The 18th Quantitative Finance Conference: Dubrovnik, Croatia

The 18th Quantitative Finance Conference

We are delighted to announce that in 2022 we are heading to Dubrovnik, Croatia for the 18th running of main annual event!

15% EARLY BIRD DISCOUNT: Ends Friday 23rd September 2022
When two colleagues attend the 3^rd goes free!
The workshop day is complimentary for all conference attendees

Main Conference Topics:

Volatility, Pricing & Hedging
Latest Modelling Techniques
Machine Learning & Deep Learning
ESG
Quantum Computing
Alt Data & Decentralized Finance (DeFi)
Risk & Regulations

QFC Sponsors:

Workshop Day: Wednesday 19th October 2022

The workshop day is complimentary to all conference attendees

Introduction to Autoencoders and Autoencoder Market Models (AEMM) by Alexander Sokol

Session One: Machine Learning Architecture (VAE, VEGD) – 13:30 to 15:00
Session Two: Application to Interest Rate Models – 15:30 to 17:00
Q&A – 17:00 to 17:30

Understanding ESG & Climate Risk by Navin Rauniar

Understanding the importance of ESG as pillar of the banking prudential framework
Classification and assessment of ESG risks
Analysis of the potential impact of the ESG risks
How to integrate climate change in risk management and disclose it as for the TCFD recommendations

The Gala Dinner is complimentary for all conference delegates.

Combining the elegant decor, chic ambiance of Mediterranean atmosphere with a sophisticated dining experience.Using fresh seasonal foods from local producers and farmers, Chef fuses together Mediterranean cuisine with typical Dalmatian flavor. A superb, handpicked list of wines, domestic and imported, is constantly updated. Dining at our restaurant will surpass your expectations with its incomparable views, exceptional food, and impeccable service.

Testimonials

I’ve very much enjoyed WBS events whenever I’ve attended them or presented my research at them. WBS events provide an excellent place to network with both financial market practitioners and academics. I’ve always learnt a lot from the presentations at WBS events.

Saeed Amen

Turnleaf Analytics / Cuemacro / Visiting Lecturer at QMUL

Saeed Amen: Turnleaf Analytics / Cuemacro / Visiting Lecturer at QMUL

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.

I was one of the speakers at the conference but had an opportunity to attend other talks as well and enjoyed them thoroughly. The topics were well-chosen and relevant, the three tracks were well-organized and the speakers were extremely impressive. Great conference!

Achin Agarwal:

Director, Algo One AI and Head of Quant Research, First Global

Achin Agarwal: Director, Algo One AI and Head of Quant Research, First Global

With research interests ranging from varied investment styles to modern artificial intelligence methods, to statistically significant adaptive ensembles, he has built scalable quantitative models that invest across a wide range of asset classes and in multiple geographies and has successfully managed global funds over a decade.

He has been extensively involved in research in various fields of mathematics and artificial intelligence, including deep learning, natural language processing, genetic algorithms, distributed computing, and their applications in asset management.

He has an MBA from the Indian Institute of Management, Bangalore, India where he was featured in the Director’s Merit List and Bachelors in Technology in Computer Science and Engineering from the Indian Institute of Technology, Kharagpur, India where he stood in the top percentile of the graduating class.

Thank you very much for organising this amazing conference – as I mentioned before, somehow you always manage to improve on the previous year!

Alexei Kondratyev:

Quantitative Research & Development Lead, ADIA

Alexei Kondratyev: Quantitative Research & Development Lead, ADIA

Alexei Kondratyev is Quantitative Research and Development Lead at Abu Dhabi Investment Authority (ADIA). Prior to joining ADIA in July 2021, he held quantitative research and data analytics positions at Standard Chartered, Barclays Capital and Dresdner Bank. Alexei holds MSc in Theoretical Physics from Taras Shevchenko National University of Kiev and PhD in Mathematical Physics from the Institute for Mathematics, National Academy of Sciences of Ukraine. He was the recipient of 2019 Risk magazine Quant of the Year award.

“thank you it was really fun! and the presentations were fantastic!”

Vladimir Piterbarg:

MD, Head of Quantitative Analytics and Quantitative Development, NatWest Markets

Vladimir Piterbarg: MD, Head of Quantitative Analytics and Quantitative Development at NatWest Markets

“The WBS Quantitative Finance Conference is – as always – a great event to network and talk about recent developments like ML in quantitative finance. The organizers create an atmosphere which makes it easy to get in touch with the speakers and discuss about the talks. As usual a very informative and inspiring event! Please go on this way!”

Jörg Kienitz:

Quantitative Finance and Machine Learning, Acadiasoft

Jörg Kienitz: Quantitative Finance and Machine Learning (Acadiasoft), Partner (Quaternion), Adjunct Prof (UCT), Assistant Prof (BUW)

Jörg Kienitz works in Quantitative Finance and Machine Learning at Acadiasoft and the owner of the Finciraptor website (finciraptor.de). He is primarily involved in consulting on the development, implementation and validation of models. Jörg lectures at the University of Wuppertal as an Assistant Professor and is an Adjunct Associate Professor at UCT. He has addressed major conferences including Quant Minds and WBS Quant Conference. Jörg has authored four books “Monte Carlo Object Oriented Frameworks in C++” (with Daniel J. Duffy), “Financial Modelling” (with Daniel Wetterau), “Interest Rate Derivatives Explained I” and “Interest Rate Derivatives Explained II” (with Peter Caspers).

His SSRN author page is https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=744396″

“the best use of my time this year, with in particular the ML applied to XVA from A. Green!”

Assad Bouayoun:

XVA and Credit Derivative Quant, Daiwa Capital Markets

Assad Bouayoun: XVA and Credit Derivative Quant, Daiwa Capital Markets

Assad Bouayoun is a senior XVA Quantitative Analyst with more than 15 years’ experience in leading banks. He has designed industry standard hedging and pricing systems, first in equity derivative at Commerzbank, then in credit derivatives at Credit Agricole, in XVA at Lloyds in Model Validation at RBS in Model Development. Assad has an extensive experience in developing enterprise wide analytics to improve the financial management of derivative portfolios, in particular large scale hybrid Monte-Carlo and Exposure computation. Assad is currently building the prototype of a new XVA platform integrating cutting-edge technologies (GPU, Cloud computing) and numerical methods (AAD) to enable fast and accurate XVA and sensitivities computation. He holds a MSc in Mathematical Trading and Finance from CASS business school and a Master in Applied Mathematics and Computer Science from Université de Technologie de Compiegne (France).

A vibrant conference, focusing on topics of high relevance in the Fixed Income quant community with high quality content. A relaxed and welcoming atmosphere, with great facilities. Thanks very much for organising this!