Tue, 14 Nov 2023

Today, the main conference starts off with plenary sessions. From 11am, we have focussed sessions on Derivatives & Volatility, Alpha Investing, Model Risk & Liquidity, and Climate Finance. We then conclude the day with Deep Dive sessions.

AI in investments

How NLP broke the status quo in 2023. How it has been used in a financial capacity? Where are we heading? What is the value brought to the finance world? Will AI & ML replace quants?

Stream: QuantMinds Plenary Stage

Time: 09:50

Speakers in the spotlight:

Stefano Pasquali

Managing Director, Head of Liquidity and Trading Research, BlackRock

Stefano Pasquali, Managing Director, is the Head of Liquidity Research Group at BlackRock Solutions. As Head of Liquidity Research, Mr. Pasquali is responsible for market liquidity modelling both at the security and portfolio level, as well as estimating portfolio liquidity risk profiles. His responsibilities include defining cross asset class models, leveraging available trade data and developing innovative machine learning based approaches to better estimate market liquidity. Mr. Pasquali is heavily involved in developing methodologies to estimate funding liquidity and better estimate funds flows. These models include: the cost of position or portfolio liquidation, time to liquidation, redemption estimation, and investor behavior modelling utilizing a big data approach.

Ancient-school comp finance

Theta-method finite differences for American options and callables – for real

Why are binomial trees not yet dead in practice for American options? How to beat them?
New results + a handful tricks-of-the trade.
How to improve convergence while retaining complete freedom in time- and asset-spacing..
..and get a factor of >50 speedup with smooth high-order sensitivities.

Stream: Derivatives & Volatility

Time: 12:15

Speaker in the spotlight:

Leif Andersen

Global Co-Head Of Quantitative Strategies Group
Bank of America

Leif B. G. Andersen is the Global Co-Head of The Quantitative Strategies & Data Group at Bank of America, and is an adjunct professor at NYU’s Courant Institute of Mathematical Sciences and at CMU’s Tepper School of Business. He holds MSc's in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from Aarhus Business School.

Factor investing in corporate bonds: A capital structure approach

Stream: Alpha Investing

Time: 12:55

Speaker in the spotlight:

Hamza Bahaji

Head of Financial Engineering and Investment Solutions, Amundi ETF, Indexing & Smart Beta, Amundi

Stochastic correlation as a concealed key driver and a recipe for creating outperforming model

Stream: Alpha Investing

Time: 12:55

Speakers in the spotlight:

Vladimir Chorniy

Managing Director, Head of Risk Model Fundamentals and Research Lab, Senior Technical Lead, BNP Paribas

Introductions to pricing and risk for climate change

Stream: Climate Finance & ESG

Time: 12:15

Speaker in the spotlight:

Chris Kenyon

Global Head of Quant Innovation, MUFG Securities

Long bonds: The market developments

Stream: QuantMinds Deep Dive: Interest Rates

Time: 17:15

Speaker in the spotlight:

Jessica James

Managing Director, Senior Quantitative Researcher, Commerzbank AG