World Business StrategiesServing the Global Financial Community since 2000

Women in Quantitative Finance Conference (WQF)

07.45 - 08.55
Registration and Morning Welcome Coffee
08.00 - 08.55
This pre-conference session is complimentary to all attendees.
Pre-Conference: The Importance of Soft Skills in a Quantitative World

Quantitative finance often requires substantial “hard skills”–programming, machine learning, data science, AI.  But what about the “soft skills” required to collaborate with others, obtain buy-in for ideas, and lead cross-functional teams?

This fast-paced workshop will highlight the importance of these skills within the industry.  Attendees will learn:

  • What the DISC personality assessment tool is and how can it improve self-awareness
  • Ways to improve communication skills to increase your influence
  • How to obtain support for your ideas
  • Steps to build effective business relationships
  • How to work with “difficult” people

Jeff Scott:

Founder and CEO, Section 810 Communications, LLC,

Jeff Scott: Founder and CEO, Section 810 Communications, LLC,

Jeff Scott is the Founder and CEO of Section 810 Communications, LLC, a global training firm focused on communications, leadership and sales skills.  Prior to founding Section 810, Jeff’s diverse experience included leading a global crowdsourcing initiative in quantitative finance that grew to 130,000 participants in just five years.  During this time he also provided leadership and communication training to hundreds of leaders in quantitative finance.

An internationally recognized speaker, certified DISC personality consultant and published author, Jeff has spoken to tens of thousands of people across dozens of countries.  Section 810 Communications has one primary goal: to help people increase their level of influence through improved communication and greater self-awareness.

08.55 - 09.00
Women in Quantitative Finance Chair:

Iuliia Shpak:

Quant Strategies Specialist at Sarasin & Partners LLP

Iuliia Shpak: Quant Strategies Specialist at Sarasin & Partners LLP

In her multifaceted role, Iuliia extensively focuses on quant investment solutions for institutional asset owners, in particular SWFs and large pension funds and contributes to internal research and selection of external quant managers.

Iuliia’s research experience covers market anomalies, speculative bubbles, volatility modelling and systematic risk factors in equities and commodity futures.

Iuliia serves as an Adjunct Researcher at the World Pensions Council and Member of Scientific Council at the CBBA-Europe. Iuliia holds MSc in Operational Research and PhD in Finance.

Iuliia frequently delivers guest lectures at the London School of Economics (LSE) and other academic institutions.

09.00 - 09.45
Keynote: To be confirmed
09.45 - 10.30
Actionable Artificial Intelligence

Abstract: Artificial intelligence (AI) algorithms typically operate in high-dimensional spaces, are trained on vast and often heterogeneous data sets, and involve non-linear models that attempt to capture previously unknown patterns. In areas where the results of such algorithms are filtered through human decisions, insight into the pattern generation processes is key to fully capitalizing on the power of AI. Actionable AI (AAI) aims to build trust between collaborating human and software agents. In Finance, AAI is paramount not only to addressing regulatory requirements for transparency, but also to the widespread adoption of AI methods in areas largely driven by human decisions. In this presentation, we delve into the challenges and state-of-the-art solutions for AAI in the context of quantitative modeling for investment management decisions.

Ioana Boier:

Head of Quantitative Portfolio Solutions, Alphadyne Asset Management

Ioana Boier: Head of Quantitative Portfolio Solutions, Alphadyne Asset Management

Ioana is the Head of Quantitative Portfolio Solutions, Alphadyne Asset Management.

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.

10.30 - 11.00
Morning Break and Networking Opportunities
11.00 - 12.00
PANEL: Talent Attraction & Retention

Topics:

  • What are Quantitative Research 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 Quantitative Research Financial Services currently doing and what should they be doing to retain female talent?
  • What top positions besides Asset Management can Quantitative Finance- 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:

  • Iuliia Shpak: Quant Strategies Specialist, Sarasin & Partners LLP

Panellists:

Iuliia Shpak:

Quant Strategies Specialist at Sarasin & Partners LLP

Iuliia Shpak: Quant Strategies Specialist at Sarasin & Partners LLP

In her multifaceted role, Iuliia extensively focuses on quant investment solutions for institutional asset owners, in particular SWFs and large pension funds and contributes to internal research and selection of external quant managers.

Iuliia’s research experience covers market anomalies, speculative bubbles, volatility modelling and systematic risk factors in equities and commodity futures.

Iuliia serves as an Adjunct Researcher at the World Pensions Council and Member of Scientific Council at the CBBA-Europe. Iuliia holds MSc in Operational Research and PhD in Finance.

Iuliia frequently delivers guest lectures at the London School of Economics (LSE) and other academic institutions.

Knarig Arabshian:

Senior Knowledge Engineer in Technology Innovation, Federal Reserve Bank of New York

Knarig Arabshian: Senior Associate Knowledge Engineer in Technology Innovation, Federal Reserve Bank of New York

I am a Senior Associate Knowledge Engineer in Technology Strategy & Innovation at theFederal Reserve Bank of New York where I conduct research in semantic web technologies and text analytics for structuring financial data.

Previously, I was an Assistant Professor in the Computer Science Department at Hofstra University in Hempstead, NY and a Member of Technical Staff at Bell Labs in Murray Hill, NJ. I have also taught as an Adjunct Professor at Columbia University twice. I received my PhD in Computer Science from Columbia University in 2008, where I worked in theIRT Lab under the advisment of Henning Schulzrinne.

Jeff Scott:

Founder and CEO, Section 810 Communications, LLC,

Jeff Scott: Founder and CEO, Section 810 Communications, LLC,

Jeff Scott is the Founder and CEO of Section 810 Communications, LLC, a global training firm focused on communications, leadership and sales skills.  Prior to founding Section 810, Jeff’s diverse experience included leading a global crowdsourcing initiative in quantitative finance that grew to 130,000 participants in just five years.  During this time he also provided leadership and communication training to hundreds of leaders in quantitative finance.

An internationally recognized speaker, certified DISC personality consultant and published author, Jeff has spoken to tens of thousands of people across dozens of countries.  Section 810 Communications has one primary goal: to help people increase their level of influence through improved communication and greater self-awareness.

Edith Mandel:

Principal, Greenwich Street Advisors, LLC

Edith Mandel: Principal at Greenwich Street Advisors, LLC
Edith Mandel is a seasoned finance professional with 20 years of experience.   She held a number of senior roles both on the sell and buy sides of the Fixed Income business.
Edith has extensive hands-on experience in developing quantitative trading models, and building systematic risk-taking businesses from the ground up.
As a principal at Greenwich Street Advisors, LLC, Edith advises both established participants in the Fixed Income market and those companies considering opportunities for expansion.   As an expert in the Fixed Income market, Edith evaluates the opportunity cost, advises on trading infrastructure build-out, electronic and quantitative trading, risk management, alpha research and algorithmic execution.
In the last two-and-a-half years, Edith Mandel was the head of Fixed Income Mid-Frequency Trading at KCG (formerly GETCO).   While there, she spearheaded a development of a new quantitative and systematic business within the Global Fixed Income group.
Edith started her professional career at Goldman Sachs, where she held a number of positions in the Fixed Income division.   As a Managing Director, Edith ran a team of quantitative strategists responsible for algorithmic trading in US Treasuries and Swaps, for risk management of a broad set of interest rate products, including vanilla and exotic options, and for the development of a toolkit for systematic risk-taking.
Prior to joining KCG, Edith Mandel worked at Citadel as a Managing Director, Head of Fixed Income Quantitative Research. There she was instrumental to a significant revamp and expansion of the Fixed-Income Asset Management business and a development of new profitable systematic trading strategies in liquid rates.
Edith Mandel is a seasoned finance professional with over 18 years of experience.   She held a number of senior roles both on the sell and buy sides of the Fixed Income business.
Edith has extensive hands-on experience in developing quantitative trading models, and building systematic risk-taking businesses from the ground up.
As a principal at Greenwich Street Advisors, LLC, Edith advises both established participants in the Fixed Income market and those companies considering opportunities for expansion.   As an expert in the Fixed Income market, Edith evaluates the opportunity cost, advises on trading infrastructure build-out, electronic and quantitative trading, risk management, alpha research and algorithmic execution.
In the last two-and-a-half years, Edith Mandel was the head of Fixed Income Mid-Frequency Trading at KCG (formerly GETCO).   While there, she spearheaded a development of a new quantitative and systematic business within the Global Fixed Income group.
Edith started her professional career at Goldman Sachs, where she held a number of positions in the Fixed Income division.   As a Managing Director, Edith ran a team of quantitative strategists responsible for algorithmic trading in US Treasuries and Swaps, for risk management of a broad set of interest rate products, including vanilla and exotic options, and for the development of a toolkit for systematic risk-taking.
Prior to joining KCG, Edith Mandel worked at Citadel as a Managing Director, Head of Fixed Income Quantitative Research. There she was instrumental to a significant revamp and expansion of the Fixed-Income Asset Management business and a development of new profitable systematic trading strategies in liquid rates
12.00 - 12.30
Artificial Intelligence - Natural Language Processing

Knarig Arabshian:

Senior Knowledge Engineer in Technology Innovation, Federal Reserve Bank of New York

Knarig Arabshian: Senior Associate Knowledge Engineer in Technology Innovation, Federal Reserve Bank of New York

I am a Senior Associate Knowledge Engineer in Technology Strategy & Innovation at theFederal Reserve Bank of New York where I conduct research in semantic web technologies and text analytics for structuring financial data.

Previously, I was an Assistant Professor in the Computer Science Department at Hofstra University in Hempstead, NY and a Member of Technical Staff at Bell Labs in Murray Hill, NJ. I have also taught as an Adjunct Professor at Columbia University twice. I received my PhD in Computer Science from Columbia University in 2008, where I worked in theIRT Lab under the advisment of Henning Schulzrinne.

12.30 - 13.30
Lunch
13.30 - 14.00
Topic to be confirmed

Roza Galeeva:

Research Professor at NYU , Tandon School of Engineering

Roza Galeeva: Research Professor at NYU , Tandon School of Engineering, Commodity Derivatives, Risk Management

14.00 - 14.45
Deep Execution – Reinforcement Learning and Generative Models in Algo Trading

Presenter to be confirmed

14.45 - 15.15
“Looking forward to backward-looking rates: A Modeling framework for rates replacing IBORs”

Presenter to be confirmed

15.15 - 15.45
Afternoon Break and Networking Opportunities
15.45 - 16.15
Futures and Options on Bitcoins: A Tentative Arbitrage Aprroach

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

16.15 - 16.45
"The Geometry of Money".

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.

16.45 - 17.45
PANEL: Career Progression

Topics:

  • Do you think that being a woman is a significant factor in slowing down career progression in Quantitative Research Financial Services?
    • If so, could this be avoided and how?
  • 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?
  • Is it still hard to make it to the top positions, if so why and what can be 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
  • 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:

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

Panellists:

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

Roza Galeeva:

Research Professor at NYU , Tandon School of Engineering

Roza Galeeva: Research Professor at NYU , Tandon School of Engineering, Commodity Derivatives, Risk Management

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.

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