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QuantMinds International
November 2022
Location TBC
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This is the 2021 agenda. The 2022 agenda will be added soon. - CET (Central European Time, GMT+1)

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This is the 2021 agenda. The 2022 agenda will be added soon. - CET (Central European Time, GMT+1)

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08:45 - 08:5510 mins
Networking
Morning coffee
    Morning sessions - titles and timings subject to change
    08:55 - 09:005 mins
    Option Pricing, Trading & Volatility
    Chair's introduction
    • András Bebes - Head of Department, Strategy and Research Department, Hungarian Debt Management Agency (AKK)
    08:55 - 09:005 mins
    Risk Management: Regulation, CCR & Clearing
    Chair's introduction
    • Andrey Chirikhin - Head of Structured Credit Quantitative Analytics, Barclays Investment Bank
    09:00 - 09:4545 mins
    Option Pricing, Trading & Volatility
    Singular exotic perturbation
    • Adil Reghaï - Head of Quantitative Research Equity & Commodity Markets, Natixis
    09:00 - 09:4545 mins
    Risk Management: Regulation, CCR & Clearing
    Polynomial approximation of discounted moments, with applications to bond pricing and credit migration risk
    • Misha van Beek - Director, Blackrock
    09:45 - 10:3045 mins
    Option Pricing, Trading & Volatility
    Sustainability Manifesto for Financial Products: All products are ESG-linked
    • Chris Kenyon - Global Head of Quant Innovation, MUFG
    09:45 - 10:3045 mins
    Risk Management: Regulation, CCR & Clearing
    Bayesian Credit Exposure Backtesting
    • Matthias Arnsdorf - Global Head of XVA & Counterparty Credit Risk Modelling, JP Morgan Chase
    10:30 - 11:1545 mins
    Option Pricing, Trading & Volatility
    Arbitrage prediction in bond trading with machine-learning approaches
    • Daniel Mayenberger - CIB Data, Analytics & AI, J.P. Morgan
    10:30 - 11:1545 mins
    Risk Management: Regulation, CCR & Clearing
    Climate Change Risk : Sense and nonsense
    • Wim Schoutens - Professor Of Financial Engineering, University of Leuven
    11:15 - 12:1560 mins
    Lunch
      12:15 - 13:0045 mins
      Networking round tables
        This is the 2021 agenda. The 2022 agenda will be added soon.
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