Event Program

New event program for Quant Summit Virtual

2020 Program

Quant Summit Virtual provides you with flexible access to our premium content. Join the *LIVE* sessions at the scheduled broadcast times alongside your fellow delegates, then explore the on-demand library, choosing what to watch at a time convenient to you. You can also revisit any live sessions you may have missed, as they will become available on-demand shortly after their scheduled finish time.

What's on the agenda?

All times in Eastern Standard Time (EST)

08:2008:50

Registration starts – please log in earlier to familiarize with the platform!

08:20 - 08:50

08:5009:00

Welcome address: Mauro Cesa, quant finance Editor, Risk.net

08:50 - 09:00

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.

09:0009:40

*LIVE* Opening keynote address: Machine learning for asset managers

09:00 - 09:40

Marcos López de Prado

Co-Founder & chief investment officer

True Positive Technologies

Prof. Marcos López de Prado is the CIO of True Positive Technologies (TPT), and Professor of Practice at Cornell University’s School of Engineering. He has over 20 years of experience developing investment strategies with the help of machine learning algorithms and supercomputers. Marcos launched TPT after he sold some of his patents to AQR Capital Management, where he was a principal and AQR’s first head of machine learning. TPT is currently engaged by clients with a combined AUM in excess of $1 trillion. Marcos also founded and led Guggenheim Partners’ Quantitative Investment Strategies business, where he managed up to $13 billion in assets, and delivered an audited risk-adjusted return (information ratio) of 2.3.

Concurrently with the management of investments, since 2011 Marcos has been a research fellow at Lawrence Berkeley National Laboratory (U.S. Department of Energy, Office of Science). He has published dozens of scientific articles on machine learning and supercomputing in the leading academic journals, is a founding co-editor of The Journal of Financial Data Science, has testified before the U.S. Congress on AI policy, and SSRN ranks him as the most-read author in economics. Marcos is the author of several graduate textbooks, including Advances in Financial Machine Learning (Wiley, 2018) and Machine Learning for Asset Managers (Cambridge University Press, 2020).

Marcos earned a PhD in financial economics (2003), a second PhD in mathematical finance (2011) from Universidad Complutense de Madrid, and is a recipient of Spain's National Award for Academic Excellence (1999). He completed his post-doctoral research at Harvard University and Cornell University, where he is a faculty member. Marcos has an Erdős #2 according to the American Mathematical Society, and in 2019, he received the ‘Quant of the Year Award’ from The Journal of Portfolio Management.

09:5010:30

*LIVE* Systematic strategies that delivered as expected in the crisis

09:50 - 10:30

Tony Morris

Global head quantitative strategies

Nomura

Tony is a Managing Director in Nomura’s Global Markets Research team, based in London. He heads the Quantitative Strategies (QS) team, which clients rank as one of the leading groups of its kind in the industry. QS focuses on objective measurement of fundamental economic and market dynamics around the world. Grounded in these measurements, QS makes recommendations that a number of internal and external clients track. Asset classes covered include interest rates, commodities, currencies, credit and equities. The team’s combined portfolio has outperformed relevant hedge fund benchmarks. Tony holds a PhD in financial economics from New York University and a BA from Dartmouth College, where he earned a place in the Phi Beta Kappa academic honour society

10:3011:00

Coffee break and virtual meet-ups

10:30 - 11:00

11:0012:00

Virtual think tanks: Market volatility, Covid-19 and tail risk

11:00 - 12:00

Join an interactive roundtable discussion with Chris Kelliher from Fidelity Investments and debate quant techniques to manage unprecedented market volatility during the ongoing pandemic, the lessons learned so far and how to better prepare for the next few months.

The roundtable discussion has limited availability. If you're interested in attending, please pre-register by emailing J[email protected]

 

Chris Kelliher

Quantitative analyst, global asset allocation

Fidelity Investments

Chris Kelliher is a Quantitative Analyst in the Global Asset Allocation team at Fidelity Investments. He is also a Lecturer in the MSMF program at Boston University’s Questrom School of Business. Prior to joining Fidelity, Mr. Kelliher served as a Portfolio Manager for RDC Capital Partners. Before joining RDC, Mr. Kelliher served as a Principal and Quantitative Portfolio Manager at a leading quantitative investment management firm, FDO Partners. Prior to FDO, Mr. Kelliher was a Senior Quantitative Portfolio Analyst & Trader at Convexity Capital Management and a Senior Quantitative Researcher at Bracebridge Capital. Mr. Kelliher graduated Cum Laude with Departmental Honors in Economics from Gordon College. He received his Master of Science in Mathematical Finance from New York University’s Courant Institute.

12:0013:00

Lunch break
Why eat alone? Invite someone form the conference to join you for a lunch on our virtual meeting organizer!

12:40 - 13:40

13:0015:00

Independent learning session
Tune in for on demand sessions to tailor your learning experience. Presenters will be available online for the Q&A

13:40 - 15:30

13:0015:00

Stream

Quant investing & portfolio construction

Reinforcement learning for portfolio optimization

13:00 - 13:30

Igor Halperin

Quant

Fidelity Investments

Machine learning in time series on market and NLP data: common issues and global methodology

13:30 - 14:00

Sylvain Forté

Chief executive officer

SESAMm

Sylvain is a French engineer passionate about artificial intelligence. As co-founder and CEO of SESAMm for the past 5 years, Sylvain and his team built tools to generate Natural Language Processing alternative datasets based on more than 8B documents and 2M data sources, and machine learning tools on time series to help clients generate signals. These technologies are now used by funds and major assets managers all around the world, managing more than $5,000bn. 

Beyond correlation

14:00 - 14:30

Ioana Boier

Head of quantitative portfolio solutions

Alphadyne Asset Management

Ioana Boier is the Head of Quantitative Portfolio Solutions at Alphadyne Asset Management.

Prior to joining Alphadyne in 2019, she held senior quantitative research and management roles at Citadel LLC, BNP Paribas, and the IBM T. J. Watson Research Center.

Ioana is the author of multiple peer-reviewed publications, patents, and the recipient of several awards for applied research delivered into products.

She has a Ph.D. in Computer Science and M.Sc. degrees in Computer Science and Mathematics.

Stream

Pricing, volatility & modeling

Commodity swing options by means of reinforcement learning algorithms

13:00 - 13:30

Roberto Daluiso

Quantitative analyst

Banca IMI

Roberto Daluiso got his master’s degree in Mathematics at the Scuola Normale Superiore of Pisa in 2012. Since then, he has worked as a front office quant in the Interest Rates and Credit Models group of Banca IMI, focusing on pricing valuation adjustments. He completed his PhD studies in Statistics and Mathematics for Finance at the University of Milano-Bicocca in 2019 with honors. An expert of algorithmic differentiation techniques and their applications to finance, his research contributions range from computational aspects to hedging strategies.

Differential machine learning and application to derivatives risk management

13:30 - 14:00

Antoine Savine

Superfly Analytics

Danske Bank

Antoine Savine is a French mathematician and quantitative finance professional with Superfly Analytics at Danske Bank. He has held multiple leading roles in the derivatives industry in the past 20 years, including Global Head of Research at BNP-Paribas, and also teaches Volatility and Computational Finance at Copenhagen University. Antoine holds a PhD in Mathematics from Copenhagen University and he is the author of the book on Automatic Differentiation: 'Modern Computational Finance' (Wiley 2018).

Brian Huge

Superfly Analytics

Danske Bank

Brian Huge holds a PhD in mathematics from Copenhagen University and works with Superfly Analytics at Danske Bank since 2001.

He produced very noticeable contributions in quantitative finance with Jesper Andreasen, including the iconic ZABR: expansion for the masses, or the LVI volatility interpolation method coupled with the Random Grid algorithm, winner of the Quant of the Year 2012 Risk award. All those algorithms are implemented in Superfly, Danske Bank’s proprietary risk management platform, and used every day for the management of the bank’s trading books.

The VIX future in Bergomi models: analytic expansions and joint calibration with S&P 500 skew

14:00 - 14:30

Julien Guyon

Senior Quant

Bloomberg

Julien is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor in the Department of Mathematics at Columbia University and at the Courant Institute of Mathematical Sciences, NYU. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years (2006-2012), and was an adjunct professor at Universite Paris 7 and Ecole des ponts. He co-authored the book Nonlinear Option Pricing (Chapman & Hall, CRC Financial Mathematics Series, 2014) with Pierre Henry-Labordere. His main research interests include nonlinear option pricing, volatility and correlation modeling, and numerical probabilistic methods. Julien holds a Ph.D. in Probability Theory and Statistics from Ecole des ponts. He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des ponts. A big football fan, Julien has also developed a strong interest in sports analytics, and has published several articles on the FIFA World Cup, the UEFA Champions League, and the UEFA Euro in top-tier newspapers such as The New York Times, Le Monde, and El Pais, including a new, fairer draw method for the FIFA World Cup.

15:0015:40

*LIVE* Addition, multiplication, and options

15:00 - 15:40

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.

15:4016:40

Stay on the platform for meetings you scheduled during the day!

15:40 - 16:40

16:4016:40

End of the day one.

16:40 - 16:40

All times in Eastern Standard Time (EST)

08:2008:50

Registration starts – log in earlier to familiarize with the platform!

08:20 - 08:50

08:5009:00

Chairman's address: Ben Steiner, global fixed income, BNP Paribas Asset Management

08:50 - 09:00

Ben Steiner

Global fixed income

BNP Paribas Asset Management

Ben handles business management and chief-of-staff responsibilities for the CIO of the Global Fixed Income division of BNP Paribas Asset Management.

He has over 18 years of industry experience with hedge funds and investment managers in London and New York.

Over his career, he has been a Head of Model Development, Portfolio Manager for Absolute Return, Research Manager & Senior Quantitative Researcher. His experience covers multiple asset classes: from default and loss models in the less liquid markets  (Private Debt and Real Estate) to alpha models in the more liquid (Non-traditional Bond; Managed Futures; Global Macro and Equity Long/Short).

He holds a BA (Hons) in Economics from The University of Manchester and an MSc in Mathematical Finance from Imperial College London. Since 2013, Ben has served on the Board of Directors of the Society of Quantitative Analysts (SQA).

Despite now being a reformed quant, he’s still invited to present on deep learning and model risk management topics at Columbia & NYU, as well as industry events.

09:0009:40

*LIVE* Keynote address: Blueprint for quant in turbulent times

09:00 - 09:40

Andrew Dyson

Chairman, chief executive officer

QMA

Andrew Dyson is the Chairman and Chief Executive Officer for QMA. Prior to joining QMA, he was an Executive Vice President at Affiliated Managers Group, Inc., responsible for managing central global distribution platform, and Head of BlackRock’s Global Institutional Client Business following the merger of BlackRock and Barclays Global Investors. In prior roles at BlackRock and Merrill Lynch Investment Managers, he held senior distribution positions, including Head of the International Institutional Business and Head of the Institutional Business for Europe, Middle East, Africa and Asia Pacific.

Previously, Andrew was Head of US Multinational Investment Consulting and Head of UK Pension Fund Investment Consulting for William M. Mercer. He earned an MA in mathematics from Cambridge University. Andrew is a Fellow of the Institute of Actuaries.

09:5010:40

*LIVE* Panel discussion: Integrating ESG in quantitative strategies: is it achievable?

09:50 - 10:40

  • Applying a quantitative approach to ESG integration
  • The current state of the availability and quality of the ESG data
  • Generating alpha and/or reducing risk with ESG factors
  • Can quants transform ESG?
Rob Mannix

Desk Editor, Asset Management

RISK.NET

Rob MannixRob Mannix is the desk editor for asset management and insurance, covering risk management, derivatives and regulatory issues as they affect the buy side. He was previously responsible for Risk.net's insurance coverage.

Peg DiOrio

Head of quantitative equity portfolio management

Voya Investment Management

Peg DiOrio is the head of quantitative equity at Voya Investment Management and serves as a portfolio manager for the Voya Natural Resources Equity Income and Infrastructure, Industrials and Materials funds. Prior to joining the firm, she was a quantitative analyst with Alliance Bernstein/Sanford C. Bernstein for sixteen years where she was responsible for multivariate and time series analysis for low volatility strategies, global equities, REITs and options. Previously she was a senior investment planning analyst with Sanford C. Bernstein. Peg received an MS in Applied Mathematics, Statistics and Operations Research from the Courant Institute of Mathematical Sciences, NYU and a BS from SUNY Stony Brook. She holds the Chartered Financial Analyst® designation and is a Past President and current board member of the Society of Quantitative Analysts.

Todd Arthur Bridges

Global head of sustainable investing & ESG research

Arabesque

Over the last 15+ years I have led innovative and successful teams in sustainable finance, investment management, economics, and technology. My experience in industry, startups, academia, and think-tanks have allowed me to acquire a diverse set of leadership skills (led cross-functional teams, built strategic partnerships, advised executive leadership) and analytical capabilities (ESG research, scoring models, quantitative + qualitative research methods). My formal training and postdocs were completed at top-tier research universities in the United States and Western Europe. I have published research articles in leading academic journals and presented findings to central banks, sovereign wealth funds, state pension funds, corporate pension funds, endowments, foundations, and global conferences.

Riti Samanta

Head of systematic fixed income strategy

GMO

Dr. Samanta is the head of systematic fixed income strategy at GMO.  She is responsible for the development and management of systematic credit and multi sector fixed income strategies and systematic solutions combining new and existing capabilities. She represents GMO’s fixed income capabilities to institutional clients and consultants globally and is engaged in building the scope and depth of the fixed income suite at GMO. Prior to joining in 2018, she was the global head of systematic fixed income and a senior portfolio manager at State Street Global Advisors (SSGA). Previously at SSGA she designed strategies and managed portfolios in active emerging markets debt and currencies and in investment grade and high yield factor based credit strategies. She developed and led the growth of the smart beta fixed income research and portfolio management area at SSGA.

Dr. Samanta has published in peer reviewed journals in the areas of factor based fixed income, and on statistical topics related to extreme value theory and multi variate correlation modeling. She is a regular speaker at industry conferences and events. Her research area is in systematic fixed income and its connection to other asset classes in multi sector investment applications. She has a BA in Economics and Mathematics from Reed College. She earned her MSc in Mathematical finance and PhD in International Economics and Finance from Brandeis University.

 

 

10:4011:00

Coffee break and virtual meet-ups

10:40 - 11:00

11:0012:00

Virtual think tank: Recruitment landscape – what does the data say?

11:00 - 12:00

  • What experience and skill set is in highest demand across Quants and Risk right now?
  • Demand for nontraditional backgrounds and talent outside of finance
  • How do I make a move from sell side to buy side?
Anthony McCann

VP

Selby Jennings

Anthony McCann is VP at Selby Jennings, a micro-specialized financial services recruitment firm operating under the umbrella company Phaidon International. In his role as Head of the US Risk Management recruitment team he is responsible for managing a group of consultants who provide risk management recruitment services to a variety of financial institutions across North America. Anthony and his team also regularly partner with top ranked universities and gives presentations around career advice to future risk management and quant analytics professionals in Masters and PhD graduate programs at NYU, Columbia, and Fordham to name a few. Since joining Selby Jennings in 2015 Anthony has successfully built out our coverage across all risk verticals and further developed our audit recruitment team. He has been personally responsible for entire quantitative risk team builds across our top sell side and buy side clients. In addition to being engrained in the day to day recruitment efforts, Anthony continues to act as an account manager for some of Selby Jennings’ largest Investment Banking, Hedgefund, and Fintech clients.

 

Chris Schwuchow

AVP

Selby Jennings

Chris Schwuchow is an AVP at Selby Jennings, a micro-specialized financial services recruitment firm operating under the umbrella company Phaidon International. In his role as an AVP at Selby Jennings, Chris helps lead a New York based quant recruitment team that is responsible for providing recruitment services to top quantitative trading firms and investment banks across North America. Chris regularly partners with top ranked universities and gives presentations around career advice to future quant analytics professionals in Masters and PhD graduate programs at NYU, and Columbia, to name a couple of them. Since joining the business 5 years ago, Chris has been instrumental in building out partnerships with quant trading institutions, particularly systematic hedge funds, proprietary trading and cryptocurrency trading firms. He is also a senior member of the Quants USA Leadership Committee at Selby Jennings and acts as an account manager for a number of Selby Jennings’ largest clients across the quantitative research and trading markets.

 

12:0013:00

Lunch break
Why eat alone? Invite someone form the conference to join you for a lunch on our virtual meeting organizer!

12:00 - 13:00

13:0014:30

Independent learning session
Tune in for on demand sessions to tailor your learning experience. Presenters will be available online for the Q&A

13:00 - 14:30

13:0014:30

Stream

Quant investing & portfolio construction

Extracting insights from earnings transcripts

13:00 - 13:30

Andrew Chin

CRO and head of quantitative research

AllianceBernstein

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.

Yuyu Fan

Data scientist

AllianceBernstein

Yuyu Fan is a data scientist in the central data science team at Alliance Bernstein L.P. She leverages statistical, machine learning, and deep learning models to distil insights from financial service data, and to generate investment signals from text data. Previously, Yuyu worked at College Board as a psychometrician intern for two years, using machine learning models to monitor test validity, reliability, and security. Yuyu got her Ph.D. in psychometrics and quantitative psychology at Fordham University. Her research aimed to reduce the biases in people’s judgments and decisions using various statistical models.

Systematic factor investing in credit

13:30 - 14:00

Riti Samanta

Head of systematic fixed income strategy

GMO

Dr. Samanta is the head of systematic fixed income strategy at GMO.  She is responsible for the development and management of systematic credit and multi sector fixed income strategies and systematic solutions combining new and existing capabilities. She represents GMO’s fixed income capabilities to institutional clients and consultants globally and is engaged in building the scope and depth of the fixed income suite at GMO. Prior to joining in 2018, she was the global head of systematic fixed income and a senior portfolio manager at State Street Global Advisors (SSGA). Previously at SSGA she designed strategies and managed portfolios in active emerging markets debt and currencies and in investment grade and high yield factor based credit strategies. She developed and led the growth of the smart beta fixed income research and portfolio management area at SSGA.

Dr. Samanta has published in peer reviewed journals in the areas of factor based fixed income, and on statistical topics related to extreme value theory and multi variate correlation modeling. She is a regular speaker at industry conferences and events. Her research area is in systematic fixed income and its connection to other asset classes in multi sector investment applications. She has a BA in Economics and Mathematics from Reed College. She earned her MSc in Mathematical finance and PhD in International Economics and Finance from Brandeis University.

 

 

Stream

Pricing, volatility & modeling

Local Gaussian approximation for modeling collateralized exposure

13:00 - 13:30

Michael Pykhtin

Manager, quantitative risk

Federal Reserve Board

Michael Pykhtin is a manager in the Quantitative Risk section at the U.S. Federal Reserve Board. Prior to joining the Board in 2009 as a senior economist, he had a successful nine-year career as a quantitative researcher at Bank of America and KeyCorp. Michael has edited “Margin in Derivatives Trading” (Risk Books, 2018), “Counterparty Risk Management” (Risk Books, 2014) and “Counterparty Credit Risk Modelling” (Risk Books, 2005); he is also a contributing author to several recent edited collections. Michael has published extensively in the leading industry journals; he has been an Associate Editor of the Journal of Credit Risk since 2007. Michael is a two-time recipient of Risk Magazine's Quant of the Year award (for 2014 and 2018). Michael holds a Ph.D. degree in Physics from the University of Pennsylvania and an M.S. degree in Physics and Applied Mathematics from Moscow Institute of Physics and Technology.

Alternatives to implied volatility

13:30 - 14:00

Alexander Skabelin

Quantitative finance manager

Bank Of America Merrill Lynch

Alexander is Quantitative Finance Manager at Bank of America. Alexander spent more than 10 years in financial industry most of it at Goldman Sachs pioneering advanced volatility trading strategies. He holds a Ph.D. in Physics from MIT.

14:3015:10

*LIVE* Dynamic modeling of SOFR

14:30 - 15:10

Leif Andersen

Global co-head of the quantitative strategies group

Bank of America Merrill Lynch

Leif B. G. Andersen is the Global Co-Head of The Quantitative Strategies Group at Bank of America Merrill Lynch, and is an adjunct professor at NYU’s Courant Institute of Mathematical Sciences and CMU’s Tepper School of Business. He holds MSc's in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from Aarhus Business School. He was the co-recipient of Risk Magazine’s 2001 Quant of the Year Award, and has worked for more than 20 years as a quantitative researcher in the derivatives pricing area. He has authored influential research papers and books in all areas of quantitative finance, and is an Associate Editor of Journal of Computational Finance.

15:1017:00

Stay on the platform for meetings you scheduled during the day!

15:10 - 17:00

17:0017:00

End of the day two.

17:00 - 05:00

All times in Eastern Standard Time (EST)

09:2008:50

Registration starts – log in earlier to familiarize with the platform!

08:20 - 08:50

09:1009:20

Chairman’s address: Ben Hodzic, executive director, Selby Jennings

09:10 - 09:20

Ben Hodzic

Executive director

Selby Jennings

Ben is an Executive Director for Selby Jennings, a micro-specialized financial services recruitment firm operating under the umbrella company Phaidon International. During his tenure with Selby Jennings, Ben has built and continues to lead the Quantitative Analytics team across the USA. He has helped secure two external awards for the business through the Hedge Fund Magazine; Best Hedge Fund Recruiter Award and Best Exec Search Firm – Quants Award. His team is highly regarded across the Financial Services industry as one of the most successful Exec Search teams in the Quant markets, and their client portfolio spans some of the world most renowned and successful Financial Service institutions across the globe.

 

 

09:2010:00

*LIVE* Greedy online classification of persistent market states using realized intraday volatility features

09:20 - 10:00

Petter Kolm

Professor & director of the mathematics in finance

Courant Institute of Mathematical Sciences, New York University

Petter Kolm is the Director of the Mathematics in Finance Masters Program and Clinical Associate Professor at the Courant Institute of Mathematical Sciences, New York University and the Principal of the Heimdall Group, LLC. Previously, Petter worked in the Quantitative Strategies Group at Goldman Sachs Asset Management where his responsibilities included researching and developing new quantitative investment strategies for the group's hedge fund. Petter coauthored the books Financial Modeling of the Equity Market: From CAPM to Cointegration (Wiley, 2006), Trends in Quantitative Finance (CFA Research Institute, 2006), Robust Portfolio Management and Optimization (Wiley, 2007), and Quantitative Equity Investing: Techniques and Strategies (Wiley, 2010). He holds a Ph.D. in mathematics from Yale, an M.Phil. in applied mathematics from Royal Institute of Technology, and an M.S. in mathematics from ETH Zurich.

Petter is a member of the editorial boards of the International Journal of Portfolio Analysis and Management (IJPAM), Journal of Investment Strategies (JOIS), Journal of Portfolio Management (JPM), and the board of directors of the International Association for Quantitative Finance (IAQF). As a consultant and expert witness, he has provided his services in areas such as algorithmic and quantitative trading strategies, econometrics, forecasting models, portfolio construction methodologies incorporating transaction costs, and risk management procedures.

 

10:1011:00

*LIVE* Preparing for the next crisis: a triptych approach for reverse stress testing of complex portfolios

10:10 - 10:50

Pascal Traccucci

Global head of risk

La Francaise Asset Management

Pascal Traccucci is group head of risk at La Francaise Asset Management since February 2015. He was previously responsible for enterprise risk management at Allianz Asset Management, holding company of PIMCO and Allianz Global Investors and Global Head of Investment Risk at Invesco in London. After starting his career at JPMorgan in the capital arkets research team he held various positions in portfolio and product management with Invesco in different European locations. He graduated in both business and mathematics from Lyon and Frankfurt universities.

11:0000:00

*LIVE* Risk.net Quant Finance Master’s Guide 2020: quant education in a new world

11:00 - 00:00

What does the future holds for quant education? Join the conversation with directors who from  top quant programs in the world  and learn how they see the needs of quant education changing over the years

More information about Risk.net Quant Finance Master’s Guide 2020 can be found here

Rene Carmona

Paul M. Wythes '55 professor of engineering and finance, BCF director of graduate studies

Princeton University

René Carmona, Ph.D., is the Paul M. Wythes ’55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering. He is an associate member of the Department of Mathematics, a member of the Program in Applied and Computational Mathematics, and Director of Graduate Studies of the Bendheim Center for Finance where he oversees the Master in Finance program. He obtained a PhD in probability from Marseille university where he held his first academic job. After time spent at Cornell and a couple of stints at Princeton, he moved to the University of California at Irvine in 1981 and eventually Princeton University in 1995.

Dr Carmona is a Fellow of the Institute of Mathematical Statistics since 1984, and of the Society for Industrial and Applied Mathematics since 2009. He is the founding chair of the SIAM Activity Group on Financial Mathematics and Engineering, a founding editor of the Electronic Journal & Communications in Probability, and the SIAM Journal on Financial Mathematics. He is on the editorial board of several peer-reviewed journals and book series.

His publications include over one hundred articles and eleven books in probability, statistics, mathematical physics, signal analysis and financial mathematics. He also developed computer programs for teaching and research. He has worked on the commodity and energy markets as well as the credit markets, and he is recognized as a leading researcher and consultant in these areas. Over the last decade his research focused on the development of a probabilistic approach to Mean Field Games and Mean Field Control.

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.

Victoria Averbukh

Professor or practice & director of Cornell Financial Engineering Manhattan

Cornell University

Victoria Averbukh is a Professor of Practice at the School of Operations Research and Information Engineering and the Director of Cornell Financial Engineering Manhattan (CFEM). Victoria received her B.A. in Mathematics from NYU in 1993 and her M.S. and Ph.D. from Cornell ORIE in 1997.

After completing her Ph.D., Victoria worked in Fixed Income Research at Salomon Brothers (now Citi) as a strategist covering U.S. Treasury futures, and later Mortgage-Backed Securities. In 2004 she joined Deutsche Bank, where she became the Head of Structured Residential Mortgage-Backed Securities Research. During her Wall Street career, Victoria focused on transaction-oriented research in fixed income. She has been quoted by the Wall Street Journal, the New York Times, and Bloomberg Radio.

CFEM was established in 2007 to serve as a satellite Manhattan campus for ORIE M.Eng. students interested in careers in quantitative finance.  As a director of CFEM, Victoria leverages her knowledge of financial markets and broad relationships within the financial industry to ensure that students receive the practical and hands-on education needed to start their careers. 

Dan Stefanica

Baruch College

Director, Financial Engineering MS Program professor

Dan Stefanica is an applied mathematician specializing in numerical methods for financial applications. He studied methods for fitting smooth yield curves to market data and wrote the book A Primer for the Mathematics of Financial Engineering, based on material taught in the Advanced Calculus refresher course to incoming students of the Baruch MFE Program. In other NSF-funded research with application in finance, he designed fast algorithms for the numerical solution of PDEs, and worked on geophysical fluid dynamic problems. He has a PhD in mathematics from the Courant Institute.

Petter Kolm

Professor & director of the mathematics in finance

Courant Institute of Mathematical Sciences, New York University

Petter Kolm is the Director of the Mathematics in Finance Masters Program and Clinical Associate Professor at the Courant Institute of Mathematical Sciences, New York University and the Principal of the Heimdall Group, LLC. Previously, Petter worked in the Quantitative Strategies Group at Goldman Sachs Asset Management where his responsibilities included researching and developing new quantitative investment strategies for the group's hedge fund. Petter coauthored the books Financial Modeling of the Equity Market: From CAPM to Cointegration (Wiley, 2006), Trends in Quantitative Finance (CFA Research Institute, 2006), Robust Portfolio Management and Optimization (Wiley, 2007), and Quantitative Equity Investing: Techniques and Strategies (Wiley, 2010). He holds a Ph.D. in mathematics from Yale, an M.Phil. in applied mathematics from Royal Institute of Technology, and an M.S. in mathematics from ETH Zurich.

Petter is a member of the editorial boards of the International Journal of Portfolio Analysis and Management (IJPAM), Journal of Investment Strategies (JOIS), Journal of Portfolio Management (JPM), and the board of directors of the International Association for Quantitative Finance (IAQF). As a consultant and expert witness, he has provided his services in areas such as algorithmic and quantitative trading strategies, econometrics, forecasting models, portfolio construction methodologies incorporating transaction costs, and risk management procedures.

 

Ryan Mazza

Senior vice president, head of quantitative analytics, research & trading, New York

Selby Jennings

Ryan Mazza is an SVP at Selby Jennings, a micro-specialized financial services recruitment firm operating under the umbrella company Phaidon International. In his role as SVP and head of the New York based Quantitative Analytics, Research and Trading recruitment team he is responsible for managing a team of consultants that provide quantitative recruitment services to Financial institutions across North America. Ryan and his team also regularly partner with top ranked Universities and give presentations around career advice to their Masters and PhD graduate programs. Since joining Selby Jennings in 2014 Ryan has also led successful Financial & Emerging Technology recruitment teams within the Selby Jennings brand and he continues to act as an account manager for some of Selby Jennings’ largest Investment Banking clients.

12:0013:00

Lunch break
Why eat alone? Invite someone form the conference to join you for a lunch on our virtual meeting organizer!

12:00 - 13:00

13:0014:30

Independent learning session
Tune in for on demand sessions to tailor your learning experience. Presenters will be available online for the Q&A

13:00 - 14:30

13:0014:30

Stream

Quant investing & portfolio construction

Designing systematic global macro strategies

13:30 - 14:00

Solomon Tadesse

Head of North American equity quant research

Societe Generale

Solomon Tadesse is Head of North-American equity quantitative research at Societe Generale based in NY. Before SocGen, Solomon served as Head of Asset Allocation and Investment Solutions Research at State Street Global Advisors (SSgA).  Dr. Tadesse has also developed and run high-end quantitative investment strategies at Cargometrics, an iconic AI/Big Data hedge fund in the commodity and equity futures space. Having served as a finance and investment professor at leading US universities including the University of Chicago and University of Michigan, his career has spanned investment management, banking, academia and financial sector policy. Solomon holds a PhD in Finance and graduate degrees in Accounting, Operations Research and Financial Economics.

New form of portfolio optimization: differentiating between upside and downside risk

14:00 - 14:30

Amit Deshpande

Head of fixed income quantitative investments & research

T. Rowe Price

Amit Deshpande is a vice president of T. Rowe Price Group, Inc. He is the head of Quantitative Research in the Fixed Income Division and a member of the Fixed Income Steering Committee. He also oversees management of the Fixed Income Portfolio Investment Analytics team. Prior to joining T. Rowe Price in 2017, Amit was head of Investment Risk for Charles Schwab Investment Management, where he was responsible for risk management across all asset classes. Before that, he spent 12 years in various roles at AllianceBernstein, the most recent of which included head of Fixed Income Investment Risk and head of Quantitative Portfolio Strategies and Fixed Income Quantitative Research and included assignments in New York and Tokyo.

Prior to AllianceBernstein, Amit was a portfolio analyst at Allied Capital Asset Management and a trader at Daewoo Corporation. Amit earned a B.S. in computer engineering from the University of Pune, India; an M.S. in finance from Syracuse University; and an M.B.A. from S.P. Jain Institute of Management and Research, India. He also has earned the Chartered Financial Analyst and Financial Risk Manager designations.

Machine learning for quantitative investment and wealth management: opportunities and challenges

14:00 - 14:30

Cristian Homescu

Chief investment office, investment Solutions Group

Bank of America

Stream

Pricing, volatility & modeling

ADOL - Markovian approximation of rough lognormal model

13:00 - 13:30

Andrey Itkin

Director, senior quant research associate

Bank of America Merrill Lynch

Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics.

Research on VIX option

14:00 - 14:30

Gregory Pelts

Director, global analytics & financial engineering

Scotiabank

Dr. Gregory Pelts has been working in the financial industry for over a decade. He completed his training in mathematics and physics at the St Petersburg State University and the Steklov Mathematical Institute in Russia. He received his second Ph.D. in Theoretical Physics from the Rockefeller University in New York. Gregory has authored a number of publications and given presentations in theoretical physics and quantitative finance. Gregory is currently employed by Scotiabank. Prior to that, he worked for Wells Fargo, BlackRock , Goldman Sachs, Bear Stearns and Dresdner-Kleinwort-Benson. Gregory focuses on applications of group theoretical methods to problems in quantitative finance, in particular, stochastic interest rates, stochastic volatility, and credit risk.

Semi-closed form prices of barrier options in the time-dependent CEV and CIR models

13:30 - 14:00

Dmitry Muravey

Research fellow

Moscow State University

Dmitry Muravey is a Research Fellow at the Moscow State University. Dmitry holds a PhD in Applied Mathematics from the Moscow State University.

14:3015:10

*LIVE* Risk.net Quant of the Year 2020: A modeling framework for term rates replacing Libor

14:30 - 15:10

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

Andrei Lyashenko

Head of market risk and pricing models at quantitative risk management

QRM

Andrei Lyashenko is the head of Market Risk and Pricing Models at the Quantitative Risk Management (QRM), Inc. in Chicago.  

His team is responsible for research, implementation and support of pricing and risk models across multiple asset classes.  

Andrei is also adjunct professor at the Illinois Institute of Technology. Before joining the QRM in 1997, Andrei was on the mathematical faculty at the University of Illinois at Chicago and Iowa State University. 

Prior to coming to the US, he conducted academic research in applied math in Russia, Japan and Italy and published numerous research papers in the area of fluid stability in major mathematical journals.  He holds a BSc in Mathematics from the Novosibirsk State University, Russia and a PhD in Mathematics from the Russian Academy of Science.

15:1016:10

Stay on the platform for meetings you scheduled during the day!

15:10 - 16:10

16:1016:10

End of the day three.

16:10 - 16:10

All times in Eastern Standard Time (EST)

08:2008:50

Registration starts – log in earlier to familiarize with the platform!

08:20 - 08:50

08:5009:00

Chairman’s address: Mauro Cesa, quant finance editor, Risk.net

08:50 - 09:00

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.

09:0009:50

*LIVE * Covid -19 and quants: how can quants help to weather the storm?

09:00 - 09:50

  • Modellng the virus and understanding its economic impact
  • What market and economic indicators were useful?
  • How can quants improve pandemic models?
  • What data has been useful during the pandemic?
  • What are the lessons so far for quants in trading, risk management and investing?

 

Ben Steiner

Global fixed income

BNP Paribas Asset Management

Ben handles business management and chief-of-staff responsibilities for the CIO of the Global Fixed Income division of BNP Paribas Asset Management.

He has over 18 years of industry experience with hedge funds and investment managers in London and New York.

Over his career, he has been a Head of Model Development, Portfolio Manager for Absolute Return, Research Manager & Senior Quantitative Researcher. His experience covers multiple asset classes: from default and loss models in the less liquid markets  (Private Debt and Real Estate) to alpha models in the more liquid (Non-traditional Bond; Managed Futures; Global Macro and Equity Long/Short).

He holds a BA (Hons) in Economics from The University of Manchester and an MSc in Mathematical Finance from Imperial College London. Since 2013, Ben has served on the Board of Directors of the Society of Quantitative Analysts (SQA).

Despite now being a reformed quant, he’s still invited to present on deep learning and model risk management topics at Columbia & NYU, as well as industry events.

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.

Pascal Traccucci

Global head of risk

La Francaise Asset Management

Pascal Traccucci is group head of risk at La Francaise Asset Management since February 2015. He was previously responsible for enterprise risk management at Allianz Asset Management, holding company of PIMCO and Allianz Global Investors and Global Head of Investment Risk at Invesco in London. After starting his career at JPMorgan in the capital arkets research team he held various positions in portfolio and product management with Invesco in different European locations. He graduated in both business and mathematics from Lyon and Frankfurt universities.

Vasily Strela

Global Head of FICC Quantitative Strategies

RBC CAPITAL MARKETS

Vasily Strela is a Managing Director and Global Head of FICC Quantitative Strategies at RBC Capital Markets. He and his group are responsible for development of risk neutral and statistical models and techniques for pricing and risk of all parts of Fixed Income and Commodities business.
Prior to joining RBC, Vasily was a Managing Director and Global Head of Market Modeling Group at Morgan Stanley. Vasily first joined Morgan Stanley in June 2001 and served in a variety of quant roles in Fixed Income Division. In 2007-2009 Vasily worked in FAST group at Bear Stearns and in interest rates QR group at JP Morgan. At Morgan Stanley Vasily was responsible for coordination of campus recruitment for Fixed Income Starts and Modeling group.

Vasily is affiliated with MIT Mathematics Department where he organized, developed and is co-teaching a class on Topics in Mathematics with Applications in Finance

Vasily holds a Ph.D. degree in Mathematics from MIT and an M.S. degree in Applied Mathematics and Physics from Moscow Institute of Physics and Technology.

09:5010:50

*LIVE* Guest address: The market generator

09:50 - 10:50

Alexei Kondratyev

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.

Christian Schwarz

Executive director, data analytics group

Standard Chartered Bank

Christian leads the innovation efforts within the Data Science and Innovation team at Standard Chartered. He currently focuses on synthetic data generation, measurement of uncertainty and Reinforcement Learning as part of his development of algorithmic trading signals and engines. He also applies evolutionary algorithms to the non-linear optimisation of RWA relief via loan securitisation.

Previously, he spent 3 years as senior Credit Strategist and Head of Quant Research at Mizuho International leading the Machine Learning Algo market making project for corporate bonds.Christian also spent 10 years at Credit Suisse where he was most recently Senior Credit Strategist. Prior to that, he held positions within Interest Rate and FX Controlling at HVB Group.

Christian has a diploma in Financial Mathematics from Technische Universität München.There are 3 things about Machine Learning and AI that keep him up at night: The maths behind, the commercial opportunities and the impact on society.

Blanka Horvath

Lecturer in financial mathematics

King's College London

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.

11:1011:50

*LIVE* Guest keynote address: Reviewing future applications of quantum computing

11:10 - 11:50

Davide Venturelli

Associate director, quantum computing

USRA Research Institute for Advanced Computer Science (RIACS), NASA Ames Research Center

23:5013:00

End of the conference. Stay on the platform for meetings you scheduled during the day.

23:50 - 13:00