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QuantMinds International
13 - 16 November 2023
Intercontinental O2London
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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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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
          QuantMinds International (*2022 AGENDA*)
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