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Informa

07:45 08:20 (35 mins)

Main agenda

Registration & Welcome Coffee

08:20 08:30 (10 mins)

Main agenda

Chairman's Opening Remarks

08:30 09:10 (40 mins)

Main agenda

Living In A World Of Surprises: Politics, Policy & The Economy

Framing the technical landscape of quant finance within a wider, real world context

  • John Hulsman, Geo-Political Risk Expert and Life Member, US Council on Foreign Relations

08:30 09:10 (40 mins)

Problem Solving Working Groups

Modelling Challenges In A Low/Negative Interest Rate Environment

  • Fabio Mercurio, Head of Quant Analytics, Bloomberg L.P.

09:10 09:50 (40 mins)

Main agenda

Inform Or Manipulate? Attempts To Communicate Risks And Benefits In A Balanced Way

Numbers are often used to persuade, rather than inform. This is particularly the case when discussing risks, where selection, framing and (lack of) comparative context can be used to influence emotional responses. This talk will describe efforts to counter this by representing balanced risk and uncertainties, where potential benefits and harms, upsides and downsides, are given equal salience and emotional weight.

  • David Spiegelhalter, Winton Professor For The Public Understanding Of Risk, University of Cambridge

09:10 09:50 (40 mins)

Problem Solving Working Groups

GPU & Vectorization

 What computational Speed can be achieved when pricing for different products?

09:50 10:30 (40 mins)

Main agenda

There & Back Again: Eliminating The Absurdity & The Risk Of Offsetting Cashflows & Margin Flows

The standard Credit Support Annex format was drafted long before the financial crisis, and paid little attention to the credit risk created by the time gap between the payment of a large cashflow, and the payment of a reciprocal margin flow to update the collateral for the post-cashflow exposure. With today’s heightened awareness of the counterparty credit risk and margin requirements, the absurdity and the risk of sending a large sum of money to a counterparty only to receive the equivalent amount of collateral back a few days later - that is, if they do not default in the meantime - is finally coming into focus. We will discuss the CSA terms that give rise to this risk, its surprisingly large magnitude, and how it can be mitigated through the use of payment-versus-payment (PvP) services to exchange margin flows.

  • Alexander Sokol, Head of Quant Research, CompatibL

09:50 11:10 (80 mins)

Problem Solving Working Groups

Testing & Validation Requirements For Initial Margin Models

Discussing the strengths and weaknesses of different backtesting approaches and other validation methodologies for internal models for initial margin. We will also consider how firms might test the adequacy of models for incorporating initial margin models dynamically into credit exposure simulations

  • Andrew Hudson, Technical Specialist, Traded Risk, Bank of England

10:30 11:10 (40 mins)

Main agenda

Big Data – Quantifying The Opportunities

Cross-Sector Panel Discussion

Examining the realms of possibility and the business case for Big Data. How do quants successfully interface with it?  

  • Panellist Tyler Ward, Local Search Modeler, Google

11:10 11:40 (30 mins)

Main agenda

Morning Coffee & Networking Break

11:40 11:45 (5 mins)

A: CCR, Collateral & Central Clearing

Stream A Chair - Opening Remarks

11:40 11:45 (5 mins)

B: Interest Rate Modelling

Stream B Chair - Opening Remarks

11:40 11:45 (5 mins)

C: Algorithmic & Electronic Trading

Stream C Chair - Opening Remarks

11:40 11:45 (5 mins)

D: FX & Commodities

Stream D Chair - Opening Remarks

11:40 13:05 (85 mins)

E: Geopolitical & Macroeconomic Scenario Planning

Forecasting & ‘War Gaming’ The Implications Of Contagion Risk On The Global Financial Landscape

Take part in this unique 80-minute session forecasting & ‘war gaming’ future stress scenarios. Practically predict possible scenario outcomes of contagion risk, which will impact the future of your industry!

  • John Hulsman, Geo-Political Risk Expert and Life Member, US Council on Foreign Relations

11:45 12:25 (40 mins)

A: CCR, Collateral & Central Clearing

Dynamic Modelling Of Initial Margin For Cleared Derivatives

How to forecast IM for capital exposure and MVA calculations? Is there one dynamic IM model to fit them all?


  • Fabrizio Anfuso, Head of IB CCR Collateralised Exposure Modelling, Credit Suisse

11:45 12:25 (40 mins)

B: Interest Rate Modelling

Handling Negative Interest Rates: The Hull-White Model and Some Extensions

Incorporating a drift function to control how low negative rates can become

  • John Hull, Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management, University Of Toronto

11:45 12:25 (40 mins)

C: Algorithmic & Electronic Trading

Teaching Machines To Trade

Reinforcement Learning, Neural Networks And Supercomputing

  • Nicolas Salmon, Quantitative Research, J.P. Morgan Chase

11:45 12:25 (40 mins)

D: FX & Commodities

Linking Commodities To The Wider World

  • Information in Index and Commodity Options Prices: Extracting Forward-Looking Equity Betas
  • A CAPM-Based Forecast of Oil Prices
  • The Oil-Futures Market: Is it “Financialization” or is it “Integrated Capital Markets”?
  • The Volatility “Smile” in the Equity and Oil Markets: Spring 2011 vs. Spring 2017
  • Ehud Ronn, Professor Of Finance, McCombs School of Business, University of Texas at Austin

12:25 13:05 (40 mins)

A: CCR, Collateral & Central Clearing

Faster Initial Margin Methodologies

Speeding-Up Reconciliation, Computation & Settlement

  • Massimo Morini, Head of Interest Rate and Credit Models, Banca IMI

12:25 13:05 (40 mins)

B: Interest Rate Modelling

An Empirical Method For Calculating Term Premium

  • Why is the term premium interesting?
  • Previous research and results
  • Forecasting interest rates
  • Empirical Term Premium calculation
  • Comparison with other methodologies



  • Jessica James, Managing Director, Senior Quantitative Researcher, Commerzbank AG

12:25 13:05 (40 mins)

C: Algorithmic & Electronic Trading

Equity Option Market Making, Volatility Model & E-Trading Management

Equity option market making is an extremely competitive business. The success of such business requires not only excellent market access and execution platforms, but also good understanding of underlying stocks as well as their volatility behavior. A good trading management platform supported by proper quantitative vol strategies is a must for the business. In this talk we will focus on the Volatility modeling and its application in E-trading strategies and management.

In short the talk will address:

  • Equity Option Market and Market Making Essentials
  • Historical and implied volatility: static surface and distributions
  • Volatility surface evolution and behaviors
  • Volatility modeling and dynamic risk management in E-trading
  • Dongsheng Lu, Managing Director and Head of Quantitative Strategy, BNY Mellon

12:25 13:05 (40 mins)

D: FX & Commodities

Modelling Stochastic Skew By Stochastic Spot/Vol Correlation With Jumps

  • Stochastic skew of FX options is modelled by assuming the spot/instantaneous variance correlation to be stochastic
  • A class of LSV models with stochastic correlation and all drivers being correlated Levy processes is proposed
  • A new finite-difference scheme is introduced to solve a forward PIDE. It is proved that it is unconditionally stable and of second order of approximation in time and space; achieves a linear complexity in each spatial direction; preserves the positivity and norm of the density function
  • The results of simulation obtained by using this model are presented which demonstrate capacity of the proposed approach 
  • Andrey Itkin, Director, Senior Research Associate, Bank Of America Merrill Lynch

13:05 14:05 (60 mins)

Main agenda

Lunch - Plus Meet The VIP Lunch Tables

14:05 14:45 (40 mins)

A: CCR, Collateral & Central Clearing

Settlement Gap Risk

Exchanging collateral in OTC derivatives solves most of your problems in terms of counterparty credit risk. However, it also creates new ones - such as Settlement Gap Risk (SGR). The presentation will:

  • Introduce SGR,
  • Propose mitigants
  • Advise how to deal with it from a credit risk management point of view,
  • Propose a quantitative approach how to separate SGR from a "classical" PFE profile.
  • Present computational results.
  • Stefan Hamann, Director, Norddeutsche Landesbank 

14:05 14:45 (40 mins)

B: Interest Rate Modelling

The Present Of Futures

  • The convexity conundrum in the old world
  • The convexity conundrum in the new world
  • A multi-curve hybrid Cheyette-LMM model
  • Solving two specific tractable cases
  • Numerical examples
  • Fabio Mercurio, Head of Quant Analytics, Bloomberg L.P.

14:05 14:45 (40 mins)

C: Algorithmic & Electronic Trading

Quantitative Investment Strategies Using Industry-Focused News Sentiment Factors

  • We create new industry-specific factors by measuring the sentiment in news about companies in various industries
  • With the help of these factors, we create quantitative investment strategies that track industries with current positive media sentiment
  • We create diversified portfolios and demonstrate their superior risk-return characteristics
  • This shows that media attention and sentiment is an important factor explaining stock returns
  • Svetlana Borovkova, Associate Professor Of Quantitative Finance, Vrije Universiteit Amsterdam

14:05 14:45 (40 mins)

D: FX & Commodities

New Developments In Volatility Modelling For Foreign Exchange Markets

  • Applications to marking Vanilla smile
  • Modelling forward starting features of exotic products
  • Exploring market symmetries
  • Nic Hutchings, Director - Senior Quantitative Analyst, Bank Of America Merrill Lynch

14:05 14:45 (40 mins)

E: Quant 2.0: Being A Quant In The New Era

Pinpointing Transferrable Quantitative Skills Between Fintech Start-Ups & The Finance Industry

14:45 15:25 (40 mins)

A: CCR, Collateral & Central Clearing

CCP Systemic Risk

Is a world of clearing safer than bilateral OTCs? How should banks participate in the risk monitoring of CCPs? 

14:45 15:25 (40 mins)

B: Interest Rate Modelling

From Quadratic Gaussian To Quantum Groups

Exploiting duality in modelling IR-FX hybrids, with applications to smile fitting and flow rates convexities

  • Duality in the Quadratic Gaussian model: Conditional expectation and measure change.
  • IR and FX smiles in the Quadratic Gaussian model.
  • Discounting and Libor basis convexities.
  • Extensions to non-Gaussian models and quantum groups.
  • Paul McCloud, Head of Vanilla Interest Rate Quantitative Research, Nomura

14:45 15:25 (40 mins)

C: Algorithmic & Electronic Trading

Implementing Algorithmic Execution Platforms

How are these platforms changing the nature of the trading business through automation?

14:45 15:25 (40 mins)

D: FX & Commodities

FX Devaluation Jumps For CDS In Multiple Currencies

CDS on a given entity may be traded in multiple currencies. Currency fluctuations introduce a source of risk on CDS spreads. The risk of dramatic Foreign Exchange (FX) rate devaluation in conjunction with default events is relevant. We address this issue by proposing and implementing an arbitrage free model that considers the risk of foreign currency devaluation that is synchronous with default of the reference entity, and study sovereign CDS on Italy in EUR and USD as an application.

  • Damiano Brigo, Chair and Co-Head Of Group, Mathematical Finance, Imperial College, London

14:45 15:25 (40 mins)

E: Quant 2.0: Being A Quant In The New Era

Exploring The Qualities That Corporations Are Looking For In Their Quant Teams Today

15:25 15:55 (30 mins)

Main agenda

Afternoon Tea & Networking Break

15:55 16:35 (40 mins)

A: CCR, Collateral & Central Clearing

Does Initial Margin Eliminate Counterparty Risk?

  • BCBS-IOSCO requirements on initial margin (IM)
  • Modeling credit exposure in the presence of dynamic IM
  • The impact of IM on exposure 
    • Strong suppression of the smooth “diffusion” part of exposure profile
    •  Limited suppression of exposure spikes resulting from trade payments
  • The impact of IM on CVA
    • In the presence of IM, CVA is mostly determined by exposure spikes
    • IM reduces CVA by a much smaller factor than the reduction of the smooth part of exposure profile implies
  • Michael Pykhtin, Manager, Quantitative Risk, U.S. Federal Reserve Board

15:55 16:35 (40 mins)

B: Interest Rate Modelling

Valuation Of Loan Options Subject To Non-rational Exercise

In this presentation we analyse the valuation of call options for corporate and retail loans. This is particularly relevant in the context of IFRS9 (Nebenabreden or other contractual provisions) and IRRBB (option risk). Historical analysis indicates that borrowers may not exercise call and put options rationally and according to standard option pricing theory. Consequently, lenders may incorporate an anticipated gain into loan valuation.

We model non-rational exercise decisions and quantify the effects on loan pricing and risk management. The basic idea is replacing the rational exercise in the option payoff by an exercise function that takes into account opportunity costs as well as independent exercise triggers. 

  • Sebastian Schlenkrich, Manager Financial Engineering Unit, d-fine GmbH

15:55 16:35 (40 mins)

C: Algorithmic & Electronic Trading

Vol, Skew & Smile Trading

Trading covariance of returns and implied vol using one OTM call and put

  • Peter Carr, Dept. Chair, Finance and Risk Engineering, NYU Tandon School

15:55 16:35 (40 mins)

D: FX & Commodities

From Trade Finance To Structured Commodity Finance

Examining the Interplay between the finance industry and commodities

  • Trade Finance as a Profitable Activity for Banks
  • Is Reserves -Based Lending to Oil Companies Compatible with Current Oil Prices?
  • Metal Inventories as Collateral in Carry Trade Financing
  • Helyette Geman, Director, Commodity Finance Centre, Birbeck, University Of London

15:55 16:35 (40 mins)

E: Quant 2.0: Being A Quant In The New Era

Simplifying Exotics In The New Era

  • The new era is more exciting than ever for quantitative modelling
  • Movement from heavily exotic to more vanilla products provides welcome opportunity for quants to concentrate on true understanding of risk
  • Ever more strenuous requirements from regulators provide opportunities to those who can calculate true risk fast on large numbers of scenarios
  • “Safe” trades have evolved because they are exposed to a controlled number of risk factors, but quants are not always aware of this
  • We illustrate our theme by tackling an age old problem, and providing an analytic formula for pricing barrier options when there is volatility smile,
  • and issue a challenge to any who would like to take up the mantle

16:35 17:15 (40 mins)

A: CCR, Collateral & Central Clearing

XVA Metrics for CCP Optimisation

Based on the XVA principles of Albanese and Crepey (2016), we analyse the cost of the clearance framework for a member of a CCP. We argue that two major inefficiencies related to CCPs could be significantly compressed by suitable initial funding scheme and default fund sizing, allocation and remuneration policies. In the context of XVA computations, which entail projections over decades, it might be interesting for a bank to implement such initial margin and default fund schemes even under the current regulatory environment, as a counterpart to the corresponding regulatory based XVA metrics.

  • Stéphane Crépey, Professor of Mathematics , University Of Evry

16:35 17:15 (40 mins)

B: Interest Rate Modelling

Unifying Local Volatility Modelling For Interest Rates & Equities

  • Abstract Dupire formula 
  • Local volatility for interest rate derivatives 
  • (almost) model independent pricing of American swaptions
  • Dariusz Gatarek, Professor, Systems Research Institute Polish Academy of Sciences

16:35 17:15 (40 mins)

C: Algorithmic & Electronic Trading

Kdb+/q, HFT, & Machine Learning

kdb+/q has become de facto standard for medium- to high-frequency traders. Many implement their strategies in q. We shall introduce our forthcoming book, to be published by Wiley this year, on high-frequency econometrics in q, and show how it can be used to apply machine learning techniques right next to where your data is.

  • Paul Bilokon, Founder, CEO, Chairman, Thalesians Ltd
  • Jan Novotny, eFX Quant, Global Banking and Markets, HSBC

16:35 17:15 (40 mins)

D: FX & Commodities

Microstructure Of A Central Limit Order Book In FX Futures

Examining different ways commodities and currencies interplay to increase profits

  • Marcos Carreira, Professor Mathematical Finance, Institute Of Mathematical and Computer Sciences, University Of Sao Paulo

16:35 17:55 (80 mins)

E: Quant 2.0: Being A Quant In The New Era

Communication Masterclass: Learn The Skills You Need To Be A World-Class Communicator

  • Richard Mullender, Former Lead Trainer National Crisis & Hostage Negotiation Unit, Scotland Yard

17:15 17:55 (40 mins)

A: CCR, Collateral & Central Clearing

Dynamic Initial Margin For Central Counterparties Within CCR Modeling And Validation

Providing a case study on a portfolio of IRS and FRA mapped on LCH CCP

  • Francesco Conti, Quantitative Risk Analyst, UniCredit

17:15 17:55 (40 mins)

B: Interest Rate Modelling

Why It’s Time To Swap To Switching Interest & Default Rate Models

Generalisations of multiple curve term structure models with stochastic volatility to switching diffusions (with optional co-jumps) will be shown to:

  • Be equally as calibratable as models set on ordinary diffusions
  • Give more realistic path dynamics than popular volatility approaches such as Heston and SABR, generating persistent volatility regimes
  • Consequently, generate mainly lower prices for Bermudans compared with models using Heston volatility, more so for longer dated trades
  • Solve moment explosion problems, offering high stability and scope of application (e.g. higher moment payoffs, XVA applications) and extremely persistent smiles

Key XVA implications and advantages of the approach will be shown to include:

  • Integrated exposure (EPE) profiles for Bermudans much lower than under Heston volatility with full smile calibration, driving lower XVA/KVA
  • A new and tractable switching stochastic default intensity generalisation of CIR(++), capable of generating:
  • High hazard rate volatility and default swaption implied volatility
  • High name default intensity, forward rate, and volatility dependence and strong right-way/wrong-way risk effects through systemic regimes.
  • Rodney Hoskinson, Manager, Quantitative Analysis (Capital, Clearing and Collateral), National Australia Bank

17:15 17:55 (40 mins)

C: Algorithmic & Electronic Trading

Using Python To Analyse Markets

Examining the benefits of using Python to analyse markets. Demonstrating the use of open source Python libraries to backtest trading strategies and to visualise results

  • Saeed Amen, Founder, Cuemacro

17:15 17:55 (40 mins)

D: FX & Commodities

Modeling Intraday Power Spots, Forwards and Options in the Non-Markovian Approach

  • Modeling intraday hourly and intra-hourly power spots, forwards and options in the non-Markovian approach
  • Taking into account cyclical patterns, trends, upward and downward spikes, and positive and negative prices
  • Extracting forward-looking market-implied risk-neutral probabilities for the intraday power spots from a single or multiple power market forward curves
  • Interpolating and extrapolating power market forward curves
  • Modeling the German Intraday Cap Week Futures as an hourly strip of Asian call options on the intraday hourly power forwards
  • Valery Kholodnyi, Pauli Fellow, Wolfgang Pauli Institute

17:55 18:00 (5 mins)

A: CCR, Collateral & Central Clearing

Stream A Chair - Closing Remarks

17:55 18:00 (5 mins)

B: Interest Rate Modelling

Stream B Chair - Closing Remarks

17:55 18:00 (5 mins)

C: Algorithmic & Electronic Trading

Stream C Chair - Closing Remarks

17:55 18:00 (5 mins)

D: FX & Commodities

Stream D Chair - Closing Remarks

17:55 18:00 (5 mins)

E: Quant 2.0: Being A Quant In The New Era

Stream E Chair - Closing Remarks

18:00 19:00 (60 mins)

Main agenda

Networking Drinks Reception & Champagne Roundtable Discussion Groups

A chance for everyone to network and relax after the day’s presentations and discussions.

Champagne Discussion Groups offer delegates a chance to delve deeper into timely topics of the day and network with specific VIP speakers. 

Roundtable 1: An Alternative View Of Bitcoin Led by Peter Austing, Author, 'Smile Pricing Explained'

Roundtable 2: Does Initial Margin Eliminate Counterparty Risk? Led by Michael Pykhtin, Manager, Quantitative Risk, U.S. FEDERAL RESERVE BOARD

  • Peter Austing, Author, Smile Pricing Explained
  • Michael Pykhtin, Manager, Quantitative Risk, U.S. Federal Reserve Board

19:00 19:00 (0 mins)

Main agenda

End of Main Conference Day 1