IIR & IBC Finance is part of the Knowledge and Networking Division of Informa PLC

This site is operated by a business or businesses owned by Informa PLC and all copyright resides with them. Informa PLC's registered office is 5 Howick Place, London SW1P 1WG. Registered in England and Wales. Number 3099067.

Informa
8:00am - 8:30am

Registration and welcome coffee

More
8:30am - 8:35am
Chairman’s opening remarks

Chairman’s opening remarks

  • Jonathan Regenstein - Director of Financial Services, RStudio
More
8:35am - 9:05am
Info

Guest geopolitical briefing: The world in the US - the US in the world

What are the emerging local and global risks that every financial institution should be aware of?

  • John Hulsman - Geopolitical Risk Expert and Life Member, US Council on Foreign Relations
More
9:05am - 9:55am

Probabilistic Interpretation of an Implied Volatility Smile

  • Peter Carr - Dept. Chair, Finance and Risk Engineering, NYU Tandon School
More
9:55am - 10:35am

Reinforcement learning for option pricing

Seeking alternative data sources for HFT

  • Igor Halperin - Adjunct Professor of Financial Machine Learning, NYU Tandon School of Engineering
More
10:35am - 11:05am

Everyone needs to be a quant: The future of quantitative finance in the capital markets

  • Mark Higgins - Chief Operating Officer and Co-Founder, Beacon Platform Inc.
More
11:05am - 11:35am

Networking coffee break

More
11:35am - 12:15pm
Info

Talking volatility trading

Designing effective volatility trading strategies to meet current market challenges

  • Benjamin Bowler - Managing Director & Global Head of Equity Derivatives Research, Bank of America Merrill Lynch
  • Derek Wang - CEO, Bell Curve Capital
  • Amit Deshpande - Head of Fixed Income Quantitative Investments and Research, T. Rowe Price Associates
  • Moderator Andrey Itkin - Director, Senior Research Associate, Bank of America Merrill Lynch and NYU Tandon School of Engineering
More
12:15pm - 12:55pm

From derivatives to derivatives on derivatives

  • Links between options and (historical and implied) volatility derivatives
  • A transform to establish new links between volatility dependent quantities
  • Exploiting the skew to get bounds on VIX options and Variance options
  • Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
More
12:55pm - 1:55pm

Lunch

More
Showing of Streams
Showing of Streams
5:55pm - 6:40pm

Networking drinks reception

More
8:00am - 8:30am 30 mins
Registration and welcome coffee
8:30am - 8:35am 5 mins
Chairman’s opening remarks
  • Jonathan Regenstein - Director of Financial Services, RStudio
8:35am - 9:05am 30 mins
Info
Guest geopolitical briefing: The world in the US - the US in the world
  • John Hulsman - Geopolitical Risk Expert and Life Member, US Council on Foreign Relations

What are the emerging local and global risks that every financial institution should be aware of?

9:05am - 9:55am 50 mins
Probabilistic Interpretation of an Implied Volatility Smile
  • Peter Carr - Dept. Chair, Finance and Risk Engineering, NYU Tandon School
9:55am - 10:35am 40 mins
Info
Reinforcement learning for option pricing
  • Igor Halperin - Adjunct Professor of Financial Machine Learning, NYU Tandon School of Engineering

Seeking alternative data sources for HFT

10:35am - 11:05am 30 mins
Everyone needs to be a quant: The future of quantitative finance in the capital markets
  • Mark Higgins - Chief Operating Officer and Co-Founder, Beacon Platform Inc.
11:05am - 11:35am 30 mins
Networking coffee break
11:35am - 12:15pm 40 mins
Info
Talking volatility trading
  • Benjamin Bowler - Managing Director & Global Head of Equity Derivatives Research, Bank of America Merrill Lynch
  • Derek Wang - CEO, Bell Curve Capital
  • Amit Deshpande - Head of Fixed Income Quantitative Investments and Research, T. Rowe Price Associates
  • Moderator Andrey Itkin - Director, Senior Research Associate, Bank of America Merrill Lynch and NYU Tandon School of Engineering

Designing effective volatility trading strategies to meet current market challenges

12:15pm - 12:55pm 40 mins
Info
From derivatives to derivatives on derivatives
  • Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
  • Links between options and (historical and implied) volatility derivatives
  • A transform to establish new links between volatility dependent quantities
  • Exploiting the skew to get bounds on VIX options and Variance options
12:55pm - 1:55pm 60 mins
Lunch
1:55pm - 2:00pm 5 mins
Quant Innovation: Machine Learning, HFT, AI & Data
Chairman’s opening remarks
  • Jonathan Regenstein - Director of Financial Services, RStudio
1:55pm - 2:00pm 5 mins
Quant Modelling and Trading: Volatility, FX, Option Pricing & Commodities
Chairman’s opening remarks
  • Cameron Brandt - Director of Research, EPFR Global
2:00pm - 2:30pm 30 mins
Info
Quant Innovation: Machine Learning, HFT, AI & Data
Quantum computing in finance: Where science meets practical interest
  • Davide Venturelli - Quantum Computing Lead, NASA-USRA Quantum AI Lab

What will be the effects when quantum computing hits the market? Building algorithms for near-term quantum computers and quantum assistance optimization

2:00pm - 2:30pm 30 mins
Info
Quant Modelling and Trading: Volatility, FX, Option Pricing & Commodities
Equity-credit calibration for banking CoCos
  • Philippe Henrotte - Co-Founder & Partner, ITO33

Banking CoCos present a unique modeling challenge: implied contractual and regulatory bail-in intensities, extension risk, infinite maturity and coupon cancellation risk must be handled in a model consistent with a smile surface and several CDS term structures

2:25pm - 3:55pm 90 mins
Info
Interactive geopolitical war game
Russia war game
  • John Hulsman - Geopolitical Risk Expert and Life Member, US Council on Foreign Relations

Join our geopolitical expert for a unique session on forecasting & ‘war gaming’. Through looking at the major players in the Russia – US conflict. Our war game will look at the key analytical hinge points, drivers that will determine the controversy’s outcome, expertly simulating what it is like to make decisions at the highest governmental level


2:30pm - 3:00pm 30 mins
Quant Innovation: Machine Learning, HFT, AI & Data
SOFR so far: Modeling the LIBOR replacement
  • Fabio Mercurio - Head of Quant Analytics, Bloomberg L.P.
2:30pm - 3:00pm 30 mins
Quant Modelling and Trading: Volatility, FX, Option Pricing & Commodities
An expanded local variance gamma model and ultrafast calibration of volatility smile
  • Andrey Itkin - Director, Senior Research Associate, Bank of America Merrill Lynch and NYU Tandon School of Engineering
3:00pm - 3:30pm 30 mins
Info
Quant Innovation: Machine Learning, HFT, AI & Data
A transition in thinking: Risk-based approach to regulation ordering the disruptive role of finTech and DLT in central clearing services
  • Ligia Catherine Arias-Barrera - Associate Professor, Externado de Colombia University

2016 can be identified as the year in which FinTech occupied the debate in financial regulation. Regulators around the world have been especially focused on identifying the potential revolutionary effects it might have for financial markets’ functioning and structure. The other post-GFC regulatory reforms are not embedded with innovations, and so it is the Dodd Frank Act (DFA) which has brought FinTech to the forefront recently.

In this presentation, we will examine the roles that FinTech and DLT, in particular, play in central clearing services, and discover that the DFA is insufficient to tackle such innovative developments. We shall see that although there have been few regulatory developments in some states (e.g., the incorporation of blockchain rules in Delaware’s company law), the US regime needs to implement a risk-based approach to regulation based on principles to design an effective FinTech regime. The central query of this query is to argue how the adoption of risk-based regulation can contribute to efficiently manage the ‘innovation risk’ –as a type of manufactured risk- triggered by the adoption of digital developments in central clearing services.

3:00pm - 3:30pm 30 mins
Quant Modelling and Trading: Volatility, FX, Option Pricing & Commodities
Effective approximations of zero coupon bond/survival probabilities and Arrow Debreu Prices in short rate models
  • Luca Capriotti - Head Quantitative Strategies Credit Products and Structured Notes, Credit Suisse
3:30pm - 3:55pm 25 mins
Quant Innovation: Machine Learning, HFT, AI & Data
Networking coffee break
3:30pm - 3:55pm 25 mins
Quant Modelling and Trading: Volatility, FX, Option Pricing & Commodities
Networking coffee break
3:55pm - 4:25pm 30 mins
Info
Quant Innovation: Machine Learning, HFT, AI & Data
Quantitative investing in China A-share market
  • Xiaofeng Xia - Partner, Head of Quantitative Investments, Hongshang Asset Management

Opportunities and challenges using quantitative approaches to invest into China A-share market

3:55pm - 4:25pm 30 mins
Quant Modelling and Trading: Volatility, FX, Option Pricing & Commodities
Characterizing the hedging policies of commodity price-sensitive corporations
  • Ehud Ronn - Professor Of Finance, McCombs School of Business , University of Texas at Austin
4:25pm - 4:55pm 30 mins
Info
Quant Innovation: Machine Learning, HFT, AI & Data
Learning XVA with Gaussian Processes
  • Matthew Dixon - Assistant Professor of Finance, Illinois Institute of Technology

The use of Monte Carlo simulation for price estimation and risk modeling is ubiquitous in finance. In many applications, such as XVA estimation, the extensive use of Monte-Carlo to measure portfolio risk quickly becomes intractable with problem complexity. This talk presents a 'model-free' derivative pricing and risk methodology, based on Gaussian Processes (GPs). GP kernels learn from model prices and, once trained, offer a cheap computational approach for XVA. Another key advantage of GPs is that they are Bayesian and can automatically detect when they need to be re-fitted, thus reducing model risk.

4:25pm - 4:55pm 30 mins
Info
Quant Modelling and Trading: Volatility, FX, Option Pricing & Commodities
Finding alpha in 2018
  • George Mylnikov - Vice President, Head of Quantitative Research, Windhaven Investment Management

Given the current macro-economic environment, where should investors focus their search for sources of alpha in the year ahead?

4:55pm - 5:55pm 60 mins
Quant Innovation: Machine Learning, HFT, AI & Data
Deep learning-based BSDE solver for Libor market model with applications to Bermudan swaption pricing and hedging
  • Agus Sudjianto - Executive Vice President Head of Corporate Model Risk, Wells Fargo
  • Qi Shen - Managing Director, Corporate Model Risk Management, Wells Fargo
  • Haojie Wang - Coporate Model Risk Management, Wells Fargo
4:55pm - 5:25pm 30 mins
Quant Modelling and Trading: Volatility, FX, Option Pricing & Commodities
Variable annuities, pricing and sensitivities
  • Imad Chahboun - Risk and Policy Analyses, Federal Reserve Bank of Boston
  • Nathaniel Hoover - Quantitative Fellow, Federal Reserve Bank of Boston
5:25pm - 5:55pm 30 mins
Info
Quant Modelling and Trading: Volatility, FX, Option Pricing & Commodities
Modelling volatility and correlation: Practical applications in finance
  • Anlong Li - Portfolio Manager and Head of Financial Engineering, Ketchum Trading

What are the recent developments in financial econometrics that can help you deal with time-varying volatility?

5:55pm - 6:40pm 45 mins
Networking drinks reception