Quant Summit Asia 2020
Quant Summit Asia will bring together top quants to deliver their latest research and insights on the latest in quantitative finance, covering themes such as machine learning, portfolio construction, and modelling.
Quant Summit Asia conference
Quant Summit Asia will bring together top quants to deliver their latest research and insights in quantitative finance. Key themes include:
- Machine Learning in pricing and risk management
- Portfolio Construction
- Initial Margin / MVA / CVA
- Smart Beta / Factor Investing
- LIBOR reform
- Model risk, quantum computing
- Volatility modelling and products
Managing director, global head of data analytics, CCIB
Standard Chartered Bank
In his role as Managing Director and Global Head of Data Analytics, Alexei is responsible for providing data analytics services to Corporate, Commercial and Institutional Banking division of Standard Chartered Bank.
He joined Standard Chartered Bank in 2010 from Barclays Capital where he managed a model development team within Credit Risk Analytics. Prior to joining Barclays Capital in 2004, he was a senior quantitative analyst at Dresdner Bank in Frankfurt.
Alexei holds MSc in Theoretical Nuclear Physics from the University of Kiev and PhD in Mathematical Physics from the Institute for Mathematics, National Academy of Sciences of Ukraine.
He was the recipient of the 2019 Quant of the Year award from Risk magazine.
CRO and head of quantitative research
Andrew Y. Chin is the Chief Risk Officer and Head of Quantitative Research for AB. As the Chief Risk Officer, Chin oversees all aspects of risk management to ensure that the risks being taken are well understood and appropriately managed. In the Quantitative Research role, he is responsible for the firm’s data science strategy and for optimizing the quantitative research infrastructure, tools and resources across the firm’s investing platforms. He joined the firm in 1997 and held various quantitative research roles in New York and London. In 2004, Chin became a senior portfolio manager for Style Blend Equities. In 2005, he was named director of Quantitative Research for Value Equities. Prior to joining the firm, Chin was a project manager and business analyst in Global Investment Management at Bankers Trust from 1994 to 1997.
Chin teaches in the School of Operations Research and Information Engineering (Master of Financial Engineering Program) at Cornell University. He also leads teams of students on capstone projects utilizing quantitative and data science skills to address investment issues.
Chin earned a BA and an MBA from Cornell University.
Head of quantamental investments
Antonia joined Schroders in 2019 to lead their new initiative in quantamental investments, melding quantitative techniques with fundamental expertise and insight. Prior to Schroders, Antonia was Global Head of Quantitative Research for Barclays UK, designing its asset allocation policy, products and investment tools. She has two decades of experience in investment management, is a CFA charterholder and is on the management committee of the not-for-profit organization London Quant Group. Antonia holds a Masters in Physics from the University of Oxford where she was awarded an academic scholarship. Happy lending intuition, pragmatism and curiosity to the real, abstract and complex, Antonia enjoys cross-disciplinary ideas and making those ideas useful.
Global head of scientific implementation
Bank of America Merrill Lynch
Daniel Giamouridis, PhD, is the Global Head of Scientific Implementation (Scientific Implementation Group, SIG), Global Portfolio Products at Bank of America Merrill Lynch in London. He heads a Team of primarily PhD-trained scientists.
Daniel joined Bank of America Merrill Lynch in January 2016, in Global Portfolio Products in EMEA. He was instrumental in conceptualizing and launching the SIG, and Headed EMEA SIG until August 2017, when he assumed the role of Global Head. Prior to joining Bank of America Merrill Lynch Daniel was an Associate Professor of Finance at the Athens University of Economics and Business and had worked closely for over 10 years with institutional investors, investments banks and asset management organizations in Europe and in the United States in areas covering quantitative equity research, hedge fund replication, pension asset management, and derivatives valuation. His research has appeared in academic and practitioner journals like the Journal of Banking and Finance, European Financial Management, Journal of Financial Research, Journal of Asset Management, Journal of Futures Markets, Journal of Risk, Journal of Derivatives, Journal of Alternative Investments, Journal of Portfolio Management. Daniel’s research has also received grants from professional organizations such as Amundi and the Institute for Quantitative Investment Research (INQUIRE UK) as well as from academic institutions such as CAREFIN-Bocconi and AUEB.
Daniel holds a PhD in Finance from Cass Business School and a MEng in Mechanical Engineering from NTUA. He is currently affiliated as a Visiting/Associate member of staff with Cass Business School (City University), Lancaster University Management School (Lancaster University) and EDHEC-Risk Institute (EDHEC Business School). Daniel is a member of the Governing Board of the Institute for Quantitative Investment Research (INQUIRE) UK and also a Co-Editor of the Financial Analysts Journal, the Journal of the CFA Institute.
Global head of quantitative analytics
Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and market risk. Fabio is also adjunct professor at NYU, and a former CME risk committee member. He has jointly authored the book 'Interest rate models: theory and practice' and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands
Founder & professor
Ritter Alpha & NYU Courant, Tandon, Baruch College & Rutgers University
Gordon Ritter is a Professor at NYU Courant and Tandon, Baruch College, and Rutgers, and an elite buy-side quantitative trader / portfolio manager (selected as Buy-Side Quant of the Year, 2019). His scholarly research papers have 10,000+ downloads; he is an expert in statistical machine learning and its applications in finance. Most recently Gordon founded his own quantitative trading firm; before that he was a senior portfolio manager at GSA Capital where he designed, built, and managed statistical arbitrage strategies in multiple geographies and asset classes, and directed research in GSA's New York office. (GSA won the Equity Market Neutral & Quantitative Strategies category at the Eurohedge awards four times, with numerous other awards.) Prior to GSA, Gordon was a Vice President of Highbridge Capital and a core member of the firm's statistical arbitrage group. Gordon is frequently an invited speaker and typically speaks at 20+ conferences per year. Prior to entering the hedge fund industry in 2007, Gordon completed his PhD in mathematical physics at Harvard University, where he worked with Arthur Jaffe and published papers in international journals across the fields of quantum computation, quantum field theory, and abstract algebra. He earned his Bachelor's degree with honours in Mathematics from the University of Chicago.
Global head of equities analytics, automation and optimisation
Hans Buehler heads Analytics, Automation and Optimization in Equities and runs the Equities and Investor Services Data Analytics and Quantitative Research teams. His mandate is data-driven business transformation across derivatives, cash equity, electronic trading, prime, and securities services using both modern machine learning and classic analytical methods. Specific focus in the machine learning space is on AI-driven electronic execution and derivative risk management, and the use of modern machine learning techniques for engaging with our clients. His team is behind JP Morgan’s LOXM AI effort in electronic trading and the recently published “Deep Hedging” research on AI derivative management.
Hans is a Managing Director, having joined JP Morgan in Hong Kong in 2008. Before that, he worked for seven years at Deutsche Bank, also in Equities. He has a PhD from Technical University in Berlin in Financial Mathematics, and a MSc from Humboldt University in Stochastic Analysis.
Hans is based in London.
Quantitative finance editor
Mauro Cesa is quantitative finance editor for Risk.net, based in London. He leads the team responsible for the publication of quantitative research across all brands of the division. The section of Risk.net he manages, Cutting Edge, publishes peer-reviewed papers on derivatives, asset and risk management, and commodities.
Mauro holds a degree in economics from the university of Trieste and a masters in quant finance from the University of Brescia.
Global head of quantitative execution services
Michael is the global head of Quantitative Execution Services at Goldman Sachs. He is responsible for the research, development and implementation of quantitative processes for portfolio and electronic trading, as well as the management of the firm's relationships with the quantitative client-base across regions. Michael manages a variety of teams globally, spanning algorithmic research, portfolio quants, client solutions, analytics and quantitative content generation. He joined the firm as a managing director in 2017.
Prior to this, Michael spent eight years at Bank of America Merrill Lynch in a variety of senior roles in London and New York, including the centralisation of risk for the bank’s equities flow, quantitative liquidity management processes and in the last few years running the global agency portfolio trading and quantitative equity businesses. Earlier in his career, he spent more than a decade on the buy-side (most notably BGI and Winton) building quant stock-selection models and managing global market neutral equity portfolios. Before that, Michael was a Financial Econometrics lecturer at City University (CASS) Business School in London. He has a wide range of academic, peer-reviewed and practitioner journal and book publications on a host of finance topics, as well as numerous presentations in global quant and industry conferences.
Michael received a bachelor's degree in Economics & Econometrics from the University of Nottingham, a master's degree in Finance and a PhD in Behavioural Finance from City University (CASS) Business School in London.
Chair of the finance and risk engineering department
NYU Tandon School of Engineering
Professor Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU's Tandon School He has headed various quant groups in the nancial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the nancial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He has over 85 publications in academic and industry-
oriented journals and serves as an associate editor for 8 journals related to mathematical nance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor's Tech 50, an annual listing of the 50 most inuential people in financial technology.
Head of FIC quantitative trading
Roel is the head of FIC quantitative trading at Deutsche Bank. He started his industry career as a quant in cash equity algo trading in 2006, and subsequently held various roles in electronic FX spot trading, including co-head of the business. Roel holds a PhD in econometrics, is a senior research fellow at the London School of Economics, and has published widely on the econometric analysis of high frequency data and FX trading.
Deputy head of the global quantitative research
Sandrine Ungari is currently Head of Cross-Asset Quantitative Research team and Deputy Head of the Global Quantitative Research team at Société Générale. The Quantitative Research team is active in risk premia strategies, derivatives and structured products, portfolio risk modelling, and provides research to investors worldwide. The group has been recognised as a market leader in quantitative research, and was ranked #1 in the Extel survey in the Quantitative Strategies category. Sandrine joined Société Générale in 2006. Prior to that, she worked as a quantitative analyst at HBOS Treasury and at Reech Sungard in London. She is a graduate of ENSTA (Paris) and hold a Master's in Quantitative Finance from Paris VI University. She is a guest lecturer at University Paris Diderot.
Managing director, global head of credit and commodities quantitative analysis
Youssef Elouerkhaoui is a Managing Director and the Global Head of Credit and Commodities Quantitative Analysis at Citi. His group supports all modelling and product development activities across businesses. He is also in charge of CVA, Funding and Regulatory Capital for his businesses. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of model development for the Structured Credit Desk. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais supporting Interest Rates Exotics. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University.