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8:10am - 8:40am

Registration & coffee

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8:40am - 8:45am
Chairman’s opening remarks

Chairman’s opening remarks

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8:45am - 9:15am
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
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9:15am - 10:00am

Probabilistic Interpretation of an Implied Volatility Smile

  • Peter Carr - Dept. Chair, Finance and Risk Engineering, NYU Tandon School
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10:00am - 10:35am
Info

Reinforcement learning for option pricing

Seeking alternative data sources for HFT

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

Networking coffee break

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11:35am - 12:20pm
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
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12:20pm - 1:00pm
Info

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.
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1:00pm - 2:25pm

Lunch

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Showing of Streams
4:00pm - 4:25pm

Afternoon coffee break

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Showing of Streams
6:30pm - 7:30pm

Networking champagne roundtables

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8:10am - 8:40am 30 mins
Registration & coffee
8:40am - 8:45am 5 mins
Chairman’s opening remarks
8:45am - 9:15am 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?

9:15am - 10:00am 45 mins
Probabilistic Interpretation of an Implied Volatility Smile
  • Peter Carr - Dept. Chair, Finance and Risk Engineering, NYU Tandon School
10:00am - 10:35am 35 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 - 12:20pm 45 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

Designing effective volatility trading strategies to meet current market challenges

12:20pm - 1:00pm 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
1:00pm - 2:25pm 85 mins
Lunch
2:25pm - 2:30pm 5 mins
Quant Innovation: Machine Learning, HFT, AI & Data
Chairman’s opening remarks
2:25pm - 2:30pm 5 mins
Quant Modelling and Trading: Volatility, FX, Option Pricing & Commodities
Chairman’s opening remarks
2:25pm - 4:00pm 95 mins
Info
Interactive geopolitical war game
North Korea 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 North Korean crisis (North Korea, South Korea, China, Japan, Russia and the US) 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
Info
Quant Innovation: Machine Learning, HFT, AI & Data
When data science is the newcomer
  • Davide Veronese - Machine learning expert, Freelance

Onboarding your newly-hired wizards team

2:30pm - 3:00pm 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

3:00pm - 3:30pm 30 mins
Quant Innovation: Machine Learning, HFT, AI & Data
Chaos and the Garch: Affine SDEs and financial applications
  • Fabio Mercurio - Head of Quant Analytics, Bloomberg L.P.
3:00pm - 3:30pm 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
3:30pm - 4:00pm 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.

3:30pm - 4:00pm 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
4:00pm - 4:25pm 25 mins
Afternoon coffee break
4:25pm - 4:55pm 30 mins
Info
Quant Innovation: Machine Learning, HFT, AI & Data
Google case study: Examining the advantage to be gained from quantum optimization
  • Vasil Denchev - Chief Quantum Software Architect, Quantum Artificial Intelligence Lab, Google

How is the Google Quantum Artificial Intelligence Lab using new hardware and computer architecture to accelerate computations?

4:25pm - 4:55pm 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
4:55pm - 5:25pm 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

4:55pm - 5:25pm 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?

5:25pm - 5:55pm 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

5:25pm - 5:55pm 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
5:55pm - 6:25pm 30 mins
Info
Quant Innovation: Machine Learning, HFT, AI & Data
Machine learning beyond the ‘black box’

Realizing the full potential of machine learning in finance. How is the system learning and what kind of data is it using? Insights into the inner workings of various learning techniques and algorithm progress

5:55pm - 6:25pm 30 mins
Info
Quant Modelling and Trading: Volatility, FX, Option Pricing & Commodities
Model risk assessment: The model of models
  • Alberto Elices - Head of XVA Model Validation, Santander Model Risk
  • Introduction to model risk management
  • Models to perform model assessment: definition, components, development and use
  • Case study
  • Assessment and model risk quantification
6:25pm - 6:30pm 5 mins
Quant Innovation: Machine Learning, HFT, AI & Data
Chairman's closing remarks
6:25pm - 6:30pm 5 mins
Quant Modelling and Trading: Volatility, FX, Option Pricing & Commodities
Chairman's closing remarks
6:30pm - 7:30pm 60 mins
Networking champagne roundtables