Friday 6th November: Day 5 WQF
Reader, Financial Mathematics, Cass Business School
Laura Ballotta: Reader, Financial Mathematics, Cass Business School
Dr Ballotta works in the areas of quantitative finance and risk management. She has written on topics including stochastic modelling for financial valuation and risk management, numerical methods aimed at supporting financial applications, and the interplay between finance and insurance.
Recent major contributions have appeared in Journal of Financial and Quantitative Analysis, European Journal of Operational Research and Quantitative Finance among others.
She serves as associate editor and referee for a number of international journals in the field.
Laura Ballotta obtained her PhD in Mathematical and Computational Methods for Economics and Finance from the Università degli Studi di Bergamo (Italy), following her BSc in Economics from Università Cattolica del Sacro Cuore, Piacenza (Italy), and MSc in Financial Mathematics from the University of Edinburgh – jointly awarded with Heriot-Watt University (UK). Laura has previously held positions at Università Cattolica del Sacro Cuore, Piacenza (Italy), and Department of Actuarial Science and Statistics, City University London (UK).
- Creating a hardware-agnostic
- High-performance computational maths engine
Quantitative Analyst, Citi
Joanne Chorley: Quantitative Analyst, Citi
Joanne works in Markets Quantitative Analysis and is part of Common Quant Development, specifically the Roots team at Citi. The Roots team works on all aspects of high performance computing in the derivatives world including hardware acceleration as well as algorithm design to leverage the parallelism of modern hardware. Joanne joined Citi and the Roots team after completing a PhD in Physics at Durham University, specializing in high performance computing techniques employed in the field of nuclear fusion energy.
- What worked / What didn’t
- The impact of the market microstructure
- Where to look next?
Head of Cross-Asset Quantitative Research team, Société Générale
Sandrine Ungari: Head of Cross-Asset Quantitative Research team, Société Générale
Sandrine Ungari is currently Head of Cross-Asset Quantitative Research team at Société Générale. Within the Cross-Asset Research group, 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’s research topics cover systematic strategies across asset classes, interest rate modeling, machine learning, statistical analysis and portfolio construction. She 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.