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N.B. - THIS IS THE 2020 AGENDA
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N.B. - THIS IS THE 2020 AGENDA
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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 Internal Model Market Risk, 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
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