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Main Conference Day 3 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
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Main Conference Day 3 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
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Streams
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Showing 1 of 1 Streams
Networking
08:30 - 09:00
Morning Refreshments & Networking
Showing 4 of 4 Streams
QuantMinds Deep Dive: Advanced ML
QuantMinds Deep Dive: Cloud Computing
QuantMinds Deep Dive: Quantum Computing
QuantMinds Deep Dive: Climate Pricing
09:00 - 09:10
Chair's Welcome Remarks
09:10 - 09:50
Deep Reinforcement Learning for Exotic Option Hedging
09:50 - 10:30
Volatility swap pricing via Machine learning
- Wim Schoutens - Professor Of Financial Engineering, University of Leuven
10:30 - 11:10
NN-VAR-AEN: Nonlinear vector autoregressive time series modelling + autoencoders
- Andrey Chirikhin - Head of Structured Credit Quantitative Analytics, Barclays Investment Bank
09:00 - 09:10
Chair's Welcome Remarks
09:10 - 09:50
Cloud-based High-Performance Computing for Financial Modelling
Applications of HPC for risk management and modelling.
09:50 - 10:30
Leveraging AIFT and Code Generation AAD for Cloud-based Real-time Risk
10:30 - 11:10
End of stream, please move to another stream
09:00 - 09:10
Chair's Welcome Remarks
09:10 - 09:40
Keynote: The state of quantum optimisation
09:40 - 10:10
Recession prediction via signature kernels enhanced with quantum features
10:10 - 10:40
Quantum machine learning for finance applications on a neutral atoms platform
10:40 - 11:10
Panel Discussion - Quantum ML for finance
09:00 - 09:10
Chair's Welcome Remarks
- Chris Kenyon - Global Head of Quant Innovation, MUFG Securities
09:10 - 11:10
Extended Session: Pricing and risk for climate change
- Chris Kenyon - Global Head of Quant Innovation, MUFG Securities
Showing 1 of 1 Streams
Networking
11:10 - 11:40
Morning Break & Networking
Showing 4 of 4 Streams
Stream A: Derivatives & Volatility
Stream B: Trading (Algo & Systematic)
Stream C: Risk, Liquidity, Regulation, & Clearing
Stream D: Interest Rates, FX, and Commodities
11:40 - 11:45
Chair's Welcome Remarks
11:45 - 12:20
Dynamic hedging revisited
12:20 - 12:55
Spanning option payoffs with ReLUs
11:40 - 11:45
Chair's Welcome Remarks
11:45 - 12:20
Gaussian Kissing: Meshless not Pointless
12:20 - 12:55
Deep learning for price momentum forecasting. Episode 2: reflection and transformation
- Robert De Witt - Managing Director, Head of Quantitative Strategies and Data Group for EMEA Equities Execution, Bank of America
11:40 - 11:45
Chair's welcome remarks
11:45 - 12:20
Transitioning to New Frontiers: Post-Trade Risk Modelling Methodology
12:20 - 12:55
It Takes Two to Tango: Economic Theory and Model Uncertainty for Equity Premium Prediction
11:40 - 11:45
Chair's Welcome Remarks
11:45 - 12:20
Macroeconomic forecasting with machine learning & alt data with trading rules
12:20 - 12:55
Follow the sun: Modeling of renewable PPA's
- Roza Galeeva - Senior Lecturer, John Hopkins, AMS Department
Showing 1 of 1 Streams
Networking
12:55 - 13:55
Lunch Break & Networking
Showing 4 of 4 Streams
Stream A: Derivatives & Volatility
Stream B: Trading (Algo & Systematic)
Stream C: Risk, Liquidity, Regulation, & Clearing
Stream D: Interest Rates, FX, and Commodities
13:55 - 14:30
Derivative valuation with default, funding and collateral
14:30 - 15:05
Speeding up the Euler scheme for killed diffusions
15:05 - 15:40
VolGAN: a generative model for arbitrage-free implied volatility surfaces
13:55 - 14:30
Enhanced measurement of algo performance via explicit models of execution cost
14:30 - 15:05
Applications of wavelet decomposition of time series to financial time series prediction
- Richard Turner - Managing Director, Currency Management, Mesirow Financial
15:05 - 15:40
Overview of Market Impact Cost Models and Some Recent Results
13:55 - 14:30
Funding, wealth transfer and financial stability in the post-LIBOR Era
14:30 - 15:05
Model risk quantification based on relative entropy
15:05 - 15:40
Finding the Blind Spots Before It’s Too Late: A (Reverse) Stress Testing Approach for Asset Liability Management
13:55 - 14:30
Pricing time extension of quote validity for loans under changing market conditions
14:30 - 15:05
Systematic strategies via vols
15:05 - 15:40
Stochastic volatility for Multi-Factor HJM model
Showing 1 of 1 Streams
Networking
15:40 - 16:10
Afternoon Break & Networking
Showing 3 of 3 Streams
Stream A: Derivatives & Volatility
Stream B: Trading (Algo & Systematic)
Stream C: Risk, Liquidity, Regulation, & Clearing
16:10 - 16:45
Analytic Pricing of SOFR Futures Incorporating Market Smile and Skew
16:10 - 16:45
Robust optimal trading under cross-impact
16:45 - 17:20
Mo Dealers, Mo Problems
16:10 - 16:45
A novel approach to denoising correlation matrices with applications to global portfolio management with a large number of assets
16:45 - 17:20
Technical Discussion: Navigating the Transition from LIBOR – is SOFR next?
- Erik Vynckier - Board Member, Chair of the Investment Committee, Foresters Friendly Society and Institute and Faculty of Actuaries
17:20 - 17:55
Liquidity, derivatives, discounting, collateral, clearing
- Erik Vynckier - Board Member, Chair of the Investment Committee, Foresters Friendly Society and Institute and Faculty of Actuaries
Showing 1 of 1 Streams
Networking
17:55 - 18:00
End of QuantMinds 2023 | See you next year!
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