Program

Program

Program 2019

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.

Jaime Lee, Managing Director, Head of Dynamic Equity, PANAGORA
Katia Babbar, Founder, AI WEALTH TECHNOLOGIES,  Visitor Research Fellow, OXFORD UNIVERSITY

More speakers to be announced

08:20

Registration and refreshments

08:50

WELCOME ADDRESS: RISK.NET

09:00

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

Dario Villani, Chief Executive Officer, DUALITY GROUP

09:40

FOCUS ON QUANTUM COMPUTING: Bringing quantum computing to the Wall Street: Applications in finance

Speaker to be announced

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.

  • 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

11:00

Just in time: Portfolio insurance

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

11.35

Teaching machines to understand Chinese cyber-slang

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

12.10

A quantitative framework for multi-asset risk assessment

Speaker to be announced

12.45 Lunch and opportunity to network
1.45

Using machine learning to improve traditional investment models

Andrew Chin, Chief Risk Officer and Head of Quantitative Research, ALLIANCEBERNSTEIN

2.20

AI interpretability 

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

2.55

Reinforcement learning for optimal hedging

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

MODEL RISK,  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?

Subadra Rajappa, Head US Rates Strategy, SOCIETE GENERALE
Fabio Mercurio, Global Head of Quant Analytics, BLOOMBERG

More speakers to be announced

 
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

Quantifying model performance

Speaker to be announced

 

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

 

5.30

Chairman’s closing remarks: RISK.NET

5.40

Cocktail reception. End of day one

 
 

Day Two - July 18, 2019

08:30

Registration and refreshments

08:50

WELCOME ADDRESS: RISK.NET

09:00

OPENING KEYNOTE ADDRESS

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.

  • Beyond Libor: The transition from Libor and what research opportunities it offers for quants  
  • Machine learning methods in derivatives pricing
  • "Quantamental" investing: The best of both worlds

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

Measuring crowding

Speaker to be announced 

12.45 Lunch and opportunity to network
1.45

Model risk management for machine learning and trading strategies (topic tbc)

Arik Ben Dor, Head of Quantitative Equity Research, BARCLAYS

2.20

Applications of machine learning to mortgages

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

PRICING, VOLATILITY,  CORRELATION & PRICING

Chair’s opening remarks

11.00

A correlation based portfolio performance measure

Gunter Meissner, Professor, HAWAII PACIFIC UNIVERSITY

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,  Founder, AI WEALTH TECHNOLOGIES,  Visitor Research Fellow, OXFORD UNIVERSITY

12.10

New research on the joint calibration of SPX and VIX options

  • SPX, VIX, and derivatives
  • Joint calibration: past attempts
  • New approach for continuous models on the SPX
  • The case of instantaneous VIX: Necessary and sufficient condition for joint calibration
  • The real case of 30 day VIX: Inversion of convex ordering of VIX2 and local VIX2
  • Inversion of convex ordering using (a) fast mean-reverting and highly volatile volatility or (b) rough volatility
  • The stochastic local volatility approach

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

12.45 Lunch and opportunity to network
1.45

Quantum pricing – Application of group representations theory in quantitative finance (topic tbc)

Greg Pelts, Quant, WELLS FARGO

2.20

Machine learning methods in derivatives pricing

Speaker to be announced 

2.55

Afternoon break and networking

3.20

AFTERNOON KEYNOTE ADDRESS: Many faces of the quant: How is the industry and a skill set evolving today?

Andrew Dyson, Chairman, Chief Executive Officer, QMA

4.00

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?

Vasily Strela, Global Head of FICC Quantitative Strategies, RBC CAPITAL MARKETS

More speakers to be announced 

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

4.40

Chairman’s closing remarks: RISK.NET

4.50

End of the conference.