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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. 

Roundtable 1: Stefan Pomberger: Digital disruption in the private placement & loan market - what does this new financing market hold for issuers and investors?

Roundtable 2: Stephen Gribben: Leading Through Change & Uncertainty

Roundtable 3: Peter Carr: Volatility and early exercise

Roundtable 4: Helyette Geman: Bitcoins: Are they Back?

Roundtable 5:  Charbel Gereige: Quants come from mars and Developers come from Venus

  • Stefan Pomberger - Executive Director, Head of the Fixed Income Quant Group, Vontobel Investment Banking
  • Stephen Gribben - Founder, CoachPro.online
  • Peter Carr - Department Chair, Finance and Risk Engineering, NYU Tandon School
  • Helyette Geman - Director, Commodity Finance Centre, Birbeck, University Of London & John Hopkins University
  • Charbel Gereige - Automated Asset Allocation Developers Lead, BlackRock
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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
  • Vladimir Lucic - Head of Non-Linear QIS Structuring, Macquarie
08:20 - 09:00 40 mins
Info
Plenary
Machine learning: Separating fact from fiction
  • Marcos López de Prado - Adjunct Professor, Financial Machine Learning, Cornell University

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 FRTB framework?

09:00 - 09:40 40 mins
Info
Plenary
New Intel® Optane™ DC Persistent Memory (DCPMM): Accelerating the Kx kdb+ Time Series Database
  • Evgueny Khartchenko - Software Application Engineer, Intel

The New Intel® memory technology released on April the 4th 2019 is presented. Operating modes along with their performance implications are discussed. Kx kdb+ POC/enabling efforts/ are shared. Great results obtained for STAC M3 test suite with kdb+ v3.6 on a Lenovo ThinkSystem SR950 with Intel Xeon Platinum 8280L CPUs and DCPMM are presented.

09:00 - 09:40 40 mins
In the boardroom discussion
Deploying trading strategies using Machine Learning
  • Andrea Nardon - Partner, Portfolio Manager, Head of Quant, Sarasin & Partners
09:40 - 10:20 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
09:40 - 10:20 40 mins
In the boardroom discussion
Can we model tail risk?
  • Robert Macrae - Research Associate, Systemic Risk Centre, Systemic Risk Centre
10:20 - 11:00 40 mins
Info
Plenary
Making Things Happen
  • Stephen Gribben - Founder, CoachPro.online

The Psychology of Influence, Motivation & Results

10:20 - 11:00 40 mins
Info
In the boardroom discussion
Liquidity at Risk: a new approach to credit risk modeling and stress testing
  • Rama Cont - Chair of Mathematical Finance, University of Oxford
  • What is default?
  • Liquidity and solvency
  • Joint modelling of solvency and liquidity
  • Liquidity-solvency diagram
  • Liquidity-at-Risk
  • Application to bank stress tests
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
  • Andrew McClelland - Director, Quantitative Research, Numerix
11:30 - 11:40 10 mins
B: Option pricing & volatility
Chairman's opening remarks
  • Vladimir Lucic - Head of Non-Linear QIS Structuring, Macquarie
11:30 - 11:40 10 mins
C: Algo trading, e-trading & machine learning
Chairman's opening remarks
  • Richard Turner - Head of Research, Currency Alpha, Mesirow Financial
11:30 - 11:40 10 mins
D: CCR, Collateral & Central Clearing
Chairman's opening remarks
  • Andrew Dickinson - Director, Bank of America Merrill Lynch
11:30 - 13:00 90 mins
E: Masterclass
How to use the machine learning results for (rough) volatility in practice?
  • Blanka Horvath - Lecturer in Financial Mathematics, King's College London
  • Aitor Muguruza Gonzalez - Equities Quant, Natixis
  • Mehdi Tomas - PhD Student, École Polytechnique
11:40 - 13:00 80 mins
A: Interest rate modelling & trading
Looking Forward to Backward-Looking Rates: A Modeling Framework for Terms Rates Replacing LIBOR
  • Fabio Mercurio - Global Head of Quant Analytics, Bloomberg L.P.
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
CCPs: quantifying risks posed by direct clearing in the wake of the default at Nasdaq AB
  • Andrew Dickinson - Director, Bank of America Merrill Lynch
  • We propose a quantitative framework for investigating the risks posed by direct client clearing
  • We present new results on CCP valuation adjustments extending those in Andersen and Dickinson (2018) which demonstrates that the risks posed by poorly diversified members may be greatly larger than diversified broker-dealers
  • Consequences for CCP structure, membership and equitable initial margin levels are discussed
12:20 - 13:00 40 mins
B: Option pricing & volatility
Getting Quantos to smile
  • George Hong - Head of APAC Quantitative & Risk Strategies, Credit Suisse
12:20 - 13:00 40 mins
Info
C: Algo trading, e-trading & machine learning
Evolution of execution dynamics and advances in trading technology
  • Michael Steliaros - Global Head of Quantitative Execution Services, Goldman Sachs

Modelling volatility, covariance and flow co-movement, alongside applied big data innovations, to improve trading performance

12:20 - 13:00 40 mins
Info
D: CCR, Collateral & Central Clearing
Reducing the initial margin load
  • Alexander Giese - Managing Director, Head of Quantitative and Digital Development for Trading, UniCredit

The first 3 phases of the regulatory initial margin requirements for non-centrally cleared OTC derivatives are already implemented and phase 4 / 5 will go live in September 2019 / 2020 with around 1’000 additional counterparties being required to collect and post initial margins. More than USD 90 billion of regulatory initial margins are collected respectively posted by the counterparties of phase 1-3 already today. It is estimated that equity products account for 35% of all regulatory initial margins making equity products the product class with the highest contribution. The aim of the presentation is to demonstrate and explain how the initial margins for equity derivatives can be significantly reduced by using the alternative approach of the ISDA Standard Initial Margin Model (SIMM). The presentation will also elaborate on the challenges of the corresponding implementation.

13:00 - 14:00 60 mins
Lunch
14:00 - 14:40 40 mins
Info
A: Interest rate modelling & trading
Advances in Tenor Basis Modeling: Boundedness, Specification and Calibration
  • Andrew McClelland - Director, Quantitative Research, Numerix
  • Tenor basis in XVA and its impact on calibrated discount-rate volatilities
  • A Cheyette-style multi-curve model with lower-bounded tenor spreads
  • Addressing a complicated HJM-style drift condition on the multi-curve model
  • Calibrating to historical basis-spread behavior (jointly with swaptions)
  • Impact of benchmark rate reforms on multi-curve modeling and calibration
14:00 - 14:40 40 mins
Info
B: Option pricing & volatility
The VIX future in Bergomi models
  • Julien Guyon - Senior Quant, Bloomberg L.P.

We derive the expansion of the prices of VIX futures in various Bergomi models at order 6 in small volatility-of-volatility. The expansion allows us to precisely pinpoint the roles of volatility-of-volatility and mean-reversion in the formation of the prices of VIX futures. It also sheds light on the (in)ability of traditional continuous-time continuous-paths stochastic volatility models to jointly calibrate S&P 500 options, VIX futures, and VIX options. We cover the one-factor, two-factor, and skewed two-factor Bergomi models and allow for maturity-dependent and/or time-dependent parameters. The proof naturally involves the (classical or dual bivariate) Hermite polynomials and exploits their orthogonality properties. When the initial term-structure of variance swaps is flat, the expansion is a closed form expression. Otherwise, it involves one-dimensional integrals which must be numerically computed. Often the expansion is very precise, even for very large values of volatility-of-volatility.

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 - 14:05 5 mins
E: Quantitative asset allocation strategies
Chair’s opening remarks
  • Bernd Scherer - Head Of Private Wealth Portfolio Management, Head of Product Development, Bankhaus Lampe KG
14:05 - 14:45 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
Info
B: Option pricing & volatility
The Dangers of Recalibration
  • Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
  • Recalibration as a market practice: logical and practical issues
  • The geometry of dynamic arbitrage
  • Is it safe to recalibrate Black-Scholes, LVM, Heston, SABR…?
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
14:45 - 15:20 35 mins
Info
E: Quantitative asset allocation strategies
Factor Investing - Managing Specification Choices
  • Bernd Scherer - Head Of Private Wealth Portfolio Management, Head of Product Development, Bankhaus Lampe KG
  • Design clusters
  • Factor design and cross sectional dispersion
  • Factor design and time series dispersion
  • Design choice and research governance
  • Factor fishing
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
Quantifying Endogenous High-Frequency Trading
  • 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
Info
E: Quantitative asset allocation strategies
Rethinking market impact
  • Rama Cont - Chair of Mathematical Finance, University of Oxford

Contradictory views of 'market impact'

The 'square root law' of market impact

The role of trade duration and market volatility

How does execution cost depend on trade size?

How does execution cost depend on trading speed?

Back to basics

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
Derivatives Pricing with A Deep Learning Approach
  • 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
Info
C: Algo trading, e-trading & machine learning
Parameterized families of calendar correlations: decoding oil and beyond
  • Roza Galeeva - Professor, NYU

*Empirical properties of historical realized commodities correlations

*Parametric families for calendar correlations

*Dynamics for instantaneous correlation

*Calibration of the model and results

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
Info
E: Quantitative asset allocation strategies
Time consistency on the mean-risk asset allocation problem
  • Birgit Rudloff - Professor of Mathematics for Economics and Business, Vienna University of Economics and Business

We consider the dynamic mean-risk asset allocation problem. Usually, a weighted sum of the two objectives mean and risk is considered to turn the problem into an optimization problem with a single objective. But it is well known that this problem does not satisfy the (scalar) Bellman principle of dynamic programming. However, when we leave it in its original form as a vector optimization problem, the upper images, whose boundary is the efficient frontier, recurse backwards in time. Conditions are presented under which this recursion can be exploited directly to compute a solution in the spirit of dynamic programming. Numerical examples illustrate the obtained results.

17:50 - 17:55 5 mins
A: Interest rate modelling & trading
Chairman's closing remarks
  • Andrew McClelland - Director, Quantitative Research, Numerix
17:50 - 17:55 5 mins
B: Option pricing & volatility
Chairman's closing remarks
  • Vladimir Lucic - Head of Non-Linear QIS Structuring, Macquarie
17:50 - 17:55 5 mins
C: Algo trading, e-trading & machine learning
Chairman's closing remarks
  • Richard Turner - Head of Research, Currency Alpha, Mesirow Financial
17:50 - 17:55 5 mins
D: CCR, Collateral & Central Clearing
Chairman's closing remarks
  • Andrew Dickinson - Director, Bank of America Merrill Lynch
17:50 - 17:55 5 mins
E: Quantitative asset allocation strategies
Chairman's closing remarks
  • Bernd Scherer - Head Of Private Wealth Portfolio Management, Head of Product Development, Bankhaus Lampe KG
17:55 - 18:55 60 mins
Info
Networking drinks reception & champagne roundtable discussion groups
  • Stefan Pomberger - Executive Director, Head of the Fixed Income Quant Group, Vontobel Investment Banking
  • Stephen Gribben - Founder, CoachPro.online
  • Peter Carr - Department Chair, Finance and Risk Engineering, NYU Tandon School
  • Helyette Geman - Director, Commodity Finance Centre, Birbeck, University Of London & John Hopkins University
  • Charbel Gereige - Automated Asset Allocation Developers Lead, BlackRock

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: Stefan Pomberger: Digital disruption in the private placement & loan market - what does this new financing market hold for issuers and investors?

Roundtable 2: Stephen Gribben: Leading Through Change & Uncertainty

Roundtable 3: Peter Carr: Volatility and early exercise

Roundtable 4: Helyette Geman: Bitcoins: Are they Back?

Roundtable 5:  Charbel Gereige: Quants come from mars and Developers come from Venus

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