Program 2020

Program 2020

Program 2020

08:2009:00

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

08:20 - 09:00

09:0009:10

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

09:00 - 09:10

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.

09:1009:50

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

09:10 - 09:50

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

10:3011:00

Coffee break and virtual meet-ups

10:30 - 11:00

23:0012:00

Virtual think tanks: join discussions with speakers, sponsors and delegates!

11:00 - 12:00

Join Covid – 19 working groups and discuss:

  • Quant solutions to pandemic models
  • What quant funds can learn from Covid crisis
  • Adopting your algos to virus vol

Don’t see the topic you want to discuss? Create your own think tank and invite your peers to join! Contact [email protected] to suggest a topic.

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

Room one: ML applications in portfolio construction

Reinforcement learning for portfolio optimization

13:00 - 13:30

Igor Halperin

Quant

Fidelity Investments

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

13:30 - 14:00

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.

 

New research on ML in portfolio construction

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

Room two: Option pricing

Addition, multiplication, and options

13:00 - 13:30

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.

Quantum quantos: path integrals for option pricing

13:30 - 14:00

Luca Capriotti

Global head quantitative strategies credit and financing

Credit Suisse

Luca Capriotti is a Managing Director at Credit Suisse, based in London, where he works in Quantitative Strategies and he is responsible for Credit Products in Europe, and globally for Corporate Bank and Treasury. Previous to this role, he was US head of Quantitative Strategies Global Credit Products, he has worked in Credit and Commodities Exotics in New York and London and in the cross-asset modeling R&D group of GMAG in the London office.
Luca is also visiting professor at the Department of Mathematics at University College London. His current research interests are in the fields of Machine Learning, Algorithmic Trading, Credit Models and Computational Finance, with a focus on applications of Adjoint Algorithmic Differentiation (AAD) for which he holds a US Patent.

Luca gives regularly gives seminars and courses worldwide. He has served as supervisor and external examiner for Master and PhD programs and as referee for several scientific publications .

Prior to working in Finance, Luca was a researcher at the Kavli Institute for Theoretical Physics, Santa Barbara, California, working in the field of High Temperature Superconductivity and Quantum Monte Carlo methods for Condensed Matter systems.

Luca holds a M.S. cum laude in General Physics from University of Florence (1996), and an M.Phil. and Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste (2000).

 

New research on option pricing

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.

15:0015:30

*LIVE* Afternoon keynote address

15:00 - 15:30

15:3016:30

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

15:30 - 16:30

16:3016:30

End of the day one.

16:30 - 16:30

08:2008:50

Registration starts – 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

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.

09:4010:20

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

09:40 - 10:20

  • 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?
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.

Asha Mehta

Senior vice president, portfolio manager, director of responsible investing

Acadian Asset Management

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.

10:2011:00

Coffee break and virtual meet-ups

10:20 - 11:00

11:0012:00

Virtual think tanks: join discussions with speakers, sponsors and delegates!

11:00 - 12:00

Discuss how to:

  • Integrate ESG into asset allocation models
  • Effectively manage liquidity
  • Model for rates replacing Libor

Don’t see the topic you want to discuss? Create your own think tank and invite your peers to join! Contact [email protected] to suggest a topic.

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

13:0015:00

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

13:00 - 14:30

13:0015:00

Stream

Room one: Quant investing

Machine learning applications in investment risk management

13:00 - 13:30

Cristian Homescu

Chief investment office, investment Solutions Group

Bank of America

Extracting insights from earnings transcripts

13:30 - 14:00

Andrew Chin

CRO and head of quantitative research

AllianceBernstein

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

14:00 - 14:30

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

Room two: Libor & modeling

New research on Libor transition

13:00 - 13:30

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.

Local Gaussian approximation for modeling collateralized exposure

13:30 - 14:00

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

14:00 - 14:30

Alexander Skabelin

Formerly Vice President, Volatility Strategies

GOLDMAN SACHS

Alexander spent more than 10 years in financial industry most of it at Goldman Sachs working on creating advanced volatility trading strategies and at a multi-billion dollar hedge fund EBF and Associates where he was responsible for volatility arbitrage. He holds a Ph.D. in Physics from MIT.

15:0015:30

*LIVE* Afternoon keynote address

15:00 - 15:30

15:3016:30

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

15:30 - 16:30

16:3016:30

End of the day two.

16:30 - 04:30

08:2008:50

Registration starts – 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

09:0009:50

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

09:00 - 09:50

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

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.

 

09:5010:30

*LIVE* Keynote address: New back-of-the envelope calculations for active traders

09:50 - 10:30

Gordon Ritter

Founder & professor

Ritter Alpha & 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.

10:3011:00

Coffee break and opportunity to learn more about Risk.net Quant Finance Master’s Guide

10:30 - 11:00

11:0012:00

Virtual think tanks: join discussions with speakers, sponsors and delegates!

11:00 - 12:00

Discussion include:

  • The future of quantum computing in finance
  • The market generator: modeling real world with synthetic data
  • What does the future holds for quant education?

Don’t see the topic you want to discuss? Create your own think tank and invite your peers to join! Contact [email protected] to suggest a topic.

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

Room one: Quant investing

Designing systematic global macro strategies

13:00 - 13:30

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

13:30 - 14:00

Amit Deshpande

Head of fixed income quantitative investments & research

T. Rowe Price

Stream

Room two: 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

13:30 - 14:00

Gregory Pelts

Quant

Wells Fargo

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 Wells Fargo. Prior to that, he worked for 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.

14:3015:30

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

14:30 - 15:30

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.

15:3016:30

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

15:30 - 16:30

16:3016:30

End of the day three.

16:30 - 16:40

08:2008:50

Registration starts – 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

09:0009:40

*LIVE* Guest keynote address: The race to quantum supremacy: reviewing future applications of quantum computing

09:00 - 09:40

Davide Venturelli

Associate director, quantum computing

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

09:4010:40

*LIVE* Guest address: The market generator

09:40 - 10:40

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

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.

10:4011:20

Coffee break and virtual meet-ups

10:40 - 11:20

11:2012:20

*LIVE WEBCAST* Covid -19 and quants: how can quants help to weather the storm?
Free content from the Risk.net’s Quant Summit team!

11:20 - 12:20

  • 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?

 

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.

12:2012:30

End of the conference.

12:20 - 12:30