World Business StrategiesServing the Global Financial Community since 2000

Main Conference Day 1: Thursday 20th October

08.00 – 09.00: Registration and Morning Welcome Coffee

Chair: Volatility, Pricing & Modelling

Peter Jaeckel:

Independent financial mathematics and analytics consultant. OTC Analytics

Peter Jaeckel: Independent financial mathematics and analytics consultant. OTC Analytics

Peter Jäckel received his DPhil from Oxford University in 1995. In 1997, he moved into quantitative analysis and financial modelling when he joined Nikko Securities. Following that he worked as a quantitative analyst at NatWest, Commerzbank Securities, ABN AMRO, and now VTB Capital where he is the Deputy Head of Quantitative Research. Peter is the author of “Monte Carlo Methods in Finance” published by John Wiley & Sons. Some of his publications can be found at WWW.JAECKEL.ORG.

Volatility, Pricing & Modelling Stream

09.00 – 09.45: Approximating Barrier Options under Stochastic Local Volatility

  • Simple and accurate way of approximating single barrier options in stochastic local volatility models, as for example SABR and ZABR, based on short maturity expansion.
  • For touch options we only need the prices of three options at and around the barrier in addition to the stochastic volatility parameters.
  • Numerical examples where we compare approximation to finite difference solution.

Jesper Andreasen: 

Kwant Daddy! Global Head of Quantitative Research, Saxo Bank

Jesper Andreasen (Kwant Daddy): Global Head Of Quantitative Research, Saxo Bank  

Jesper Andreasen is head of Quantitative Research at Saxo Bank in Copenhagen. Jesper has previously held senior positions in the quantitative research departments of Danske Bank, Bank of America, Nordea, and General Re Financial Products. Jesper’s recent research focusses on efficient and accurate methods for computing credit and market risk. Jesper holds a PhD in mathematical finance from Aarhus University, Denmark. He received Risk Magazine’s Quant of the Year awards in 2001 and 2012, joint with Leif Andersen and Brian Huge respectively, and is an honorary professor of mathematical finance at Copenhagen University.

Volatility, Pricing & Modelling Stream

09.45 – 10.30: Introducing the Factor HJM term structure modeling approach

Andrei Lyashenko:

Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.

Andrei Lyashenko: Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.

Andrei Lyashenko is the head of Market Risk and Pricing Models at the Quantitative Risk Management (QRM), Inc. in Chicago.  His team is responsible for research, implementation and support of pricing and risk models across multiple asset classes.  In November 2019, he was awarded the prestigious Quant of the Year award, jointly with Fabio Mercurio from Bloomberg, L.P., for their Risk Magazine paper on modeling backward-looking rates.

Andrei is also adjunct professor at the Illinois Institute of Technology.  Before joining the QRM in 1997, Andrei was on the mathematical faculty at the University of Illinois at Chicago and Iowa State University.  Prior to coming to the US, he conducted academic research in applied math in Russia, Japan and Italy and published numerous research papers in the area of fluid stability in major mathematical journals.  He holds a BSc in Mathematics from the Novosibirsk State University, Russia and a PhD in Mathematics from the Russian Academy of Science.

10.30 – 11.00: Morning Break and Networking Opportunities

Volatility, Pricing & Modelling Stream

11.00 – 11.45: Panda Algorithm – Dynamically Controlled Kernel Estimation

  • Tired of waiting on your XVA or Hedging algorithm to run
  • Your firm is not allowing you to re-write your entire stack to use AAD?
  • Let us show you a simple way of super charge your algorithm with the Panda Algorithm!
  • We will introduce the Neighbour, the Reverend and the Trader!

Gordon Lee:

Head of XVA and Derivatives Quantitative Analytics, BNY Mellon

Gordon Lee: Head of XVA and Derivatives Quantitative Analytics, BNY Mellon

Volatility, Pricing & Modelling Stream

11.45 – 12.30: Volatility Is (Mostly) Path-Dependent

We learn from data that volatility is mostly path-dependent: at least 85-90% of the variance of the implied volatility of equity indexes is explained endogenously by past index returns, and around 60% for (noisy estimates of) future daily realized volatility. The path-dependency that we uncover is remarkably simple: a linear combination of a weighted sum of past daily returns and the square root of a weighted sum of past daily squared returns with different time-shifted power-law weights capturing both short and long memory. This simple model, which is homogeneous in volatility, is shown to consistently outperform existing models across equity indexes for both implied and realized volatility. It suggests a simple continuous-time path-dependent volatility (PDV) model that may be fed historical or risk-neutral parameters. The weights can be approximated by superpositions of exponential kernels to produce Markovian models. In particular, we propose a 4-factor Markovian PDV model which captures all the important stylized facts of volatility, produces very realistic price and volatility paths, and jointly fits SPX and VIX smiles remarkably well. We thus show, for the first time, that a continuous-time Markovian parametric stochastic volatility (actually, PDV) model can practically solve the joint SPX/VIX smile calibration problem.

Julien Guyon: 

Full Professor, Ecole des Ponts ParisTech

Julien Guyon: Full Professor, Ecole des Ponts ParisTech

Julien is a former senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor in the Department of Mathematics at Columbia University and at the Courant Institute of Mathematical Sciences, NYU. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years (2006-2012), and was an adjunct professor at Universite Paris 7 and Ecole des ponts. He co-authored the book Nonlinear Option Pricing (Chapman & Hall, CRC Financial Mathematics Series, 2014) with Pierre Henry-Labordere. His main research interests include nonlinear option pricing, volatility and correlation modeling, and numerical probabilistic methods. Julien holds a Ph.D. in Probability Theory and Statistics from Ecole des ponts. He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des ponts. A big football fan, Julien has also developed a strong interest in sports analytics, and has published several articles on the FIFA World Cup, the UEFA Champions League, and the UEFA Euro in top-tier newspapers such as The New York Times, Le Monde, and El Pais, including a new, fairer draw method for the FIFA World Cup.

12.30 – 13.45: Lunch

Chair: Volatility, Pricing & Modelling

Artur Sepp:

Head Systematic Solutions and Portfolio Construction, Sygnum Bank

Artur Sepp: Head Systematic Solutions and Portfolio Construction, Sygnum Bank

Artur Sepp is Head Systematic Solutions and Portfolio Construction at Sygnum Bank’s Asset Management in Zurich, specializing in crypto assets and decentralized finance. Prior, Artur led quantitative research at a systematic hedge fund (Quantica Capital) focusing on data-driven investment strategies and asset allocation in global managed futures. In previous roles, Artur worked as front office Quant Strategist on the implementation of systematic solutions in private banking (Julius Baer), and on the full-cycle development of quantitative solutions and derivatives in investment banking (Merrill Lynch/BofA).

Artur is dedicated to connecting financial applications with science and technology. His expertise covers quantitative investing and asset allocation, modeling of financial markets and instruments, statistical and Machine Learning methods, modern computational and programming tools. His 14 years professional experience includes performing in leading roles at top quant teams in New-York, London, and Zurich.

Artur has a PhD in Mathematical Statistics from University of Tartu, an MSc in Industrial Engineering and Management Sciences from Northwestern University, and a BA cum laude in Mathematical Economics from Tallinn University of Technology. He is the author and co-author of several research articles on quantitative finance published in key journals. Artur is known for contributions to stochastic volatility and credit risk modelling with an H-index of 16. He is a member of the editorial board of the Journal of Computational Finance. Artur loves martial arts, water, and mountain sports.

Volatility, Pricing & Modelling Stream

13.45 – 14.30: Credit Repacks and Stochastic Recovery

Andrey Chirikhin:

Head of Structured Credit QA, Barclays Investment Bank

Andrey Chirikhin: Head of Structured Credit QA, Barclays Investment Bank

Andrey was formerly Head of Modelling and Quantitative Analytics for L1 Treasury, part of a USD 25bn privately held investment vehicle LetterOne. Prior to LetterOne, Andrey was MD and Head of CVA and CCR quantitative Analytics at RBS. There he has created and run the front office cross asset CVA quant team. He also restructured and led the risk-side quant team charged with delivering a new Basel III compliant internal CCR methodology. The system utilizing the newly delivered methodology has won the 2013 Internal System of the year Risk award. In his 20 year career in investment banking, Andrey held several leadership and senior quant positions at Goldman Sachs, HSBC and Dresdner Kleinwort. Andrey Chirikhin holds PhD in Theoretical Statistics from Warwick University (UK), MBA from INSDEAD and MSc in Applied Mathematics from Moscow Institute for Physics and Technology (Phystech).

Since 2018 Andrey runs his own company, Quantitative Recipes, that advises on wide rage of XVA, long-term market modelling for risk and quant infrastructure.

Volatility, Pricing & Modelling Stream

14.30 – 15.15: New Developments in Deep Pricing

Youssef Elouerkhaoui:

Managing Director, Global Head of Markets Quantitative Analysis, Citi

Youssef Elouerkhaoui: Managing Director, Global Head of Markets Quantitative Analysis, Citi

Youssed Elouerkhaoui is the global Head of Credit Quantitive Analysis at Citi. His group supports all aspects of modelling and product development across desks, thais includes: Flow Credit Trading, Correlation Trading, CDOs, Exotics and Emering Markets.

He also supports CVA, Funding and Regulatory Capital for Credit Markets. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of developing and implementing models for the Structured Credit Desk. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais supporting the Interest Rates Exotics business. He has also worked as a Senior Consultant in the Risk Analytics and Research Group at Ernst & Young. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University.

15.15 – 15.45: Afternoon Break and Networking Opportunities

Volatility, Pricing & Modelling Stream

15.45 – 16.30: Estimating Cross-Model Correlations for CCR & XVA

  • Combining multi-factor models of USD & EUR curves (etc.) requires correlations between USD & EUR factors
  • These correlations are crucial in CCR & XVA risk settings as parameter values can significantly affect pricing, risk capacity, etc.
  • But the factors are typically abstract, model-dependent, and hard to infer directly from historical data for USD & EUR swap curves
  • We explore a PCA-inspired approach based on extracting factor innovations from historical time-series data
  • It reduces to simple regressions onto model-specific response profiles, or to filtering or other Bayesian methods in advanced cases

Andrew McClelland: 

Director, Quantitative Research, Numerix

Andrew McClelland: Director, Quantitative Research, Numerix

Andrew McClelland’s work at Numerix focuses on counterparty credit risk issues including valuation adjustments and counterparty exposure production for structured products. He also works on numerical methods for efficient production of risk profiles under real-world measures.

Andrew received his Ph.D. in finance at the Queensland University of Technology in financial econometrics. His research involved markets exhibiting crash feedback, option pricing, and parameter estimation using particle filtering methods. His work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

All Streams

16.30 – 16.40: A Tribute to Peter Carr & Marco Avellaneda by

Jesper Andreasen: 

Kwant Daddy! Global Head of Quantitative Research, Saxo Bank

Jesper Andreasen (Kwant Daddy): Global Head Of Quantitative Research, Saxo Bank  

Jesper Andreasen is head of Quantitative Research at Saxo Bank in Copenhagen. Jesper has previously held senior positions in the quantitative research departments of Danske Bank, Bank of America, Nordea, and General Re Financial Products. Jesper’s recent research focusses on efficient and accurate methods for computing credit and market risk. Jesper holds a PhD in mathematical finance from Aarhus University, Denmark. He received Risk Magazine’s Quant of the Year awards in 2001 and 2012, joint with Leif Andersen and Brian Huge respectively, and is an honorary professor of mathematical finance at Copenhagen University.

Bruno Dupire:

Head of Quantitative Research, Bloomberg L.P.

Bruno Dupire: Head of Quantitative Research, Bloomberg L.P.

Bruno Dupire is head of Quantitative Research at Bloomberg L.P., which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008.

All Streams

16.40 – 17.30: Machine Learning Models Panel – Present and Future

ML models for valuation, XVA, and risk

  • Is ML a new numerical method, a new way to specify the model, or a new paradigm?
  • Does ML training replace model selection, or model calibration?
  • How do we know if we are truly learning or just interpolating?
  • Is there enough historical data to train ML models?
  • Trusted ML in quant finance – will the regulators accept ML model

Natural language processing (NLP) and sentiment analysis in quant finance

  • Is there usable sentiment data in news? Social media? Company filings?
  • How will sentiment be used for alpha generation? Valuation and XVA? Risk?
  • What matters more in recognizing sentiment – Speed? Quality? Stability?

ML and investing

  • Will ML revolutionize fundamental analysis?
  • Will ML enable the use of alternative data in new ways?
  • Does ML have a role in integrating ESG in the investment process?

Moderator:

Alexander Sokol:

Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol: Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol is the founder, Executive Chairman, and Head of Quant Research at CompatibL, a trading and risk technology company. He is also the co-founder of Numerix, where he served as CTO from 1996 to 2003, and the co-founder of Duality Group, where he served as CTO from 2017 to 2020.

Alexander won the Quant of the Year Award in 2018 together with Leif Andersen and Michael Pykhtin, for their joint work revealing the true scale of the settlement gap risk that remains even in the presence of initial margin. Alexander’s other notable research contributions include systemic wrong-way risk (with Michael Pykhtin, Risk Magazine), joint measure models, and the local price of risk (with John Hull and Alan White, Risk Magazine), and mean reversion skew (Risk Books, 2014).

Alexander earned his BA from the Moscow Institute of Physics and Technology at the age of 18, and a PhD from the L. D. Landau Institute for Theoretical Physics at the age of 22. He was the winner of the USSR Academy of Sciences Medal for Best Student Research of the Year in 1988.

Peter Jaeckel:

Independent financial mathematics and analytics consultant. OTC Analytics

Peter Jaeckel: Independent financial mathematics and analytics consultant. OTC Analytics

Peter Jäckel received his DPhil from Oxford University in 1995. In 1997, he moved into quantitative analysis and financial modelling when he joined Nikko Securities. Following that he worked as a quantitative analyst at NatWest, Commerzbank Securities, ABN AMRO, and now VTB Capital where he is the Deputy Head of Quantitative Research. Peter is the author of “Monte Carlo Methods in Finance” published by John Wiley & Sons. Some of his publications can be found at WWW.JAECKEL.ORG.

Ryan Ferguson:

Founder & CEO, Riskfuel

Ryan Ferguson: Founder & CEO, Riskfuel

Ryan is Founder and CEO at Riskfuel, a capital markets focused startup that is developing ultra-fast AI-based valuation technologies.Previously, Ryan was Managing Director and Head of Securitization, Credit Derivatives and XVA at Scotiabank. Prior roles have included credit correlation trading and managing the equity derivatives trading desk. Ryan began his career with positions in risk management and financial engineering. Ryan has a PhD in Physics from Imperial College, and a BASc and MASc in Electrical Engineering from the University of Waterloo.

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.

Gordon Lee:

Head of XVA and Derivatives Quantitative Analytics, BNY Mellon

Gordon Lee: Head of XVA and Derivatives Quantitative Analytics, BNY Mellon

Anmar Al-Wakil:

Senior Data Scientist, RavenPack

Anmar Al-Wakil: Senior Data Scientist, RavenPack

Anmar is a senior data scientist at RavenPack. Before joining RavenPack in 2021, he worked as a quantitative researcher at Natixis Investment Managers for nearly 8 years, where he developed systematic investment strategies within the technology platform. At RavenPack, Anmar excavates cutting-edge insights from news sentiment to elaborate alpha-generating strategies across equity, credit, and derivatives instruments. In addition, he advices some of the world’s top hedge funds and asset managers on the use of NLP-driven analytics in finance.

He holds a PhD in Quantitative Finance from the University of Paris Dauphine-PSL along with a Master’s degree in Mathematical Finance. Anmar has written articles in portfolio selection and machine learning that were presented in multiple conferences. His article about asset pricing won the Best Doctoral Paper of the Multinational Finance Society. He is also a part-time Associate Professor at the University of Paris-Est where he heads the MSc in Portfolio Management.

Gala Dinner

Banje Beach Restaurant

20.00 til late: The Gala Dinner is complimentary for all conference delegates.

Address
Frana Supila 10/B, 20000 Dubrovnik
Croatia

Tel:+385 99 314 64 85
E-mail: info@banjebeach.eu

Website

08.00 – 09.00: Registration and Morning Welcome Coffee

Chair: Machine Learning

Ioana Boier:

Ioana Boier:

I have a Ph.D. in Computer Science from Purdue University. In addition, I have completed graduate coursework in Financial Mathematics at NYU and Big Data at Harvard University. Prior to joining Citadel, I was a Director in the Global Markets Division at BNP Paribas where I managed the Interest Rate Options & Inflation quantitative research team. Before transitioning into Finance, I was a research staff member at the IBM T. J. Watson Research Center.

Machine Learning Stream

09.00 – 09.45 Alternatives to Deep Neural Networks for Function Approximations in Finance

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

Machine Learning Stream

09.45 – 10.30: “Signature Approach to Payoff Approximation and Deep Learning”

  • Signatures as building blocks of path dependence
  • Functional Taylor expansion and Wiener chaos
  • Learning a functional as combination of signatures
  • Application to deep learning and volatility forecast

Bruno Dupire:

Head of Quantitative Research, Bloomberg L.P.

Bruno Dupire: Head of Quantitative Research, Bloomberg L.P.

Bruno Dupire is head of Quantitative Research at Bloomberg L.P., which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008.

10.30 – 11.00: Morning Break and Networking Opportunities

Machine Learning Stream

11.00 – 11.45: Deep Hedging under Rough Volatility

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.

Machine Learning Stream

11.45 – 12.30: : Autoencoder Market Models (AEMM) for the Interest Rates

We propose an autoencoder market model (AEMM) architecture in Q- and P-measure that combines an autoencoder with a stochastic process in latent space.

  • First, the autoencoder is pretrained to map historical data for the yield curve and, optionally, also the volatilities, to a well-regularized, low dimensional latent space with minimal reconstruction loss.
  • Next, a classical stochastic process or a generative machine learning model is inserted between the encoder and the decoder and calibrated to produce the desired probability distribution in latent space, which the decoder then converts to future interest rates and volatilities.
  • In Q-measure, the decoder is rewritten as an equivalent stochastic process so that classical drift adjustments can be used to satisfy no arbitrage constraints; this last step is not required for P-measure models. Encoding interest rates alone produces deterministic volatility AEMM; encoding interest rates and their volatilities together produces stochastic volatility AEMM.

To demonstrate practical viability of the proposed approach, we build a highly accurate variational autoencoder (VAE) representation of the yield curve and use it to construct AEMM counterparts to classical models in each of five popular interest rate model families (three in Q-measure and two in P-measure).

Alexander Sokol:

Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol: Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol is the founder, Executive Chairman, and Head of Quant Research at CompatibL, a trading and risk technology company. He is also the co-founder of Numerix, where he served as CTO from 1996 to 2003, and the co-founder of Duality Group, where he served as CTO from 2017 to 2020.

Alexander won the Quant of the Year Award in 2018 together with Leif Andersen and Michael Pykhtin, for their joint work revealing the true scale of the settlement gap risk that remains even in the presence of initial margin. Alexander’s other notable research contributions include systemic wrong-way risk (with Michael Pykhtin, Risk Magazine), joint measure models, and the local price of risk (with John Hull and Alan White, Risk Magazine), and mean reversion skew (Risk Books, 2014).

Alexander earned his BA from the Moscow Institute of Physics and Technology at the age of 18, and a PhD from the L. D. Landau Institute for Theoretical Physics at the age of 22. He was the winner of the USSR Academy of Sciences Medal for Best Student Research of the Year in 1988.

12.30 – 13.45: Lunch

Chair: Machine Learning

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.

Machine Learning Stream

13.45 – 15.15: Double Session: Differential Machine Learning Masterclass

Differential Machine Learning combines Adjoint Differentiation (AAD) and Machine Learning (ML) to resolve a variety of critical problems with financial Derivatives such as learning pricing and risk functions of complex instruments and trading books in real-time, or safely reduce the dimensionality of pricing and risk models. Applications include regulations like XVA or CCR, as well as forward-looking exotic risk or back-testing engines. This masterclass presents the key ideas, algorithms and results in a unified format. After a theoretical introduction of the rationale and principles, we will explore the practical implementation of the three main algorithms of the differential ML ecosystem: differential regression, differential PCA and differential deep learning. We will also present results in exotic pricing and risk management applications, as well as regulations like CVA, PRIIPS or FRTB, and conclude with a discussion of the future, deployment and extensions of these novel technologies.

Brian Norsk Huge:

Senior Specialist Quant, Saxo Bank

Brian Norsk Huge: Senior Specialist Quant, Saxo Bank

15.15 – 15.45: Afternoon Break and Networking Opportunities

Machine Learning Stream

15.45 – 16.30: Accelerating Autocallable Models

 

Ryan Ferguson:

Founder & CEO, Riskfuel

Ryan Ferguson: Founder & CEO, Riskfuel

Ryan is Founder and CEO at Riskfuel, a capital markets focused startup that is developing ultra-fast AI-based valuation technologies.Previously, Ryan was Managing Director and Head of Securitization, Credit Derivatives and XVA at Scotiabank. Prior roles have included credit correlation trading and managing the equity derivatives trading desk. Ryan began his career with positions in risk management and financial engineering. Ryan has a PhD in Physics from Imperial College, and a BASc and MASc in Electrical Engineering from the University of Waterloo.

All Streams

16.30 – 16.40: A Tribute to Peter Carr & Marco Avellaneda by

Jesper Andreasen: 

Kwant Daddy! Global Head of Quantitative Research, Saxo Bank

Jesper Andreasen (Kwant Daddy): Global Head Of Quantitative Research, Saxo Bank  

Jesper Andreasen is head of Quantitative Research at Saxo Bank in Copenhagen. Jesper has previously held senior positions in the quantitative research departments of Danske Bank, Bank of America, Nordea, and General Re Financial Products. Jesper’s recent research focusses on efficient and accurate methods for computing credit and market risk. Jesper holds a PhD in mathematical finance from Aarhus University, Denmark. He received Risk Magazine’s Quant of the Year awards in 2001 and 2012, joint with Leif Andersen and Brian Huge respectively, and is an honorary professor of mathematical finance at Copenhagen University.

Bruno Dupire:

Head of Quantitative Research, Bloomberg L.P.

Bruno Dupire: Head of Quantitative Research, Bloomberg L.P.

Bruno Dupire is head of Quantitative Research at Bloomberg L.P., which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008.

All Streams

16.40 – 17.30: Machine Learning Models Panel – Present and Future

ML models for valuation, XVA, and risk

  • Is ML a new numerical method, a new way to specify the model, or a new paradigm?
  • Does ML training replace model selection, or model calibration?
  • How do we know if we are truly learning or just interpolating?
  • Is there enough historical data to train ML models?
  • Trusted ML in quant finance – will the regulators accept ML model

Natural language processing (NLP) and sentiment analysis in quant finance

  • Is there usable sentiment data in news? Social media? Company filings?
  • How will sentiment be used for alpha generation? Valuation and XVA? Risk?
  • What matters more in recognizing sentiment – Speed? Quality? Stability?

ML and investing

  • Will ML revolutionize fundamental analysis?
  • Will ML enable the use of alternative data in new ways?
  • Does ML have a role in integrating ESG in the investment process?

Moderator:

Alexander Sokol:

Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol: Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol is the founder, Executive Chairman, and Head of Quant Research at CompatibL, a trading and risk technology company. He is also the co-founder of Numerix, where he served as CTO from 1996 to 2003, and the co-founder of Duality Group, where he served as CTO from 2017 to 2020.

Alexander won the Quant of the Year Award in 2018 together with Leif Andersen and Michael Pykhtin, for their joint work revealing the true scale of the settlement gap risk that remains even in the presence of initial margin. Alexander’s other notable research contributions include systemic wrong-way risk (with Michael Pykhtin, Risk Magazine), joint measure models, and the local price of risk (with John Hull and Alan White, Risk Magazine), and mean reversion skew (Risk Books, 2014).

Alexander earned his BA from the Moscow Institute of Physics and Technology at the age of 18, and a PhD from the L. D. Landau Institute for Theoretical Physics at the age of 22. He was the winner of the USSR Academy of Sciences Medal for Best Student Research of the Year in 1988.

Peter Jaeckel:

Independent financial mathematics and analytics consultant. OTC Analytics

Peter Jaeckel: Independent financial mathematics and analytics consultant. OTC Analytics

Peter Jäckel received his DPhil from Oxford University in 1995. In 1997, he moved into quantitative analysis and financial modelling when he joined Nikko Securities. Following that he worked as a quantitative analyst at NatWest, Commerzbank Securities, ABN AMRO, and now VTB Capital where he is the Deputy Head of Quantitative Research. Peter is the author of “Monte Carlo Methods in Finance” published by John Wiley & Sons. Some of his publications can be found at WWW.JAECKEL.ORG.

Ryan Ferguson:

Founder & CEO, Riskfuel

Ryan Ferguson: Founder & CEO, Riskfuel

Ryan is Founder and CEO at Riskfuel, a capital markets focused startup that is developing ultra-fast AI-based valuation technologies.Previously, Ryan was Managing Director and Head of Securitization, Credit Derivatives and XVA at Scotiabank. Prior roles have included credit correlation trading and managing the equity derivatives trading desk. Ryan began his career with positions in risk management and financial engineering. Ryan has a PhD in Physics from Imperial College, and a BASc and MASc in Electrical Engineering from the University of Waterloo.

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.

Gordon Lee:

Head of XVA and Derivatives Quantitative Analytics, BNY Mellon

Gordon Lee: Head of XVA and Derivatives Quantitative Analytics, BNY Mellon

Anmar Al-Wakil:

Senior Data Scientist, RavenPack

Anmar Al-Wakil: Senior Data Scientist, RavenPack

Anmar is a senior data scientist at RavenPack. Before joining RavenPack in 2021, he worked as a quantitative researcher at Natixis Investment Managers for nearly 8 years, where he developed systematic investment strategies within the technology platform. At RavenPack, Anmar excavates cutting-edge insights from news sentiment to elaborate alpha-generating strategies across equity, credit, and derivatives instruments. In addition, he advices some of the world’s top hedge funds and asset managers on the use of NLP-driven analytics in finance.

He holds a PhD in Quantitative Finance from the University of Paris Dauphine-PSL along with a Master’s degree in Mathematical Finance. Anmar has written articles in portfolio selection and machine learning that were presented in multiple conferences. His article about asset pricing won the Best Doctoral Paper of the Multinational Finance Society. He is also a part-time Associate Professor at the University of Paris-Est where he heads the MSc in Portfolio Management.

Gala Dinner

Banje Beach Restaurant

20.00 til late: The Gala Dinner is complimentary for all conference delegates.

Address
Frana Supila 10/B, 20000 Dubrovnik
Croatia

Tel:+385 99 314 64 85
E-mail: info@banjebeach.eu

Website

08.00 – 09.00: Registration and Morning Welcome Coffee

Chair: ESG

Navin Rauniar:

Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin Rauniar: Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin is a Risk Director with 17 years’ experience in advising the sell side on the delivery of prudential regulation such as IBOR Transition, FRTB, IRRBB, Basel III, CRR 2 and CRD V. Navin is currently leading the IBOR workstream for a Tier One bank.

Prior to this, he worked as a Senior Manager at a leading global advisory firm, where he led the analysis of the impact of the IBOR Transition on financial institutions. Additionally, Navin has spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, Risk and Operations.

Navin is a steering committee member of the Professional Risk Managers Association where he represents the Risk Management industry on regulatory initiatives, mentoring of capital markets professionals, and a frequent speaker at banking & thought leadership events.

ESG Stream

09.00 – 09.45: Connecting ESG to Climate Risk, Sustainable Financing, Carbon Markets, and Net Zero

  1. The correlation between E, S & G
  2. Deriving risks from ESG frameworks
  3. The E-Risk management now required using transition & physical risks
  4. Identifying Climate and Social Risks via ESG
  5. How Climate, Sustainability, Carbon and Net Zero Risks need to connect to enable Sustainable Finance

Navin Rauniar:

Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin Rauniar: Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin is a Risk Director with 17 years’ experience in advising the sell side on the delivery of prudential regulation such as IBOR Transition, FRTB, IRRBB, Basel III, CRR 2 and CRD V. Navin is currently leading the IBOR workstream for a Tier One bank.

Prior to this, he worked as a Senior Manager at a leading global advisory firm, where he led the analysis of the impact of the IBOR Transition on financial institutions. Additionally, Navin has spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, Risk and Operations.

Navin is a steering committee member of the Professional Risk Managers Association where he represents the Risk Management industry on regulatory initiatives, mentoring of capital markets professionals, and a frequent speaker at banking & thought leadership events.

ESG Stream

09.45 – 10.30: ESG Market Risk Valuation and Management

  • Market and regulatory context
  • ESG data sources and scores
  • ESG market data and financial instruments
  • Pricing of ESG-linked instruments
  • Market and counterparty risk measurement
  • C&E stress test

Abstract

In the last few years ESG (environmental, social and governance) related topics broke into the financial world. In particular, regulators issued a number of guidelines and expectations to include ESG risk in the business and risk management framework of financial institutions. In our work we show a possible implementation of ESG risk in a Bank’s valuation and market risk management framework.

Marco Bianchetti:

Head of Internal Model Market Risk, Intesa Sanpaolo

Marco Bianchetti: Head of Internal Model Market Risk, Intesa Sanpaolo

Marco Bianchetti joined the Market Risk Management area of Intesa Marco joined the Financial and Market Risk Management area of Intesa Sanpaolo in 2008. His work covers pricing and risk management of financial instruments across all asset classes, with a focus on new products development, model validation, model risk management, interest rate modelling, funding and counterparty risk, fair and prudent valuation, applications of Quasi Monte Carlo in finance. He is in charge of the global Fair Value Policy of Intesa Sanpaolo group since Nov. 2015. Previously he worked for 8 years in the front office Financial Engineering area of Banca Caboto (now Banca IMI), developing pricing models and applications for interest rate and inflation trading desks. He is adjunct professor of Interest Rate Models at University of Bologna since 2015, and a frequent speaker at international conferences and trainings in quantitative finance. He holds a M.Sc. in theoretical nuclear physics and a Ph.D. in theoretical condensed matter physics.

Jorge Miguel Vegas:

Senior Expert in Risk Analytics office, Market and Financial Risk Management, Intesa Sanpaolo

Jorge Miguel Vegas: Senior Expert in Risk Analytics office, Market and Financial Risk Management, Intesa Sanpaolo

Jorge holds and MSc in Finance from CUNEF (Madrid) and a MSc in Computer Science from the University of the Basque Country. He has 10 years’ experience in risk management, having worked as consultant for tier1 financial institutions in Spain & Italy aiding them at strengthening their market and counterparty risk measurement frameworks. In 2020 he joined UBI Banca as Market Risk Analyst and, as a result of the acquisition of UBI, he is now Senior Expert in the Risk Analytics team of Intesa Sanpaolo, where he follows a wide variety of risk-related topics in the financial and market risk area.

Jorge is a certified Financial Risk Manager (FRM®) by GARP and holds a Certificate in Quantitative Finance by the CQF Institute.

10.30 – 11.00: Morning Break and Networking Opportunities

ESG Stream

11.00 – 11.45: New Horizons in Survival Analysis: Modelling the Electric Vehicle Transition.

We combine ideas from network theory and credit portfolio modelling to build an agent based model of the electric vehicle transition. The approach is geographically specific, with potential applications in climate risk modelling.

The talk would be readily comprehensible to anyone with a credit risk background, but represents an entirely new application of the modelling techniques.

Jodie Humphreys:

Director, Bank of America

Jodie Humphreys: Director, Bank of America

Jodie leads the Simulation Modelling Program within the Alternative Modelling Group (AMG) at Bank of America. He previously worked in the field of credit derivative pricing and regulatory capital modelling and has also led the development of a number of innovative technical solutions within the bank. Jodie holds a BA and Certificate of Advanced Study in Mathematics from the University of Cambridge and a PhD in Mathematics from University College London. His PhD thesis studied the algebraic properties of lattices in semi-simple Lie groups, a subject with applications to the classification of higher dimensional manifolds.

ESG Stream

11.45 – 12.30: Tracking Real-time ESG Controversy With Language AI

Ludovic Thulliez:

Quantitative Researcher, RavenPack

Ludovic Thulliez: Quantitative Researcher, RavenPack

Ludovic is a Quantitative Researcher at RavenPack focusing on ways of leveraging news data analytics for ESG applications and investment strategies. Before joining RavenPack in 2021, he worked at La Francaise Asset Management in London where he led the quantitative sustainability research effort and developed ESG and Carbon models. Ludovic holds a master’s degree in Financial Risk Engineering from the University of Bordeaux and an Engineering degree from the Bordeaux INP engineering school.

12.30 – 13.45: Lunch

Chair: Regulations

Navin Rauniar:

Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin Rauniar: Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin is a Risk Director with 17 years’ experience in advising the sell side on the delivery of prudential regulation such as IBOR Transition, FRTB, IRRBB, Basel III, CRR 2 and CRD V. Navin is currently leading the IBOR workstream for a Tier One bank.

Prior to this, he worked as a Senior Manager at a leading global advisory firm, where he led the analysis of the impact of the IBOR Transition on financial institutions. Additionally, Navin has spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, Risk and Operations.

Navin is a steering committee member of the Professional Risk Managers Association where he represents the Risk Management industry on regulatory initiatives, mentoring of capital markets professionals, and a frequent speaker at banking & thought leadership events.

Risk & Regulations Stream

13.45 – 14.30: Looking beyond SA-CCR

  • How can risk sensitivity of SA-CCR be improved beyond re-calibration?
    • Using internal risk factor sensitivities
    • Allowing multiple risk factors per trade
    • Calculating netting-set-level expected exposure for multiple time points
    • Incorporating margin agreement thresholds in a risk sensitive manner
  • Designing a more risk sensitive non-model framework for EAD calculation
    • Setting up Gaussian dynamics for risk factors
    • Projecting spot trade market values into the future
    • Projecting spot risk factor sensitivities into the future
    • Deriving expected exposure for various margin arrangements
    • Projecting spot initial margin into the future
  • Comparison with SA-CCR for simple examples
    • Single interest rate swap
    • Portfolio of a long-term cross-currency swap and a short-term FX forward

Michael Pykhtin:

Manager, Quantitative Risk, U.S. Federal Reserve Board

Michael Pykhtin: Manager, Quantitative Risk, U.S. Federal Reserve Board

Michael Pykhtin is a manager in the Quantitative Risk section at the U.S. Federal Reserve Board. Prior to joining the Board in 2009 as a senior economist, he had a successful nine-year career as a quantitative researcher at Bank of America and KeyCorp. Michael has edited “Counterparty Risk Management” (Risk Books, 2014) and “Counterparty Credit Risk Modelling” (Risk Books, 2005). He is also a contributing author to several recent edited collections. Michael has published extensively in the leading industry journals; he has been an Associate Editor of the Journal of Credit Risk since 2007. Michael is a two-time recipient of Risk Magazine’s Quant of the Year award (for 2014 and 2018). Michael holds a Ph.D. degree in Physics from the University of Pennsylvania and an M.S. degree in Physics and Applied Mathematics from Moscow Institute of Physics and Technology.

Risk & Regulations Stream

14.30 – 15.15: “Collateralised Exposure Modelling: Bridging the Gap Risk”

Market-driven defaults, such as Archegos, pointed once more to the importance of Wrong Way Risk, concentration and leverage in shaping the tail of the credit loss distribution. In the following, Fabrizio Anfuso presents a minimal framework for the joint dynamics of the market risk factors, the trade and collateral portfolio and the overall balance sheet of the defaulting counterparty. Based on this, the author draws general conclusions, directly applicable to improve the risk sensitivity of existing exposure metrics, especially in the presence of concentration, leverage and excess collateral.

Fabrizio Anfuso:

Traded Risk Measurement, PRA, Bank of England

Fabrizio Anfuso: Traded Risk Measurement, PRA, Bank of England

Fabrizio is a leading expert in developing complex risk analytics, quantitative modelling and financial regulations. He has an extensive track-record of heading quant teams onshore and offshore, as well as of taking part in firm-wide programs, such as IMM, BCBS-IOSCO Margin Requirements and IBOR transition.
In his present and previous roles, Fabrizio has gained a comprehensive knowledge of the full model development cycle, including the model design, the validation of model performance, the IT implementation and the attainment of regulatory compliance.
His main areas of expertise are Counterparty credit risk, Monte Carlo simulations, Internal Models for the trading book (IMM and IMA), derivatives pricing, CCPs & collateral modelling, Initial Margin methodologies and regulatory capital.
Fabrizio is chairing the master’s course in Counterparty Credit Risk of the ETH / University of Zurich and taught a number of advanced professional trainings in topics such as CCR, capital management and Initial Margin methodologies.
As part of his academic activities, he has authored numerous research articles in the fields of quantitative finance and condensed matter physics. Fabrizio holds a Ph.D. in Theoretical Physics from the Chalmers University of Technology (Gothenburg, Sweden). 

15.15 – 15.45: Afternoon Break and Networking Opportunities

Risk & Regulations Stream

15.45 – 16.30: Analytic Risk-Free-Rate Option Pricing with Smile and Skew

We present perturbative methods to derive (semi)analytic expressions of pricing kernels and accurate arbitrage-free analytic prices. We focus on an extension of the Hull-White model that includes volatility smile and skew. We use this short-rate model to price caplets referencing backward-looking compounded rates payments, which have become relevant in the dawn of the ‘post-LIBOR era’. We also show how the caplet pricing formulae are translated into analytic expressions of the implied volatility.

Aurelio Romero-Bermudez:

Quantitative Analyst – Market Risk Modelling, ABN AMRO Bank N.V.

Aurelio Romero-Bermudez: Quantitative Analyst – Market Risk Modelling, ABN AMRO Bank N.V.

Analyst in the IMM group with  research interests spanning from perturbative and semi-analytic approaches to risk analysis to the application of Deep Learning and adjoint differentiation in risk management. Over 8 years research experience in Theory of Condensed Matter and Quantum Gravity with a PhD in Theoretical Physics from the University of Cambridge.

All Streams

16.30 – 16.40: A Tribute to Peter Carr & Marco Avellaneda by

Jesper Andreasen: 

Kwant Daddy! Global Head of Quantitative Research, Saxo Bank

Jesper Andreasen (Kwant Daddy): Global Head Of Quantitative Research, Saxo Bank  

Jesper Andreasen is head of Quantitative Research at Saxo Bank in Copenhagen. Jesper has previously held senior positions in the quantitative research departments of Danske Bank, Bank of America, Nordea, and General Re Financial Products. Jesper’s recent research focusses on efficient and accurate methods for computing credit and market risk. Jesper holds a PhD in mathematical finance from Aarhus University, Denmark. He received Risk Magazine’s Quant of the Year awards in 2001 and 2012, joint with Leif Andersen and Brian Huge respectively, and is an honorary professor of mathematical finance at Copenhagen University.

Bruno Dupire:

Head of Quantitative Research, Bloomberg L.P.

Bruno Dupire: Head of Quantitative Research, Bloomberg L.P.

Bruno Dupire is head of Quantitative Research at Bloomberg L.P., which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008.

All Streams

16.40 – 17.30: Machine Learning Models Panel – Present and Future

ML models for valuation, XVA, and risk

  • Is ML a new numerical method, a new way to specify the model, or a new paradigm?
  • Does ML training replace model selection, or model calibration?
  • How do we know if we are truly learning or just interpolating?
  • Is there enough historical data to train ML models?
  • Trusted ML in quant finance – will the regulators accept ML model

Natural language processing (NLP) and sentiment analysis in quant finance

  • Is there usable sentiment data in news? Social media? Company filings?
  • How will sentiment be used for alpha generation? Valuation and XVA? Risk?
  • What matters more in recognizing sentiment – Speed? Quality? Stability?

ML and investing

  • Will ML revolutionize fundamental analysis?
  • Will ML enable the use of alternative data in new ways?
  • Does ML have a role in integrating ESG in the investment process?

Moderator:

Alexander Sokol:

Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol: Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol is the founder, Executive Chairman, and Head of Quant Research at CompatibL, a trading and risk technology company. He is also the co-founder of Numerix, where he served as CTO from 1996 to 2003, and the co-founder of Duality Group, where he served as CTO from 2017 to 2020.

Alexander won the Quant of the Year Award in 2018 together with Leif Andersen and Michael Pykhtin, for their joint work revealing the true scale of the settlement gap risk that remains even in the presence of initial margin. Alexander’s other notable research contributions include systemic wrong-way risk (with Michael Pykhtin, Risk Magazine), joint measure models, and the local price of risk (with John Hull and Alan White, Risk Magazine), and mean reversion skew (Risk Books, 2014).

Alexander earned his BA from the Moscow Institute of Physics and Technology at the age of 18, and a PhD from the L. D. Landau Institute for Theoretical Physics at the age of 22. He was the winner of the USSR Academy of Sciences Medal for Best Student Research of the Year in 1988.

Peter Jaeckel:

Independent financial mathematics and analytics consultant. OTC Analytics

Peter Jaeckel: Independent financial mathematics and analytics consultant. OTC Analytics

Peter Jäckel received his DPhil from Oxford University in 1995. In 1997, he moved into quantitative analysis and financial modelling when he joined Nikko Securities. Following that he worked as a quantitative analyst at NatWest, Commerzbank Securities, ABN AMRO, and now VTB Capital where he is the Deputy Head of Quantitative Research. Peter is the author of “Monte Carlo Methods in Finance” published by John Wiley & Sons. Some of his publications can be found at WWW.JAECKEL.ORG.

Ryan Ferguson:

Founder & CEO, Riskfuel

Ryan Ferguson: Founder & CEO, Riskfuel

Ryan is Founder and CEO at Riskfuel, a capital markets focused startup that is developing ultra-fast AI-based valuation technologies.Previously, Ryan was Managing Director and Head of Securitization, Credit Derivatives and XVA at Scotiabank. Prior roles have included credit correlation trading and managing the equity derivatives trading desk. Ryan began his career with positions in risk management and financial engineering. Ryan has a PhD in Physics from Imperial College, and a BASc and MASc in Electrical Engineering from the University of Waterloo.

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.

Gordon Lee:

Head of XVA and Derivatives Quantitative Analytics, BNY Mellon

Gordon Lee: Head of XVA and Derivatives Quantitative Analytics, BNY Mellon

Anmar Al-Wakil:

Senior Data Scientist, RavenPack

Anmar Al-Wakil: Senior Data Scientist, RavenPack

Anmar is a senior data scientist at RavenPack. Before joining RavenPack in 2021, he worked as a quantitative researcher at Natixis Investment Managers for nearly 8 years, where he developed systematic investment strategies within the technology platform. At RavenPack, Anmar excavates cutting-edge insights from news sentiment to elaborate alpha-generating strategies across equity, credit, and derivatives instruments. In addition, he advices some of the world’s top hedge funds and asset managers on the use of NLP-driven analytics in finance.

He holds a PhD in Quantitative Finance from the University of Paris Dauphine-PSL along with a Master’s degree in Mathematical Finance. Anmar has written articles in portfolio selection and machine learning that were presented in multiple conferences. His article about asset pricing won the Best Doctoral Paper of the Multinational Finance Society. He is also a part-time Associate Professor at the University of Paris-Est where he heads the MSc in Portfolio Management.

Gala Dinner

Banje Beach Restaurant

20.00 til late: The Gala Dinner is complimentary for all conference delegates.

Address
Frana Supila 10/B, 20000 Dubrovnik
Croatia

Tel:+385 99 314 64 85
E-mail: info@banjebeach.eu

Website

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