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Main Conference Day 2

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Main Conference Day 2

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08:00 - 08:2020 mins
Registration & welcome coffee
    08:20 - 08:255 mins
    A: Option pricing & volatility
    Chair’s opening remarks
    • Leif Andersen - Global Co-Head Of Quantitative Strategies Group, Bank Of America Merrill Lynch
    08:20 - 08:255 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
    08:20 - 08:255 mins
    C: Interest rate & IBOR
    Chair’s opening remarks
    • Andrew McClelland - Director of Quantitative Research, Numerix
    08:20 - 08:255 mins
    D: XVA & Model Risk
    Chair’s opening remarks
      08:20 - 08:255 mins
      E: QuantMinds Alpha Forum
      Chair’s opening remarks
        08:25 - 09:0540 mins
        A: Option pricing & volatility
        Diamond trees and the forest expansion
        • Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
        08:25 - 09:0540 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 - Financial Economist, Goldman Sachs
        • 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
        08:25 - 09:4580 mins
        C: Interest rate & IBOR
        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.
        08:25 - 09:0540 mins
        D: XVA & Model Risk
        Funding value adjustment: accounting versus economic management perspectives
        • Alberto Elices - Head of XVA Model Validation, Banco Santander
        08:25 - 09:0540 mins
        E: QuantMinds Alpha Forum
        Predicting Intraday Risk and Liquidity with News Analytics
        • Giuliano De Rossi - Executive Director, Goldman Sachs
        09:05 - 09:4540 mins
        A: Option pricing & volatility
        The mathematics of cumulants, diamonds and forests
          09:05 - 09:4540 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
          09:05 - 09:4540 mins
          D: XVA & Model Risk
          The Two KVAs
          • Matthias Arnsdorf - Managing Director & Head Of Counterparty Credit Risk Modeling Group, JPMorgan Chase
          09:05 - 09:4540 mins
          E: QuantMinds Alpha Forum
          Panel: The transition from pricing quant to data scientist – how are quant teams evolving?
          • Robert Carver - Visiting Lecturer, Queen Mary, University of London
          09:45 - 10:2540 mins
          A: Option pricing & volatility
          Utility pricing of derivatives
          • Vladimir Piterbarg - MD, Head of Quantitative Analytics and Quantitative Development, NatWest Markets
          09:45 - 10:2540 mins
          B: Quant 2.0: Being A Quant In The New Era
          Quants, Quantum Mechanics and Quantos
          • Luca Capriotti - Global Head Quantitative Strategies Credit and Financing, Credit Suisse
          09:45 - 10:2540 mins
          C: Interest rate & IBOR
          Quantitative impacts of LIBOR fallback
          • Marc Henrard - Visiting Professor, University College London
          09:45 - 10:2540 mins
          D: XVA & Model Risk
          CVA: Regulatory CVA vs Accounting/Managerial CVA. Differences and quantitative implications
          • Nicola Mariano - Director, Risk and Capital, ISDA
          09:45 - 10:2540 mins
          E: QuantMinds Alpha Forum
          Crowding in alternative risk premium strategies
          • Zoltan Eisler - Co-Head of Execution, Capital Fund Management
          10:25 - 11:0035 mins
          Morning coffee & networking break
            11:00 - 11:4040 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
            11:00 - 11:4040 mins
            B: Quant 2.0: Being A Quant In The New Era
            Fast solution of PDEs: asymptotics, integral equations and machine learning
            • Richard Martin - Independent, Trader
            11:00 - 11:4040 mins
            C: Interest rate & IBOR
            Efficient pricing of rates and hybrid derivatives post-Libor
            • Colin Turfus - Quantitative Analyst, Deutsche Bank
            11:00 - 11:4040 mins
            D: XVA & Model Risk
            Neural Networks with Asymptotic Control
              11:00 - 11:4040 mins
              E: QuantMinds Alpha Forum
              Leveraging unstructured data and sentiment analysis to predict market movements and inform pricing
              • David Mascio - Managing Founder and Principal, Della Parola Capital Management, LLC
              11:40 - 12:2040 mins
              A: Option pricing & volatility
              The perils of parameterization
              • Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
              11:40 - 12:2040 mins
              B: Quant 2.0: Being A Quant In The New Era
              Microstructure & information flows between crypto asset spot and derivative markets
              • Carol Alexander - Visiting Professor at Peking University HSBC Business School at Oxford & Professor of Finance, University of Sussex
              11:40 - 12:2040 mins
              C: Interest rate & IBOR
              Swaptions Modelling in a Risk-Free Rate framework
              • Dominique Bang - Director, Bank of America Merrill Lynch
              11:40 - 12:2040 mins
              D: XVA & Model Risk
              A forensic approach to Wrong Way Risk (WWR) for CVA, FVA, and PFE: exact minimal models
              • Chris Kenyon - Head of XVA Quant Modelling, MUFG Securities EMEA
              11:40 - 12:2040 mins
              E: QuantMinds Alpha Forum
              Risk, Return, and Frequency Domain
              • Arta Babaee - Academic Visitor, Imperial College London
              12:20 - 13:0040 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
              12:20 - 13:0040 mins
              B: Quant 2.0: Being A Quant In The New Era
              Applications of machine learning to portfolio allocation
              • Richard Turner - Head of Research, Currency Alpha, Mesirow Financial
              12:20 - 13:0040 mins
              C: Interest rate & IBOR
              Tenor Basis Flow
              • Andrew McClelland - Director of Quantitative Research, Numerix
              12:20 - 13:0040 mins
              D: XVA & Model Risk
              Kernels for XVA/PFE in the context of Exotics Pricing and Risk Management
              • Christian Raynal - Associate Director, Senior Risk Officer, European Bank for Reconstruction and Development
              12:20 - 13:0040 mins
              E: QuantMinds Alpha Forum
              Long-term performance and risk-profile of managed futures strategies
              • Artur Sepp - Director of Research, Quantica Capital AG
              13:00 - 14:0060 mins
              Lunch + Quickfire showcase: quant funds doing interesting things
              • Mike Brusov - Co-founder & CEO, Cindicator Capital
              14:00 - 14:4040 mins
              A: Option pricing & volatility
              Challenges of Indexation in S&P 500 Index Volatility Investment Strategies
              • Margaret Sundberg - Quantitative Trader Portfolio Manager, Volaris Capital Management
              14:00 - 14:4040 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
              14:00 - 14:4040 mins
              C: Interest rate & IBOR
              Modelling Interest Rate and FX Derivatives with Division Algebras
              • Gregory Pelts - Quant, Wells Fargo & Co
              14:00 - 14:4040 mins
              D: XVA & Model Risk
              Do we need to update our models for the next crisis?
              • Robert Carver - Visiting Lecturer, Queen Mary, University of London
              14:00 - 14:4040 mins
              E: QuantMinds Alpha Forum
              Panel: Passive vs active asset management
              • Erik Vynckier - Interim Chief Executive, Foresters Friendly Society
              • Jeanine Kwong - Global Head of Investment Risk Oversight, Manulife
              • Aymeric Kalife - Associate Professor, Paris Dauphine University
              • Arta Babaee - Academic Visitor, Imperial College London
              14:40 - 15:2040 mins
              A: Option pricing & volatility
              Deep hedging
              • Mark Higgins - COO, Beacon Platform Inc.
              14:40 - 15:2040 mins
              B: Quant 2.0: Being A Quant In The New Era
              Bias Reducing Optimization Techniques for Neural Nets
              • Tyler Ward - Local Search Modeler, Google
              14:40 - 15:2040 mins
              C: Interest rate & IBOR
              Reconciling rough volatility with jumps
              • Eduardo Abi Jaber - Assistant Professor, Paris 1 Panthéon-Sorbonne University
              14:40 - 15:2040 mins
              D: XVA & Model Risk
              Learning Optimal Hedging for Options
              • Marcos Costa Santos Carreira - PhD Candidate, École Polytechnique
              14:40 - 15:2040 mins
              E: QuantMinds Alpha Forum
              Learning non-linear relationships in the cross-section: a machine learning approach to factor investing
                15:20 - 15:5535 mins
                Afternoon tea & networking break
                  15:55 - 16:3540 mins
                  A: Option pricing & volatility
                  Optimizing Equity Hybrid Models
                  • George Hong - Head of APAC Quantitative & Risk Strategies, Credit Suisse
                  15:55 - 16:3540 mins
                  B: Quant 2.0: Being A Quant In The New Era
                  Intraday market microstructure and the use of exogenous information in quantitative execution
                  • Michael Steliaros - Global Head of Quantitative Execution Services, Goldman Sachs
                  15:55 - 16:3540 mins
                  C: Interest rate & IBOR
                  HJM model calibration, applications and first correction
                  • Viatcheslav Belyaev - Senior Quantitative Analyst, U.S. Bank
                  15:55 - 16:3540 mins
                  D: XVA & Model Risk
                  Using machine learning for risk monitoring and VaR calculations
                  • Peter Quell - Head of Portfolio Analytics Team for Market & Credit Risk, DZ BANK
                  15:55 - 16:3540 mins
                  E: QuantMinds Alpha Forum
                  Has factor investing lost its premium?
                  • George Mylnikov - Vice President, Head of Quantitative Research, Charles Schwab Investment Advisory
                  16:35 - 17:1540 mins
                  A: Option pricing & volatility
                  Not so Particular about Calibration: Smile Problem Resolved
                  • Aitor Muguruza Gonzalez - Equities Quant, Natixis
                  16:35 - 17:1540 mins
                  B: Quant 2.0: Being A Quant In The New Era
                  Diversity panel: what has changed since the last conversation?
                    16:35 - 17:1540 mins
                    C: Interest rate & IBOR
                    Trading strategies in interest rates – to what extent can we predict whether there is a good time to be long or short on the benchmark?
                      16:35 - 17:1540 mins
                      D: XVA & Model Risk
                      Local Gaussian approximation for modeling collateralized exposure
                      • Michael Pykhtin - Manager, Quantitative Risk, U.S. Federal Reserve Board
                      16:35 - 17:5580 mins
                      E: QuantMinds Alpha Forum
                      Extended Working Groups
                      • Antonia Lim - Head of Quantamental Investments, Schroders
                      • Thomas Schmelzer - Head of Quantitative Research, Lobnek Wealth Management
                      17:15 - 17:5540 mins
                      A: Option pricing & volatility
                      Volatility interpolation over skew events
                      • Tor Gillberg - FX Quant, Vice President, Bank of America
                      17:15 - 17:5540 mins
                      B: Quant 2.0: Being A Quant In The New Era
                      Will groups of 3 ruin the World Cup?
                      • Julien Guyon - Senior Quant, Bloomberg L.P.
                      17:15 - 17:5540 mins
                      C: Interest rate & IBOR
                      Learning the Optimal Portfolio
                      • Marco Scaringi - Quantitative Analyst Fair Value Policy, Intesa Sanpaolo
                      • Marco Bianchetti - Head of Fair Value Policy, Financial and Market Risk Management, Intesa Sanpaolo
                      17:15 - 17:5540 mins
                      D: XVA & Model Risk
                      Prepayment risk modelling
                        17:55 - 18:005 mins
                        A: Option pricing & volatility
                        Chair's closing remarks
                        • Leif Andersen - Global Co-Head Of Quantitative Strategies Group, Bank Of America Merrill Lynch
                        17:55 - 18:005 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
                        17:55 - 18:005 mins
                        C: Interest rate & IBOR
                        Chair's closing remarks
                        • Andrew McClelland - Director of Quantitative Research, Numerix
                        17:55 - 18:005 mins
                        D: XVA & Model Risk
                        Chair's closing remarks
                          17:55 - 18:005 mins
                          E: QuantMinds Alpha Forum
                          Chair's closing remarks
                            18:00 - 19:0060 mins
                            Networking drinks reception & champagne roundtable discussion groups
                            • Riccardo Rebonato - Professor of Finance, EDHEC
                            19:00 - 19:055 mins
                            End of main conference day 2
                              Main Conference Day 1
                              NextMain Conference Day 3

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