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
Aakriti Mittal:
Aakriti Mittal: Quantitative Researcher, Bloomberg
Aakriti Mittal is a researcher in the Quantitative Financial Research group in the CTO Office at Bloomberg in New York. Her work has been in the intersection of quantitative finance and machine learning applications to financial problems. Her research interests include time-series modelling, generative methods, causality and building interactive visualization tools to enhance the understanding of data. She holds a Master’s degree in Financial Engineering from Columbia University and a Bachelor of Science in Economics from the Indian Institute of Technology (IIT) Kanpur, India.
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
Xuwen Liu:
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
Maria Makarova:
Maria Makarova: Assistant Vice President Quantitative Analyst, BNP Paribas
Maria Makarova has been a Risk Methodology Quantitative Analyst at BNP Paribas since 2018. She splits her time between performing research of interest rate modelling, and delivering improvements to the Market and Counterparty Risk methodologies. Maria has previously worked for Barclays, developing Market Risk models and helping to adapt the bank’s framework to FRTB requirements. Before starting her career in Financial Markets, she has briefly worked as a managements consultant with McKinsey. Maria holds a Master degree in Applied Maths from Moscow Institute of Physics and Technology.
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
Svetlana Borovkova:
Svetlana Borovkova: Climate Risk Quant Research, Bloomberg
Svetlana Borovkova is Climate Risk Quant Researcher at Bloomberg, developing models and tools for Climate Risk and Climate Stress Testing for a wide variety of financial institutions.
Previously she held a position of an associate professor of Quantitative Finance and Risk Management at the Vrije Universiteit Amsterdam and was heading the quantitative modelling team at Probability & Partners.
Svetlana Borovkova has over 60 publications in academic and professional journals as well as books and book contributions. She is a frequent invited and keynote speaker at major international conferences such as QuantMinds and RiskMinds.
Milena Imamovic-Tomasovic:
XVA Risk Manager, Citi
Milena Imamovic-Tomasovic:
Milena Imamovic-Tomasovic: XVA Risk Manager, Citi
Milena Imamovic-Tomasovic is a quantitative finance professional with over fifteen years of experience in banking. Her current role is Global Head of product valuation Methodologies and VCG Digital in Citi. Prior to that, she was Head of Business-Aligned Valuation Methodology within Global Valuation Group team and Head of CVA and Funding Methodology within GVG Methodology in Deutsche Bank. 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.
Wafaa Schiefler:
Executive Director – Commodities Quantitative Researcher, JP Morgan Chase
Wafaa Schiefler:
Wafaa Schiefler: Executive Director – Commodities Quantitative Researcher, JP Morgan Chase Speaker
Wafaa Schiefler joined J.P.Morgan in 2011 as a Commodities Quant. She leads the Base Metals, Precious Metals and Agricultural Products Quantitative Research, as well as the Commodities Data Science team. Her main responsibilities include the development and support of pricing and risk management models, and the implementation of data-driven tools to help the Trading and Sales desks. Prior to this, Wafaa was a Quant on Energy. Wafaa is also part of the Diversity, Equity and Inclusion Council of J.P.Morgan. She has been encouraging women to join the world of Quantitative Finance since the beginning of her career and mentored many students. She created a large network of Women in Quantitative Research on LinkedIn (860+ members).
Wafaa started her career in finance in 2008. She holds a MSc in Applied Mathematics from Ecole Centrale Paris and a MSc in Quantitative Finance from University Paris VII.
Sanja Hukovic:
Head of Model and AI Risk Management, London Stock Exchange Group
Sanja Hukovic:
Sanja Hukovic: Head of Model and AI Risk Management, London Stock Exchange Group
Sanja holds a PhD in Mathematics from Brown University and an MBA from the University of Rochester. She held postdoc positions at UMASS Amherst and the University of Missouri, Columbia.
After 12 years in several leading model validation roles at UBS in both New York and London, Sanja moved to JP Morgan where she was Head of Quality Assurance for Model Risk Governance and Review and developed a model risk score – a novel quantification of model risk.
Sanja now heads the LSEG Model Risk Management function and focuses on new model type risk challenges including ESG and AI.
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:
Milena Vuletić:
Milena Vuletić: DPhil Candidate at University of Oxford
Milena Vuletić is a DPhil Student in the Centre for Doctoral Training in Mathematics of Random Systems at the University of Oxford. She is supervised by Prof. Rama Cont and Prof. Mihai Cucuringu. Her research is focused on mathematical and data-driven modelling of multi-asset markets.
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)
Laura Ballotta:
Laura Ballotta: Prof. of Mathematical Finance, Bayes Business School (formerly Cass)
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).
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.
Imane Bakkar:
Imane Bakkar: Founder and Managing Director at Logarisk Ltd.
Imane Bakkar is a risk management expert, and the founder of Logarisk Ltd, a risk advisory start-up. With nearly 25y of experience in risk management, she has worked as a global head of commodities market risk at a major US bank, as an Equities pricing and Commodities risk quant at a financial software, and as a senior policy maker at a G7 central bank, mainly on financial stability risks related to Asset management, Algorithmic Trading and Traded Risks . She also briefly held roles as a specialist on climate (on a UN related project), as a quant on cross-assets rating models, and as a consulting Director focusing on AI risk management.
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
Diana Ouamar:
Diana Ouamar: Managing Director, Rima Consulting
Diana is the Managing Director of Rima Consulting Limited. She has more than 14 years’ experience in risk management developed in rating agencies, investment banking, consulting, and private equity.
As a Senior Regulatory Risk consultant, she follows closely and interprets the banking regulations focusing on Market Risk, Counterpart Credit Risk and Climate Risk. She has participated in numerous strategic programs to comply with the regulatory requirements and has a proven track record in delivering high profile regulatory driven change projects within the Risk Management and Operations functions across the US & European Tier-1 Investment Banks.
Diana began her career at Calyon Investment Bank in Paris and Fitch Ratings Agency in London as a corporate credit analyst. She developed her risk management experience at Moody’s Investors Services in London, and then at Rule Financial (GFT) as a Regulatory Risk Consultant.
Diana holds a Msc in Finance from the University of London and an Msc in Economics from University of Paris-Panthéon-Sorbonne. She recently received the Certificate of Achievement on “Climate Change: Financial risks and opportunities” from Imperial College Business School and she is currently attending courses on “Sustainable Finance” from University of Cambridge.
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
Irene Perdomo:
Irene Perdomo: Portfolio Manager, DRW
Irene Perdomo is a Portfolio Manager at DRW. She was Co-Head of Systematic Strategies at Ocean Leonid Investments, Managing Director and Head of Systematic Product Strategy at Gresham Investment Management. Prior to joining Gresham, Irene was CEO and Managing Partner of Devet Capital, a boutique commodities-focused quant firm that she co-founded. Before Devet, she traded base metals at Noble Resources in Singapore and was co-responsible for commodities product development in the Commodity Investor Structuring team at Barclays in London.
She is the co-author of “Pricing and hedging financial derivatives: a guide for practitioners” (Wiley, 2013), and has been a guest lecturer in Mathematics and Finance at Queen Mary University and at Imperial College London. Irene holds an MBA from IESE Barcelona, a degree in Computer Science Engineering from her home university in Uruguay and studied finance at the University of Chicago Booth School of Business.
Mirela Predescu:
Head of RISK Quant Academy, BNP Paribas
Mirela Predescu:
Mirela Predescu: Head of RISK Quant Academy, BNP Paribas
Mirela Predescu is the Head of the RISK Quant Academy, leading the knowledge management for the RISK Quant Community at BNP Paribas. Previously she was a manager at BNP Paribas, London, heading a team responsible for market and counterparty risk models for credit and repo products. Prior to BNP Paribas, Mirela has held positions in the portfolio modelling team at Lloyds Banking Group and the quantitative analytics team at Fitch Solutions. Before moving to the financial industry, Mirela was a University Lecturer at Saïd Business School, University of Oxford. Mirela holds a PhD in Finance from Rotman School of Management, University of Toronto and an MA in Economics from University of Toronto.
Antonia Lim:
Chief Investment Officer, Impact Cubed
Antonia Lim:
Antonia Lim: Chief Investment Officer, Impact Cubed
Antonia Lim, CFA is the Chief Investment Officer at Impact Cubed, a global investment advisory firm specializing in sustainability. She is a distinguished cross-asset investment leader recognized by Business Insider as one of the “Top 100 People Transforming Business”.
At Schroders, Antonia served as the Head of Quantamental Investments, where she established the equity solutions business. She catered to a diverse institutional clientele with efficient, customized fundamental and thematic segregated mandates. Antonia also led a 100-colleague initiative to enhance sustainability measurement and ESG integration.
As the Global Head of Quantitative Research at Barclays, Antonia oversaw the strategic end-to-end investment process for $180 billion, leading cross-asset research, implementation, risk management, governance, and communication. She built a multi-disciplinary investment team that expanded Barclays’ services to mass affluent clients and DC pensions, earning Wealth Briefing’s “Outstanding Contribution to Wealth Management Thought Leadership” award.
Antonia holds a Masters degree in Physics from the University of Oxford, has 24 years of investment experience including senior positions at Dresdner Bank and Kleinwort Benson, and is a recognized thought leader in the investment community.
Amira Akkari:
Executive Director, JP Morgan
Amira Akkari:
Amira Akkari: Executive Director, JP Morgan
Amira is an Executive Director at JP Morgan CIB. She is one of the leads of the Quantitative Research team for Equity Derivatives Exotics. She has 15 years’ experience in the quant industry and has worked with industry leaders in this space.
The Front Office quant team works closely with traders to enhance and expand Equity models for Exotic products’ risk management. Amira has expanded her focus in the last years to cover AI models and data-driven solutions’ development and adoption for financial applications in Markets.
Models include classic supervised learning as well as reinforcement learning models for derivatives risk management, such as Deep Hedging. JP Morgan was elected Equity House of the Year by Risk Magazine, twice in the last three years; quant innovative models were cited as key factors in this success
Diana Ribeiro:
CCR RWA Front Office team, Quant Director, Citi
Diana Ribeiro:
Diana Ribeiro: Quant Director, Citi
Diana Ribeiro joined Citi in May 2022 to lead the CCR RWA Front Office team. She joined from Lloyds Banking group where she was the Deputy Head of FO Pricing Models. She started her career in quantitative research at Lehman Brothers in 2005 and has built extensive technical and leadership expertise in Interest Rates and Inflation since then. She is a regular speaker at international conferences, where she both presents her research work and serves as chair. Diana holds a PhD and a MSc in Financial Mathematics from the University of Warwick.