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Informa
07:40 - 08:20

Registration & welcome coffee

Showing of Streams
11:10 - 11:40

Morning coffee & networking break

Showing of Streams
13:05 - 14:05

Lunch - Plus meet the speaker lunch tables

Sign up on the day to your choice of lunch table headed up by a range of interesting speakers

Lunchtable 1: Lorenzo Bergomi, Head of Quantitative Research, SOCIÉTÉ GÉNÉRALE

Lunchtable 2: David Leinweber, Founder, Center for Innovative Financial Technology, LAWRENCE BERKELEY NATIONAL LABORATORY & Marcos López de Prado, Research Fellow, CORNELL UNIVERSITY

Lunchtable 3: John Hull, Maple Financial Professor Of Derivatives & Risk Management at Joseph L. Rotman School of Management, UNIVERSITY OF TORONTO  

  • Lorenzo Bergomi - Head of Quantitative Research, Société Générale
  • Lorenzo Bergomi - Head of Quantitative Research, Société Générale
  • David Leinweber - Founder Center for Innovative Financial Technology, Lawrence Berkeley Laboratory
  • John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management, University Of Toronto
more
Showing of Streams
15:25 - 15:55

Afternoon tea & networking break

Showing of Streams
18:00 - 19:00

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: The information content of option prices led by Peter Carr, Department Chair, Finance and Risk Engineering, NYU TANDON SCHOOL

Roundtable 2: Challenges facing AI in finance Led by David Fellah, Head EMEA Linear Quantitative Research Group, JPMORGAN CHASE

  • Peter Carr - Department Chair, Finance and Risk Engineering, NYU Tandon School
  • David Fellah - Head EMEA Linear Quantitative Research Group, JPMorgan Chase
more
19:00 - 19:05
End of main conference day 1

End of main conference day 1

07:40 - 08:20 40 mins
Registration & welcome coffee
08:20 - 08:30 10 mins
Plenary
Chairman's opening remarks
08:20 - 08:30 10 mins
In the boardroom discussion
Chairman's opening remarks
08:30 - 09:10 40 mins
Plenary
Guest behavioural economic insight: Simple heuristics that make us smart
  • Gerd Gigerenzer - Director, Max Planck Institute for Human Development and Harding Center for Risk Literacy in Berlin
more

Weighing up real world heuristics vs. theory

08:30 - 09:10 40 mins
In the boardroom discussion
Blockchains with and without Bitcoins
  • Helyette Geman - Director, Commodity Finance Centre, Birbeck, University Of London
more
09:10 - 09:50 40 mins
Plenary
Global regulations: Interpreting the latest quantitative implications for banks & buy-side
more

How is today’s regulatory environment impacting the financial quantitative landscape? How to comply time and cost efficiently whilst maintaining strong profitability?

09:10 - 09:50 40 mins
In the boardroom discussion
MiFID II impacts on trading
  • Michael Steliaros - Global Head of Quantitative Execution Services, Goldman Sachs
more
09:50 - 11:10 80 mins
Plenary
Frontiers in big data, machine learning and supercomputing
  • Marcos López de Prado - Research Fellow, Cornell University
  • Leo Razoumov - Principal Machine Learning Scientist, Amazon
  • David Leinweber - Founder Center for Innovative Financial Technology, Lawrence Berkeley Laboratory
  • Horst Simon - Deputy Lab Director for Research, Lawrence Berkeley National Laboratory
  • Alejandro Perdomo-Ortiz - Quantum Machine Learning Lead/Founder, NASA-USRA Quantum AI Lab./Qubitera, LLC
more

Bid Data, Machine Learning and Supercomputing have become an indispensable part of scientific research. In this panel, we will discuss a number of scientific breakthroughs that would not have been possible without these technologies. Financial institutions could benefit greatly from the adoption of these tools and approaches.

09:50 - 10:30 40 mins
In the boardroom discussion
SACCR – The basics of how it is implemented
10:30 - 11:10 40 mins
In the boardroom discussion
The future of LIBOR
  • Fabio Mercurio - Head of Quant Analytics, Bloomberg L.P.
more
11:10 - 11:40 30 mins
Morning coffee & networking break
11:40 - 11:45 5 mins
A: Algo Trading, E-Trading & Machine Learning
Chairman's opening remarks
11:40 - 11:45 5 mins
B: Interest Rate Modelling
Chairman's opening remarks
11:40 - 11:45 5 mins
C: Option Pricing & Volatility
Chairman's opening remarks
11:40 - 11:45 5 mins
D: CCR, Collateral & Central Clearing
Chairman's opening remarks
11:40 - 13:05 85 mins
Behavioural Psychology
Masterclass in social intelligence: Intuition, cooperation and influencing people
  • Gerd Gigerenzer - Director, Max Planck Institute for Human Development and Harding Center for Risk Literacy in Berlin
more
11:45 - 12:25 40 mins
A: Algo Trading, E-Trading & Machine Learning
Using AI for trade anomaly detection
  • Alexander Giese - Managing Director, Head of Quantitative Product Group, UniCredit
more

Anomaly detection finds extensive use in a wide variety of applications such as fraud detection for credit cards, insurance or health care, intrusion detection for cyber-security or military surveillance for enemy activities. We apply classical statistical methods as well as machine learning-based techniques in order to detect anomalies in trading activities. The aim is to detect fat fingers and other mistakes in trade entries as well as fraud and arbitrage trades.

11:45 - 12:25 40 mins
B: Interest Rate Modelling
Negative rates, negative fees
  • Luis Seco - Professor of Mathematics, University of Toronto
more

Investing in a negative rate environment


11:45 - 12:25 40 mins
C: Option Pricing & Volatility
Analytic formula for barrier option pricing
  • Peter Austing - Quantitative Research, Citadel
more

Building the new generation of quantitative analytics

11:45 - 12:25 40 mins
D: CCR, Collateral & Central Clearing
Counterparty loss modelling for CCAR
  • Matthias Arnsdorf - Managing Director & Head Of Counterparty Credit Risk Modeling Group, JPMorgan Chase
more

Addressing incremental default risk for the trading book and counterparty risk

12:25 - 13:05 40 mins
A: Algo Trading, E-Trading & Machine Learning
Bayesian asset pricing for algorithmic trading
  • Vinayak Pathak - Associate Director, Quantitative Developer/Architect, Scotiabank
more

How the Bayesian interpretation of probabilities helps us represent uncertainty and combine information from multiple sources in an honest way

12:25 - 13:05 40 mins
B: Interest Rate Modelling
Volatility modelling for vanilla rates options
  • Sebastian Schlenkrich - Manager Financial Engineering Unit, d-fine GmbH
more
12:25 - 13:05 40 mins
C: Option Pricing & Volatility
Theta I – What and how?
  • Lorenzo Bergomi - Head of Quantitative Research, Société Générale
more
  • Problems with usual way of calculating Theta – numerical (in)accuracy
  • What kind of theta should we calculate? Based on which criteria?
  • Breakdown of Theta into vanilla and exotic Thetas
  • A better algorithm for calculating Theta
12:25 - 13:05 40 mins
D: CCR, Collateral & Central Clearing
Is the CCP world well suited to rapid regime change such as Brexit?
more

Examining how CCPs compare and how reliable they are


13:05 - 14:05 60 mins
Lunch - Plus meet the speaker lunch tables
  • Lorenzo Bergomi - Head of Quantitative Research, Société Générale
  • Lorenzo Bergomi - Head of Quantitative Research, Société Générale
  • David Leinweber - Founder Center for Innovative Financial Technology, Lawrence Berkeley Laboratory
  • John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management, University Of Toronto
more

Sign up on the day to your choice of lunch table headed up by a range of interesting speakers

Lunchtable 1: Lorenzo Bergomi, Head of Quantitative Research, SOCIÉTÉ GÉNÉRALE

Lunchtable 2: David Leinweber, Founder, Center for Innovative Financial Technology, LAWRENCE BERKELEY NATIONAL LABORATORY & Marcos López de Prado, Research Fellow, CORNELL UNIVERSITY

Lunchtable 3: John Hull, Maple Financial Professor Of Derivatives & Risk Management at Joseph L. Rotman School of Management, UNIVERSITY OF TORONTO  

14:05 - 14:45 40 mins
A: Algo Trading, E-Trading & Machine Learning
LOXM developments
  • David Fellah - Head EMEA Linear Quantitative Research Group, JPMorgan Chase
more

Using deep reinforcement learning for electronic trading

14:05 - 14:45 40 mins
B: Interest Rate Modelling
Overcoming negative rates in yield curve modelling
  • Michael Dempster - Professor Emeritus & Founder, Centre For Financial Research, Department Of Pure Mathematics And Statistics, University Of Cambridge
more
14:05 - 14:45 40 mins
C: Option Pricing & Volatility
Local stochastic volatility modelling computational challenges
more

How to calibrate and determine the concentration of sensitivities

14:05 - 14:45 40 mins
D: CCR, Collateral & Central Clearing
DIM for cleared derivatives: “Forecasting the forecast”
  • Fabrizio Anfuso - Head of IB CCR Collateralised Exposure Modelling, Credit Suisse
more
  • How to make Dynamic IM work for cleared derivatives
  • Suitable DIM calibration to forecast H-VaR / PAIRS IM requirements
14:05 - 14:10 5 mins
E: Systematic Investing Strategies
Chairman’s opening remarks
14:10 - 14:45 35 mins
E: Systematic Investing Strategies
Trend following strategy: Adapting to regime change
  • Arta Babaee - Senior Quantitative Analyst, Thayer Brook Partners LLP
more

In this talk we investigate how, utilizing financial signal processing, we can build trend followers which can have better risk/return profile compared to certain conventional methodologies. In particular, we show how trend following and digital filtering are two sides of the same coin and techniques in digital signal processing are directly applicable to building trend followers. 

14:45 - 15:25 40 mins
A: Algo Trading, E-Trading & Machine Learning
Relative valuation, factoring linear differential operators, and symplectic geometry
  • Peter Carr - Department Chair, Finance and Risk Engineering, NYU Tandon School
more
  • Defining relative valuation
  • Factoring in finance: risk and its market price
  • Quantization and linear differential operators
  • Linking market price of risk to probability flux
  • Funding, factoring, and formulas
  • Spot prices and symplectic geometry
14:45 - 15:25 40 mins
B: Interest Rate Modelling
Convexity with collateral switch/floor options, semi-analytic approach
  • Emiliano Papa - Director - Head of Rates and FX, Deutsche Bank
more

Recent developments in the area of Yield Curves construction, taking into account multi-currency collateral switch options

14:45 - 15:25 40 mins
C: Option Pricing & Volatility
Effective approximations of zero coupon bond/survival probabilities and Arrow Debreu Prices in short rate models
  • Luca Capriotti - Global Head Quantitative Strategies Credit and Financing, Credit Suisse
more
14:45 - 15:25 40 mins
D: CCR, Collateral & Central Clearing
Counterparty Trading Limits Revisited: CSAs, IM, SwapAgent®, from PFE to PFL
  • Chris Kenyon - Head of XVA Quantitative Research, Lloyds Banking Group
more
14:45 - 15:25 40 mins
E: Systematic Investing Strategies
Smart beta in treasuries: Value and momentum revisited
  • Riccardo Rebonato - Professor of Finance, EDHEC
more
15:25 - 15:55 30 mins
Afternoon tea & networking break
15:55 - 16:35 40 mins
A: Algo Trading, E-Trading & Machine Learning
Deep portfolio
  • Shilong Yang - Executive Director Quantitative Research Equities Group, JPMorgan Chase
more

Using deep learning for portfolio construction and signal integration

15:55 - 16:35 40 mins
B: Interest Rate Modelling
Counterparty credit risk: A multi interest rate curve model for exposure modelling
  • André Süss - Senior Quant, Exposure Analytics, Credit Suisse
more

The tenor basis phenomenon became significant with the 2007 financial crisis and has altered the traditional way of one-curve pricing and risk management to a multi-curve phenomenon. The stochastic nature of basis spreads between curves particularly poses a challenge for forward looking applications like XVA or real world measure exposure analytics. This paper presents a Two- factor Gaussian approach for modelling multiple fixing curves and basis spreads in the risk neutral and spot measure, shows the impact on basis swap exposure, investigates the correlation structure and discusses the pros and cons of interpreting as a spread or multi curve model respectively.

15:55 - 16:35 40 mins
C: Option Pricing & Volatility
A new pricing model for cash-settled swaptions
  • Raoul Pietersz - Quantitative Analyst, ABN AMRO
more

The market for cash-settled swaptions has changed its model conventions. Cash-settled zero-wide collars struck at the swap-settled forward have started trading at non-zero prices. Apart from full-fledged term-structure models, a simple arbitrage-free model to consistently value cash-settled and swap-settled swaptions has been lacking so far. We propose a straightforward arbitrage-free model that consistently prices cash-settled and swap-settled swaptions and also matches the newly published zero-wide collar premiums. The defining characteristic of the model is to explicitly specificy the swap-settled annuity as a function of a discount swap rate under the swap-settled annuity measure. The new methodology has many desirable features and performs well in a realistic example. 

15:55 - 16:35 40 mins
D: CCR, Collateral & Central Clearing
Credit and funding risk associated with CCPs: A simple, robust approach
  • Leif Andersen - Global Co-Head Of Quantitative Strategies Group, Bank Of America Merrill Lynch
more
15:55 - 16:35 40 mins
E: Systematic Investing Strategies
ETFs vs. cash stock investing and trading
more

Pinpointing experienced pros and cons of both approaches to safeguard returns

16:35 - 17:15 40 mins
A: Algo Trading, E-Trading & Machine Learning
Volatility, correlation & market impact microstructure dynamics: The fallacy of using single stock algos for portfolio trading
  • Michael Steliaros - Global Head of Quantitative Execution Services, Goldman Sachs
more
16:35 - 17:15 40 mins
B: Interest Rate Modelling
Random field LIBOR market model developments
  • Tao Wu - Associate Professor of Finance, Illinois Institute of Technology
more

A random field LIBOR market model (RFLMM) is proposed by extending the LIBOR market model, with interest rate uncertainties modeled via a random field. First, closed-form formulas for pricing caplet and swaption are derived. Then the random field LIBOR market model is integrated with the lognormal-mixture model to capture the implied volatility skew/smile. Finally, the model is calibrated to cap volatility surface and swaption volatilities. Numerical results show that the random field LIBOR market model can potentially outperform the LIBOR market model in capturing caplet volatility smile and the pricing of swaptions, in addition to possessing other advantages documented in the previous literature (no need of frequent recalibration or to specify the number of factors in advance).

16:35 - 17:15 40 mins
C: Option Pricing & Volatility
Swaptions, bonds and equities in HJM models
  • Viatcheslav Belyaev - Hedge Model Validation Principal, Allianz Life
more
  • Closed form formulas for ATM Swaption prices in HJM model are derived.
  • Non-Parametric fit of swaption prices
  • Bond Index Fund model.
  • Long term equity volatility.
16:35 - 17:15 40 mins
D: CCR, Collateral & Central Clearing
Submodular risk allocation
  • Samim Ghamami - Economist, Board of Governors Of The Federal Reserve System
more

Changes in the over-the-counter derivatives markets leave dealers some flexibility in whether to trade bilaterally or through central counterparties (CCP) and which CCP to choose. We analyze the problem of optimal allocation of trades to portfolios to minimize risk-based margin requirements. With submodular margin requirements, the problem becomes a submodular intersection problem; the dual provides per-trade margin attributions. We derive conditions under which standard deviation and other risk measures are submodular functions of sets of trades. We compare systemwide optimality with individually optimal allocations. 

16:35 - 17:15 40 mins
E: Systematic Investing Strategies
Recent progress in impact dynamics
  • Michael Benzaquen - CNRS Researcher, Ecole Polytechnique
more
17:15 - 17:55 40 mins
A: Algo Trading, E-Trading & Machine Learning
Algorithmic indices: How to build strategies matching the views of the client without any overdose fitting
  • Adil Reghaï - Head of Equity and Quant Research, Natixis
more
17:15 - 17:55 40 mins
B: Interest Rate Modelling
Variable annuities: Underlying risks and sensitivities
  • Imad Chahboun - Senior Quantitative Analyst, Federal Reserve Bank of Boston
more
17:15 - 17:55 40 mins
C: Option Pricing & Volatility
Quantum pricing models – Application of infinite dimensional group representation in derivative pricing
  • Gregory Pelts - Quant, Wells Fargo & Co
more

Symmetry groups and their infinite dimensional representations has been long applied in quantum mechanics. We shall demonstrate how similar techniques can be applied in quantitative finance. The methodology helps to generate a class of tractable and parsimonious derivative pricing models

17:15 - 17:55 40 mins
D: CCR, Collateral & Central Clearing
Heston calibration for counterparty risk
  • Marco de Innocentis - Senior Quantitative Analyst, Credit Suisse
more
  • We outline the advantages of a new market implied calibration of the Heston model, based on an improved version of the Levendorskii (2012) pricing algorithm, and show that the calibrated model backtests well (Risk, Sep 2017 & SSRN, Feb 2016)
  • We describe a new simulation methodology for the multi-asset case and how to handle some exotic contracts
17:15 - 17:55 40 mins
E: Systematic Investing Strategies
Sustainable and impact investing
  • Svetlana Borovkova - Associate Professor Of Quantitative Finance, Vrije Universiteit Amsterdam
more

To what extent do investment quants have to sacrifice returns when considering alternative investment funds

17:55 - 18:00 5 mins
A: Algo Trading, E-Trading & Machine Learning
Chairman's closing remarks
17:55 - 18:00 5 mins
B: Interest Rate Modelling
Chairman's closing remarks
17:55 - 18:00 5 mins
C: Option Pricing & Volatility
Chairman's closing remarks
17:55 - 18:00 5 mins
D: CCR, Collateral & Central Clearing
Chairman's closing remarks
17:55 - 18:00 5 mins
E: Systematic Investing Strategies
Chairman's closing remarks
18:00 - 19:00 60 mins
Networking drinks reception & champagne roundtable discussion groups
  • Peter Carr - Department Chair, Finance and Risk Engineering, NYU Tandon School
  • David Fellah - Head EMEA Linear Quantitative Research Group, JPMorgan Chase
more

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: The information content of option prices led by Peter Carr, Department Chair, Finance and Risk Engineering, NYU TANDON SCHOOL

Roundtable 2: Challenges facing AI in finance Led by David Fellah, Head EMEA Linear Quantitative Research Group, JPMORGAN CHASE

19:00 - 19:05 5 mins
End of main conference day 1