Preconference Day: Summits & Workshops - GMT (Greenwich Mean Time, GMTZ)
Preconference Day: Summits & Workshops - GMT (Greenwich Mean Time, GMTZ)
Perspectives from both fund managers and fund investors.
How is the post-MiFID II era shaping up the landscape?
How to manage large tick data sets in trading.
SIMM/CCP/Commoditites
Perspectives on allocation strategy.
Balancing stakeholder requirements with market risk.
How has the use of AI in quantitative solutions developed in the past year? How are businesses using different solutions (LLMs vs GenAI) across the industry? What are the key standouts?
In line with regulatory compliance and reputational risk, what are the ethical considerations of LLMs in finance and to what extent is this a factor in quantitative finance?
From the EU’s AI act onwards, what are the regulatory considerations that individuals must take.
Structuring taxonomies and the information needed
How can this be applied in investment signal generation?
The benefits of a Chat GPT-like system being used.
The latest techniques and uses of machine learning in XVA and credit risk.
Maximise potential of pricing methodologies.
Examining the cross over between LLMs and volatility.
- Blanka Horvath - Associate Professor in Mathematical and Computational Finance, University of Oxford
- Blanka Horvath - Associate Professor in Mathematical and Computational Finance, University of Oxford
- Blanka Horvath - Associate Professor in Mathematical and Computational Finance, University of Oxford
- Blanka Horvath - Associate Professor in Mathematical and Computational Finance, University of Oxford
- Blanka Horvath - Associate Professor in Mathematical and Computational Finance, University of Oxford
- Blanka Horvath - Associate Professor in Mathematical and Computational Finance, University of Oxford
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
- Shape of the volatility surface
- Scaling of implied volatility smiles
- Monofractal scaling of realized variance
- Estimation of H
- Realized variance forecasting
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
- The forward variance curve
- Change of measure
- The rough Bergomi model
- The rough Heston model
- The quadratic rough Heston model
- Financial meaning of parameters
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
- Affine forward intensity models
- Affine forward volatility models
- Diamonds and the exponentiation theorem
- The leverage swap
- Moment computations
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
- Rational approximation of rough Heston
- The HQE scheme
- Parameter sensitivities
- Smile fitting
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY