Select your subject

This year our specialist streams are:

Derivatives | Risk | Buy-side boardroom |
Computation, data and innovation |
Quant tech and trading

Derivatives

The adaptive curve evolution model for interest & FX rates

The ACE short rate model is the first to combine all of the most desirable analytical properties in one interest rate framework. Recently, it has been extended the model to cover the rates of multiple currencies, as well as their FX spot and forward rates.

Presented by

Matthias Heymann, Former Market Data Scientist, Millennium

When and where?

Tue 19 Nov, 15:50, Arora 12 & 15

Fast option pricing with discrete dividends

We consider modern numerical methods for performant pricing of European, Bermudan, and American options when the underlying asset pays discrete dividends.

Presented by

Leif Andersen, Global Co-Head Of Quantitative Strategies Group, Bank of America

When and where?

Wed 20 Nov, 14:00, Arora 12 & 15

Volatility shape-shifters: Arbitrage-free transformations of implied volatility surfaces

We introduce a framework for generating arbitrage-free transformations of an implied volatility surface based on optimal transport maps between suitable distributions.

Presented by

Valer Zetocha, Senior Quantitative Analyst, Julius Baer

When and where?

Thu 21 Nov, 12:20, Arora 12 & 15

Risk

Financial system wide liquidity risks and related (experimental) stress testing

Recent episodes and basic concepts
From entity to system stress testing
Banking system applications
Financial system applications

Presented by

Jérôme Henry, Principal Adviser – DG Macroprudential Policy and Financial Stability, European Central Bank

When and where?

Tue 19 Nov, 16:20, Arcadia 1 & 2

CCR Stress Testing, WWR and Leverage: A Monte Carlo simulation based framework

We build up on recent analytical progress and we show how a suitable combination of Gaussian copulas and mixture models technics can be used to realise a flexible Monte Carlo based CCR stress testing framework.

Presented by

Fabrizio Anfuso, Senior Technical Specialist, Bank of England

When and where?

Wed 20 Nov, 14:40, Arcadia 1 & 2

Computing the impact of central clearing on systemic risk - a generative approach

Focusing on central clearing, we model the financial system as a multigraph of trade and risk relations among banks. We then study the impact of central clearing by a priori estimates in the model, stylized case studies, and a simulation case study.

Presented by

Nikolai Nowaczyk, Technical Specialist, NatWest

When and where?

Thu 21 Nov, 14:40, Arcadia 1 & 2

Buy-side boardroom

Structural factor investing

In this seminal paper, we introduce a unified theoretical framework for factor investing that stems from the structural relationship between equities and bonds.

Presented by

Hamza Bahaji, Head of Financial Engineering and Investment Solutions, Amundi ETF, Indexing & Smart Beta, Amundi

When and where?

Tue 19 Nov, 14:40, Cutty Sark 1 & 2

Rhetorical engineering for SWOT-based portfolio construction:

identity, emotion, intention

We adapt classical rhetoric based on identity (ethos), emotion (pathos), and intention (logos) to communicate client identity and intentions.

Presented by

Hamza Bahaji, Head of Financial Engineering and Investment Solutions, Amundi ETF, Indexing & Smart Beta, Amundi

When and where?

Tue 19 Nov, 16:50, Cutty Sark 1 & 2

Minimum distance optimisation:

A general-purpose alternative to mean-variance for institutional equity strategies

We present a new, general-purpose approach to portfolio optimization that can be used to control turnover in equity strategies, without introducing the path dependence normally associated with L1 trading constraints or penalty terms in the objective.

Presented by

Barney Rowe, Senior Quantitative Analyst, Fidelity International

When and where?

Wed 20 Nov, 14:00, Cutty Sark 1 & 2

Computation, data and innovation

Towards the lower bound for Bermudans

It is important for designing “Bermudan discount” adjustment models prevalent in the industry for the last 30+ years
We prove that generalized call spread is THE (achievable) lower bound

Presented by

Vladimir Piterbarg, Managing Director, Head of Quantitative Analytics & Development, NatWest Markets

When and where?

Tue 19 Nov, 17:20, Arora 13 & 16

Artificial Intelligence versus Augmented Intelligence

How to integrate Artificial Intelligence with the Human Experience in a complete investment process journey. Experience and past performance and future developments in a rapidly changing investment industry.

Presented by

Daniele Bernardi, CEO, Diaman Partners

When and where?

Wed 20 Nov, 14:00, Arora 13 & 16

Generative AI model risk management and the future of quants in banking

This session will present the unique challenges and best practices for establishing robust model risk management frameworks for LLMs.

Presented by

Fabien Choujaa, Head of Strats and Model Risk Management, HSBC

When and where?

Wed 20 Nov, 17:10, Arora 13 & 16

Quant tech and trading

Lenses for algorithmic trading

We show concrete examples of lenses and how to used them to improve algorithmic trading performance with the objective of being more competitive in these wheels.

Presented by

Gabriel Tucci, Global Head of Equities Cash Quant Trading, Citi

When and where?

Thu 21 Nov, 14:00, Arora 13 & 16

Machine learning-based detection of mean reversion in forex markets

In this talk, I will discuss the Local Extrema Predictor (LEAP), a machine learning algorithm designed to detect mean reversion in FX markets.

Presented by

Mike Emambakhsh, Senior Research Scientist, Mesirow

When and where?

Thu 21 Nov, 14:40, Arora 13 & 16