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Main Conference Day 3

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Main Conference Day 3

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07:50 - 08:1020 mins
Registration & welcome coffee
    08:10 - 08:2010 mins
    Plenary
    Chair's opening remarks
      08:20 - 09:0040 mins
      Plenary
      Lessons on Decision Making from a Poker Champion
      • Liv Boeree - Poker Champion, Strategic Thinker, Broadcaster & Founder, Raising for Effective Giving
      09:00 - 09:4040 mins
      Plenary
      Machine learning: Separating fact from fiction
      • Marcos López de Prado - Professor of Practice at Cornell University, and Co-Founder & CIO, True Positive Technologies
      09:00 - 09:4040 mins
      In the boardroom discussion
      Overnight risk-free rates are risky
      • Andrea Macrina - Reader in Mathematics, University College London
      09:40 - 10:2040 mins
      Plenary
      Deep learning for hedging
      • John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management, University Of Toronto
      09:40 - 10:2040 mins
      In the boardroom discussion
      Python for quants
        10:20 - 11:0040 mins
        Plenary
        How can Formula 1 help?
        • Peter van Manen - Former Managing Director, McLaren Applied Technologies Limited
        10:20 - 11:0040 mins
        In the boardroom discussion
        Climate change’s impact on the quantitative world
        • Riccardo Rebonato - Professor of Finance, EDHEC
        11:00 - 11:3030 mins
        Morning coffee & networking break
          11:30 - 11:4010 mins
          A: FX, Commodities & Trading Innovations
          Chairs opening remarks
            11:30 - 11:4010 mins
            B: Risk Management & Liquidity
            Chair’s opening remarks
              11:30 - 11:4010 mins
              C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
              Chair's opening remarks
                11:40 - 12:2040 mins
                A: FX, Commodities & Trading Innovations
                Modeling Energy Forward Curves in the Framework of the Reproducing Kernel Hilbert Spaces
                • Valery Kholodnyi - Pauli Fellow, Wolfgang Pauli Institute
                11:40 - 12:2040 mins
                B: Risk Management & Liquidity
                Liquidity at Risk: joint modeling of liquidity and solvency risk
                • Rama Cont - Chair of Mathematical Finance, University of Oxford
                11:40 - 12:2040 mins
                C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
                Explaining AI – theory and practice
                • Daniel Mayenberger - European Head of Large Model Frameworks, Barclays
                12:20 - 13:0040 mins
                A: FX, Commodities & Trading Innovations
                One step forwards, one step back: Finite difference algebras and perfect discretization
                • Peter Austing - Quantitative Researcher, Eisler Capital
                12:20 - 13:0040 mins
                B: Risk Management & Liquidity
                Fair pricing & liquidity issues
                • Nadhem Meziou - Head of Fixed Income Quantitative Research, Natixis
                12:20 - 13:0040 mins
                C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
                Quantitative Investment Strategies – Where to look next?
                • Sandrine Ungari - Head of Cross-Asset Quantitative Research, SGCIB
                13:00 - 14:0060 mins
                A: FX, Commodities & Trading Innovations
                Lunch
                  13:00 - 14:0060 mins
                  B: Risk Management & Liquidity
                  Lunch
                    13:00 - 14:0060 mins
                    C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
                    Lunch
                      14:00 - 14:4040 mins
                      A: FX, Commodities & Trading Innovations
                      Deep Learning hidden correlations in the FX market with jumps
                      • Laura Ballotta - Reader in Financial Mathematics, Cass Business School
                      14:00 - 14:4040 mins
                      B: Risk Management & Liquidity
                      Full Probabilistic Control for Direct, Robust, Systematic and Targeted Stressing of the Correlation Matrix
                      • J.D. Opdyke - Vice President, Enterprise Risk and Return Management, Financial Risk and Measurement, Allstate
                      14:00 - 14:4040 mins
                      C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
                      Bond curve modelling
                      • Paul McCloud - Head of Global Fixed Income Quantitative Research’, Nomura
                      14:40 - 15:2040 mins
                      A: FX, Commodities & Trading Innovations
                      Opportunities in FI/FX hedging with the cross currency basis
                      • Jessica James - Managing Director, Senior Quantitative Researcher, Commerzbank AG
                      14:40 - 15:2040 mins
                      B: Risk Management & Liquidity
                      Model for equity indices using real world dynamics
                      • Sergey Myagchilov - Investment Vice President, Prudential Financial
                      14:40 - 15:2040 mins
                      C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
                      Yield Curve Forecasting: Aspects of Mathematical Finance and Computational Statistics
                      • Daniel Zimarev - Financial Engineer, Killik & Co
                      15:20 - 16:0040 mins
                      A: FX, Commodities & Trading Innovations
                      A Lognormal Type Stochastic Volatility Model With Quadratic Drift
                      • Sander Willems - Quantitative Analyst, NatWest Markets
                      15:20 - 16:0040 mins
                      B: Risk Management & Liquidity
                      IM forecast quality: certain uncertainties and uncertain certainties
                      • Vladimir Chorniy - Senior Technical Lead, BNP Paribas
                      • Sergii Arkhypov - Risk Specialist, .
                      15:20 - 16:0040 mins
                      C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
                      Modelling valuation risks of carbon transition pathways
                      • Maxim Kartamyshev - Quant, Norges Bank Investment Management
                      16:00 - 16:3030 mins
                      Afternoon tea & networking break
                        16:30 - 17:1040 mins
                        A: FX, Commodities & Trading Innovations
                        Exploring neural networks for pricing and calibration of stochastic volatility and term structure models
                        • Jörg Kienitz - Lecturer, Faculty of Mathematics, Bergische Universität Wuppertal and University of Cape Town
                        16:30 - 17:1040 mins
                        B: Risk Management & Liquidity
                        An Arbitrage Free Surface in the Model Free Space
                          16:30 - 17:1040 mins
                          C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
                          Reinforcement Learning for Optimal Execution in the Limit Order Book
                          • Jonathan Kochems - Quantitative Researcher, J.P. Morgan
                          17:10 - 17:5040 mins
                          A: FX, Commodities & Trading Innovations
                          Local Stochastic Volatility Numerics
                          • Nic Hutchings - Executive Director, Morgan Stanley
                          • Yaroslav Melnyk - Quantitative Analyst, FX derivatives modelling team, Morgan Stanley
                          17:10 - 17:5040 mins
                          B: Risk Management & Liquidity
                          Smoothing and simulating the implied volatility surface with neural networks
                          • Damien Ackerer - Risk Modeling & Analytics Specialist, UBS
                          17:10 - 17:5040 mins
                          C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
                          How AI discovered Large-Scale Pair-Trading on S&P500?
                          • Kamer Ali Yuksel - Chief Data Scientist, hawk:AI
                          17:50 - 18:0010 mins
                          A: FX, Commodities & Trading Innovations
                          Chair’s closing remarks
                            17:50 - 18:0010 mins
                            B: Risk Management & Liquidity
                            Chair's closing remarks
                              17:50 - 18:0010 mins
                              C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
                              Chair's closing remarks
                                18:00 - 18:055 mins
                                End of QuantMinds 2020 Main Conference
                                  Main Conference Day 2
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