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 Chair: Hanna Assayag

Chair:

Hanna Assayag:

Director eFX, HSBC Bank Plc

Hanna Assayag: Director eFX, HSBC Bank Plc

Hanna Assayag is a Director, leading the FX Swaps & NDF algo trading quant team at HSBC. Her career started in 2003 at Societe Generale then Dresdner Bank where she held a number of positions designing a variety of electronic trading models and algorithms across products and asset-classes.  At HSBC she’s worked primarily on FX Spot, STIRTs, NDFs and Cash Bonds eTrading.

She also set up and ran a programme of events across London, Hong-Kong and Bangalore to embed skills in data science, machine learning and coding across HSBC. She has been promoting new ways of working by encouraging code sharing, creating a large community of Python users by open-sourcing internally a cross-asset Python platform she created in 2017, allowing colleagues across functions and asset-classes to acquire new skills.

Hanna holds an Msc in Engineering from Telecom ParisTech, and a DEA in Probabilities and Finance from University Pierre and Marie Curie Paris VI.

09.00 - 09.45
Keynote: 'From Changes of Numeraire and Changes of Measure to Bitcoins and Blockchains'

Abstract:

The first part of the talk will review the way the economic assumption of No Arbitrage combined to powerful results established in probability theory in a fairly recent past lead to a number of beautiful results in Quantitative Finance, in particular i) the existence of ‘pricing measures’ under which the prices of primitive securities – in the right numeraire – are martingales; ii) remaining under the physical measure P – the one under which big data are accumulated –, No Arbitrage implies that normality of asset returns can be recovered through a stochastic time change where the clock is driven by the order flow.
The second part of the talk will discuss some key features of cryptocurrencies observed so far, and which methodology can be proposed to analyze this particular asset class stored in a new type of inventory called Blockchain.

Helyette Geman:

Professor of Mathematical Finance, Birkbeck – University of London & Johns Hopkins

Helyette Geman, PhD, PhD: Professor of Mathematical Finance, Birkbeck – University of London & Johns Hopkins

Helyette GEMAN is a Professor of Mathematical Finance at Birkbeck – University of London and at Johns Hopkins University. She is a Graduate of Ecole Normale Supérieure in Mathematics, holds a Masters degree in Theoretical Physics, a PhD in Probability from the University Pierre et Marie Curie and a PhD in Finance from the University Pantheon Sorbonne.
She has been a scientific advisor to a number of major energy and mining companies for the last 20 years, covering the trading of crude oil, natural gas, electricity as well as metals in companies such as EDF Trading, Louis Dreyfus or BHP Billiton and was named in 2004 in the Hall of Fame of Energy Risk.
Prof Geman was previously the head of Research and Development at Caisse des Depots. She has published more than 140 papers in major finance journals including the Journal of Finance, Mathematical Finance, Journal of Financial Economics, Journal of Banking and Finance and Journal of Business. She has also written the book entitled Insurance and Weather Derivatives and is a Member of Honor of the French Society of Actuaries.
Her research includes exotic option pricing for which she got the first prize of the Merrill Lynch awards, asset price modeling through the introduction of transaction time (JOF, 2000); she is one of the authors of the CGMY pure jump Levy model (2002). Prof Geman had organized in 2000 at College de France the first meeting of the Bachelier Finance Society, with Paul Samuelson, Robert Merton and Henry McKean as keynote speakers.
Her book, ‘Commodities and Commodity Derivatives’ is the reference in the field. She was a Scientific Expert on Agriculture for the European Commission and is on the Board of the Bloomberg Commodity Index.
She counts among her numerous PhD students Nassim Taleb, author of the Black Swan

09.45 - 10.30
“A Conversation with Aytac & Romy”

“A Conversation with Aytac & Romy”

 

Aytac Ilhan:

Managing Director, Global Head of Systematic Trading Strategies Desk Strats, Goldman Sachs

Aytac Ilhan: Managing Director, Global Head of Systematic Trading Strategies Desk Strats, Goldman Sachs

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 

Mikhail Zlotnik:

EMEA Head of Macro 1 Delta Trading, Goldman Sachs

Mikhail Zlotnik: EMEA Head of Macro 1 Delta Trading, Goldman Sachs  

10.30 - 11.00
Morning Break and Networking Opportunities
11.00 - 11.45
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:

  • Helyette Geman: PhD, PhD: Professor of Mathematical Finance, Birkbeck – University of London & Johns Hopkins

Panellist:

Helyette Geman:

Professor of Mathematical Finance, Birkbeck – University of London & Johns Hopkins

Helyette Geman, PhD, PhD: Professor of Mathematical Finance, Birkbeck – University of London & Johns Hopkins

Helyette GEMAN is a Professor of Mathematical Finance at Birkbeck – University of London and at Johns Hopkins University. She is a Graduate of Ecole Normale Supérieure in Mathematics, holds a Masters degree in Theoretical Physics, a PhD in Probability from the University Pierre et Marie Curie and a PhD in Finance from the University Pantheon Sorbonne.
She has been a scientific advisor to a number of major energy and mining companies for the last 20 years, covering the trading of crude oil, natural gas, electricity as well as metals in companies such as EDF Trading, Louis Dreyfus or BHP Billiton and was named in 2004 in the Hall of Fame of Energy Risk.
Prof Geman was previously the head of Research and Development at Caisse des Depots. She has published more than 140 papers in major finance journals including the Journal of Finance, Mathematical Finance, Journal of Financial Economics, Journal of Banking and Finance and Journal of Business. She has also written the book entitled Insurance and Weather Derivatives and is a Member of Honor of the French Society of Actuaries.
Her research includes exotic option pricing for which she got the first prize of the Merrill Lynch awards, asset price modeling through the introduction of transaction time (JOF, 2000); she is one of the authors of the CGMY pure jump Levy model (2002). Prof Geman had organized in 2000 at College de France the first meeting of the Bachelier Finance Society, with Paul Samuelson, Robert Merton and Henry McKean as keynote speakers.
Her book, ‘Commodities and Commodity Derivatives’ is the reference in the field. She was a Scientific Expert on Agriculture for the European Commission and is on the Board of the Bloomberg Commodity Index.
She counts among her numerous PhD students Nassim Taleb, author of the Black Swan

Siobhán Cooper:

Managing Director: Model Review and Governance, JP Morgan

Siobhán Cooper: Managing Director: Model Review and Governance, JP Morgan

Siobhán Cooper is the global head of model governance for Macro in the CIB and EMEA head of Legal Entity Model Risk. She leads a team of 13, owning the conversation with regulators on model risk is a key part of her role.  Siobhán joined the bank in 2000 having graduated with a Masters in Cryptography at NUI Cork and a First in Mathematics at NUI Galway. Siobhán has led teams in Technology, Risk Exploration and Transparency and MRGR.  Outside work Siobhán campaigns for disability rights, a passionate cause for her as one of her sons has profound disabilities. JPMorgan supported Siobhán greatly in adapting to life as the mother of a disabled child.

Roxana Simion: 

Senior Risk Specialist, Prudential Regulation Authority, Bank of England

Roxana Simion: Senior Risk Specialist, Prudential Regulation Authority, Bank of England 

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

George Trewhella:

Associate Director, BSM Group

George Trewhella: Associate Director, BSM Group

Nicole Sandler: 

FinTech and Regtech – EMEA Legal Regulatory Policy and Affairs, Barclays

Nicole Sandler: FinTech and Regtech – EMEA Legal Regulatory Policy and Affairs, Barclays

Nicole Sandler is a lawyer in the Global Regulatory Policy team at Barclays. She currently focuses on the future impact of fintech related regulation and initiatives on Barclays in the UK and globally, including advising on various regulatory initiatives proposed by regulators such as the FCA, MAS and the CFTC. Nicole engages with regulators both in the UK and globally on fintech matters for Barclays and represents Barclays in various regulatory forums and industry groups. For example, Nicole has been participating in the BBA Digital Strategy Group and also represented Barclays at the EDCAB virtual currency and blockchain roundtables at the European Parliament.

11.45 - 12.30
Usage of Machine Learning in Finance

• What is Machine Learning
• Current usage in Finance, e.g. algo trading, fraud, etc
• Other possible applications in the future
• How to implement these technics

Sarah B Tremel:

Global Head of Analytics – Product Control, HSBC

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

12.30 - 13.30
Lunch
13.30 - 14.15
Second Quantization of Banks

Second Quantization of Banks

Christoph Burgard:

Head of Risk Analytics For Global Markets, Bank of America Merrill Lynch

Christoph Burgard: Head of Risk Analytics For Global Markets, Bank of America Merrill Lynch

Christoph Burgard heads the Risk Analytics team for Global Markets at Bank of America Merrill Lynch, which he joined in November 2015. Prior to this he spent 16 years at Barclays, where he was leading the Equity Derivatives and XVA front office Quantitative Analytics teams for the investment bank as well as the ALM modelling area for the bank’s treasury department. Christoph was named Risk Magazine’s Quant of the Year 2015 for his pioneering work on FVA. He has a PhD in Particle Physics from Hamburg University and was a research fellow at CERN and DESY.

14.15 - 15.00
Application of Machine Learning to Model Performance Monitoring

Application of Machine Learning to Model Performance Monitoring

Antonella Bucciaglia:

Head of VAR Model Performance Quantitative Research Team, JP Morgan Chase

Antonella Bucciaglia: Head of VAR Model Performance Quantitative Research Team, JP Morgan Chase

Prior to that, she was Head of Rates and Credit Derivatives within the Model Review Group.

During her 20Y career in the industry, she has held various positions as a quantitative analyst either as a front office or as model validation quant.

She holds a DEA in Probabilities applied to Finance from the University of Paris VI and a master in pure Mathematics from the University of Evry Val d’Essonne.

 

15.00 - 15.30
Afternoon Break and Networking Opportunities
15.30 - 16.15
PANEL: Machine Learning, AI & Quantum Computing in Quantitative Finance 

Topics:

  • What is the current state of utilisation of machine learning in finance?
  • What are the distinct features of machine learning problems in finance compared to other industries?
  • What are the best practices to overcome these difficulties?
  • What’s the evolution of a team using machine learning in terms of day to day operations?
  • What is a typical front office ‘Quant’ skillset going to look like in three to five years time?
  • How do we deal with model risk in machine learning case?
  • How is machine learning expected to be regulated?
  • What applications can you list among its successes?
  • How much value is it adding over and above the “classical” techniques such as linear regression, convex optimisation, etc.?
  • Do you see high-performance computing (HPC) as a major enabler of machine learning?
  • What advances in HPC have caused the most progress?
  • What do you see as the most important machine learning techniques for the future?
  • What are the main pitfalls of using Machine Learning currently in trading strategies?
  • What new insights can Machine Learning offer into the analysis of financial time series?
  • Discuss the potential of Deep Learning in algorithmic trading?
  • Do you think machine learning and HPC will transform finance 5-10 years from now?
  • If so, how do you envisage this transformation?
  • Can you anticipate any pitfalls that we should watch out for.
  • Discuss quantum computing in quant finance:
    • Breakthroughs
    • Applications
    • Future uses

Moderator:

  • Paul Bilokon: Founder, CEO,Thalesians, Senior Quantitative Consultant, BNP Paribas 

Paul Bilokon:

Founder, CEO, Thalesians & Senior Quantitative Consultant, BNP Paribas

Paul Bilokon: Founder, CEO, Thalesians & Senior Quantitative Consultant, BNP Paribas

Dr. Paul Bilokon is CEO and Founder of Thalesians Ltd and an expert in electronic and algorithmic trading across multiple asset classes, having helped build such businesses at Deutsche Bank and Citigroup. Before focussing on electronic trading, Paul worked on derivatives and has served in quantitative roles at Nomura, Lehman Brothers, and Morgan Stanley. Paul has been educated at Christ Church College, Oxford, and Imperial College. Apart from mathematical and computational finance, his academic interests include machine learning and mathematical logic.

Sarah B Tremel:

Global Head of Analytics – Product Control, HSBC

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

Felix Breuer:

Vice President, Head of Franchise Analytics Strategists London, Goldman Sachs

Felix Breuer: Vice President, Head of Franchise Analytics Strategists London, Goldman Sachs

Saeed Amen

Founder: Cuemacro

Saeed Amen: Founder: Cuemacro

Saeed has a decade of experience creating and successfully running systematic trading models at Lehman Brothers and Nomura. He is the founder of Cuemacro, Cuemacro is a company focused on understanding macro markets from a quantitative perspective. He is the author of ‘Trading Thalesians – What the ancient world can teach us about trading today’ (Palgrave Macmillan), and graduated with a first class honours master’s degree from Imperial College in Mathematics& Computer Science.

Priti Sinha:

Head of SAF Analytics, NatWest Markets

Priti Sinha: Head of SAF Analytics, NatWest Markets

Dr Priti Sinha is a PhD in Pure Mathematics and Theoretical Computer Science. She has over 12 years’ experience as a Fixed Income and Hybrids Quant at NatWest Markets. Over the years, she has developed several models for these divisions and she now heads the SAF Analytics team at NWM. Priti is responsible for core analytics, the curves and algorithms used in pricing, hedging and risk management across all asset classes in NWM.

Automation is her big focus; she and her team are engaged in a range of automation initiatives across the Bank. She is making Quant skills available beyond the traditional trading floor, to other non-trading sections of the bank.

Outside her work Priti enjoys spending time with her 6 year old twins and brainstorming with her husband, who is a founder of an IOT & Tech start-up.

16.15 - 17.00
From Artificial Intelligence to Machine Learning, from Logic to Probability

Applications of Artificial Intelligence (AI) and Machine Learning (ML) are rapidly gaining steam in quantitative finace. These terms are often used interchangeably. However, the pioneering work on AI by participants of the Dartmouth Summer Research Project — Marvin Minsky, Nathaniel Rochester, and Claude Shannon — was more symbolic than numerical, and often used the language of logic. Recent advances in ML — especially Deep Learning — are more numerical than symbolic, and often use the language of probability. In this talk we shall show how to connect these two worldviews.

Paul Bilokon:

Founder, CEO, Thalesians & Senior Quantitative Consultant, BNP Paribas

Paul Bilokon: Founder, CEO, Thalesians & Senior Quantitative Consultant, BNP Paribas

Dr. Paul Bilokon is CEO and Founder of Thalesians Ltd and an expert in electronic and algorithmic trading across multiple asset classes, having helped build such businesses at Deutsche Bank and Citigroup. Before focussing on electronic trading, Paul worked on derivatives and has served in quantitative roles at Nomura, Lehman Brothers, and Morgan Stanley. Paul has been educated at Christ Church College, Oxford, and Imperial College. Apart from mathematical and computational finance, his academic interests include machine learning and mathematical logic.

17.00 - 18.00
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 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:

  • Jessica James: Managing Director, Senior Quantitative Researcher, Commerzbank

Panellists:

Jessica James: 

Managing Director, Senior Quantitative Researcher, Commerzbank

Jessica James: Managing Director, Senior Quantitative Researcher, Commerzbank

Jessica James is the Senior Quantitative Researcher in the Rates Research team at Commerzbank., where she covers foreign exchange and fixed income.  She joined Commerzbank from Citigroup where she was Global Head of the Quantitative Investor Solutions Group. Previously, she lectured in physics at Trinity College, Oxford.

Significant publications include ‘FX Option Performance’,  ‘Handbook of Foreign Exchange’ (Wiley), ‘Interest Rate Modelling’ (Wiley), and ‘Currency Management’ (Risk books). She is on the Board of the Journal of Quantitative Finance, a Fellow of the Institute of Physics, and is a Visiting Professor at UCL and Cass Business School.

Katia Babbar:

MD, Head of e-FX Algorithmic Trading, FX Product | CB Markets, Lloyds Banking Group

Katia Babbar: MD, Head of e-FX Algorithmic Trading, FX Product | CB Markets, Lloyds Banking Group

Rebecca Phillips:

EMEA Head of Diversity and Inclusion, Goldman Sachs International

Rebecca Phillips: EMEA Head of Diversity and Inclusion, Goldman Sachs International

Rebecca is the head of Diversity and Inclusion for EMEA at Goldman Sachs.  With over 15 years HR experience her early career was spent in learning and development, specifically leadership development and coaching.  In her current role she is responsible for driving the diversity and inclusion strategy and agenda in the region, working in close partnership with regional leadership, a senior leader governing committees as well as external organisations to establish Goldman Sachs as the employer of choice for diverse talent.

Christoph Burgard:

Head of Risk Analytics For Global Markets, Bank of America Merrill Lynch

Christoph Burgard: Head of Risk Analytics For Global Markets, Bank of America Merrill Lynch

Christoph Burgard heads the Risk Analytics team for Global Markets at Bank of America Merrill Lynch, which he joined in November 2015. Prior to this he spent 16 years at Barclays, where he was leading the Equity Derivatives and XVA front office Quantitative Analytics teams for the investment bank as well as the ALM modelling area for the bank’s treasury department. Christoph was named Risk Magazine’s Quant of the Year 2015 for his pioneering work on FVA. He has a PhD in Particle Physics from Hamburg University and was a research fellow at CERN and DESY.

Hanna Assayag:

Director eFX, HSBC Bank Plc

Hanna Assayag: Director eFX, HSBC Bank Plc

Hanna Assayag is a Director, leading the FX Swaps & NDF algo trading quant team at HSBC. Her career started in 2003 at Societe Generale then Dresdner Bank where she held a number of positions designing a variety of electronic trading models and algorithms across products and asset-classes.  At HSBC she’s worked primarily on FX Spot, STIRTs, NDFs and Cash Bonds eTrading.

She also set up and ran a programme of events across London, Hong-Kong and Bangalore to embed skills in data science, machine learning and coding across HSBC. She has been promoting new ways of working by encouraging code sharing, creating a large community of Python users by open-sourcing internally a cross-asset Python platform she created in 2017, allowing colleagues across functions and asset-classes to acquire new skills.

Hanna holds an Msc in Engineering from Telecom ParisTech, and a DEA in Probabilities and Finance from University Pierre and Marie Curie Paris VI.

Natalie Basiratpour:

Director, Octavius Finance

Natalie Basiratpour: Director, Octavius Finance

Nozha Karmous:

Head of Algos and Valuation Model Review, HSBC Bank Plc

Nozha Karmous: Head of Algos and Valuation Model Review | Markets IMR EMEA
Independent Model Review | HSBC Bank Plc

  • Discount Structure
  • 50% Academic Discount
    (FULL-TIME Students Only)

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