Conference Stream

08.15 – 09.00

Registration and Welcome Coffee

09.00 – 09.45: ‘Considerations on Fourier valuation in high dimensions’

Laura Ballotta:

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

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).

09.45 – 10.30: Characteristics of Automated Market Makers (AMMs) in DeFi

Katia Babbar:

University of Oxford, Academic Visitor & Immersive Finance, co-Founder

Katia Babbar: University of Oxford, Academic Visitor & Immersive Finance, co-Founder

10.30 – 11.00: Morning Break and Networking Opportunities

11.00 – 11.45: Model-Agnostic Pricing of Exotic Derivatives Using Signatures

Blanka Horvath:

Associate Professor in Mathematical and Computational Finance, University of Oxford

Blanka Horvath: Associate Professor in Mathematical and Computational Finance, University of Oxford and Researcher, The Alan Turing Institute

Blanka research interests are in the area of Stochastic Analysis and Mathematical Finance.

Including 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.

11.45 – 12.45: 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:

Burcu Karabork:

VP, Fixed Income Quantitative Trading: Jefferies International Ltd

Burcu Karabork: Vice President, Fixed Income Quantitative Trading: Jefferies International Ltd

Burcu is a Vice President in the Fixed Income Quantitative Trading team at Jefferies International Ltd. Previously she worked at NWM from 2012 on the Technology Graduate Scheme as a quant developer. 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.

Svetlana Borovkova:

Head of Quantitative Modelling, Probability & Partners. Associate Prof, Vrije Universiteit Amsterdam

Svetlana Borovkova: Head of Quantitative Modelling, Probability & Partners and Associate Professor, Vrije Universiteit Amsterdam

Currently Head of Quantitative Modelling at Probability & Partners and Associate Professor at Vrije University Amsterdam, Dr Svetlana Borovkova has specialized in applying mathematical and statistical methods to problems within quantitative finance and risk management.

Dr Borovkova’s research extends in many areas, such as news analytics for finance, derivatives pricing, commodity markets and risk management in the face of new regulation. She is also a consultant for the Dutch Central Bank and the founder and principal consultant of DataDecisions: Financial Risk Consultancy.

Dr Borovkova is a frequent speaker on international conferences, such as Global Derivatives, Risk Minds, Bachelier Congress for Mathematical Finance, Sentiment Analysis and Behavioural Finance and others.

Previously she held an assistant professor position in Delft University of Technology and a trading analyst position in Shell Trading, London.

She got her PhD in 1998 from the University of Groningen, The Netherlands, and Oregon State University, USA and MSc degree in applied mathematics and computer science from Moscow and Utrecht.

Sian Inch:

Managing Director, QA BUK Retail Credit Risk. Barclays

Sian Inch: Managing Director, QA BUK Retail Credit Risk. Barclays

Katia Babbar:

University of Oxford, Academic Visitor & Immersive Finance, co-Founder

Katia Babbar: University of Oxford, Academic Visitor & Immersive Finance, co-Founder

Milena Imamovic-Tomasovic:

Global Head of Product Valuation Methodologies and VCG Digital, Citi

Milena Imamovic-Tomasovic: Global Head of Product Valuation Methodologies and VCG Digital, 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.

Ivelina Todorova:

Vice President, UK Cards, Barclays

Ivelina Todorova: Vice President, UK Cards, Barclays

12.45 – 14.00: Lunch Break

14.00 – 14.45: Correlation Estimation in Asynchronous Markets

Computing covariance and correlations of asset price time series is of paramount importance in quantitative finance, either for asset allocation (risk estimate) or in derivative pricing (cost of the hedging strategy). A critical issue is that most of the data available are end of day prices and in the case of assets located in different time zones, the observations are not synchronous and naive estimates of correlation are degraded by the decorrelation induced by the non-overlapping periods over which the returns are computed. We review various alternatives and propose unbiased estimators that have a lower variance than the previous methods when compared on FX data and index data (S&P500, Stoxx500 and Nikkei indices). We use dynamic hedging perspective and optimal combination of leading and lagging returns to calculate the proposed correlation estimators.

Aakriti Mittal:

Quantitative Researcher, Bloomberg

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.

14.45 – 15.30: Variational Autoencoders with heavy tailed distributions for market risk

Variational autoencoders are a class machine learning models, currently on the forefront of quant minds
They are nonlinear data compression tools which are useful in many areas of quant finance and risk management
We extend classic variational autoencoders to incorporate potential heavy tails of the compressed data distribution
Successful applications of such variational autoencoders are in market risk modelling of large investment portfolios

Svetlana Borovkova:

Head of Quantitative Modelling, Probability & Partners. Associate Prof, Vrije Universiteit Amsterdam

Svetlana Borovkova: Head of Quantitative Modelling, Probability & Partners and Associate Professor, Vrije Universiteit Amsterdam

Previously she held an assistant professor position in Delft University of Technology and a trading analyst position in Shell Trading, London.

She got her PhD in 1998 from the University of Groningen, The Netherlands, and Oregon State University, USA and MSc degree in applied mathematics and computer science from Moscow and Utrecht.

15.30 – 16.00: Afternoon Break and Networking Opportunities

Keynote: 16.00 – 16.45: BlueTrack – Barclays’ Carbon Accounting Model

Claudia Yip:

Vice President, Quant – Climate Risk: Barclays

Claudia Yip: Vice President, Quant – Climate Risk: Barclays

Claudia joined Quantitative Analytics in Barclays in June 2021 and have been working on climate stress testing and greenhouse gas accounting within the climate risk team.

Claudia started her career in Wholesale Credit Model Validation in the Bank in 2017. She holds a Master’s degree in Mathematics and Statistics from Imperial College London.

16.45 – 18.00: 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?

Moderator:

Irene Perdomo:

Co-Head of Systematic Strategies, Ocean Leonid Investments

Irene Perdomo: Co-Head of Systematic Strategies, Ocean Leonid Investments

Irene Perdomo is Co-Head of Systematic Strategies at Ocean Leonid Investments. She was 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.

Lauren Rymill:

Managing Director, Head of QA Wholesale Credit Risk, Barclays

Lauren Rymill: Managing Director, Head of QA Wholesale Credit Risk, Barclays

Diana Ribeiro:

Quant Director, Citi

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.

Blanka Horvath:

Associate Professor in Mathematical and Computational Finance, University of Oxford

Blanka Horvath: Associate Professor in Mathematical and Computational Finance, University of Oxford and Researcher, The Alan Turing Institute

Blanka research interests are in the area of Stochastic Analysis and Mathematical Finance.

18.00 - 19.30