Quant Summit Asia - Key Topics

Key Themes of Quant Summit Asia

Thumbnail
George Hong

Head of Asia-Pacific Quantitative Strategies and Global Product Head for Equities Modelling

Credit Suisse

Thumbnail
Michael Steliaros

Global Head of Quantitative Execution Services

Goldman Sachs

Thumbnail
Romanos Piperakis

Head of Quantitative Execution Services, Asia Pacific

Goldman Sachs

Thumbnail
Rodney Hoskinson

Director, Quant Analyst, Strategic Trading and Funding

ANZ Global Markets

Rodney Hoskinson is a frequent speaker at international quantitative finance conferences and a Director in the front office quantitative team for the ANZ Banking Group’s Global Markets business. In this role based in Singapore, he is responsible for XVA development and support for the Group's in-house Sky trading and risk platform. Before joining ANZ he was manager, KVA desk quantitative analysis in Fixed Income, Currencies and Commodities at National Australia Bank in Sydney. Previously he was a Director at PwC Australia focussed on financial services consulting and audit support in market risk and economic capital. He holds a PhD in Finance from EDHEC Business School.

Thumbnail
Alex Cohen

Head of APAC Equity Derivatives Quantitative Analytics

UBS

Alex Cohen is currently APAC Head for Equities Derivatives Quantitative Analytics at UBS Investment Bank, based in Hong Kong. He has been working as an equities derivatives quantitative analyst at UBS since 2010, with roles in EMEA and APAC. His focus has been on developing and enhancing equities models at UBS, collaborating with global counterparts, focusing particularly on stochastic volatility models (pure stochastic volatility and stochastic local volatility) and light exotics derivatives on variance and volatility.

In terms of academics, he studied in France at ENSIMAG engineering school for Finance, Mathematics and Computer Science, followed by a Probability and Finance Master at Paris 6 University.

Thumbnail
Mauro Cesa

Quantitative Finance Editor

RISK.NET

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.

Thumbnail
Puneet Singh

Head of APAC Quant

Societe Generale Corporate and Investment Banking

Thumbnail
Ben Dunn

Chief Investment Officer, Quantitative Strategies

EASTSPRING INVESTMENTS

Thumbnail
Olivier Alvarez

Managing Director

Aquanthus Capital Management

Thumbnail
Lu Yan

Head of quantitative and alternative investment department

CSOP

Mr. Lu Yan is currently the head of Quantitative and Alternative Investment Department at CSOP and managing the firm’s equity funds. He has more than twelve years of investment management and trading experience. Mr. Lu's views are frequently featured in industry periodicals and the press, including The Wall Street Journal, The New York Times, Reuters and Bloomberg. Mr. Lu earned his Bachelor’s Degree in Finance at Tsinghua University. He also holds the designation of CFA.

Thumbnail
Marko Weber

Assistant Professor in Mathematical Finance

National University of Singapore

Thumbnail
Sofiane Rinaz

Head of AeJ fixed income quantitative research

Nomura

Sofiane graduated in 2001 from the University of Michigan with a MS in Financial Engineering, followed by a PhD in Economics from Kyoto University in 2006 on zero-interest rate modelling. Since 2006, he has held various roles in Tokyo, Hong Kong and Singapore, focusing on exotic hybrid derivatives pricing.

Thumbnail
Jan F. Baldeaux

Model validation quant - core model development

Standard Chartered Bank

Thumbnail
Haifeng You

Professor, School of Business and Management

HKUST

Thumbnail
Paul Sandhu

Head of multi-assets quant solutions and client advisory, Asia Pacific

BNP Paribas Asset Management

Paul Sandhu is the Head of Multi-Assets Quant Solutions (MAQS) and Client Advisory Asia Pacific.  Based in Hong Kong, he leads the region’s MAQS business to further deepen the firm’s existing broad range of investment capabilities in this space; and is responsible for the development and implementation of customized investment strategies and solutions for institutional investors and wholesale distribution channels in the region.

Paul’s remit also includes developing and managing multi-asset quantitative strategies and structured solutions utilizing cutting edge investment science in their portfolio construction, such as artificial intelligence and machine learning.  He manages a team of investment professionals, solution structurers and quantitative analysts to build customized investment solutions aligned with client objectives and adhering to local requirements. 

Prior to joining BNPP AM, he was Head Investment Solutions at a global asset manager and responsible for building the firms third party asset management and consulting business in Asia Pacific.  Utilizing a solutions oriented approach Paul led the company to expansion in markets such as Japan, China, Australia, as well as South East Asia.

Paul graduated from the University of British Columbia with a specialization in Theoretical Physics.  He focused his research on the theory of black holes, where he created and analyzed simulations of a stars evolution by solving Einstein’s equations using numerical techniques. He is also an Associate of the Society of Actuaries.

Thumbnail
Olaf Torne

APAC Head of structured products and strategies quantitative analytics

Barclays

Thumbnail
Masaki Nakabayashi

Quantitative analyst, risk management

Mizuho Securities

Masaki Nakabayashi is quantitative analyst in risk management department at Mizuho securities, base in Tokyo. His focus has been on model validation, development of risk methodology and recently on data science approach in risk management. He engages in establishing model risk governance framework. He is also responsible for designing business process automation. Prior to joining Mizuho, he experienced trading of US treasuries in Nomura securities Tokyo.

Thumbnail
Olivier D'Assier

Head of applied research, APAC

Qontigo

Thumbnail
Alexandre Antonov

chief analyst

Danske Bank

Thumbnail
Alexei Kondratyev

managing director, global head of data analytics, CCIB

Standard Chartered Bank

In his role as Managing Director and Head of Data Analytics, Electronic Market Solutions at Standard Chartered Bank, Alexei is responsible for providing data analytics services to Financial Markets sales and trading.

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.

Thumbnail
Andrew Chin

CRO and head of quantitative research

AllianceBernstein

Thumbnail
Antonia Lim

head of quantamental investments

Schroders

Thumbnail
Daniel Giamouridis

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.

Thumbnail
Fabio Mercurio

Global head of quantitative analytics

BLOOMBERG

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

Thumbnail
Gordon Ritter

professor

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.

Thumbnail
Hans Buehler

Global head of equities analytics, automation and optimisation

JP Morgan

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.

Thumbnail
Mauro Cesa

quantitative finance editor

Risk.net

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.

Thumbnail
Michael Steliaros

global head of quantitative execution services

Goldman Sachs

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.

Thumbnail
Peter Carr

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.

Thumbnail
Roel Oomen

Head of FIC quantitative trading

Deutsche Bank

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.

Thumbnail
Sandrine Ungari

deputy head of the global quantitative research

Societe Generale

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.

Thumbnail
Youssef Elouerkhaoui

managing director, global head of credit and commodities quantitative analysis

Citi

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.

Thumbnail
Machine Learning
  • Applications to pricing
  • Risk management
  • Asset management
  • Interpretability issues
  • Natural language programming (NLP)
  • Quantum computing
Thumbnail
Portfolio construction
  • Smart beta
  • Factor investing
  • LIBOR reform
  • Autocallable products
  • Quanto derivatives
Thumbnail
Modelling
  • Model risk
  • Volatility modelling
  • Volatility products 
  • MVA
  • CVA

Thumbnail
Could machine learning improve CVA and IM calculations?

Banks have built ways to calculate CVA more quickly, but neural networks could offer more accurate method

Download to read more

Thumbnail
Quants say big data is all buzz, no alpha

Efforts to extract alpha from alternative data have been “really unsuccessful”, says Domeyard’s Qi

Download to read more

Thumbnail
Quants ‘running into walls’ with AI interpretability

Some firms “stumbling” with new technology, conference hears

Download to read more

Model Risk Management Singapore

This two-day workshop has been designed to delve into best practice approaches to building a model risk framework. Attendees will be equipped with a thorough understanding of model risk now and into the future, including the impact of machine learning.

  • Singapore