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6-10 December 2021
Hotel Fairmont Barcelona Rey Juan Carlos IBarcelona
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Main Conference Day 3 Draft Agenda - CET (Central European Time, GMT+1)

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Main Conference Day 3 Draft Agenda - CET (Central European Time, GMT+1)

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08:30 - 09:0030 mins
Coffee & networking
    Morning sessions - titles and timings subject to change
    09:00 - 09:4040 mins
    A: Option Pricing, Trading & Volatility
    Pricing European commodity spread options in the non-Markovian approach by the method of Eigenclaims
    • Valery Kholodnyi - Principal Quantitative Analyst, Verbund AG
    09:00 - 09:4040 mins
    B: Risk Management: Regulation, CCR & Clearing
    Application of ML in Credit Risk Modelling and Scoring
      09:00 - 09:4040 mins
      C: Quant 2.0: Being a Quant in the New Era
      Panel: Considering the challenges and opportunities for quants in the new technological landscape and fast up-scaling of platforms and infrastructure.?
      • Holger Plank - Partner, d-fine
      09:40 - 10:2040 mins
      A: Option Pricing, Trading & Volatility
      Implied Volatility and Local Volatility modelling with machine learning techniques
        09:40 - 10:2040 mins
        B: Risk Management: Regulation, CCR & Clearing
        Backtesting: Actual vs perceived challenges
          09:40 - 10:2040 mins
          C: Quant 2.0: Being a Quant in the New Era
          The changing face of quant finance research – what are the million dollar questions QuantMinds are now and should in future be researching?
            10:20 - 11:0040 mins
            A: Option Pricing, Trading & Volatility
            Hedging derivatives as alternative to use sensitivities
              10:20 - 11:0040 mins
              B: Risk Management: Regulation, CCR & Clearing
              CCPs: from CVA to economic capital
              • Andrew Dickinson - Director, Bank of America Merrill Lynch
              10:20 - 11:0040 mins
              C: Quant 2.0: Being a Quant in the New Era
              Climate change risk: insurance pricing and liabilities
                11:00 - 11:3030 mins
                Coffee & networking
                  Mid-Morning sessions - titles and timings subject to change
                  11:30 - 12:1040 mins
                  A: Option Pricing, Trading & Volatility
                  Pricing of Digital exotic Options by Monte Carlo
                    11:30 - 12:1040 mins
                    B: Risk Management: Regulation, CCR & Clearing
                    Stress testing and worst-case scenario analysis: understanding dependencies between different risks
                    • Daniel Linders - Assistant Professor in Actuarial Science & Mathematical Finance, University of Amsterdam
                    11:30 - 12:1040 mins
                    C: Quant 2.0: Being a Quant in the New Era
                    The economics, pricing and hedging of ESG-linked derivatives
                    • Chris Kenyon - Global Head of Quant Innovation, MUFG
                    12:10 - 12:5040 mins
                    A: Option Pricing, Trading & Volatility
                    Deep learning calibration of option pricing models: pitfalls, solutions and examples
                      12:10 - 12:5040 mins
                      B: Risk Management: Regulation, CCR & Clearing
                      Controlling regulatory challenges of algorithmic credit scoring
                      • Ligia Catherine Arias-Barrera - Associate Professor, Externado de Colombia University
                      12:10 - 12:5040 mins
                      C: Quant 2.0: Being a Quant in the New Era
                      Carbon derivatives pricing: trading for a low carbon future
                        12:50 - 13:3040 mins
                        A: Option Pricing, Trading & Volatility
                        Static replication of single- and multi-asset European options
                          12:50 - 13:3040 mins
                          B: Risk Management: Regulation, CCR & Clearing
                          Polynomial approximation of discounted moments, with applications to bond pricing and credit migration risk
                          • Misha van Beek - Director, Blackrock
                          12:50 - 13:3040 mins
                          C: Quant 2.0: Being a Quant in the New Era
                          Panel: Modelling renewable energy
                          • Valery Kholodnyi - Principal Quantitative Analyst, Verbund AG
                          13:30 - 14:3060 mins
                          Lunch
                            Afternoon sessions - titles and timings subject to change
                            14:30 - 15:1545 mins
                            A: Option Pricing, Trading & Volatility
                            Adapting to an increasing volatile and ‘spikey’ Market
                              14:30 - 15:1545 mins
                              B: Risk Management: Regulation, CCR & Clearing
                              Pricing gap risk
                                14:30 - 15:1545 mins
                                C: Quant 2.0: Being a Quant in the New Era
                                ESG optimal allocation for insurance companies
                                  15:15 - 16:0045 mins
                                  A: Option Pricing, Trading & Volatility
                                  Products and pricing for a changing market
                                    15:15 - 16:0045 mins
                                    B: Risk Management: Regulation, CCR & Clearing
                                    Risk analysis of dynamic trading strategies
                                      15:15 - 16:0045 mins
                                      C: Quant 2.0: Being a Quant in the New Era
                                      Green financial products: The challenge of data and verification
                                        Main Conference Day 2 Draft Agenda
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