Program

Program

Program 2019

Pre-conference event on July 16th:  Financial Correlations – Modeling, Trading, Risk Management and AI
Post-conference event on July 19th:   Machine Learning:  Latest Use Cases, NLP, Data Access and Aggregation

 

Day One - July 17, 2019

 

 

Arrival 7.30; Start 7.45

Morning Briefing

Women in Quant Finance

Join the conversation on female talent and diversity in quantitative finance! What can you, your organisation and community as a whole do, to encourage diversity in the industry?

  • How businesses benefit from diversity of thought, and by having more women in senior positions/across the organization
  • Which firms are the leaders in the industry? Which women are the trailblazers? How have they achieved this?
  • Which are the top pitfalls? I.e. what not to do as an organisation aiming to attract and nurture top talent.

Led by: Faye Kilburn, Senior Staff Writer, RISK.NET  
Jaime Lee, Managing Director, Head of Dynamic Equity, PANAGORA
Katia Babbar, Founder, AI WEALTH TECHNOLOGIES,  Visitor Research Fellow, OXFORD UNIVERSITY
Anya Boutov, Chief Revenue Officer, BEACON PLATFORM

08:20

Registration and refreshments

08:50

WELCOME ADDRESS: Mauro Cesa, Quant Finance Editor, RISK.NET

09:00

OPENING KEYNOTE ADDRESS: Machine learning: The new hedge fund titan

Dario Villani, Chief Executive Officer, DUALITY GROUP

09:30

ADDRESS FROM RISK.NET BUY-SIDE QUANT OF THE YEAR 2019

Reinforcement learning for optimal hedging

Gordon Ritter, Adjunct Professor, BARUCH COLLEGE & NYU and Professor of Practice, RUTGERS UNIVERSITY  

10:10

Morning break and opportunity to network

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

  • What sorts of finance problems are and are not suited to quantum computing?
  • Using behavioural finance tools in practice
  • Blockchain and digital assets: What’s in it for quants?
PORTFOLIO RISK, NLP APPLICATIONS & INTERPRETABILITY

Chair’s opening remarks: Ben Steiner, Global Fixed Income, BNP PARIBAS ASSET MANAGEMENT

11:00

Just in time: Portfolio insurance

Peter Carr, Chair of the Finance and Risk Engineering Department, NYU TANDON SCHOOL OF ENGINEERING

11.35

Better hedging through machine learning

Mark Higgins, Chief Operating Officer and Co-Founder, BEACON PLATFORM

12.10

Optimal trade planning under geometric diffusions

Jerome Benveniste,  Senior Research Scientist and Co-head of Equity Statistical Arbitrage, RITTER ALPHA, Adjunct Professor, NYU COURANT & NYU TANDON

12.45 Lunch and opportunity to network
1.45

Can AI and fundamental analysis co-exist?

Nelson Yu, Head of Equity Quant Research, ALLIANCEBERNSTEIN

2.20

Representations within a deep network

  • The activations of the layers of a deep network are transformed representations of the input
  • These representations facilitate the ultimate purpose of the network (e.g, classification) but are often discarded by the practitioner
  • We show how these representations can be independently useful for:
    - probing the network for the "concepts" it's learned
    - transfer learning
  • We illustrate by developing a language model for understanding financial text, and comparing it with a model for general purpose English

Ken Perry, Founder, SLASHRISK. Adjunct Professor at NYU TANDON SCHOOL OF ENGINEERING

2.55

Teaching machines to understand Chinese cyber-slang

Jaime Lee, Managing Director, Head of Dynamic Equity, PANAGORA

CAPITAL,  MARGIN REQUIREMENTS & LIBOR REPLACEMENT

 

Chair’s opening remarks

 

11:00

MASTERCLASS ON TRANSITIONING FROM IBOR TO RISK FREE RATES

PRESENTATION: Looking forward to backward-looking rates: A Modeling framework for term rates replacing LIBOR

Fabio Mercurio, Global Head of Quant Analytics, BLOOMBERG

FOLLOW ON DISCUSSION: How is the industry navigating the transition to new rates?

Led by: Robert Mackenzie Smith, Editor, US Asset Management, RISK.NET
Subadra Rajappa, Head US Rates Strategy, SOCIETE GENERALE
Fabio Mercurio, Global Head of Quant Analytics, BLOOMBERG
Priya Misra, Head of Global Rates Strategy, TD SECURITIES
Gary Horbacz, Principal and Head of CMBS Credit Research, PRUDENTIAL FINANCIAL

 
12.45 Lunch and opportunity to network  
1.45

Reduced form capital optimization

  • Formulated bank’s capital optimization problem as a classic mean/variance optimization, by leveraging an accurate approximation to Shapley/CAS allocation
  • It incorporates capital ratio constraints from both RWA and LBS from multiple legal entities
  • Obtained an analytical solution for the optimal use of RWA and LBS by bank’s business units,  in order to maximize the bank’s overall return on capital (RoC)
  • Offers practical quantitative guidance to bank’s day to day capital management

Yadong Li, Managing Director,  Head of Cross-product modeling, Quantitative Analytics, BARCLAYS CAPITAL

 
2.20

Efficient calculation techniques for credit exposure in the presence of initial margin

  • Modeling collateralized exposure
  • Producing exposure on a daily simulation time grid without daily revaluations or daily IM calculations
  • Reducing simulation noise in the presence of IM
  • Alternatives to calculating IM along simulation paths

Michael Pykhtin, Manager, Quantitative Risk at U.S. FEDERAL RESERVE BOARD

 
2.55

Fast, robust computation of option prices: Contour deformation and double-exponential quadrature

  • A new numerical approach for option pricing by Fourier methods
  • Challenges solved: oscillations in integrand, singularity effects, truncation errors, cancellation errors, discretization errors
  • Scheme is completely robust and 10 orders of magnitude more accurate than standard methods

Leif Andersen, Global Head Of Quantitative Strategies Group, BANK OF AMERICA MERRILL LYNCH

 

3.35

Afternoon break and opportunity to network

.4.00

KEYNOTE ADDRESS:  Navigating the derivatives complex

Bruno Dupire,  Head Of Quantitative Research, BLOOMBERG

4:40

OXFORD DEBATE:

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

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

Referee: Petter Kolm, Director of the Mathematics in Finance Master’s Program and Clinical Professor, Courant Institute of Mathematical Sciences, NEW YORK UNIVERSITY    

AGAINST:

Ben Steiner, Global Fixed Income, BNP PARIBAS ASSET MANAGEMENT
Graham Giller, Head of Primary Research, DEUTSCHE BANK  
Gurmeet Singh, Head of Electronic Trading, Quant Group, TD SECURITIES

FOR:

Jose Marques,
Founder and Chief Investment Officer, INFERENT CAPITAL
Marcelo Labre, Executive Director, MORGAN STANLEY
 

 

5.30

Chairman’s closing remarks: Mauro Cesa, Quant Finance Editor, RISK.NET

5.40

Cocktail reception. End of day one

 
 

Day Two - July 18, 2019

 

 

Arrival 7.30; Start 7.45

New Talent in Quantitative Finance

Launching a successful career in quant finance: What employers are looking for in new hires?

In the rapidly evolving world of finance, nothing can be taken for granted. Needs of quantitative divisions across banks, vendors and buy-side firms are constantly changing, demanding quants to adapt their skill set with the same velocity.

Quant industry leaders and renowned academics will join this morning to discuss what students should be thinking about if they are looking to launch a successful career in quantitative finance, including tips for an interview and how to survive your first year!

Luca Capriotti, Head Quantitative Strategies Credit Products and Structured Notes, CREDIT SUISSE  
Alexander Lipton, Co-founder, Chief Technical Officer, SILAMONEY
Mikhail Dron, Managing Director, TD SECURITIES

8.30  

08:50

WELCOME ADDRESS: Mauro Cesa, Quant Finance Editor, RISK.NET

09:00

OPENING KEYNOTE ADDRESS: Alexander Lipton, Co-founder, Chief Technical Officer, SILA

09.40

FOCUS ON TRADING: Evolution of execution dynamics and advances in trading technology

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

10.20

Morning break and opportunity to network

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

  • A new paradigm in factor investing – Led by: Solomon Tadesse, Head of North American Equity Quant Research, SOCIETE GENERALE
  • Machine learning methods in derivatives pricing
  • Evolving quant profession in the banking industry - Mikhail Dron, Managing Director, TD SECURITIES

TRADING & INVESTING

Chair’s opening remarks

11.00

Open source random variables: Building a prediction web

  • Roar Data experiment
  • New ways of organizing predictive analytics
  • Prediction Web open to all - the democratization of data science started by MOOCs and open source software

Peter Cotton, Executive Director, Data Science, JP MORGAN

11.35

Recommender systems for corporate bond trading

Luca Capriotti, Head Quantitative Strategies Credit Products and Structured Notes, CREDIT SUISSE  

12.10

Using machine learning for smarter TCA

Swagato Acharjee, Quantitative Researcher, Algorithmic Trading,  RBC CAPITAL MARKETS
Dhamodharan Sugumaran, Associate, Algorithmic Trading, RBC CAPITAL MARKETS

12.45 Lunch and opportunity to network
1.45

Do you quant your alpha pure?

  • Immunizing alpha from market contamination
  • Challenging estimation procedures of beta
  • Making distributions of alpha more normal
Patrick Dugnolle, U.S Head of Multi-Asset and Quantitative Solutions, BNP PARIBAS ASSET MANAGEMENT
2.20

Risk-centric Factor Premia Harvesting:  A new paradigm in factor investing

  • The post-crisis search for yield and the popularity of factor investing
  • The alpha-centricity of current factor products
  • How to design equity factors with risk-control in mind to navigate the volatile market environment

Solomon Tadesse, Head of North American Equity Quant Research, SOCIETE GENERALE

2.55

Applications of machine learning to mortgages

Stefano Risa, Executive Vice President, Head of Structured Products Analytics, PIMCO

PRICING, VOLATILITY & CORRELATION

Chair’s opening remarks

11.00

A correlation based portfolio performance measure

Gunter Meissner, Adjunct Professor of MathFinance, COLUMBIA UNIVERSITY & NYU COURANT  

11.35

A deep learning approach to exotic option pricing under LSVol

  • The market standard for the pricing and risk management of complex derivatives within the Foreign Exchange markets uses a local-stochastic volatility (LSVol) model
  • This type of model can better capture relevant market dynamics but is computationally expensive
  • Using a deep learning approach, we value path-dependent Exotic Options under LSVol, achieving high degree of accuracy (to production standard)
  • We’ll explore this innovative approach, which is a radical departure from the traditional quantitative finance methodology prevalent in banks

Katia Babbar, Visitor Research Fellow, OXFORD UNIVERSITY

12.10

The joint S&P 500/VIX smile calibration puzzle solved

  • So far the best attempts used parametric continuous-time jump-diffusion models and only produced an approximate fit
  • We solve this longstanding puzzle using a completely different approach: a nonparametric discrete-time model
  • Given a VIX future maturity T1, we build a joint probability measure on the SPX at T1, the VIX at T1, and the SPX at T2 = T1 + 30 days which is perfectly calibrated to the 3 market smiles and the VIX future. Our model satisfies the martingality constraint on the SPX
  • We prove by duality that the existence of such a model means that the SPX and VIX markets are jointly arbitrage-free
  • The puzzle is cast as a dispersion-constrained martingale transport problem which is solved using the Sinkhorn algorithm. The algorithm identifies joint SPX/VIX arbitrages should they arise
  • Numerical experiments

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

12.45 Lunch and opportunity to network
1.45

The low vol phenomena across the capital structure. Stocks be. Bonds

Arik Ben Dor, Head of Quantitative Equity Research, BARCLAYS

2.20

Conformal symmetry and projective geometry in application to stochastic rates and foreign exchange

  • Volatility is called unspanned if it can be dynamically separated from analytical representation of the underlying observables
  • Application of conformal symmetries  helps to define a wide class of  parsimonious models satisfying this criteria
  • However, in these models, only the common volatility scale is unspanned while the correlations are not
  • Application of projective geometry and abstract algebra

Greg Pelts, Quant, WELLS FARGO

3.30

Afternoon break and networking

3.50

AFTERNOON KEYNOTE ADDRESS: JP Morgan AI Research: How it is different, and what we’re doing

Tucker Balch, Managing Director, J.P. MORGAN AI RESEARCH

4.30

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

  • Where do you allocate most of your research resources? Solving which problems you would give you an edge over competitors? 
  • Convergence of buy-side and sell-side quants: What can we learn from each other?
  • Quantitative finance has changed immensely over the past few years - what skills are the most important in today’s environment?
  • What’s on the horizon? Where do you think you’ll be spending most of your budget and assigning brightest talents in a next 5 years?

Led by: Mauro Cesa, Quant Finance Editor, RISK.NET
Vasily Strela, Global Head of FICC Quantitative Strategies, RBC CAPITAL MARKETS
Lilian Quah, Managing Director, Portfolio Manager, Head of Quantitative Research, EPOCH INVESTMENT PARTNERS
Dongsheng Lu, Managing Director and Head of Quantitative Strategy, BNY MELLON

Submit your comments & questions to the panel via sli.do

5.10

Chairman’s closing remarks: Mauro Cesa, Quant Finance Editor, RISK.NET

5.20

End of the conference.