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Informa
07:35 - 08:10

Registration & welcome coffee

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Showing of Streams
11:00 - 11:30

Morning coffee & networking break

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Showing of Streams
13:00 - 14:00

Lunch

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Showing of Streams
15:20 - 15:50

Afternoon tea & networking break

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Showing of Streams
17:55 - 18:55

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. 

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18:55 - 19:00
End of main conference day 1

End of main conference day 1

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07:35 - 08:10 35 mins
Registration & welcome coffee
08:10 - 08:20 10 mins
Plenary
Chairman's opening remarks
08:20 - 09:00 40 mins
Info
Plenary
Machine learning: Separating fact from fiction
  • Marcos López de Prado - Principal, Head of Machine Learning, AQR Capital Management

Cutting through the hype with 10 examples where machine learning is playing a key role in finance

08:20 - 09:00 40 mins
Info
In the boardroom discussion
FRTB Panel
  • Bo Boisen - Director FRTB and Risk Data Platform, Nordea
  • Britta Achmann - Head of Business Implementation, Risk Change, Deutsche Bank

How are quants approaching the standardised framework?

09:00 - 09:40 40 mins
Info
Plenary
High performance computing: Practical tools & real-world applications

Examining the latest advancements in computational performance. Is it worth the investment?

09:00 - 09:40 40 mins
In the boardroom discussion
Portfolio construction methodology and trading advancements
09:40 - 10:20 40 mins
Plenary
Stable coins and the future of financial infrastructure
  • Alexander Lipton - Founder and CEO, StrongHold Labs
09:40 - 10:20 40 mins
In the boardroom discussion
How to accurately model the behaviour of cryptocurrencies
  • Robert Macrae - Research Associate, Systemic Risk Centre, Systemic Risk Centre
10:20 - 11:00 40 mins
Plenary
GDPR and the FinTech Start-Up
  • Erik Vynckier - Chairman of the Investment Committee and a member of the Risk and Capital Committee , Foresters Friendly Society
10:20 - 11:00 40 mins
In the boardroom discussion
Navigating changing volatility and interest rate regimes
11:00 - 11:30 30 mins
Morning coffee & networking break
11:30 - 11:40 10 mins
A: Interest rate modelling & trading
Chairman's opening remarks
11:30 - 11:40 10 mins
B: Option pricing & volatility
Chairman's opening remarks
11:30 - 11:40 10 mins
C: Algo trading, e-trading & machine learning
Chairman's opening remarks
11:30 - 11:40 10 mins
D: CCR, Collateral & Central Clearing
Chairman's opening remarks
11:30 - 13:00 90 mins
E: Masterclass
What can quant finance do that makes the world a better place?
11:40 - 12:20 40 mins
A: Interest rate modelling & trading
Swaptions modelling in a world of transitioning from IBOR references to SOFR style indices
  • Dominique Bang - Director, Bank of America Merrill Lynch
11:40 - 12:20 40 mins
B: Option pricing & volatility
Analytical conversion between implied volatilities based on different dividend models
  • Vladimir Jovanovic - Director - Equity Derivatives Quant, Barclays
  • Vladimir Lucic - Head of Non-Linear QIS Structuring, Macquarie
11:40 - 12:20 40 mins
Info
C: Algo trading, e-trading & machine learning
Recommender systems for Corporate Bond Trading
  • Luca Capriotti - Global Head Quantitative Strategies Credit and Financing, Credit Suisse
  • Dominic Wright - Quantitative Strategies Credit, Credit Suisse

We will discuss how a recommender system can be used in a finance: focusing on the methodology details, data requirements and how to apply the technology in practice.

11:40 - 12:20 40 mins
Info
D: CCR, Collateral & Central Clearing
The problem of IMM fallback, AKA how to value a derivative trade without a pricer and allocate collateral
  • Fabrizio Anfuso - Head of Exposure and Collateral Modelling, Credit Suisse

Given complexity and/or issues related to data sourcing, a significant amount of derivatives trades are left out from the main Monte Carlo based IMM or XVA valuations. This leaves banks with the major problem of i) splitting the exposure calculation; ii) provide a meaningful pricing fallback methodology and iii) find a way to allocate collateral across valuations. In this talk we review the challenges (IMM, FRTB CVA, XVA…) and make a case for an integrated approach.

12:20 - 13:00 40 mins
A: Interest rate modelling & trading
Looking Forward to Backward-Looking Rates: A Modeling Framework for Terms Rates Replacing LIBOR
  • Fabio Mercurio - Head of Quant Analytics, Bloomberg L.P.
12:20 - 13:00 40 mins
B: Option pricing & volatility
Fast and accurate rough Heston
  • Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
12:20 - 13:00 40 mins
C: Algo trading, e-trading & machine learning
Applications of computational intelligence to data-driven trading and investing
  • Cris Doloc - Lecturer Financial Mathematics, University of Chicago
12:20 - 13:00 40 mins
D: CCR, Collateral & Central Clearing
Implementing the alternative approach to SIMM to achieve lower initial margins posted under the regulatory rules
  • Alexander Giese - Managing Director, Head of Quantitative Product Group, UniCredit
13:00 - 14:00 60 mins
Lunch
14:00 - 14:40 40 mins
A: Interest rate modelling & trading
Trading strategies in interest rates - to what extent can we predict whether there is a good time to be long or short on the benchmark
14:00 - 14:40 40 mins
B: Option pricing & volatility
The VIX future in Bergomi models
  • Julien Guyon - Senior Quant, Bloomberg L.P.
14:00 - 14:40 40 mins
C: Algo trading, e-trading & machine learning
Deep execution: generative models in algo trading
  • Patrik Karlsson - Electronic Trading Quant, SEB
  • Hanna Hultin - Industrial PhD student, SEB
14:00 - 14:40 40 mins
D: CCR, Collateral & Central Clearing
Efficient calculation techniques for credit exposure in the presence of initial margin
  • Michael Pykhtin - Manager, Quantitative Risk, U.S. Federal Reserve Board
14:00 - 14:40 40 mins
E: Quantitative asset allocation strategies
Machine Learning for quant problems
  • Wim Schoutens - Professor Of Financial Engineering, University of Leuven
14:40 - 15:20 40 mins
Info
A: Interest rate modelling & trading
Learning Interest Rate Interpolation
  • Marcos Costa Santos Carreira - PhD Candidate, École Polytechnique

- Rates interpolation must be treated as a replication problem: a non-traded asset as a function of the dynamic of the traded assets

- It's a Reinforcement Learning problem similar to Halperin's QLBS

- Hedge a portfolio containing all possible maturities with the traded (zero) bonds and learn the optimal weights of each traded bond for each day

- Able to treat OIS based curves with a FED-Funds-like underlying rate

- Once best interpolation function is determined use the same method on traded bonds to reduce dimensionality and find key points of the curve

14:40 - 15:20 40 mins
B: Option pricing & volatility
Pricing autocallable products under new market conditions
14:40 - 15:20 40 mins
Info
C: Algo trading, e-trading & machine learning
Better hedging through deep learning
  • Mark Higgins - COO, Beacon Platform Inc.
14:40 - 15:20 40 mins
D: CCR, Collateral & Central Clearing
The value of Convexity: implied and realised convexity for long dated bonds
  • Jessica James - Managing Director, Senior Quantitative Researcher, Commerzbank AG
14:40 - 15:20 40 mins
E: Quantitative asset allocation strategies
Application of digital signal processing in quantitative finance
  • Arta Babaee - Academic Visitor, Imperial College London
15:20 - 15:50 30 mins
Afternoon tea & networking break
15:50 - 16:30 40 mins
A: Interest rate modelling & trading
How to effectively model cash settled swaptions
  • Viatcheslav Belyaev - Founder, Quant Hedge Analytic
15:50 - 16:30 40 mins
B: Option pricing & volatility
Quantum mechanics-based methods for option pricing
  • Luca Capriotti - Global Head Quantitative Strategies Credit and Financing, Credit Suisse
15:50 - 16:30 40 mins
Info
C: Algo trading, e-trading & machine learning
How to build a successful execution strategy computationally using data and machine learning
  • Mikko Pakkanen - Leader, Imperial Network of Excellence in Probabilistic Methods and Modelling, Imperial College London

 

15:50 - 16:30 40 mins
D: CCR, Collateral & Central Clearing
Repo convexity: utilising bond derivative basis volatility to model repo rates
  • Paul McCloud - Head of Global Fixed Income Quantitative Research’, Nomura
15:50 - 16:30 40 mins
E: Quantitative asset allocation strategies
Building an Innovative, low-cost systematic trading strategy
  • Vladimir Pakhomov - Founder, Managing Partner, Olympia Investments
16:30 - 17:10 40 mins
A: Interest rate modelling & trading
Systematic derivation of analytic pricing kernels for short rate and hybrid modelling
  • Colin Turfus - Quantitative Analyst, Deutsche Bank
16:30 - 17:10 40 mins
B: Option pricing & volatility
Applications of neural networks for pricing and regression
  • Youssef Elouerkhaoui - Managing Director And Global Head Of Credit & Commodities Quantitative Analysis, Citigroup
16:30 - 17:10 40 mins
Info
C: Algo trading, e-trading & machine learning
Optimal investment strategy in stochastic and local volatility models
  • Vladimir Piterbarg - MD, Head of Quantitative Analytics and Quantitative Development, NatWest Markets
  • We revisit the classical Merton optimal allocation problem
  • We consider local and stochastic volatility models
  • Significant corrections to the Merton ratio arise from hard to observe behaviour of the variance process around zero
  • Adjustment to the myopic Merton ratio can be largely deduced from observed option prices
  • Deep learning as an approach to determine model-free optimal investment strategy
16:30 - 17:10 40 mins
D: CCR, Collateral & Central Clearing
Convexity with collateral switch/floor options, semi analytic approach
  • Emiliano Papa - Director - Head of Rates and FX, Deutsche Bank
16:30 - 17:10 40 mins
E: Quantitative asset allocation strategies
A blueprint for deriving multiple efficient and coherent asset allocations for premium and private banking clients in CEE
  • Stefan Theussl - Senior Quant Analyst, Raiffeisen Bank International AG
17:10 - 17:50 40 mins
A: Interest rate modelling & trading
Algebraic formulation of a tractable multicurrency model
  • Gregory Pelts - Quant, Wells Fargo & Co
17:10 - 17:50 40 mins
B: Option pricing & volatility
Quantifying Model Performance
  • Alexandre Antonov - Director, Standard Chartered Bank
17:10 - 17:50 40 mins
C: Algo trading, e-trading & machine learning
A few applications of reinforcement learning in algorithmic trading
  • Vinayak Pathak - Associate Director, Quantitative Developer/Architect, Scotiabank
17:10 - 17:50 40 mins
D: CCR, Collateral & Central Clearing
Collateralized Networks
  • Samim Ghamami - Financial Economist, Goldman Sachs
17:10 - 17:50 40 mins
E: Quantitative asset allocation strategies
Using robo-advisors for investment decisions in practice
17:50 - 17:55 5 mins
A: Interest rate modelling & trading
Chairman's closing remarks
17:50 - 17:55 5 mins
B: Option pricing & volatility
Chairman's closing remarks
17:50 - 17:55 5 mins
C: Algo trading, e-trading & machine learning
Chairman's closing remarks
17:50 - 17:55 5 mins
D: CCR, Collateral & Central Clearing
Chairman's closing remarks
17:50 - 17:55 5 mins
E: Quantitative asset allocation strategies
Chairman's closing remarks
17:55 - 18:55 60 mins
Info
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. 

18:55 - 19:00 5 mins
End of main conference day 1