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QuantMinds International (*2022 AGENDA*) - CET (Central European Time, GMT+1)
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QuantMinds International (*2022 AGENDA*) - CET (Central European Time, GMT+1)
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Streams
08:00 - 08:5555 mins
Networking
Morning refreshments and networking
08:00 - 08:5555 mins
Women in Quantitative Finance Breakfast
Women in Quantitative Finance Breakfast
- Katia Babbar - Co-Founder, Immersive Finance
- Roza Galeeva - Senior Lecturer Department of Applied Mathematics and Statistics, Johns Hopkins University
- Diana Ribeiro - Quant Director, Citi
- Mirela Predescu - Head, Risk Analytics and Modelling: Credit/Repo Stream, BNP Paribas
- Svetlana Borovkova - Head of Quantitative Modelling at Probability & Partners and Associate Professor, Vrije Universiteit Amsterdam
- Leila Korbosli - Quantitative Analyst Director, UBS
08:55 - 09:005 mins
Stream A: Option Pricing, Trading & Volatility Stage
Chair's welcome
- Aymeric Kalife - CEO and Founder, iDigital Partner
08:55 - 09:005 mins
Stream B: Risk Management, Regulation, CCR & Clearing Stage
Chair's Welcome
- Diana Ribeiro - Quant Director, Citi
08:55 - 09:005 mins
Stream C: Quant Innovation: Modern Quantitative Finance Skills Stage
Chair's welcome
- Katia Babbar - Co-Founder, Immersive Finance
09:00 - 09:4040 mins
Stream A: Option Pricing, Trading & Volatility Stage
Old-school Computational Finance: The Non-Uniform FFT and its applications in Finance
- Leif Andersen - Global Co-Head Of Quantitative Strategies Group, Bank of America
09:00 - 09:4040 mins
Stream B: Risk Management, Regulation, CCR & Clearing Stage
Looking beyond SA-CCR
- Michael Pykhtin - Manager, Policy Research and Analytics, U.S. Federal Reserve Board
09:00 - 09:4040 mins
Stream C: Quant Innovation: Modern Quantitative Finance Skills Stage
Detection and prevention of bias in AI/ML models
- Daniel Mayenberger - CIB Data, Analytics & AI, J.P. Morgan
09:40 - 10:2040 mins
Stream A: Option Pricing, Trading & Volatility Stage
The importance of being scrambled: supercharged Quasi Monte Carlo
- Julien Hok - Quantitative Analyst Lead, Investec Bank
- Sergei Kucherenko - Senior Research Fellow, Imperial College London
09:40 - 10:2040 mins
Stream B: Risk Management, Regulation, CCR & Clearing Stage
Projecting Exposures and Margin: Getting Risk Models and Pricing Models to Play Nice
- Andrew McClelland - Director, Quantitative Research, Numerix
09:40 - 10:2040 mins
Stream C: Quant Innovation: Modern Quantitative Finance Skills Stage
Interpretable Supervised Portfolios
- Thomas Raffinot - Head of Core Investment & Lab Engineering, AXA Investment Managers
10:20 - 11:0040 mins
Stream A: Option Pricing, Trading & Volatility Stage
Managing Gamma and Vega Using Deep Distributional Reinforcement Learning
- John Hull - Maple Financial Professor of Derivatives & Risk Management, Joseph L. Rotman School of Management at University Of Toronto
- Jun Yuan - Managing Director, Global Risk Analytics,, Royal Bank of Canada
10:20 - 11:0040 mins
Stream B: Risk Management, Regulation, CCR & Clearing Stage
Margining and Portfolio Margining Models under RFR
- Sumit Sinha - Senior Director, Quant Risk Management, CME Group
10:20 - 11:0040 mins
Stream C: Quant Innovation: Modern Quantitative Finance Skills Stage
Derivatives Pricing with Sobolev Deep Learning
- Youssef Elouerkhaoui - MD, Global Head of Markets Quantitative Analysis, Citigroup
11:00 - 11:4040 mins
Networking
Coffee & networking
11:40 - 12:2040 mins
Stream A: Option Pricing, Trading & Volatility Stage
ESG Investing and Sustainable Finance: trying to see the sense through the nonsense
- Wim Schoutens - Professor Of Financial Engineering, University of Leuven
11:40 - 12:2040 mins
Stream B: Risk Management, Regulation, CCR & Clearing Stage
Collateralised Exposure Modelling: Bridging the Gap Risk
- Fabrizio Anfuso - Senior Technical Specialist, Bank of England
11:40 - 12:2040 mins
Stream C: Quant Innovation: Modern Quantitative Finance Skills Stage
Excursion risk: A new approach to the analysis of dynamic trading strategies
- Rama Cont - Professor of Mathematics and Chair of Mathematical Finance, University of Oxford
12:20 - 13:0040 mins
Stream A: Option Pricing, Trading & Volatility Stage
What the Pandemic, war in Ukraine and the return of inflation tell you – a contrarian look at ESG
- Erik Vynckier - Board Member, Chair of the Investment Committee, Foresters Friendly Society and Institute and Faculty of Actuaries
12:20 - 13:0040 mins
Stream B: Risk Management, Regulation, CCR & Clearing Stage
Wrong-way risk and leverage
- Matthias Arnsdorf - Global Head of XVA & Counterparty Credit Risk Modelling, JP Morgan Chase
12:20 - 13:0040 mins
Stream C: Quant Innovation: Modern Quantitative Finance Skills Stage
Fast Calibration using Complex-Step Training
- Bouazza Saadeddine - Quantitative Analyst, Crédit Agricole CIB
13:00 - 13:5050 mins
Networking
Lunch and networking break
13:50 - 14:0010 mins
Stream A: Option Pricing, Trading & Volatility Stage
Chair's Welcome
- Aymeric Kalife - CEO and Founder, iDigital Partner
13:50 - 14:0010 mins
Stream B: Risk Management, Regulation, CCR & Clearing Stage
Chair's Welcome
- Diana Ribeiro - Quant Director, Citi
13:50 - 14:0010 mins
Stream C: Quant Innovation: Modern Quantitative Finance Skills Stage
Chair's Welcome
- Svetlana Borovkova - Head of Quantitative Modelling at Probability & Partners and Associate Professor, Vrije Universiteit Amsterdam
14:00 - 14:3030 mins
Stream A: Option Pricing, Trading & Volatility Stage
Reconciling Sustainability with Profitability and Customers’ Risk Appetites
- Aymeric Kalife - CEO and Founder, iDigital Partner
14:00 - 14:3030 mins
Stream B: Risk Management, Regulation, CCR & Clearing Stage
Panel discussion: XVA & CCR - Overcoming regulatory challenges
- Holger Plank - Partner, d-fine
- Sebastian Schnitzler - Senior Supervisor, Single Supervisory Mechanism (SSM), Federal Financial Supervisory Authority (BaFin)
- Matthias Arnsdorf - Global Head of XVA & Counterparty Credit Risk Modelling, JP Morgan Chase
- Michael Pykhtin - Manager, Policy Research and Analytics, U.S. Federal Reserve Board
- Chris Kenyon - Global Head of Quant Innovation, MUFG Securities
14:00 - 14:3030 mins
Stream C: Quant Innovation: Modern Quantitative Finance Skills Stage
Analysis and Modeling of Client Order Flow in Limit Order Markets
- Felix Prenzel - PhD Student, University of Oxford
14:30 - 15:0030 mins
Stream A: Option Pricing, Trading & Volatility Stage
What to do with your sentiments in finance
- Argimiro Arratia - Associate Professor of Computational Finance, Polytechnical University of Catalunya
14:30 - 15:0030 mins
Stream B: Risk Management, Regulation, CCR & Clearing Stage
Interactive discussion: Making Sense of the Wave: America after the Midterms
- John Hulsman - Geopolitical Expert & Life Member, U.S. Council On Foreign Relations
- John Goodnight - Chief of Staff, John Hulsman Enterprises
14:30 - 15:0030 mins
Stream C: Quant Innovation: Modern Quantitative Finance Skills Stage
Quant Innovation deep dive: Modern Quantitative Finance Skills
- Maurizio Garro - Senior Lead, IBOR Transition Programme, Lloyds Banking Group
15:00 - 16:0060 mins
Networking
Close of QuantMinds International 2022
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