World Business StrategiesServing the Global Financial Community since 2000

Conference Stream

08.15 – 09.00

Registration and Welcome Coffee

09.00 – 09.45: Pre-Trained Model for Financial Time Series

Time-series data is a vital modality within data science communities. This is particularly valuable in financial applications, where it helps in detecting patterns, understanding market behavior, and making informed decisions based on historical data. Recent advances in language modeling have led to the rise of time-series pre-trained models that are trained on vast collections of datasets and applied to diverse tasks across financial domains. However, across financial applications, existing time-series pre-trained models have not shown boosts in performance over simple finance benchmarks in both zero-shot and fine-tuning settings. This phenomenon occurs because of a i) lack of financial data within the pre-training stage, and ii) the negative transfer effect due to inherently different time-series patterns across domains. Furthermore, time-series data is continuous, noisy, and can be collected at varying frequencies across different variables, making this data more challenging to model than languages. To address the above problems, we introduce a Pre-trained MoDEL for FINance TimE-series (Delphyne). Delphyne achieves competitive performance to existing foundation and full-shot models with few fine-tuning steps on publicly available datasets, and also shows superior performances on various financial tasks.

Aakriti Mittal:

Quantitative Researcher, Bloomberg

09.45 – 10.30: AI in Option Trading

The presentation will give an overview of different AI applications for option trading.

After a short introduction to the equity derivative option business, we will illustrate with some examples where AI can contribute, in areas such as pricing and risk management.

We will also cover topics like AI models’ interpretability and discuss the dual role of Quant as both users and developers of AI models.

Xuwen Liu:

QR Equity Systematic Trading, J.P.Morgan

10.30 – 11.00: Morning Break and Networking Opportunities

11.00 – 11.45: Interest rates and inflation: regimes known, new and hidden

Maria Makarova:

Assistant Vice President Quantitative Analyst, BNP Paribas

11.45 – 12.30: PANEL: Talent Attraction & Retention

Recruiting/Retaining talent

  • What are QR Financial Services currently doing and what should they be doing to attract more female talent?
  • What strategies are financial companies using to retain talent? Is there anything else that could be done?

Career progression

  • 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
  • Are quantitative positions too specialised which prevents women (and men) to move horizontally to different (and possibly more senior) roles?
  • Hybrid working model-does it benefit for retaining/advancing women careers?
  • Mentoring vs sponsorship programmes that could specifically help Diversity & Inclusion.
  • Limitations for progression in challenging times when there is less opportunities available
  • Is there difference in diversity approach/success between US vs Euro banks?
  • Company diversity targets-good idea?
  • How to overcome unconscious bias

Moderator:

Svetlana Borovkova:

Climate Risk Quant Research, Bloomberg

Milena Imamovic-Tomasovic:

XVA Risk Manager, Citi

Wafaa Schiefler:

Executive Director – Commodities Quantitative Researcher, JP Morgan Chase

Sanja Hukovic:

Head of Model and AI Risk Management, London Stock Exchange Group

12.30 – 13.30: Lunch Break

13.30 – 14.15: VolGAN- a generative model for arbitrage-free implied volatility surfaces


Rising Star in Quant Finance award at Risk Awards 2025

Milena Vuletić:

DPhil Candidate at University of Oxford

14.15 – 15.00: Multivariate Additive Subordination with Applications in Finance

We introduce a tractable multivariate pure jump process in which the trading time is described by an additive subordinator. The multivariate process retains the additivity property, and therefore is time inhomogeneous, i.e., its increments are independent but non stationary. We provide the theoretical framework of our process, perform a sensitivity analysis with respect to the time inhomogeneity parameters, and design a Monte Carlo scheme to simulate the trajectories of the process. We then employ the model in the context of option pricing in the FX market. We take advantage of the specific features of currency triangles to extract the joint dynamics of FX log-rates. Extensive tests based on observed market data show that our model outperforms well established pure jump benchmarks. This is joint work with Giovanni Amici and Patrizia Semeraro.

Laura Ballotta:

Prof. of Mathematical Finance, Bayes Business School (formerly Cass)

15.00 – 15.45: Climate Risk: A Measurement Story

  • Introduction – what this session will cover
  • A brief history of climate risk quantification
  • Climate Risk metrics: Examples by risk types, pros and cons
  • The big climate data question, and some (literature review) answers
  • Potential routes to climate risk “price discovery” and the Commodities connection
  • A status update on the regulatory landscape
  • Conclusions and remaining open questions

Imane Bakkar:

Founder and Managing Director at Logarisk Ltd.

15.45 – 16.15: Afternoon Break and Networking Opportunities

16.15 – 17.00: ESG Risks and Internal Audit Challenges

Diana Ouamar:

Managing Director, Rima Consulting

17.00 – 17.45: PANEL: Career Progression

  • Do you think that being a woman is a significant factor in slowing down career progression in QR Financial Services? Is it still hard to make it to the top positions, if so why and what can be done to change the situation? If applicable, discuss about gender diversity issues (discuss numbers, policies, how to address it)
  • Discuss female role models in finance and significant achievements
  • 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
  • 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?
  • How will the rollback of Diversity, Equity and Inclusion (DEI) policies in the US will affect women’s career progression across various sectors and in particular in male dominated sectors. Discuss impact across in the US and more broadly across the world.

 

Moderator:

Irene Perdomo:

Portfolio Manager, DRW

Mirela Predescu:

Head of RISK Quant Academy, BNP Paribas

Antonia Lim:

Chief Investment Officer, Impact Cubed

Amira Akkari:

Executive Director, JP Morgan

Diana Ribeiro:

CCR RWA Front Office team, Quant Director, Citi

18.00 – 19.00: Drinks Reception

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