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Main Conference Day 3 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
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Main Conference Day 3 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
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Showing 1 of 1 Streams
Networking
08:30 - 09:00
Morning Refreshments & Networking
Showing 4 of 4 Streams
QuantMinds Deep Dive: Advanced ML
QuantMinds Deep Dive: Cloud Computing
QuantMinds Deep Dive: Quantum Computing
QuantMinds Deep Dive: Climate Pricing
09:00 - 09:10
Chair's Welcome Remarks
- Stefano Evangelisti - Vice President, Credit Desk Strategist, Barclays Investment Bank
09:10 - 09:50
Deep Reinforcement Learning for Exotic Option Hedging
- Jun Yuan - Managing Director, Global Risk Analytics,, Royal Bank of Canada
- Jacky Chen - Director, Total Fund Completion Portfolio Strategies, OPTrust
09:50 - 10:30
Volatility swap pricing via Machine learning
- Wim Schoutens - Professor Of Financial Engineering, University of Leuven
- Eva Verschueren - Postdoctoral Researcher, University of Leuven
10:30 - 11:10
NN-VAR-AEN: Nonlinear vector autoregressive time series modelling + autoencoders
- Andrey Chirikhin - Head of Structured Credit Quantitative Analytics, Barclays Investment Bank
09:00 - 09:10
Chair's Welcome Remarks
- Sebastien Bossu - Assistant Professor of Mathematics and Statistics, UNC Charlotte
09:10 - 09:50
Cloud-based High-Performance Computing for Financial Modelling
Applications of HPC for risk management and modelling.
- Claus Murmann - Product Solutions Specialist, Beacon
09:50 - 10:30
Leveraging AIFT and Code Generation AAD for Cloud-based Real-time Risk
- Dmitri Goloubentsev - CTO | Head of Automatic Adjoint Differentiation, Matlogica
10:30 - 11:10
End of stream, please move to another stream
09:00 - 09:10
Chair's Welcome Remarks
- Davide Venturelli - Fellow and Associate Director, Quantum Technologies, USRA
09:10 - 09:40
Keynote: The state of quantum optimisation
- Davide Venturelli - Fellow and Associate Director, Quantum Technologies, USRA
09:40 - 10:10
Recession prediction via signature kernels enhanced with quantum features
- Marco Paini - Quantum Solutions Expert, Independant
10:10 - 10:40
Quantum machine learning for finance applications on a neutral atoms platform
- Krisztian Benyo - Quantum Solutions Expert, Independant
10:40 - 11:10
Panel Discussion - Quantum ML for finance
- Davide Venturelli - Fellow and Associate Director, Quantum Technologies, USRA
- Giacomo Barigazzi - Head of Corporate Development, Axyon AI
- Marco Paini - Quantum Solutions Expert, Independant
- Krisztian Benyo - Quantum Solutions Expert, Independant
09:00 - 09:10
Chair's Welcome Remarks
- Chris Kenyon - Global Head of Quant Innovation, MUFG Securities
09:10 - 11:10
Extended Session: Pricing and risk for climate change
- Chris Kenyon - Global Head of Quant Innovation, MUFG Securities
Showing 1 of 1 Streams
Networking
11:10 - 11:40
Morning Break & Networking
Showing 4 of 4 Streams
Stream A: Derivatives & Volatility
Stream B: Trading (Algo & Systematic)
Stream C: Risk, Liquidity, Regulation, & Clearing
Stream D: Interest Rates, FX, and Commodities
11:40 - 11:45
Chair's Welcome Remarks
- Nadhem Meziou - Quantitative Expert Leader, Global Markets, Natixis
11:45 - 12:20
Dynamic hedging revisited
- Nadhem Meziou - Quantitative Expert Leader, Global Markets, Natixis
12:20 - 12:55
Spanning option payoffs with ReLUs
- Sebastien Bossu - Assistant Professor of Mathematics and Statistics, UNC Charlotte
11:40 - 11:45
Chair's Welcome Remarks
- Matthew Rooney - Associate Director - Head of Quant Research and Trading - Europe, Selby Jennings
11:45 - 12:20
Gaussian Kissing: Meshless not Pointless
- Peter Jaeckel - Professional Quant, Independent
12:20 - 12:55
Deep learning for price momentum forecasting. Episode 2: reflection and transformation
- Robert De Witt - Managing Director, Head of Quantitative Strategies and Data Group for EMEA Equities Execution, Bank of America
- Ilya Sheynzon - Vice President, Quantitative Researcher in Quantitative Strategies and Data Group for EMEA Equities Execution, Bank of America
- Harry Hill - Vice President, Quantitative Researcher in the Quantitative Strategies and Data Group, Bank of America
11:40 - 11:45
Chair's welcome remarks
- Kevin Walsh - Deputy Comptroller for Market Risk Policy, Office of the Comptroller of the Currency
11:45 - 12:20
Transitioning to New Frontiers: Post-Trade Risk Modelling Methodology
- Udesh Jha - Managing Director, Post-Trade Services, CME Group
12:20 - 12:55
It Takes Two to Tango: Economic Theory and Model Uncertainty for Equity Premium Prediction
- Alexandre Rubesam - Associate Professor of Finance, IÉSEG School of Management
11:40 - 11:45
Chair's Welcome Remarks
11:45 - 12:20
Macroeconomic forecasting with machine learning & alt data with trading rules
- Saeed Amen - Visiting Lecturer, Queen Mary University London
12:20 - 12:55
Follow the sun: Modeling of renewable PPA's
- Roza Galeeva - Senior Lecturer, John Hopkins, AMS Department
Showing 1 of 1 Streams
Networking
12:55 - 13:55
Lunch Break & Networking
Showing 4 of 4 Streams
Stream A: Derivatives & Volatility
Stream B: Trading (Algo & Systematic)
Stream C: Risk, Liquidity, Regulation, & Clearing
Stream D: Interest Rates, FX, and Commodities
13:55 - 14:30
Derivative valuation with default, funding and collateral
- Mark Lichtner - Director in Markets Quantitative Analytics, Barclays Investment Bank
14:30 - 15:05
Speeding up the Euler scheme for killed diffusions
- Julien Hok - Quantitative Analyst Manager, Investec Bank
15:05 - 15:40
VolGAN: a generative model for arbitrage-free implied volatility surfaces
- Milena Vuletić - DPhil Candidate, University of Oxford
13:55 - 14:30
Enhanced measurement of algo performance via explicit models of execution cost
- Zoltan Eisler - Systematic Trading Professional, Undisclosed
14:30 - 15:05
Applications of wavelet decomposition of time series to financial time series prediction
- Richard Turner - Managing Director, Currency Management, Mesirow Financial
15:05 - 15:40
Overview of Market Impact Cost Models and Some Recent Results
- Gabriel Tucci - Global Head of Equities Cash Quant Trading, Citi
13:55 - 14:30
Funding, wealth transfer and financial stability in the post-LIBOR Era
14:30 - 15:05
Model risk quantification based on relative entropy
- Daniel Arrieta Rodriguez - Senior Model Validation Quant, Santander
15:05 - 15:40
Finding the Blind Spots Before It’s Too Late: A (Reverse) Stress Testing Approach for Asset Liability Management
- Eric Schaanning - Executive Director | Head of Group Banking Book Risk Management, UBS
13:55 - 14:30
Pricing time extension of quote validity for loans under changing market conditions
- Alberto Elices - Senior Loan Pricing and Product Development Officer, European Investment Bank
14:30 - 15:05
Systematic strategies via vols
- Lorenzo Ravagli - Executive Director | Head of European FX vol strategy, JP Morgan
15:05 - 15:40
Stochastic volatility for Multi-Factor HJM model
- Parviz Rakhmonov - Quantitative Analytics, Independent
Showing 1 of 1 Streams
Networking
15:40 - 16:10
Afternoon Break & Networking
Showing 3 of 3 Streams
Stream A: Derivatives & Volatility
Stream B: Trading (Algo & Systematic)
Stream C: Risk, Liquidity, Regulation, & Clearing
16:10 - 16:45
Analytic Pricing of SOFR Futures Incorporating Market Smile and Skew
- Colin Turfus - Researcher in Quantitative Finance, Independent
- Aurelio Romero-Bermudez - Quantitative Analyst, ING
16:10 - 16:45
Robust optimal trading under cross-impact
- Mehdi Tomas - Associate Quantitative Researcher, Capital Fund Management
16:45 - 17:20
Mo Dealers, Mo Problems
- David Shelton - Managing Director, Global Head of FICC Electronic Trading and FX Quantitative Strategies Group, Bank Of America
- Dean Markwick - Vice President, FX Electronic Trading, Bank of America
16:10 - 16:45
A novel approach to denoising correlation matrices with applications to global portfolio management with a large number of assets
- Evgeny Lakshtanov - Traded Risk Model Validation Validator, Standard Chartered
16:45 - 17:20
Technical Discussion: Navigating the Transition from LIBOR – is SOFR next?
- Erik Vynckier - Board Member, Chair of the Investment Committee, Foresters Friendly Society and Institute and Faculty of Actuaries
17:20 - 17:55
Liquidity, derivatives, discounting, collateral, clearing
- Erik Vynckier - Board Member, Chair of the Investment Committee, Foresters Friendly Society and Institute and Faculty of Actuaries
Showing 1 of 1 Streams
Networking
17:55 - 18:00
End of QuantMinds 2023 | See you next year!
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