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Informa
07:35 - 08:10

Registration & welcome coffee

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Showing of Streams
11:10 - 11:40

Morning coffee & networking break

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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


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Showing of Streams
15:25 - 15:55

Afternoon tea & networking break

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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. 

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19:00 - 19:05
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

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
Basel III final rules

How are quants approaching the standardised framework?

09:00 - 09:35 35 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 - 09:35 35 mins
In the boardroom discussion
Portfolio construction methodology and trading advancements
09:35 - 10:35 60 mins
Info
Plenary
Life beyond IBORs: Mapping the journey to risk free rates

With $370 trillion of exposure to IBORS how do we manage the transition process to new interest rate benchmarks?

09:35 - 10:35 60 mins
In the boardroom discussion
How to accurately model the behaviour of cryptocurrencies
10:35 - 11:10 35 mins
Info
Plenary
How big data increases inequality and threatens democracy

Addressing the ugly side of data

10:35 - 11:10 35 mins
In the boardroom discussion
Navigating changing volatility and interest rate regimes
11:10 - 11:40 30 mins
Morning coffee & networking break
11:40 - 11:45 5 mins
A: Interest rate modelling & trading
Chairman's opening remarks
11:40 - 11:45 5 mins
B: Option pricing & volatility
Chairman's opening remarks
11:40 - 11:45 5 mins
C: Algo trading, e-trading & machine learning
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
E: Masterclass
What can quant finance do that makes the world a better place?
11:45 - 12:25 40 mins
A: Interest rate modelling & trading
Examining the impact of libor transition on the valuation and risk management of financial contracts
11:45 - 12:25 40 mins
B: Option pricing & volatility
Analytical conversion between implied volatilities based on different dividend models
11:45 - 12:25 40 mins
C: Algo trading, e-trading & machine learning
Recommender systems for Corporate Bond Trading
11:45 - 12:25 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

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.

12:25 - 13:05 40 mins
A: Interest rate modelling & trading
What steps are regulators taking to facilitate the transition from IBORs?
12:25 - 13:05 40 mins
B: Option pricing & volatility
Leveraging unstructured data and sentiment analysis to predict market movements and inform pricing
12:25 - 13:05 40 mins
C: Algo trading, e-trading & machine learning
Applications of computational intelligence to data-driven trading and investing
12:25 - 13:05 40 mins
D: CCR, Collateral & Central Clearing
Implementing the alternative approach to SIMM to achieve lower initial margins posted under the regulatory rules
13:05 - 14:05 60 mins
Info
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


14:05 - 14:45 40 mins
Info
A: Interest rate modelling & trading
The value of Convexity: Implied and realised convexity for long dated bonds

Using deep reinforcement learning for electronic trading

14:05 - 14:45 40 mins
B: Option pricing & volatility
How to interpolate volatility surfaces to achieve prices that cannot be exploited by counterparties
14:05 - 14:45 40 mins
C: Algo trading, e-trading & machine learning
Electronic trading using KDB+ for efficient data extraction
14:05 - 14:45 40 mins
D: CCR, Collateral & Central Clearing
IM for CCR and CVA capital: How to calculate future IM requirements to determine exposure to default for CCR and CVA
14:05 - 14:10 5 mins
E: Quantitative asset allocation strategies
Chairman’s opening remarks
14:10 - 14:50 40 mins
E: Quantitative asset allocation strategies
Machine Learning at AQR
14:45 - 15:25 40 mins
A: Interest rate modelling & trading
How to effectively model cash settled swaptions
14:45 - 15:25 40 mins
B: Option pricing & volatility
Pricing autocallable products under new market conditions
14:45 - 15:25 40 mins
C: Algo trading, e-trading & machine learning
Assessing strategies for effectively automating trade execution
14:45 - 15:25 40 mins
D: CCR, Collateral & Central Clearing
CCP exposure analysis: Modelling the risk of credit losses resulting from default of other clearing members
14:50 - 15:25 35 mins
E: Quantitative asset allocation strategies
Application of digital signal processing in quantitative finance
15:25 - 15:55 30 mins
Afternoon tea & networking break
15:55 - 16:35 40 mins
A: Interest rate modelling & trading
What does the post-libor world mean for interest rate modelling, XVAs and clearing rates?
15:55 - 16:35 40 mins
B: Option pricing & volatility
Quantum mechanics-based methods for option pricing
15:55 - 16:35 40 mins
Info
C: Algo trading, e-trading & machine learning
How to organise your trading desk structure to forecast capital increases and avoid model failures

 

15:55 - 16:35 40 mins
D: CCR, Collateral & Central Clearing
How are CCPs managing and modelling risk?
15:55 - 16:35 40 mins
E: Quantitative asset allocation strategies
Building an Innovative, low-cost systematic trading strategy
16:35 - 17:15 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?
16:35 - 17:15 40 mins
B: Option pricing & volatility
Applications of neural networks for pricing and regression
16:35 - 17:15 40 mins
C: Algo trading, e-trading & machine learning
Using E-trading systems and processes to improve revenue whilst minimising risk exposure
16:35 - 17:15 40 mins
D: CCR, Collateral & Central Clearing
Examining the challenges of applying state of the art models to counterparty credit risk engines
16:35 - 17:15 40 mins
E: Quantitative asset allocation strategies
Searching for risk premium – Where to extract it
17:15 - 17:55 40 mins
A: Interest rate modelling & trading
Analysing the advantages of using shifting Cheyette models
17:15 - 17:55 40 mins
B: Option pricing & volatility
How are emerging markets modifying their models and derivatives pricing in challenging market conditions?
17:15 - 17:55 40 mins
C: Algo trading, e-trading & machine learning
How to build a successful execution strategy computationally using data and machine learning?
17:15 - 17:55 40 mins
D: CCR, Collateral & Central Clearing
Collateralized deals and central clearing: Are we moving towards a contract/transaction normalization for reduced counterparty risk exposure?
17:15 - 17:55 40 mins
E: Quantitative asset allocation strategies
Using robo-advisors for investment decisions in practice
17:55 - 18:00 5 mins
A: Interest rate modelling & trading
Chairman's closing remarks
17:55 - 18:00 5 mins
B: Option pricing & volatility
Chairman's closing remarks
17:55 - 18:00 5 mins
C: Algo trading, e-trading & machine learning
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: Quantitative asset allocation strategies
Chairman's closing remarks
18:00 - 19:00 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. 

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