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 08:30: Morning Welcome Coffee


Martin Engblom: Co CEO triCalculate, TriOptima, a NEX Group Company  

09.00 - 09.45: Keynote Speech

Presenter: Vacslav Glukhov, PhD: Executive Director, Linear Quantitative Research, Global Equities, J.P. Morgan (To be confirmed)

Topics in Self-Learning Agents and Traditional Quantitative Models in Finance  

  • What can we draw from our experience of training and running an industry first self-learning agent for electronic order execution?
  • Will traditional hand-crafted heuristic- and quant-based execution algorithms go extinct within 10 years?
  • Does the success of ML and AI agents in finance indicate the eventual demise of traditional quantitative models?
  • Practical aspects of using feeder models and heuristics in AI agents for trading applications.
  • Do we have practical solutions for the equivalence puzzle in Neural Nets

 09.45 - 10.30: XVA, AAD, Intial Margin & FRTB Panel:  


  • Alexandre Antonov: Director, Standard Chartered Bank


  • Andrew Green: Managing Director and XVA Lead Quant, Scotiabank
  • Andrew Mcclelland: Director, Quantitative Research, Numerix
  • Ignacio Ruiz: Founder & CEO, MoCaX Intelligence
  • Gilles Artaud: Market and Counterparty Risk, Credit Agricole-CIB
  • Assad Bouayoun: Director, XVA Senior Quant, Scotiabank


  • Initial Margin, a push for more model standardization? Good or bad?
  • How do you interpret the regulatory requirements to validate and monitor SIMM, and how would a firm best go about meeting those requirements?
  • SIMM relies on counterparts calculating their own sensitivities. Do the panelists foresee that causing any problems meeting requirements or additional costs?
  • Discuss Implementing SIMM for Non Cleared Initial Margin Rules
  • Explore the interaction between MVA and XVAs:  
    • What does MVA mean for XVA overall? Can you simplify the valuation adjustments?
    • Understand the impacts of initial margin, bi-lateral initial margin and MVA on business models
    • Is it possible to ensure transparency of derivative pricing calculation to reduce disputes 

XVA & Machine Learning   

  • Discuss the existing and potential applications of machine learning in XVA

Discuss the Impact of FRTB on XVA’s: 

  • How will the latest proposed regulations impact CVA calculations
  • Review what are the most important factors to take into account when calculating the new CVA
  • Calculating & Implementing FRTB CVA. How will it affect banks’ internal modelling for counterparty risk and risk management?

10.30 – 11.00: Morning Break and Networking Opportunities

11.00 - 11.45: Accelerated MVA in the Probability Matrix Method

  • Introduction to the Probability Matrix Method
  • Simulating IM using full SIMM and CCP formulas
  • Practical examples and benchmarks
  • Live demo

Presenter: Martin Engblom: Co CEO triCalculate, TriOptima, a NEX Group Company 

11.45 - 12.30: Algorithmic Differentiation Through Least-Squares Monte Carlo: CVA Greeks and MVA for Callables 

  • Pathwise methods for CVA Greeks and future value Greeks for MVA both require differentiation of continuation values over model parameters
  • When using LSMC, algorithmic differentiation can be applied in reverse mode (CVA) and forward mode (MVA) for efficiency
  • Careful inspection of the regression algorithm reveals specific dependencies, namely those of coefficients on contemporaneous states, which vanish as the sample size grows large
  • Ignoring these dependencies dramatically simplifies propagation and yields significant reductions in the computational expense with minimal impact on accuracy
  • We present a set of illustrative examples involving Bermudan swaptions 

Presenter: Andrew Mcclelland: Director, Quantitative Research, Numerix

Lunch: 12.30 - 13.30

13.30 - 14.15: Low-Memory Algorithmic Adjoint Propoagation   

  • Recall: Tape-based algorithmic adjoints
  • Low development effort adjoints by taping to disc
  • Separation of randomly and sequentially accessed data
  • Minimisation of size of randomly accessed data   

Presenter: Uwe Naumann, Professor for Computer Science, RWTH AACHEN UNIVERSITY

14.15 - 15.00: Algorithmic Adjoint & GPU Solution and Performance Figures   

Presenter: Andrew Green: Managing Director and XVA Lead Quant, Scotiabank

15.00 – 15.15: Afternoon Break and Networking Opportunities

15.15 - 16.00: Closing Presentation 

Examining Real Possibilities and Applications of Distributed Ledger Technologies 

  • Which applications are game changing for finance and why?

Presenter: Massimo Morini: Head of Interest Rate and Credit Models, Banca IMI 

  End of Conference