Programme 2019

Programme 2019

Quant Summit Europe 2019 at a glance!


Pre-conference event on March 5: Risk.net Machine Learning Forum

Post-conference event on March 8:  Volatility Modelling Masterclass with Julien Guyon, Senior Quant, BLOOMBERG, Adjunct Professor, COLUMBIA UNIVERSITY, Courant Institute of Mathematical Sciences, NYU

Day One - March 6, 2019

08.20

Registration and refreshments

08.50

WELCOME ADDRESS

Mauro Cesa, Quant Finance Editor, RISK.NET

09.00

OPENING KEYNOTE ADDRESS

Speaker to be confirmed

09.40

NEW IDEAS FORM THE QUANT RESEARCH TEAM OF THE YEAR 2019

Spyros Mesomeris, Global Head of Quantitative Strategy and Quant Investment Solutions Research, DEUTSCHE BANK

10.20

Morning break and opportunity to network

KNOWLEDGE CAFÉ: Grab a coffee and join a table of your choice to share ideas and network with fellow industry professionals.

  • The state of quantum computing in finance: Are we there yet?

  • Fintech agenda within banks: How are you levering new technologies?

  • Beyond Libor: The transition from Libor and what research opportunities it offers for quants

MACHINE LEARNING, PORTFOLIO CONSTRUCTION & BEHAVIOURAL FINANCE

Chair’s opening remarks

11.00

New research on applications of NLP

Georgios Papaioannou, Trading Strategist, BANK OF AMERICA MERRILL LYNCH

11.35

Machine learning for identification and forecast of market cycles

  • Applying Hidden Markov Models (HMM) to identify market cycles (bull/bear/range etc.)
  • Specification and estimation of HMMs using Unsupervised Learning
  • Forecasting of likelihoods of cycles at different horizons
  • Applications to systematic trading strategies

Artur Sepp, Head of Research, QUANTICA CAPITAL AG

12.10

Behaviour finance: Translating theory into practice

Nicky Lai, Vice President, Behavioral Finance, Risk & Quantitative Analysis, BLACKROCK

12.45

Lunch and opportunity to network

1.45

Opening the black box: Understanding  interpretability

Speaker to be confirmed

2.20

Derivatives pricing with a machine learning approach

  • Motivation – Non-parametric option pricing
  • Review of Machine Learning techniques
  • Mathematical introduction to neural networks
  • The universal representation theorem
  • Deep pricing learning theory
  • Implementation details
  • Applications

Youssef Elouerkhaoui, Managing Director, Global Head of Credit and Commodities Quantitative Analysis, CITI

MODEL RISK, MARGIN REQUIREMENTS & LIBOR REPLACEMENT

Chair’s opening remarks

11:00

Quantifying model performance

  • Introduction: Known issues with models and hedging

  • Payoff replication quality as an objective measure of the hedging performance of a model

  • Hedging quality criteria and its numerical expression

  • Numerical experiments
    - Heston simulations as the world-model
    - Comparison of the right hedge (Heston) with a wrong one (BS)
    - Replication goodness criteria for both cases and their path-wise distributions

  • Future research: Price adjustment

  • Conclusion: A new model performance criteria for the back-testing

Alexandre Antonov, Head of Core Modelling, Financial Markets Risk Models, STANDARD CHARTERED BANK (Risk.net 2016 Quant of the Year)

11:35

The problem of IMM fallback: Also known as, how to value a derivative trade without a pricer and allocate collateral

Fabrizio Anfuso, Head of Exposure and Collateral Modelling, CREDIT SUISSE

12.10

The impact of the margin requirements for uncleared derivatives on regulatory capital

Speaker to be confirmed 

12.45

Lunch and opportunity to network

1.45

Topic to be confirmed

Adolfo Montoro, Director, Global Head of Market Data Strategy & Analytics, DEUTSCHE BANK

2.20

Research on LIBOR replacement

Speaker to be confirmed

3.05

Afternoon break and opportunity to network

3.30

CONVERSATION WITH HEADS OF QUANTS: What industry problems are waiting for answers from quants?

  • Where do you allocate most of your research resources? Solving which problems you would give you an edge over competitors?

  • Convergence of buy-side and sell-side quants: What can we learn from each other?

  • Quantitative finance has changed immensely over the past few years - what skills are the most important in today’s environment?

  • What’s on the horizon? Where do you think you’ll be spending most of your budget and assigning brightest talents in a next 5 years?

Speaker to be confirmed

4:10

SPOTLIGHT ON QUANTUM COMPUTING IN FINANCE

Bringing quantum computing to the City: Applications in finance

Alexei Kondratyev, Managing Director, Financial Markets, STANDARD CHARTERED BANK (Risk.net Quant of the Year 2019)

Colin Williams, Director of Strategy & Business Development, D-WAVE SYSTEMS

5.20

Chairman’s closing remarks

Mauro Cesa, Quant Finance Editor, RISK.NET

5.30

Cocktail reception.

End of day one

 

Day Two - March 7, 2019

08:30

Registration and refreshments

08:50

WELCOME ADDRESS

Mauro Cesa, Quant Finance Editor, RISK.NET

09:00

OPENING KEYNOTE ADDRESS: 

Impact, co-impact and cross-impact

Jean-Philippe Bouchaud, Chairman, CAPITAL FUND MANAGEMENT (Risk.net 2017 Quant of the Year) 

09.40

SPOTLIGHT ON TRADING: 

Evolution of execution dynamics and advances in trading technology: Modelling volatility, covariance and flow co-movement, alongside applied big data innovations, to improve trading performance

Michael Steliaros, Global Head of Quantitative Execution Services, GOLDMAN SACHS

10.20

An artificial neural network representation of the SABR stochastic volatility model

William McGhee, Managing Director, Global Head of Machine Learning and eTrading Quantitative Analytics, NATWEST MARKETS

11.00

Morning break and opportunity to network

KNOWLEDGE CAFÉ: Grab a coffee and join a table of your choice to share ideas and network with fellow industry professionals.

  • Blockchain and digital assets: What’s in it for quants?

  • Algo trading and market making in fixed income

  • "Quantamental" investing: The best of both worlds

FACTOR INVESTING, SMART BETA, CROWDING

Chair’s opening remarks

11.30

Measuring crowding and following the smart money

David Jessop, Managing Director, Global Head of Equities Quantitative Research, UBS

12.05

Bond risk, risk premia and how unloved Value is where you now need to be

  • As QE comes to an end, how will many quantitative strategies fare, given many were created during a bond bull market?

  • Adding the Value factor to a multi-asset portfolio may be the antidote

Andrew Lapthorne, Head Quantitative Equity Research, SOCIETE GENERALE

12.40

Factor investing in fixed income (topic tbc)

Riccardo Rebonato, Professor of Finance, EDHEC BUSINESS SCHOOL

1.15

Lunch and opportunity to network

2.15

A regime switching model for smart beta investing using hidden Markov models

Elizabeth Fons, Research Associate, ALLIANCEBERNSTEIN

2.50

Factor exposures: Get them right!

Raul Leote de Carvalho, Deputy Head of Financial Engineering, BNP PARIBAS ASSET MANAGEMENT 

PRICING, VOLATILITY & CALL FOR PAPER RESEARH SHOPWCASE

Chair’s opening remarks

11.30

New research on the joint calibration of SPX and VIX options

  • SPX, VIX, and derivatives

  • Joint calibration: past attempts

  • New approach for continuous models on the SPX

  • The case of instantaneous VIX: Necessary and sufficient condition for joint calibration

  • The real case of 30 day VIX: Inversion of convex ordering of VIX2 and local VIX2

  • Inversion of convex ordering using (a) fast mean-reverting and highly volatile volatility or (b) rough volatility

  • The stochastic local volatility approach

    Julien Guyon, Senior Quant, BLOOMBERG, Adjunct Professor, COLUMBIA UNIVERSITY, Courant Institute of Mathematical Sciences, NYU

12.05

Systematic derivation of analytic pricing kernels for short rate and hybrid modelling

  • We show how to derive pricing kernels systematically from an operator-based representation of the pricing equation.

  • A perturbation expansion is performed resulting in an infinite series representation in powers of the short rate.

  • For affine models, this series can be summed in closed form.

  • The approach is easily extended to multi-currency and hybrid models

  • Analytic expressions are derived for a number of CVA and hybrid derivatives pricing problems.

Colin Turfus, Credit Derivatives Model Validation, DEUTSCHE BANK

12.40

The risk management with stochastic volatility and local volatility local correlation

Adil Reghaï, Head of Equity and Quant Research, NATIXIS

1.15

Lunch and opportunity to network

2.15

CALL FOR PAPER WINNERS’ RESEARCH SHOWCASE

Risk.net welcomes participants to submit technical articles to be presented at the 2019 Quant Summit Europe

In an hour, we will showcase research which received the most favorable feedback from the Global Quant Summits Advisory Board and were selected to present at this year’s event.

THE FINAL DATE FOR SUBMISSION IS: February 9th, 2019

3.25

Afternoon break and networking

3.50

AFTERNOON KEYNOTE ADDRESS: The promise of  blockchain technology in financial services (topic tbc)

Bruno Dupire,  Head Of Quantitative Research, BLOOMBERG 

4.30

OXFORD DEBATE:

This house believes deep learning is offering an unbeatable set of tools and will fundamentally change the world of trading similar to Waymo changing the world of taxi business

Introduction and audience vote
Opening remarks
Referee's round-robin debate
Summing up and rebuttal
Final vote

For:

Alexander Giese, Managing Director, Head of Quantitative and Digital Development for Trading Corporate & Investment Banking, UNICREDIT BANK
 

AGAINST:

Christian Schwarz, Executive Director, Head of Quant Research, Focus on Machine Learning and Algo Trading, MIZUHO INTERNATIONAL
 

Further speakers to be confirmed

5.20

Chairman’s closing remarks

Mauro Cesa, Quant Finance Editor, RISK.NET

5.20

End of the conference.