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 08:30: Morning Welcome Coffee

 Chair: 

To be confirmed 


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:  

Moderator:  

  • Alexandre Antonov: Director, Standard Chartered Bank

 Panelists:   

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

Topics: 

  • 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: On the Joint Calibration of SPX and VIX Options   

  • Past attempts
  • New approach for continuous models on the SPX
  • The case of instantaneous VIX: Necessary and sufficient condition for joint calibration
  • The real case of 30 day VIX: Inversion of convex ordering of VIX2 and local VIX2
  • Inversion of convex ordering using fast mean-reverting and highly volatile volatility
  • Inversion of convex ordering using rough volatility 

Presenter: Julien Guyon: Senior Quant, Bloomberg L.P.


11.45 - 12.30: Topic and Presenter to be Confirmed


Lunch: 12.30 - 13.30


13.30 - 14.15: Optimal Investment

 

Presenter: Vladimir Piterbarg


14.15 - 15.00: "Smile Modelling in Commodity Markets" 

  • Derivatives on Commodity Futures
  • Fast Calibration of Future Option Smile
  • Forward Curve and Volatility Smile Dynamics
  • Numerical Investigations in Realistic Settings  

Presenter: Andrea Pallavicini: Head of Equity, FX and Commodity models, BANCA IMI


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