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PLEASE NOTE THIS IS THE 2020 AGENDA - Main Conference Day 4

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PLEASE NOTE THIS IS THE 2020 AGENDA - Main Conference Day 4

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10:05 - 10:2520 mins
Networking and discussion groups
    10:25 - 10:305 mins
    A: Option pricing & volatility
    Chair's opening remarks
      10:25 - 10:305 mins
      B: Quant 2.0 Being a Quant in the new era & QuantMinds Alpha
      Chair's opening remarks
        10:25 - 10:305 mins
        C: XVA & Model Risk
        Chair's opening remarks
          10:30 - 11:0030 mins
          A: Option pricing & volatility
          A kernel-free particle method: smile problem resolved
          • Aitor Muguruza Gonzalez - Head of Quantitative Modelling and Data Analytics, Kaiju Capital Management
          10:30 - 11:0030 mins
          B: Quant 2.0 Being a Quant in the new era & QuantMinds Alpha
          How quant can integrate ESG with limited data
          • Antonia Lim - Head of Quantamental Investments, Schroders
          • Jan De Spiegeleer - Visiting Professor, KU Leuven
          10:30 - 11:0030 mins
          C: XVA & Model Risk
          Overnight risk-free rates are risky
          • Andrea Macrina - Reader in Mathematics, University College London
          11:00 - 11:1515 mins
          A: Option pricing & volatility
          Short break
            11:00 - 11:1515 mins
            B: Quant 2.0 Being a Quant in the new era & QuantMinds Alpha
            Short break
              11:00 - 11:1515 mins
              C: XVA & Model Risk
              Short break
                11:15 - 11:4530 mins
                A: Option pricing & volatility
                Reconciling rough volatility with jumps
                • Eduardo Abi Jaber - Assistant Professor, Paris 1 Panthéon-Sorbonne University
                11:15 - 11:4530 mins
                B: Quant 2.0 Being a Quant in the new era & QuantMinds Alpha
                Portfolio Optimization
                • Thomas Schmelzer - Head of Quantitative Research, Lobnek Wealth Management
                • Raphael Hauser - Associate Professor in Numerical Mathematics, Oxford Mathematical Institute
                11:15 - 11:4530 mins
                C: XVA & Model Risk
                Funding value adjustment: accounting versus economic management perspectives
                • Alberto Elices - Head of XVA Model Validation, Banco Santander
                11:45 - 12:0015 mins
                A: Option pricing & volatility
                Short break
                  11:45 - 12:0015 mins
                  B: Quant 2.0 Being a Quant in the new era & QuantMinds Alpha
                  Short break
                    11:45 - 12:0015 mins
                    C: XVA & Model Risk
                    Short break
                      12:00 - 12:3030 mins
                      A: Option pricing & volatility
                      Smiling Triangles and Decoupling Joint Density
                      • George Hong - Head of APAC Quantitative & Risk Strategies, Credit Suisse
                      • Wassim Rekik - Senior Director, Quantitative Strategies, Credit Suisse
                      • Frederic Waldteufel - Head of Hybrid Product Modelling, Quantitative Strategies, Credit Suisse
                      12:00 - 12:3030 mins
                      B: Quant 2.0 Being a Quant in the new era & QuantMinds Alpha
                      Panel: Passive vs active asset management
                      • Erik Vynckier - Interim Chief Executive, Foresters Friendly Society
                      • Aymeric Kalife - CEO at iDigital Partners & Associate Professor, Paris Dauphine University
                      • Arta Babaee - Formerly Academic Visitor, Imperial College London
                      • Chris Kelliher - Quantitative Analyst, Global Asset Allocation team, Fidelity Investments
                      12:00 - 12:3030 mins
                      C: XVA & Model Risk
                      Client engineering of XVA in crisis and normality: Restructuring, Mandatory Breaks and Resets
                      • Chris Kenyon - Head of XVA Quant Modelling, MUFG Securities EMEA
                      12:30 - 13:3060 mins
                      Lunch & Presentation
                      • Stéphane Crépey - Professor of Mathematics , Université de Paris, Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
                      • Bouazza Saadeddine - Quant, Crédit Agricole CIB
                      13:30 - 14:0030 mins
                      B: Quant 2.0 Being a Quant in the new era & QuantMinds Alpha
                      Intraday market microstructure and the use of exogenous information in quantitative execution
                      • Michael Steliaros - Global Head of Quantitative Execution Services, Goldman Sachs
                      13:30 - 14:0030 mins
                      C: XVA & Model Risk
                      Kernels for XVA/PFE in the context of Exotics Pricing and Risk Management
                      • Christian Raynal - Associate Director, Senior Risk Officer, European Bank for Reconstruction and Development
                      14:00 - 14:1515 mins
                      B: Quant 2.0 Being a Quant in the new era & QuantMinds Alpha
                      Short break
                        14:00 - 14:1515 mins
                        C: XVA & Model Risk
                        Short break
                          14:15 - 14:4530 mins
                          A: Option pricing & volatility
                          Challenges of Indexation in S&P 500 Index Volatility Investment Strategies
                          • Margaret Sundberg - Quantitative Trader Portfolio Manager, Volaris Capital Management
                          14:15 - 14:4530 mins
                          B: Quant 2.0 Being a Quant in the new era & QuantMinds Alpha
                          Learning the Optimal Portfolio
                          • Marco Scaringi - Quantitative Analyst, Intesa Sanpaolo
                          • Marco Bianchetti - Head of Fair Value Policy, Financial and Market Risk Management, Intesa Sanpaolo
                          14:15 - 14:4530 mins
                          C: XVA & Model Risk
                          The Two KVAs
                          • Matthias Arnsdorf - Managing Director & Head Of Counterparty Credit Risk Modeling Group, JPMorgan Chase
                          14:45 - 15:0015 mins
                          A: Option pricing & volatility
                          Short break
                            14:45 - 15:0015 mins
                            B: Quant 2.0 Being a Quant in the new era & QuantMinds Alpha
                            Short break
                              14:45 - 15:0015 mins
                              C: XVA & Model Risk
                              Short break
                                15:00 - 15:3030 mins
                                A: Option pricing & volatility
                                Deep Hedging
                                • Mark Higgins - COO, Beacon Platform Inc.
                                15:00 - 15:3030 mins
                                B: Quant 2.0 Being a Quant in the new era & QuantMinds Alpha
                                Microstructure & information flows between crypto asset spot and derivative markets
                                • Carol Alexander - Visiting Professor at Peking University HSBC Business School at Oxford & Professor of Finance, University of Sussex
                                15:00 - 15:3030 mins
                                C: XVA & Model Risk
                                HJM model calibration, applications and first correction
                                • Viatcheslav Belyaev - Senior Quantitative Analyst, U.S. Bank
                                15:30 - 16:0030 mins
                                Afternoon networking break
                                  16:00 - 16:3030 mins
                                  A: Option pricing & volatility
                                  Local Gaussian approximation for modeling collateralized exposure
                                  • Michael Pykhtin - Manager, Quantitative Risk, U.S. Federal Reserve Board
                                  16:00 - 16:3030 mins
                                  B: Quant 2.0 Being a Quant in the new era & QuantMinds Alpha
                                  Will groups of 3 ruin the World Cup?
                                  • Julien Guyon - Senior Quant, Bloomberg L.P.
                                  16:00 - 16:3030 mins
                                  C: XVA & Model Risk
                                  Improve CVA proxy hedging efficiency – model enhancements during a volatile time
                                  • Shengyao Zhu - Senior Quant in xVA trading desk, Nordea
                                  16:30 - 17:3060 mins
                                  End of conference
                                    PLEASE NOTE THIS IS THE 2020 AGENDA - Main Conference Day 3
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