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14-18 May 2018 Lisbon Marriott Hotel, Lisbon
1
Quant Invest Summit Inspiring next gen quant investment strategies
Monday 14 May 2018
Broadway Room 07.40 Registration & welcome coffee
08.20 Chairman’s opening remarks
Market conditions: Interest rates volatility and liquidity
08.30
Non-fundamental market sell-off and “volatility feedback loops”: A market impact perspective How to change the design of products and your hedging strategy using derivatives to better manage interest rate risk and ALM? Aymeric Kalife, Head of Savings & Variable Annuities & Deputy Group Life Chief Actuary, AXA GROUP
09.10 Unified liquidity risk management framework: A big data / machine learning approach Stefano Pasquali, Managing Director, Head of Liquidity Research, BLACKROCK
09.50 Using machine learning methods for volatility trading Examining Models for realized volatility estimation and forecast. Applying machine learning to model selection, volatility trading and asset allocation Artur Sepp, Director & Senior Quant, JULIUS BAER GROUP
10.30 Morning coffee & networking break
How are quants cornering the alternative beta market?
11.00 Panel discussion Passive aggressive: Will smart beta strategies eclipse active management? Weighing up the performance of passive/smart beta strategies alongside active managers and hedge
funds
Philip Stoltzfus, CEO, THAYER BROOK PARTNERS LLP
Simon Weinberger, Managing Director, Scientific Active Equities, BLACKROCK
Michael Steliaros, Global Head of Quantitative Execution Services, GOLDMAN SACHS
11.40 Alternative Beta and quant ETFs: How accurately can they capture hedge fund performance? How significant are the varying alternative beta factors to determine a more robust expectation of performance? Alexandru Agachi, Co-Founder & COO, EMPIRIC CAPITAL
12.20 Latest advances in systematic investing Nick Baltas, Head of R&D, Systematic Trading Strategies, GOLDMAN SACHS
13.00 Lunch
Asset allocation and portfolio management
14.00 The evolution of asset allocation A journey from the first quantitative techniques to the age of AI Charbel Gereige, Software Developer, BLACKROCK
14.40 Factor portfolio construction and factor timing recent developments on factor portfolio construction touching on insights on bottom up vs. top down approaches Daniel Giamouridis, Global Head of Scientific Implementation Global Portfolio Products, BANK OF AMERICA MERRILL LYNCH
15.20 Afternoon tea & networking break
Generating alpha through quant innovations
15.50 Machine learning in asset management Why machine learning, why now and for who? Grigorios Papamanousakis, Deputy Head of Systematic Asset Solutions, STANDARD LIFE ABERDEEN
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
2
16.30 Alpha generation – Staying ahead of the crowd
Views from a boutique short-term quantitative manager
Nicolas Mirjolet, Founding Partner and Chief Investment Officer, TOLOMEO CAPITAL
17.10 Deep Trading
Applications of deep reinforcement learning to systematic trading
Richard Turner, Director of Research, THE CAMBRIDGE STRATEGY
17.50 Chairman’s closing remarks
18.00 Networking drinks reception & champagne roundtable discussion groups - G1 A chance for everyone to network and relax after the day’s presentations and discussions. Champagne roundtables offer delegates a chance to delve deeper into timely topics of the day and
network with specific VIP speakers (sign up required)
Roundtable 1: Is alpha unlimited? Led by Alexandru Agachi, Co-Founder & COO, EMPIRIC
CAPITAL
Roundtable 2: Deep Learning: Opportunities and limitations for systematic investment Led by Ian
McWilliam, Analyst, ABERDEEN STANDARD INVESTMENTS
Roundtable 3: Q-learning based algos: how well do they work in practice? Led by Matthew Dixon,
Assistant Professor of Finance, ILLINOIS INSTITUTE OF TECHNOLOGY
Roundtable 4: Quantum Computing beyond the hype Led by Davide Venturelli, Quantum
Computing Lead, NASA-USRA QUANTUM AI LAB
19.30 End of Quant Invest Summit
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
3
Quant Tech Summit Latest developments & practical implementations of blockchain, big data,
machine learning & HPC Monday 14 May 2018
Manhattan Room 07.40 Registration & Welcome Coffee
08.20 Chairman’s opening remarks
How is blockchain and cryptocurrency changing business in the financial world?
08.30 The future of wealth management using fintech and blockchain integration How crypto assets will change the investments landscape Daniele Bernardi, CEO, DIAMAN SCF
09.10 Crypto-currencies – An emerging asset class Explaining in detail blockchain technology and crypto-currencies as an investment vehicle, realities and challenges of setting up a crypto asset manager and the strategies used for alpha generation Anton Golub, Co-founder and Chief Science Officer, LYKKE CORP
09.50 Examining real possibilities and applications of Distributed Ledger Technologies Which applications are game changing for finance and why? Massimo Morini, Head of Interest Rate and Credit Models, BANCA IMI
10.30 Morning coffee & networking break
Breakthroughs in big data and machine learning that are transforming the way quants operate
11.00 Building practical data visualisation applications How to draw conclusions from your numerical data using visual tools
11.40 Panel discussion Machine Learning in practice: Robustness and controls Strategies to effectively navigate the trade-off of predictive-performance and robustness and the kind of controls you need during training and prediction to implement them Moderator: Suhail Shergill, Director Data Science and Model Innovation, SCOTIABANK Matthew Dixon, Assistant Professor of Finance, ILLINOIS INSTITUTE OF TECHNOLOGY Ian McWilliam, Analyst, ABERDEEN STANDARD INVESTMENTS
12.20 Recent advances in probabilistic time series forecasting Discussing High Performance Computing aspects of training and parallel time-series predictions Leo Razoumov, Principal Machine Learning Scientist, AMAZON
13.00 Lunch
Machine learning: Finding the right use-cases
14.00 Reinforcement learning in finance Sharing recent developments in reinforcement learning, portfolio construction and trading Erdem Ultanir, Quantitative Credit Risk Analytics Lead, BARCLAYS
14.40 Predicting rare events with long short term machines Examining a novel oversampling technique for times series Matthew Dixon, Assistant Professor of Finance, ILLINOIS INSTITUTE OF TECHNOLOGY
15.20 Afternoon tea & networking break
HPC and quantum computing – What new problems can be solved?
15.50 Opportunities in the era of quantum technologies A gentle introduction to quantum computing with a focus on AI applications Alejandro Perdomo Ortiz, Quantum Machine Learning Lead, NASA-USRA Quantum AI Lab
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
4
16.30 Practitioner perspective Industry breakthroughs in quantum computing An inside glimpse into how quantum computing is starting to be applied to finance Alexei Kondratyev, Managing Director, Financial Markets, STANDARD CHARTERED BANK Davide Venturelli, Quantum Computing Lead, NASA-USRA QUANTUM AI LAB
17.10 Google case study Examining the advantage to be gained from quantum optimisation How is the Google Quantum Artificial Intelligence Lab using new hardware and computer architecture to accelerate computations? Vasil Denchev, Chief Quantum Software Architect, Quantum Artificial Intelligence Lab, GOOGLE
17.50 Chairman’ closing remarks
18.00 Networking drinks reception & champagne roundtable discussion groups - G1 A chance for everyone to network and relax after the day’s presentations and discussions. Champagne roundtables offer delegates a chance to delve deeper into timely topics of the day and
network with specific VIP speakers (sign up required)
Roundtable 1: Is alpha unlimited? Led by Alexandru Agachi, Co-Founder & COO, EMPIRIC
CAPITAL
Roundtable 2: Deep Learning: Opportunities and limitations for systematic investment Led by
Ian McWilliam, Analyst, ABERDEEN STANDARD INVESTMENTS
Roundtable 3: Q-learning based algos: how well do they work in practice? Led by Matthew
Dixon, Assistant Professor of Finance, ILLINOIS INSTITUTE OF TECHNOLOGY
Roundtable 4: Quantum Computing beyond the hype Led by Davide Venturelli, Quantum
Computing Lead, NASA-USRA QUANTUM AI LAB
19.30 End of Quant Tech Summit
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
5
Volatility Workshop Monday 14 May 2018
This workshop covers many practical aspects of volatility data, modelling, risk management, and trading. It provides notably a step by step explanation of how to construct a volatility surface, how to implement a Local Volatility model and various extensions of it, how to price and manage variance swaps, how to exploit links between various volatility derivatives. It provides detailed examples of
trading and risk management of popular exotic products.
Berlin A Room Workshop leader: Bruno Dupire, Head Of Quantitative Research, BLOOMBERG L.P.
8.20 Registration, breakfast & networking time
9.00 Workshop leader’s opening remarks
9.05 Fundamentals
Historical volatility estimation and implied volatility calculation
How to construct a good implied volatility surface
How to compute a fair skew in the absence of options
Market facts: volatility regimes, handling earnings
10.30 Morning coffee & networking break
11.00 Volatility models
Review of the most commonly used volatility models: Black-Scholes, Local Volatility model, Heston model, SABR models, stochastic local volatility model. Path dependent models, fractional volatility
Implementation of the Local Volatility model
Implementation of Local Stochastic Volatility models
Machine Learning to create data driven models
Case studies: Barrier options, AutoCallables and Accumulators
12.30 Lunch
13.30 Volatility derivatives
Variance swaps, replication, practical issues
Volatility swaps
Cross corridor variance swaps
VIX: Spot, Futures, options and ETFs
Options on realized variance
15.00 Afternoon coffee & networking break
15.30 Volatility trading & arbitrage
Volatility as an asset class
Frequency/phase arbitrage
Skew trades
Term structure of VIX arbitrage
Earning trades: 3 ways to play forward variance
17.00 Workshop leader's closing remarks
17.15 End of workshop
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
6
Main Conference Day 1 Tuesday 15 May 2018
07.40 Registration & welcome coffee
08.20 Chairman’s opening remarks
New York
In the boardroom discussions
Geneva (Limited space: First-come first-served!)
08.30 Guest behavioural economic insight: Simple heuristics that make us smart
Weighing up real world heuristics vs. theory
Gerd Gigerenzer, Director, MAX PLANCK INSTITUTE FOR HUMAN
DEVELOPMENT AND HARDING CENTER FOR RISK LITERACY IN BERLIN
08.25 – 09.10 Chairman Introduction The future of LIBOR Fabio Mercurio, BLOOMBERG L.P.
09.10 Global regulations: Interpreting the latest quantitative implications for banks & buy-side How is today’s regulatory environment impacting the financial quantitative landscape? How to comply time and cost efficiently whilst maintaining strong profitability?
09.10 – 09.50 MiFID II impacts on trading Michael Steliaros, GOLDMAN SACHS
09.50 Cross-sector panel discussion
Frontiers in big data, machine learning and supercomputing What Finance can learn from scientific applications Moderator: Marcos López de Prado, Senior Lecturer, CORNELL UNIVERSITY David Leinweber, Founder, Center for Innovative Financial Technology, LAWRENCE BERKELEY NATIONAL LABORATORY Leo Razoumov, Principal Machine Learning Scientist, AMAZON Horst Simon, Deputy Director, LAWRENCE BERKELEY NATIONAL LABORATORY Alejandro Perdomo Ortiz, Quantum Machine Learning Lead, NASA-USRA Quantum AI Lab
09.50 – 10.30 Blockchains, with and without Bitcoins Helyette Geman, BIRKBECK - UNIVERSITY OF LONDON & JOHN HOPKINS UNIVERSITY
10.30 – 11.10 SACCR – The basics of how it is implemented
11.10 Morning coffee & networking break
STREAM A
Algo Trading, E-Trading &
Machine Learning
Manhattan
STREAM B
Interest Rate
Modelling
Broadway
STREAM C
Option Pricing &
Volatility
Berlin
STREAM D
CCR, Collateral &
Central Clearing
Los Angeles
STREAM E
Behavioural Psychology
Geneva
11.40 Chairman’s opening
remarks
Pierce Crosby,
STOCKTWITS
Chairman’s opening
remarks
Chairman’s opening
remarks
Chairman’s opening
remarks
Masterclass in social intelligence: Intuition, cooperation and influencing people Gerd Gigerenzer, MAX PLANCK INSTITUTE FOR HUMAN DEVELOPMENT AND HARDING CENTER FOR RISK LITERACY IN BERLIN
11.45 Using AI for trade anomaly detection Alexander Giese, UNICREDIT
Negative rates,
negative fees
Luis Seco,
UNIVERSITY OF
TORONTO
Analytic formula
for barrier option
pricing
PETER AUSTING,
CITADEL
Counterparty loss
modelling for
CCAR
Matthias Arnsdorf,
JPMORGAN
CHASE
12.25 Bayesian asset
pricing for
algorithmic
trading
Vinayak Pathak,
SCOTIABANK
Approximate Local
Volatility Model for
Vanilla Rates
Options
Sebastian
Schlenkrich,
D-FINE GMBH
Theta I – What and
how?
Lorenzo Bergomi,
SOCIÉTÉ
GÉNÉRALE
Heston calibration
for counterparty
risk
Marco de
Innocentis,
CREDIT SUISSE
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
7
13.05 Lunch Plus meet the speaker lunch tables (sign up required)
Munich
Lunchtable 1: Lorenzo Bergomi, Head of Quantitative Research, SOCIÉTÉ GÉNÉRALE
Lunchtable 2: David Leinweber, Founder, Center for Innovative Financial Technology, LAWRENCE BERKELEY
NATIONAL LABORATORY & Marcos López de Prado, Senior Lecturer, CORNELL UNIVERSITY
STREAM A
Algo Trading, E-Trading &
Machine Learning
Manhattan
STREAM B
Interest Rate
Modelling
Broadway
STREAM C
Option Pricing &
Volatility
Berlin
STREAM D
CCR, Collateral &
Central Clearing
Los Angeles
STREAM E Systematic
Investment
Strategies
Geneva
14.05 LOXM
developments:
Using deep
reinforcement
learning for
electronic trading
Vacslav Glukhov,
JPMORGAN
CHASE
Overcoming
negative rates in
yield curve
modelling
Michael Dempster,
UNIVERSITY OF
CAMBRIDGE
Cluster Induction
Peter Jaeckel, VTB CAPITAL
Behavioural
effects on XVA
Chris Kenyon, MUFG
SECURITIES
EMEA
Chairman’s opening remarks
Implementation
capacity of
systematic
investment
strategies
Maxim Kartamyshev, NORGES BANK INVESTMENT MANAGEMENT Tuomas Eerola, TECHILA TECHNOLOGIES
14.45 Universal features
of intraday price
formation: an
exploration via
Deep Learning
Rama Cont, IMPERIAL COLLEGE LONDON
Convexity with collateral switch/floor options, semi-analytic approach Emiliano Papa, DEUTSCHE BANK
Effective
approximations of
zero coupon
bond/survival
probabilities and
Arrow Debreu
Prices in short
rate models
Luca Capriotti,
CREDIT SUISSE
Counterparty Trading Limits Revisited: CSAs, IM, SwapAgent®, from PFE to PFL Chris Kenyon, MUFG SECURITIES EMEA
Trend following strategy: Adapting to regime change Arta Babaee, THAYER BROOK
PARTNERS LLP
15.25 Afternoon tea & networking break
15.55 Deep portfolio:
Using deep
learning for
portfolio
construction and
signal integration
Shilong Yang,
JPMORGAN
CHASE
Counterparty credit risk: A multi interest rate curve model for exposure modelling Andre Süss, CREDIT SUISSE
A new pricing
model for cash-
settled swaptions
Raoul Pietersz,
ABN AMRO
Credit and funding
risk associated
with CCPs: A
simple, robust
approach
Leif Andersen,
BANK OF
AMERICA
MERRILL LYNCH
Smart beta in
treasuries: Value and
momentum revisited
Riccardo Rebonato,
EDHEC
16.35 Volatility,
correlation &
market impact
microstructure
dynamics:
The fallacy of
using single stock
algos for portfolio
trading
Michael Steliaros, GOLDMAN SACHS
Random field
LIBOR market
model
developments
Tao Wu,
ILLINOIS
INSTITUTE OF
FINANCE
Swaptions, bonds
and equities in
HJM models
Viatcheslav
Belyaev,
ALLIANZ LIFE
Submodular risk allocation Samim Ghamami, U.S. DEPARTMENT OF THE TREASURY, OFR
Recent progress in
impact dynamics
Michael Benzaquen,
ECOLE
POLYTECHNIQUE
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
8
17.15 Algorithmic
indices: How to
build strategies
matching the
views of the client
without any
overdose fitting
Adil Reghai,
NATIXIS
Variable annuities: Underlying risks and sensitivities Imad Chahboun, FEDERAL RESERVE BANK OF BOSTON
Quantum pricing
models –
Application of
infinite
dimensional group
representation in
derivative pricing
Gregory Pelts,
WELLS FARGO &
CO
Rethinking Market
Impact
Rama Cont,
IMPERIAL COLLEGE LONDON
Sustainable and
impact investing
Svetlana Borovkova,
VRIJE UNIVERSITEIT
AMSTERDAM
17.55 Chairman’s closing
remarks
Chairman’s closing
remarks
Chairman’s closing
remarks
Chairman’s closing
remarks
Chairman’s closing
remarks
18.00 Networking drinks reception & champagne roundtable discussion groups - The Garden A chance for everyone to network and relax after the day’s presentations and discussions. Champagne discussion groups offer delegates a chance to delve deeper into timely topics of the day and
network with specific VIP speakers (sign up required)
Roundtable 1: The information content of option prices led by Peter Carr, Department Chair,
Finance and Risk Engineering, NYU TANDON SCHOOL
Roundtable 2: Challenges facing AI in finance Led by Vacslav Glukhov, EMEA Linear Quantitative
Solutions, JPMORGAN CHASE
19.00 End of Main Conference Day 1
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
9
Main Conference Day 2 Wednesday 16 May 2018
07.45 Registration & welcome coffee
STREAM A
Innovations In Data, Modelling &
Quant Finance Manhattan
STREAM B
Volatility Modelling &
Trading Broadway
STREAM C
Regulation & FRTB
Berlin
STREAM D
Quant 2.0: Being A Quant In The New
Era Los Angeles
STREAM E
Computational &
Numerical Efficiency
Geneva
08.20 Chairman’s opening
remarks
Chairman’s
opening remarks
Chairman’s opening
remarks
Chairman’s opening
remarks
Chairman’s opening
remarks
08.25 An extension of
the Heston Model
for P and Q
measure
modelling of FX
options
Riccardo
Rebonato,
EDHEC
On the joint
calibration of SPX
and VIX options
Julien Guyon,
BLOOMBERG
L.P.
Examining inconsistencies between regulatory risk capital demands and equity market capital in reality Dilip Madan, UNIVERSITY OF MARYLAND
Finance
applications of
machine learning
John Hull,
UNIVERSITY OF
TORONTO
Supercomputing and superintelligence Horst Simon, LAWRENCE BERKELEY NATIONAL LABORATORY
09.05 Deep primal-dual algorithm for BSDEs: Application of machine learning to CVA and IM Pierre Henry-
Labordere,
SOCIÉTÉ
GÉNÉRALE
Diamonds: A quant’s best friend Jim Gatheral, BARUCH COLLEGE, CUNY
The world of many curves and regulations Jessica James, COMMERZBANK AG
Machine learning and complex networks for stock market research Juho Kanniainen,
TAMPERE
UNIVERSITY OF
TECHNOLOGY
Advanced AAD applications for PDE and Monte Carlo pricing Luca Capriotti,
CREDIT SUISSE
09.45 A practitioner’s
view of machine
learning: Myth vs
reality
Stefano Pasquali,
BLACKROCK
Quantum bounds for option prices Paul McCloud, NOMURA
The revised Basel CVA framework Michael Pykhtin, FEDERAL RESERVE BOARD
Advances in
financial machine
learning
Marcos López de
Prado, CORNELL
UNIVERSITY
Recent progress in AAD tool development for C++ Uwe Naumann, RWTH AACHEN UNIVERSITY
10.25 Forecasting loan utilization using neural networks: quantifying the improvement of hidden layers Tore Opsahl, BANK OF AMERICA MERRILL LYNCH
Theta II – Barrier options Lorenzo Bergomi, SOCIÉTÉ GÉNÉRALE
Incorporating Basel
IV in KVA:
implementation
and impact
Matteo Rolle, LLOYDS BANKING GROUP
Blockchain: How to
practically use it in
financial markets?
Massimo Morini,
BANCA IMI
Getting to grips with Vectorisation
11.05 Morning coffee & networking break
11.35 Regression and
information
criteria
Tyler Ward,
Tough vol Jesper Andreasen, FORMER
DANSKE BANK
Banks as regulated traders Diana Iercosan, FEDERAL RESERVE BOARD
Managing quant minds Manlio Trovato, LLOYDS BANKING GROUP
New 4-factor model
with jumps-at-default
for pricing Quanto
CDS and an RBF
approach to solving
a system of 4D PDEs
Andrey Itkin,
BANK OF AMERICA
MERRILL LYNCH
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
10
12.15 Quant vs. machine: Derivative pricing by machine learning Wim Schoutens, UNIVERSITY OF LEUVEN
Relative
valuation,
factoring linear
differential
operators, and
symplectic
geometry
Peter Carr,
NYU TANDON SCHOOL
Electronic and algorithmic trading risks and regulatory expectations
Risk measures for rogue traders with S-shaped utility Damiano Brigo,
IMPERIAL COLLEGE LONDON
Vectorised approach
to tree-based
machine learning
problems
Jan Novotny,
HSBC
12.55 Risk Modelling Best Practices From a CCP Perspective Udesh Jha,
CME Group
Rough volatility
and its
applications in FX
markets
Mikko Pakkanen,
Imperial College
London
Supervisory expectations on the internal model governance and embedding Vincent Sapin, NATIONAL BANK OF BELGIUM
Leveraging the
cloud for a more
collaborative
ecosystem
Felix Grevy,
FINASTRA
Financial cash-flow
scripting: Beyond
valuation
Antoine Savine,
DANSKE BANK
13.35 Lunch Plus meet the speaker lunch tables (sign up required)
Munich
Lunchtable 1: Pierre Henry-Labordere, Quant, Global Markets Quantitative Research, SOCIÉTÉ GÉNÉRALE
Lunchtable 2: Damiano Brigo, Chair and Co-Head of Group, Mathematical Finance, IMPERIAL COLLEGE
LONDON
Lunchtable 3: John Hull, Maple Financial Professor Of Derivatives & Risk Management at Joseph L. Rotman
School of Management, UNIVERSITY OF TORONTO
14.35 Machine learning, neural networks and NLP within derivatives pricing Youssef
Elouerkhaoui,
CITIGROUP
Stepping
Stochvol (SSV)
Peter Friz,
TU BERLIN,
WEIERSTRAß-
INSTITUT BERLIN
Chatham House
Rules
Validating and
backtesting models
to incorporate
dynamic IM into
regulatory capital
calculations
Andrew Hudson,
BANK OF
ENGLAND
How are quant teams positioning themselves as key enablers for business transformation
From artificial
intelligence to
machine learning,
from logic to
probability
Paul Bilokon,
THALESIANS LTD
15.15 Zero covariation
returns with
portfolio
constructions
based on support
vector machine
regressions
Dilip Madan, UNIVERSITY OF
MARYLAND
Volatility by
jumps
Laura Ballota,
CASS BUSINESS
SCHOOL
Bilateral margin requirements and the margin period of risk
Modelling and
hedging variable
annuity guarantees
– Challenges and
opportunities
Jeanine Kwong &
Tark Bouhennache,
MANULIFE
FINANCIAL
The rolling adjoints method: Fast greeks along Monte Carlo scenarios for early-exercise options Álvaro Leitao, UNIVERSITY OF BARCELONA
15.55 Afternoon tea & networking break
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
11
16.25 Deep Hedging Hans Buehler, JPMORGAN CHASE Lukas Gonon, ETH Zurich
From derivatives to derivatives on derivatives Bruno Dupire, BLOOMBERG L.P.
Applying machine learning to reduce the computational burden of FRTB IMA Chongxian Zhu, LLOYDS BANKING GROUP
Second
quantization of
banks
Christoph Burgard
BANK OF
AMERICA MERRILL
LYNCH
Approximation
Methods
Panel discussion
How useful are
asymptotics in
financial
engineering?
Moderator: Colin
Turfus, DEUTSCHE
BANK
Julien Hok, CREDIT AGRICOLE-
CIB
Romain Bompis, NATIXIS
17.05 CDS Rate
construction
method by
machine learning
techniques
Zhongmin Luo,
BIRKBECK,
UNIVERSITY OF
LONDON
Multi-asset stochastic volatility modelling Hamza Guennoun, SOCIÉTÉ GÉNÉRALE
How to define the
NMRF and how to
avoid extra
charges?
Nicolae Mera,
CREDIT SUISSE
Lessons from an
ethical hacker:
In a world of
unlimited data what
are the security
implications and
how can you be
continually vigilant
to cyber threats?
Freakyclown,
ETHICAL HACKER
AND SOCIAL
ENGINEER
Efficient pricing of
credit hybrid
derivatives
Colin Turfus,
DEUTSCHE BANK
17.45 Chaos and the
Garch
Fabio Mercurio,
BLOOMBERG L.P.
Local volatility model with stochastic interest rates and efficient calibration by PDE method Julien Hok, CREDIT AGRICOLE-CIB
Lending without banks Erik Vynckier, FORESTERS
FRIENDLY
SOCIETY
Fast analytical
approximations to
PDEs
Richard Martin,
APOLLO GLOBAL
MANAGEMENT
18.25 Chairman’s closing
remarks
Chairman’s closing
remarks
Chairman’s closing
remarks
Chairman’s closing
remarks
Chairman’s closing
remarks
18.30 Networking drinks reception & champagne roundtable discussion groups - Mediterranean A chance for everyone to network and relax after the day’s presentations and discussions. Champagne Discussion Groups offer delegates a chance to delve deeper into timely topics of the day and
network with specific VIP speakers (sign up required)
Roundtable 1: Contributions of conic finance to asset allocation, hedging and trading Led by
Dilip Madan, Professor of Mathematical Finance, Robert H. Smith School of Business, UNIVERSITY
OF MARYLAND
Roundtable 2: Computational modelling with apache spark, Google cloud, and tensor flow led by
Tyler Ward, Local Search Modeler, GOOGLE
Roundtable 3: Machine learning meets quantitative finance, led by Hans Buehler, Global Lead for
Data Analytics in Markets, JPMORGAN CHASE
19.30 End of Main Conference Day 2
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
12
Main Conference Day 3 Thursday 17 May 2018
07.45 Registration & welcome coffee
08.20 Chairman’s opening remarks New York
In the boardroom discussions
Geneva (Limited space: First-come first-served!)
08.30 Derivatives and the past and future of quantitative finance Breakthroughs in modern portfolio theory and the evolution of derivatives Emanuel Derman, Professor, COLUMBIA UNIVERSITY
09.10 High performance computing: Practical tools & real world applications What problems can high levels of computational performance solve and is it worth the investment?
Chairman Introduction XVA and P-measure
modelling
Andrey Chirikhin,
QUANTITATIVE
RECIPES
09.50 Cyber hacker address How I rob banks Hear anecdotes from a 20+ year career in ethical hacking, social engineering and physical assessments Freakyclown, Ethical Hacker and Social Engineer
Relative valuation
Peter Carr,
NYU TANDON SCHOOL
10.30 Hannibal ad Portas Impact of fintech on incumbent financial institutions Alexander Lipton, Founder and CEO, STRONGHOLD LABS
Future direction of
counterparty credit risk
models
Rajiv Sesodia,
STANDARD
CHARTERED BANK
11.10 Morning coffee & networking break
STREAM A FX, Commodities & Trading
Innovations
Manhattan
STREAM B XVA Techniques &
Advancements
Broadway
STREAM C Risk Management, Model Risk &
Liquidity
Berlin
11.40 Chairman’s opening remarks Chairman’s opening remarks Chairman’s opening remarks
11.45 Identifying jumps in commodity
futures prices
Michael Dempster,
UNIVERSITY OF CAMBRIDGE
Panel discussion Capital & margin optimisation Moderator: Alexander Lipton, STRONGHOLD LABS Panellists: David Bachelier &
Gavin Jackson, CAPITALAB,
Adil Reghai, NATIXIS,
Andrew Green, SCOTIABANK
Alexandre Antonov, STANDARD CHARTERED
BANK
Model risk assessment: The model of models Eulogio Cuesta, SANTANDER
12.25 Cross currency derivatives
developments
KVA revisited Andrew Green, SCOTIABANK
Rates regimes for risk modelling Vinay Kotecha and Vladimir Chorniy, BNP PARIBAS
13.05 Lunch Plus meet the speaker lunch tables (sign up required) Munich
Lunchtable 1: Alexander Lipton, Founder and CEO, STRONGHOLD LABS
Lunchtable 2: Kathrin Glau, Lecturer in Financial Mathematics, QUEEN MARY UNIVERSITY OF LONDON
Lunchtable 3: Alexandre Antonov , Director, STANDARD CHARTERED BANK
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
13
14.05 Valuing a full requirements
contract as a real option by the
method of eigenclaims in the
non-markovian approach
Valery Kholodnyi,
WOLFGANG PAULI INSTITUTE
Algorithmic differentiation through least-squares Monte Carlo: CVA greeks and MVA for callables Andrew McClelland, NUMERIX
Learning the Optimal Risk
Marco Bianchetti and Marco Scaringi,
INTESA SANPAOLO
14.45 Using big data to trade FX Saeed Amen, CUEMACRO
Shih-Hau Tan, CUEMACRO
Capital Valuation Adjustment:
an indifference approach
Damiano Brigo,
IMPERIAL COLLEGE LONDON
World Cup: A quantitative analysis of
balance and fairness
Julien Guyon, BLOOMBERG L.P.
15.25 Can FX trading benefit from machine learning? Patrik Karlsson, SEB
Approximation methods for KVA under the final Basel III framework Rodney Hoskinson, ANZ BANK
Constructing a model inventory: Implications for reporting and compliance Alberto Elices, SANTANDER
16.05 Afternoon Tea & Networking Break
16.35 Implied volatility with bivariate Chebyshev interpolation Kathrin Glau, QUEEN MARY UNIVERSITY OF LONDON
Advanced techniques for SIMM-MVA calculations Alexandre Antonov, STANDARD CHARTERED BANK
What scenarios for consistent hedge &
VaR calculations?
Nadhem Meziou, NATIXIS
17.15 Managing risks of long term energy pricing agreements Paul Edge, EDP
Uncertainty quantification for
XVA applications
Stéphane Crépey,
UNIVERSITY OF EVRY
Bermudan swaption model risk
analysis: A local volatility approach
Juliusz Jabłecki,
NARODOWY BANK POLSKI
17.55 Chairman’s Closing Remarks Chairman’s Closing Remarks Chairman’s Closing Remarks
18.00 End of QuantMinds Main Conference
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
14
Technical Workshops Friday 18 May 2018Day
Hands-On Adjoint Coding The course provides a hands-on introduction to adjoint algorithmic differentiation (AAD). Both
manual coding of adjoints and the use of an operator overloading AAD tool for C++ (dco/c++) will be considered. Hybrid schemes include combinations of hand coding and use of operator
overloading as well as integration of local finite difference approximations (bumping) into adjoint code. Participants are encouraged to bring their laptops in order to draw full benefit from the interactive hands-on coding sessions. A C++ compiler should be installed. A trial version of dco/c++ will be distributed. The general adjoint code generation rules are formulated in a
language-independent fashion. We use C++ for examples including the main case study in form of a LIBOR market simulation.
(Berlin A room)
Workshop leaders: - Luca Capriotti, Managing Director - Head Quantitative Strategies Global Credit Products
EMEA, CREDIT SUISSE - Uwe Naumann, Professor of Computer Science, RWTH Aachen University
8.30 Registration, breakfast & networking time
9.00 Workshop leaders' opening remarks
9.05 Fundamentals of adjoints in finance (Capriotti) Monte Carlo and pathwise derivative method, algebraic adjoint approaches, adjoint Algorithmic Differentiation (AAD), AAD and the pathwise derivative method, first applications. Hands-on exercise.
10.30 Morning coffee & networking break
11.00 Hand-written adjoint of LIBOR model code (Naumann) Introducing LIBOR model and adjoint code generation rules, interactive / step by step manual coding of adjoint LIBOR code. Hands-on exercise.
12.30 Lunch
13.30 Further case studies and AAD for PDE methods (Capriotti) Case Study: Correlation Greeks for Basket Default Contracts, Case Study: Real Time Risk Management of Counterparty Risk and XVAs, Application to Partial Differential Equations, Market Prices Sensitivities, Calibration and the Implicit Function Theorem, Case Study: Market Prices Sensitivities of Default Intensity Models
15.00 Afternoon coffee & networking break
15.30 Adjoints by overloading & application to LIBOR model code (Naumann) Introducing dco/c++, interactive / step by step dco/c++ adjoint of LIBOR code, hands-on exercise, outlook to advanced issues in AAD and dco/c++ support
17.00 Workshop leader's closing remarks
17.15 End of workshop
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
15
Market Risk and the Fundamental Review of the Trading Book The Fundamental Review of the Trading Book is making the quantification of market risk for
regulatory purposes more sophisticated than ever before. This workshop will explain key concepts underlying both the standardized approach and the internal models approach. It will also discuss some of the more controversial aspects of FRTB such as the P&L attribution and
non-modellable risk factors.
(Berlin B room) Workshop leader:
John Hull, Maple Financial Professor Of Derivatives & Risk Management at Joseph L. Rotman School of Management, UNIVERSITY OF TORONTO
8.30 Registration, breakfast & networking time
9.00 Workshop leaders' opening remarks
9.05 Risk measures
VaR and expected shortfall
Coherent risk measures
Allocation and aggregation of risk measures
Backtesting
10.30 Morning coffee & networking break
11.00 Calculation methods
Historical simulation and its extensions
Stressed VaR and expected shortfall
Extreme value theory
Model Building approach and its use in SIMM and FRTB
12.30 Lunch
13.30 FRTB 1
The history: Basel I and Basel II.5
FRTB innovations: stressed expected shortfall and liquidity horizons
Standardised approach in FRTB
Weighted sensitivity approach
15.00 Afternoon coffee & networking break
15.30 FRTB 2
Internal models approach in FRTB
Cascade approach
Trading book vs. banking book boundary
P&L attribution and backtesting
17.00 Workshop leader's closing remarks
17.15 End of workshop
14-18 May 2018 Lisbon Marriott Hotel, Lisbon
16
Modern Option Pricing
In this workshop we will address various aspects and techniques of modern option pricing. We will introduce mathematical tools, old and new, and explain how they can be used to solve
modern quantitative finance problems. The tools include McKean stochastic differential equations, backward stochastic differential equations (BSDEs), branching diffusions, linear programming, machine learning techniques, and optimal transport. They will be applied to a
variety of challenging issues that are crucial for risk-management and model risk assessment: the exact calibration of models to market smiles; the valuation of derivatives under parameter
uncertainty; the computation of the credit valuation adjustment (CVA) and initial margin (IM) of a large book of derivatives; and the derivation of model-independent bounds for option prices,
given the prices of vanilla options. Implementation details will be provided, together with
illustrative examples. (Geneva room)
- Pierre Henry-Labordere, Quant, Global Markets Quantitative Research, SOCIÉTÉ
GÉNÉRALE
- Julien Guyon, Senior Quant, BLOOMBERG L.P.
8.30 Registration, breakfast & networking time
9.00 Workshop leader’s opening remarks
9.05 The particle method for smile calibration
Introductory example: Local stochastic volatility
The particle method: implementation details
Adding stochastic rates and stochastic repo/dividend yield
Path-dependent volatility
Local correlation
Cross-dependent volatility
10.30 Morning coffee & networking break
11.00 Stochastic control techniques and applications
Hamilton-Jacobi-Bellman
Backward Stochastic Differential Equations
Uncertain volatility model
Uncertain default rate model
Different rates for borrowing and lending
Portfolio optimization
12.30 Lunch
1.30 Computing CVA and IM
The semilinear PDE for CVA and IM computations
Marked branching diffusions
Neural networks
Application to CVA and IM computations
3.00 Afternoon coffee & networking break
3.30 Model-free bounds for option prices
Primal problem: Linear programming formulation
Dual problem: Optimal transport
Martingale optimal transport
Example: Bounds for VIX futures and VIX options given S&P 500 smiles
5.00 Workshop leader's closing remarks
5.15 End of workshop