World Business StrategiesServing the Global Financial Community since 2000

Women in Quantitative Finance Conference (WQF)

08.00 - 08.55
Registration and Morning Welcome Coffee
08.55 - 09.00
Women in Quantitative Finance Introduction and Morning Chair:

Diana Ribeiro: 

Deputy Head of Rates Quantitative Research, CB Markets, Lloyds Banking Group

Diana Ribeiro: Deputy Head of Rates Quantitative Research, CB Markets, Lloyds Banking Group

09.00 - 09.40
Keynote

Thalia Chryssikou:

Partner, Co-head of Global Sales Strats & Structuring across FICC and Equities, Goldman Sachs

Thalia Chryssikou: Partner, Co-head of Global Sales Strats & Structuring across FICC and Equities, Goldman Sachs

Thalia is co-head of Global Sales Strats & Structuring across FICC and Equities. She serves as a member of the Securities Division EMEA OpComm, the Securities Division Client & Business Standards Committee and the Structured Products Committee. Thalia is also co-chair of the Structured Investment Products Committee. Prior to her current role in 2017, Thalia was the head of European Interest Rate Product Sales having previously managed the European Macro Sales Strats and Structuring team from 2008 to 2014, responsible for client strategies and solutions.

From 2004 to 2007, she was head of the Pensions and Insurance Strat Group focusing on asset liability management. In 2001, Thalia became a member of the Interest Rate Products Strats Group after joining Goldman Sachs in 1998 as an associate in the Firmwide Risk Department. She was named managing director in 2007 and partner in 2010.

Thalia serves on the MIT Sloan Finance Group Advisory Board, the Westminster School Development Board and on the Board of the Association for Financial Markets in Europe on behalf of Goldman Sachs. Thalia earned a PhD in Operations Research from the Massachusetts Institute of Technology and an MSSc in Civil Engineering from the National Technical University of Athens.

09.40 - 10.20
Quantitative Finance: Evolution and Next Challenges
  • How Quantitative Finance has evolved over the past 20 years…new priorities and new skills
  • What are the next challenges: new XVA computation issues, Libor demise, FRTB, stress tests, Solvent Wind Down, machine learning explainability, etc

Sarah B Tremel:

Global Head of Analytics – Product Control, HSBC

Sarah B Tremel: Global Head of Analytics – Product Control, HSBC

10.20 - 11.00
Understanding Central Counterparties
  • What are Central Counterparties?
  • How do Central Counterparties manage Risk and Defaults?
  • Members’ risk exposure to Central Counterparties: theory or a real threat?
  • Challenges in modelling risk to CCPs.

Effie Miskouri:

Director, Global Risk Analytics, Bank of America Merrill Lynch

Effie Miskouri: Director, Global Risk Analytics, Bank of America Merrill Lynch

Effie Miskouri is a Senior Quantitative Analyst in the Counterpart Credit Risk modeling team within Global Markets GRA. She is responsible for developing and delivering modeling solutions to manage risk related to Central Counterparties. Effie joined Bank of America in 2015. Since the beginning of her career in 2005, she was a Front Office Exotic Interest Rate Quantitative Analyst at ABN Amro and Unicredit. Effie has a PhD in Financial mathematics and an MEng in Information Systems Engineering both from Imperial College London.

11.00 - 11.30
Morning Break and Networking Opportunities
11.30 - 12.30
PANEL: Talent Attraction & Retention

Topics:

  • What are QR Financial Services currently doing and what should they be doing to attract more female talent?
  • What can Universities and Recruitment companies do to help?
  • What strategies are financial companies using at present if any?
  • What are QR Financial Services currently doing and what should they be doing to retain female talent?
  • What top positions besides Asset Management can QF- profiled women occupy?
  • For each position open, the percentage of female CVs submitted is very small (if not none). Why is this happening and how can universities/headhunters/companies work together to improve the numbers?
  • At more senior levels the number of women is even lower than at entry level which means that the female population retention rate is low or/and women are not being promoted. Discuss.
  • Mentoring programmes that could specifically help Diversity & Inclusion.
  • Are quantitative positions too specialised which prevents women (and men) to move horizontally to different (and possibly more senior) roles?

Moderator:

  • Iuliia Shpak: Quant Strategies Specialist, Sarasin & Partners LLP

Panellist:

Iuliia Shpak:

Quant Strategies Specialist at Sarasin & Partners LLP

Iuliia Shpak: Quant Strategies Specialist at Sarasin & Partners LLP

In her multifaceted role, Iuliia extensively focuses on quant investment solutions for institutional asset owners, in particular SWFs and large pension funds and contributes to internal research and selection of external quant managers.

Iuliia’s research experience covers market anomalies, speculative bubbles, volatility modelling and systematic risk factors in equities and commodity futures.

Iuliia serves as an Adjunct Researcher at the World Pensions Council and Member of Scientific Council at the CBBA-Europe. Iuliia holds MSc in Operational Research and PhD in Finance.

Iuliia frequently delivers guest lectures at the London School of Economics (LSE) and other academic institutions.

Fatos Akbay:

Managing Director, FICC Rates Structuring Strats, Goldman Sachs

Fatos Akbay: Managing Director, FICC Rates Structuring Strats, Goldman Sachs

Joanne Chorley:

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.

Flavia Barsotti:

Model Risk Oversight, ING Groep N.V.

Flavia Barsotti: Model Risk Oversight, ING Groep N.V.

Flavia is working for ING Bank in Model Risk Oversight. She has joined ING Bank in January 2019 in Model Validation.

Before ING, Flavia has been working for UniCredit Group as quantitative analyst, on design and development of internal models on the trading book side (Counterparty Credit Risk) and stress tests for behavioural models (Interest Rate Risk) on the banking book side.

Before joining the banking sector, Flavia has worked as Maître de Conférences at University of Lyon (Mathematics and Mathematical Applications), after a 1 year Post-Doc position in quantitative finance and applied mathematics at University of Florence. She is still active in scientific research. Flavia holds a PhD in Mathematics for Economic Decisions obtained through a joint program between University of Pisa & University of Toulouse. She believes that research and risk modeling can benefit from synergies between science and business to meet the challenging demands for ‘’future banking’’.

Lily Gu:

Quantitative Researcher, Bloomberg LP

Lily Gu: Quantitative Researcher, Bloomberg LP

Ms. Lily Gu joined the Bloomberg Quantitative Research group in 2018. Prior to that, she earned her Master in Finance from Princeton University. At Bloomberg, Ms. Gu’s work focuses on applying innovative quantitative models across all asset classes & using machine learning methods to help reveal embedded signals in financial data.

Yashoda Mahendran:

Head of Stress Test Analytics within Product Control, HSBC

Yashoda has 8 years’ experience in finance. She currently leads a team which looks primarily at regulatory stress testing (including CCAR, PRA/BoE and EBA exercises) of key Valuation Adjustments. Her prior experiences within analytics also include the areas of xVAs and FX Options.

Yashoda holds a BSc degree in Financial Mathematics from the University of Manchester and an MSc in Mathematics and Finance from Imperial College London.

12.30 - 13.30
Lunch
Women in Quantitative Finance Afternoon Chair:

Burcu Karabork:

Quantitative Developer, NatWest Markets

Burcu Karabork: Quantitative Developer, NatWest Markets

Burcu joined NWM in 2012 on the Technology Graduate Scheme and is currently a quant developer at NWM. She holds an MEng (Hons) in Aeronautical Engineering from the University of Bristol. She has spent the last few years working on the bank’s unified risk engine and has more recently returned to her more maths-centric roots in the eFI space.

13.30 - 14.15
Valuation Risk Management
  • What is valuation risk
  • Different aspects of valuation risk, valuation risk drivers
  • Valuation risk control and monitoring

Milena Imamovic-Tomasovic:

Head of Product-Aligned Valuation Methodology, Deutsche Bank

Milena Imamovic-Tomasovic: Head of Product-Aligned Valuation Methodology, Deutsche Bank

Milena Imamovic-Tomasovic is a quantitative finance professional with fifteen years of experience in banking. Her current role is Head of Business-Aligned Valuation Methodology within Global Valuation Group team in Deutsche Bank. Prior to that, she was Head of CVA and Funding Methodology within GVG Methodology and before that Head of Analytics, EMEA at HSBC where she headed a cross-asset Valuation Control quant team. Before joining HSBC, Milena worked at TD Securities as a model validation and subsequently front office equity quant. She holds a Ph.D in theoretical physics from the University of Toronto.

14.15 - 15.00
Deep Learning Volatility

Abstract

We present a consistent neural network based calibration method for a number of volatility models-including the rough volatility family-that performs the calibration task within a few milliseconds for the full implied volatility surface.

The aim of neural networks in this work is an off-line approximation of complex pricing functions, which are difficult to represent or time-consuming to evaluate by other means. We highlight how this perspective opens new horizons for quantitative modelling: The calibration bottleneck posed by a slow pricing of derivative contracts is lifted. This brings several model families (such as rough volatility models) within the scope of applicability in industry practice. As customary for machine learning, the form in which information from available data is extracted and stored is crucial for network performance. With this in mind we discuss how our approach addresses the usual challenges of machine learning solutions in a financial context (availability of training data, interpretability of results for regulators, control over generalisation errors). We present specific architectures for price approximation and calibration and optimize these with respect different objectives regarding accuracy, speed and robustness. We also find that including the intermediate step of learning pricing functions of (classical or rough) models before calibration significantly improves network performance compared to direct calibration to data.

Blanka Horvath:

Honorary Lecturer, Department of Mathematics, Imperial College London

Blanka Horvath: Honorary Lecturer, Department of Mathematics, Imperial College London

Blanka is a Honorary Lecturer in the Department of Mathematics at Imperial College London and a Lecturer at King’s College London. Her research interests are in the area of Stochastic Analysis and Mathematical Finance.

Her interests include asymptotic and numerical methods for option pricing, smile asymptotics for local- and stochastic volatility models (the SABR model and fractional volatility models in particular), Laplace methods on Wiener space and heat kernel expansions.

Blanka completed her PhD in Financial Mathematics at ETHZürich with Josef Teichmann and Johannes Muhle-Karbe. She holds a Diploma in Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong.

15.00 - 15.30
Afternoon Break and Networking Opportunities
15.30 - 16.00
Hidden Correlations: A Self-Exciting Tale from the FX World

Abstract

The aim of this paper is to investigate the dependence between exchange rates and their volatility from the information synthesised into currency options quotes. To this purpose, we propose an affine stochastic volatility model with self-exciting structure under a time changed pure jump Lévy framework. In particular, we construct a mechanism inducing dependence effects via systematic jumps. The performance analysis shows that this factor construction improves the pricing of FX options in terms of calibration and fit of the implied volatility surface, indicating that this dependence is of moderate nature. Therefore, we have evidence to claim that there exists a mild correlation between exchange rates and their volatility. This is joint work with Alessandro Morico.

Laura Ballotta:

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).

16.00 - 16.30
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 very expensive.
  • We use a Deep learning approach to 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:

AI Wealth Technologies Founder & Visiting Research Fellow, Oxford Mathematical Institute

Katia Babbar: AI Wealth Technologies Founder & Visiting Research Fellow, Oxford Mathematical Institute

16.30 - 17.30
PANEL: Career Progression

Topics:

  • Do you think that being a woman is a significant factor in slowing down career progression in QR Financial Services?
    • If so, could this be avoided and how?
  • Discuss the current career return to work strategies available
    • Have you benefited from any such schemes?
  • Discuss the Importance and value of mentorship and sponsorship
    • What mentoring programs are available for juniors if any?
  • Is it still hard to make it to the top positions, if so why and what can do done to change the situation?
  • Discuss female role models in finance and significant achievements
  • Tips from coaches on career progression (eg having your voice heard)
  • Actively managing your career; distribution of opportunity set
  • Gender diversity issues (discuss numbers, policies, how to address it)
  • Maternity leave
    • Has Shared Parental Leave (SPL) helped equality in this area?
  • How important are the following:
    • Promotions/Career opportunities
    • Pay gap elimination
    • Agile/Flexible working
    • Getting the feedback you need (even if you don’t really want it)
    • Supporting each other

Moderator:

  • Burcu Karabork: Quantitative Developer, NatWest Markets

Panellist:

Burcu Karabork:

Quantitative Developer, NatWest Markets

Burcu Karabork: Quantitative Developer, NatWest Markets

Burcu joined NWM in 2012 on the Technology Graduate Scheme and is currently a quant developer at NWM. She holds an MEng (Hons) in Aeronautical Engineering from the University of Bristol. She has spent the last few years working on the bank’s unified risk engine and has more recently returned to her more maths-centric roots in the eFI space.

Romy Shioda:

Managing Director, Head of Equities Stocks Systematic Trading Strategies, Goldman Sachs

Romy Shioda: Managing Director, Head of Equities Stocks Systematic Trading Strategies, Goldman Sachs 

Katia Babbar:

AI Wealth Technologies Founder & Visiting Research Fellow, Oxford Mathematical Institute

Katia Babbar: AI Wealth Technologies Founder & Visiting Research Fellow, Oxford Mathematical Institute

Blanka Horvath:

Honorary Lecturer, Department of Mathematics, Imperial College London

Blanka Horvath: Honorary Lecturer, Department of Mathematics, Imperial College London

Blanka is a Honorary Lecturer in the Department of Mathematics at Imperial College London and a Lecturer at King’s College London. Her research interests are in the area of Stochastic Analysis and Mathematical Finance.

Her interests include asymptotic and numerical methods for option pricing, smile asymptotics for local- and stochastic volatility models (the SABR model and fractional volatility models in particular), Laplace methods on Wiener space and heat kernel expansions.

Blanka completed her PhD in Financial Mathematics at ETHZürich with Josef Teichmann and Johannes Muhle-Karbe. She holds a Diploma in Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong.

Ioana Savescu:

Co-head of the Global Credit and Commodities Quant Strategies, Bank of America Merrill Lynch

Ioana Savescu: Co-head of the Global Credit and Commodities Quant, Strategies Groups, Bank of America Merrill Lynch

Ioana Savescu is Co-head of the Global Credit and Commodities Quantitative Strategies Groups as well as heading the Global Banking and Markets Pre-Provision Net Revenue (PPNR) Forecasting team. She is responsible for the model development and implementation in this space and is based in London.

Ioana first joined Merrill Lynch in April 2007 as a Credit Quant on the Credit Derivatives desk and has been with the firm ever since. She became co-head of the Global Credit Quantitative Strategies Group in 2014. She has worked on a variety of topics addressing both front office pricing and risk managing models for credit products as well as regulatory calculations. Since 2016 she is also leading the development effort for the models used in the CCAR process for forecasting revenues within the Global Markets and Banking business (PPNR). In 2018 she became the co-head of the Commodities Quantitative Strategies Group as well, continuing to expand her knowledge and expertise into a new area.

Prior to beginning her career in finance Ioana obtained and MSc in engineering from Ecole Polytechnique and an MSc in Applied Mathematics in Finance from Paris VI University. She then went on to obtain a PhD in Financial Mathematics from Imperial College with a thesis studying counterparty risks on credit derivatives.

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