 09:4040 mins
A: Option Pricing, Trading & Volatility
New methods and models of pricing derivatives
09:00 - 09:4040 mins
B: Risk Management: Model Risk & Liquidity
Model risk management in the new pandemic context
09:00 - 09:4040 mins
C: Interest Rate Modelling, Trading & IBOR
Modelling framework for term rates replacing LIBOR
09:00 - 09:4040 mins
D: Quant Innovation: Algo Trading & ML
Deep learning and reinforcement learning trading strategies
09:40 - 10:2040 mins
A: Option Pricing, Trading & Volatility
JDOI Variance Reduction and American Option Pricing
- Ludovic Mathys - Equity Derivatives Trader, UBS
09:40 - 10:2040 mins
B: Risk Management: Model Risk & Liquidity
Liquidity and operational risk
09:40 - 10:2040 mins
C: Interest Rate Modelling, Trading & IBOR
Considering the impact of IBOR reform for non-IR models
09:40 - 10:2040 mins
D: Quant Innovation: Algo Trading & ML
Reinforcement Learning and physics informed machine learning
10:20 - 11:0040 mins
A: Option Pricing, Trading & Volatility
Deep neural network applications for volatility surface modelling
10:20 - 11:0040 mins
B: Risk Management: Model Risk & Liquidity
Modelling Energy Curves for XVA
- Andrew McClelland - Director, Quantitative Research, Numerix
10:20 - 11:0040 mins
C: Interest Rate Modelling, Trading & IBOR
LIBOR transition: alternative interest rate benchmarks
- Andrea Macrina - Reader in Mathematics, University College London
10:20 - 11:0040 mins
D: Quant Innovation: Algo Trading & ML
Black Basket Analytics for Mid-Curves and Spread-Options
- Alexander Antonov - Chief Analyst, Danske Bank
11:00 - 11:3030 mins
Coffee & networking
Mid-Morning sessions - titles and timings subject to change
11:30 - 12:1545 mins
A: Option Pricing, Trading & Volatility
Facilitating the backtesting of trading strategies
11:30 - 12:1545 mins
B: Risk Management: Model Risk & Liquidity
session reserved
11:30 - 12:1545 mins
C: Interest Rate Modelling, Trading & IBOR
Fast and accurate calculation of CVA/DVA/RPA.
- Viatcheslav Belyaev - Senior Quantitative Analyst, U.S. Bank
11:30 - 12:1545 mins
D: Quant Innovation: Algo Trading & ML
Learning Exotic Derivatives without calibration
- Marco Bianchetti - Head of Internal Model Market Risk, Intesa Sanpaolo
12:15 - 13:0045 mins
A: Option Pricing, Trading & Volatility
Approaches for speeding up pricing calculations and structuring new credit risk models
- Harvey Stein - Head of the Quantitative Risk Analytics Group, Bloomberg
12:15 - 13:0045 mins
B: Risk Management: Model Risk & Liquidity
Model risk quantification based on relative entropy
- Daniel Arrieta Rodriguez - Senior Model Validation Quant, Santander
12:15 - 13:0045 mins
C: Interest Rate Modelling, Trading & IBOR
Efficient pricing of rates and hybrid derivatives post-Libor
12:15 - 13:0045 mins
D: Quant Innovation: Algo Trading & ML
Deep reinforcement learning usages in portfolio construction
13:00 - 14:0060 mins
Lunch
Afternoon sessions
14:00 - 14:4040 mins
A: Option Pricing, Trading & Volatility
Rough volatility in practice
14:00 - 14:4040 mins
B: Risk Management: Model Risk & Liquidity
Deep learning and XVA calculations
14:00 - 14:4040 mins
C: Interest Rate Modelling, Trading & IBOR
LIBOR Fallback, implementation, spread adjustment and value transfer
14:00 - 14:4040 mins
D: Quant Innovation: Algo Trading & ML
Application of Machine Learning in Cryptocurrency Trading
14:40 - 15:2040 mins
A: Option Pricing, Trading & Volatility
Harvesting the FX volatility risk premium with Python
- Saeed Amen - Founder, Cuemacro
14:40 - 15:2040 mins
B: Risk Management: Model Risk & Liquidity
Application of ML for model risk management
14:40 - 15:2040 mins
C: Interest Rate Modelling, Trading & IBOR
Front office and new product strategy, managing business process and system change
14:40 - 15:2040 mins
D: Quant Innovation: Algo Trading & ML
Conditional expectations: Model free, data driven, fast (with applications to pricing and hedging)
- Jörg Kienitz - Adjunct Associate Professor and Associate Professor, University of Cape Town and University of Wuppertal
15:20 - 16:0040 mins
A: Option Pricing, Trading & Volatility
Risk-free rate options pricing
15:20 - 16:0040 mins
B: Risk Management: Model Risk & Liquidity
Managing the model risk of ML models
15:20 - 16:0040 mins
C: Interest Rate Modelling, Trading & IBOR
Scenario generation for risk management
15:20 - 16:0040 mins
D: Quant Innovation: Algo Trading & ML
Quantum Machine Learning
16:00 - 16:3030 mins
Afternoon tea & networking
Extended sessions - titles and timings subject to change
16:30 - 18:0090 mins
A: Option Pricing, Trading & Volatility
Option pricing techniques for solving today’s quantitative finance problems.
16:30 - 18:0090 mins
B: Risk Management: Model Risk & Liquidity
Market Melt-Down – The War-Game!
- John Hulsman - Geopolitical Expert & Life Member, U.S. Council On Foreign Relations
16:30 - 18:0090 mins
C: Interest Rate Modelling, Trading & IBOR
Pricing and Modelling deep dive
16:30 - 18:0090 mins
D: Quant Innovation: Algo Trading & ML
Differential Machine Learning Masterclass
- Antoine Savine - Quantitative Research , Danske Bank
- Brian Huge - Chief Quantitative Analyst, Danske Bank
18:00 - 19:3090 mins
Networking drinks and working groups
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