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2022 Agenda
2022 Agenda
Quant Summit EU 2022 Agenda
08:00 – 09:00
Registration opens | networking gallery and refreshments
09:00 – 09:10
Risk.net Welcome
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.
09:10 – 09:40
Pricing models, deep hedging, & volatility
09:10 – 09:40
Opening Keynote: Deep hedging – pricing and hedging derivatives using ML
09:40 – 10:10
TBD
Sponsored by:
10:10 – 10:40
Statistical learning of market micro structure – how common sense shapes price impact across timescales and instruments
Iacopo Mastromatteo
Executive direction – head of directional portfolio construction
Capital Fund Management
Iacopo Mastromatteo is Vice President in Capital Fund Management since 2015, where he is in charge of Transaction Costs Analysis, design of execution models and portfolio construction. He holds a PhD in Statistical Physics from the International School for Advanced Studies of Trieste. His main interests involve statistical learning and market microstructure. He has contributed to the research in these fields with more than twenty research papers.
10:40 – 11:00
Morning Networking Break
11:00 – 11:30
Rough volatility models – opening up opportunities for unique hedging and pricing
Dr Blanka Horvath is a Lecturer at the Department of Mathematics, King's College London. Blanka’s current research interests evolve around a new generation of option pricing models (Rough Stochastic Volatility models), and their asymptotic and numerical properties. Prior to her current appointment, she was at ETH Zurich, specialising in functional analytic and numerical properties of SABR-type stochastic models. Blanka holds a PhD in Mathematical Finance from ETH Zurich, a Diploma in Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong.
12:00 – 13:10
Stream
Stream One: Machine Learning, Quantum Computing & Neural Networks
Challenges in machine learning – what are the pitfalls and what should you be aware of?
- Explainability – how can we continue to understand model behavior?
- Feedback loops – are we learning enough from ML model output?
The Momentum Transformer – deep learning that intelligently adapts to regime changes in financial data
Stefan Zohren is the Deputy Director of the Oxford-Man Institute of Quantitative Finance and an Associate Professor at the Department of Engineering Science at the University of Oxford. He is a Fellow of the Turing Institute, the UK’s national institute for AI and data science. Stefan’s research is focused on machine learning in finance, including deep learning, reinforcement learning, network and NLP approaches, as well as early use cases of quantum computing. Outside of academia, he works with Man Group on commercial research projects. Stefan is a frequent speaker on AI in finance representing the Oxford-Man Institute at academic conferences, as well as industry panels and corporate events. His work has been covered in the financial news such as Bloomberg News and Risk.
Stream
Stream Two: Data, Risk Modeling & Investing
Defining big data – with data running rampant, what’s useful and what isn’t?
- Finding an edge – how does alpha stand out when everyone’s using the same data?
- Complementary – how can alt data integration work alongside traditional financial data?
Future of XVA desks – calculating conditional expectations
- Automatic differentiation
- Kernel density estimation
- Gaussian process regression
- Control variate
13:10 – 14:00
Lunch and Networking Break
14:00 – 15:30
Stream
Stream One: Machine Learning, Quantum Computing & Neural Networks
Machine learning for equities – an expansion of Fama French for single stocks
- Portfolio allocation – how can reinforcement learning assist?
Neural Networks – getting sophisticated models to extrapolate in newer situations
- Retraining – can models become more sophisticated as data changes?
Option price dynamics – quantum technologies for expanded Black-Scholes Schrodinger mapping
Stream
Stream Two: Data, Risk Modeling & Investing
Alternative risk premia – what is its role in portfolio allocation?
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.
Alternatives to machine learning – making the case that classic method’s yield better results and have better explainability
Long horizon debt instruments – understanding issuances of century bonds
- Yield volatility – as rates change how do you deal with yield fluctuations?
- Duration
- Convexity
<p><strong>Jessica James, Managing Director, Senior Quantitative Researcher, COMMERZBANK AG</strong></p>
<p>Jessica James is the Senior Quantitative Researcher in the Rates Research team at Commerzbank., where she covers foreign exchange and fixed income. She joined Commerzbank from Citigroup where she was Global Head of the Quantitative Investor Solutions Group. Previously, she lectured in physics at Trinity College, Oxford.</p>
<p>Significant publications include ‘FX Option Performance', ‘Handbook of Foreign Exchange' (Wiley), 'Interest Rate Modelling' (Wiley), and 'Currency Management' (Risk books).</p>
<p>She is on the Board of the Journal of Quantitative Finance, a Fellow of the Institute of Physics, and is a Visiting Professor at UCL and Cass Business School.</p>
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15:30 – 15:50
Afternoon Networking Break
15:50 – 16:30
Future quants – how can we develop a pipeline of bright minds?
- Universities – preparing the next generation before entering the workforce
- Institutional learning – keeping employees up to date with the latest statistical modeling strategies
- Big tech – what will it take to compete with other enticing industries for talent?
Irene Perdomo is Managing Director and Head of Product Strategy at Gresham Investment Management. Prior to joining Gresham, Irene was CEO and Managing Partner of Devet Capital, a boutique commodities-focused quant firm. Prior to co-founding Devet, she traded base metals at Noble Resources in Singapore and, before that, she was co-responsible for commodities product development in the Commodity Investor Structuring team at Barclays in London.
She is the co-author of “Pricing and hedging financial derivatives: a guide for practitioners” (Wiley, 2013), and has been a guest lecturer in Mathematics and Finance at Queen Mary University and at Imperial College London. Irene holds an MBA from IESE Barcelona, a degree in Computer Science Engineering from her home university in Uruguay and studied finance at the University of Chicago Booth School of Business.
16:30 – 17:00
Closing Keynote: Investing in commodities in an inflationary environment
Harold de Boer
Managing Director & Head of R&D
Transtrend
Harold is the architect of Transtrend's Diversified Trend Program, responsible for research & development, portfolio management and trading. Harold was born and raised on a dairy farm in Drenthe. And from a young age, he has been intrigued by linking mathematics to the real world around us. In the final phase of his studies, while working on the project that would later become Transtrend, he became fascinated by the concept of leptokurtosis – or ‘fat tails’ – in probability distributions, a topic which has inspired him throughout his career.
His approach to markets is best described as a combination of a farmer’s common sense and mathematics, never losing sight of the underlying fundamentals.
17:00 – 17:10
Closing Remarks
17:10 – 19:00