Quantminds - Agenda

14-18 May 2018
Hilton Hotel, Lisbon
Quant Invest Summit

Inspiring next gen quant investment strategies
Monday, 14 May, 2018
07.45 Registration & welcome coffee
08.20 Chairman’s opening remarks
Market conditions: Interest rates volatility and liquidity
08.30 Dealing with a persistently low interest rate environment
How to change the design of products and your hedging strategy using derivatives to better manage interest
rate risk and ALM?
Aymeric Kalife, Head of Savings & Variable Annuities & Deputy Group Life Chief Actuary, AXA
GROUP
09.10 Quantifying liquidity
Developing analytics to accurately measure, model and trade liquidity
09.50 Using machine learning methods for volatility trading
Examining Models for realized volatility estimation and forecast. Applying machine learning to model
selection, volatility trading and asset allocation
Artur Sepp, Director & Senior Quant, JULIUS BAER GROUP
10.30 Morning coffee & networking break
How are quants cornering the alternative beta market?
11.00 Panel discussion
Passive aggressive: Will smart beta strategies eclipse active management?
Weighing up the performance of passive/smart beta strategies alongside active managers and hedge funds
Philip Stoltzfus, CEO, THAYER BROOK PARTNERS LLP
Simon Weinberger, Managing Director, Scientific Active Equities, BLACKROCK
Emanuel Burgener, Head Of Quantitative Research And Development, ECAMOS CAPITAL AG
Michael Steliaros, Global Head of Quantitative Execution Services, GOLDMAN SACHS
11.40 Alternative Beta and quant ETFs: How accurately can they capture hedge fund performance?
How significant are the varying alternative beta factors to determine a more robust expectation of
performance?
Alexandru Agachi, Co-Founder & COO, EMPIRIC CAPITAL
12.20 Latest advances in systematic investing
Nick Baltas, Head of R&D, Systematic Trading Strategies, GOLDMAN SACHS
13.00 Lunch
Asset allocation and portfolio management
14.00 The evolution of asset allocation
A journey from the first quantitative techniques to the age of AI
Charbel Gereige, Software Developer, BLACKROCK
14.40 Factor based allocation model approaches
What signals are most predictive in this universe and over what time scale? How best to combine alphas and
then use them to forecast long-short equity strategies?
15.20 Afternoon tea & networking break
Generating alpha through quant innovations

15.50 Machine Learning in asset management
Why machine learning now, how and for who?
Grigorios Papamanousakis, Deputy Head of Systematic Asset Solutions, STANDARD LIFE
ABERDEEN
16.30 Alpha generation – Staying ahead of the crowd

Exploiting inefficiencies in the market through innovative uses of tech
Nicolas Mirjolet, Founding Partner and Chief Investment Officer, TOLOMEO CAPITAL
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14-18 May 2018
17.10 Deep Trading

Applications of deep reinforcement learning to systematic trading
Richard Turner, Director of Research, THE CAMBRIDGE STRATEGY
17.50 Chairman’s closing remarks
18.00 Networking drinks reception & champagne roundtable discussion groups
A chance for everyone to network and relax after the day’s presentations and discussions.
Champagne roundtables offer delegates a chance to delve deeper into timely topics of the day and network
with specific VIP speakers
19.30 End of Quant Invest Summit
2
14-18 May 2018
QuantTech Summit
Latest developments & practical implementations of blockchain, big data, machine
learning & HPC
07.45 Registration & Welcome Coffee
08.20 Chairman’s opening remarks

How is blockchain and cryptocurrency changing business in the financial world?
08.30 The economics of cryptocurrencies
If a cryptocurrency becomes securitised can futures of bitcoin be replicated? To what extent are
cryptocurrencies a Ponzi scheme?
09.10 Fixing foundational value of blockchain to inform reliable trading strategies
How is the finance industry creating products using cryptocurrencies as an underlying asset?
Examining real possibilities and applications of Distributed Ledger Technologies
Which applications are game changing for finance and why?
Massimo Morini, Head of Interest Rate and Credit Models, BANCA IMI
Breakthroughs in big data and machine learning that are transforming the way quants operate
11.00 Building practical data visualisation applications
How to draw conclusions from your numerical data using visual tools
11.40 Organising mass amounts of data for natural language programming
How to effectively curate the data, index it and build proper databases for analysis
12.20 Recent advances in probabilistic time series forecasting
Discussing High Performance Computing aspects of training and parallel time-series predictions
Leo Razoumov, Principal Machine Learning Scientist, AMAZON
13.00 Lunch
Machine learning: Finding the right use-cases

14.00 Neural networks applied to credit risk decisions
How banks are changing the way they approach traditional problems
14.40 Using deep learning to understand FX rates, interest rates and Brexit
How much computational resources do you really need?
HPC and quantum computing – What new problems can be solved?

15.50 Practitioner perspective
Industry breakthroughs in quantum computing
An inside glimpse into how quantum computing is starting to be applied to finance
Alexei Kondratyev, Managing Director, Financial Markets, STANDARD CHARTERED BANK
Davide Venturelli, Science Operations Manager at USRA Research Institute for Advanced Computer
Science - Quantum AI Laboratory, NASA AMES RESEARCH CENTER
16.30 Google Case Study
Examining the advantage to be gained from quantum optimisation
How is the Google Quantum Artificial Intelligence Lab using new hardware and computer architecture to
accelerate computations?
Vasil Denchev, Chief Quantum Software Architect, Quantum Artificial Intelligence Lab, GOOGLE
Recent progress and near-term impact of quantum computing
Reaching beyond the hype and addressing the latest breakthroughs
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14-18 May 2018
17.50 Chairman’ closing remarks

Champagne roundtables offer delegates a chance to delve deeper into timely topics of the day and network
with specific VIP speakers
19.30 End of QuantTech Summit
Volatility Workshop
This workshop covers many practical aspects of volatility data, modelling, risk management, and trading. It
provides notably a step by step explanation of how to construct a volatility surface, how to implement a
Local Volatility model and various extensions of it, how to price and manage variance swaps, how to exploit
links between various volatility derivatives. It provides detailed examples of trading and risk management of
popular exotic products.
Workshop leader: Bruno Dupire, Head Of Quantitative Research, BLOOMBERG L.P.
8.30 Registration, breakfast & networking time
9.00 Workshop leader’s opening remarks
9.05 Fundamentals
 Historical volatility estimation and implied volatility calculation
 How to construct a good implied volatility surface
 How to compute a fair skew in the absence of options
 Market facts: volatility regimes, handling earnings
11.00 Volatility models
 Review of the most commonly used volatility models: Black-Scholes, Local Volatility model, Heston
model, SABR models, stochastic local volatility model. Path dependent models, fractional volatility
 Implementation of the Local Volatility model
 Implementation of Local Stochastic Volatility models
 Machine Learning to create data driven models
 Case studies: Barrier options, AutoCallables and Accumulators
12.30 Lunch
13.30 Volatility derivatives
 Variance swaps, replication, practical issues

 Volatility swaps
 Cross corridor variance swaps
 VIX: Spot, Futures, options and ETFs
 Options on realized variance
15.00 Afternoon coffee & networking break
15.30 Volatility trading & arbitrage
 Volatility as an asset class
 Frequency/phase arbitrage
 Skew trades
 Term structure of VIX arbitrage
 Earning trades: 3 ways to play forward variance
17.00 Workshop leader's closing remarks
17.15 End of workshop
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14-18 May 2018
Main Conference Day 1

Tuesday, 15 May, 2017
08.20 Chairman’s opening remarks In the boardroom
discussions
08.30 Guest behavioural economic insight: Simple heuristics that make us smart Data and machine
Weighing up real world heuristics vs. theory learning – What’s the
big deal?
Gerd Gigerenzer, Director, MAX PLANCK INSTITUTE FOR HUMAN
DEVELOPMENT AND HARDING CENTER FOR RISK LITERACY IN BERLIN
09.10 Global regulations: Interpreting the latest quantitative implications for banks MiFID II impacts on
& buy-side trading
How is today’s regulatory environment impacting the financial quantitative Michael Steliaros,
GOLDMAN SACHS
landscape? How to comply time and cost efficiently whilst maintaining strong
profitability?
09.50 Cross-sector panel discussion 09.50 – 10.30
Frontiers in big data, machine learning and supercomputing SACCR – The basics
of how it is
What Finance can learn from scientific applications
implemented
Marcos López de Prado, Research Fellow, CORNELL UNIVERSITY
David Leinweber, Founder, Center for Innovative Financial Technology, 10.30 – 11.10
The future of LIBOR
LAWRENCE BERKELEY NATIONAL LABORATORY
Fabio Mercurio,
Leo Razoumov, Principal Machine Learning Scientist, AMAZON BLOOMBERG L.P.
Horst Simon, Deputy Director, LAWRENCE BERKELEY NATIONAL
LABORATORY
STREAM A STREAM B STREAM C STREAM D STREAM E
Algo Trading, Interest Rate Option Pricing & CCR, Collateral & Behavioural
E-Trading & Modelling Volatility Central Clearing psychology
Machine Learning
11.40 Chairman’s opening Chairman’s opening Chairman’s opening Chairman’s opening Masterclass in social
remarks remarks remarks remarks intelligence:
Intuition,
11.45 Using AI for trade Negative rates, Analytic formula Counterparty loss cooperation and
anomaly detection negative fees for barrier option modelling for influencing people
Alexander Giese, Luis Seco, pricing CCAR Gerd Gigerenzer,
UNICREDIT Matthias Arnsdorf, MAX PLANCK
UNIVERSITY OF PETER AUSTING,
TORONTO CITADEL JPMORGAN INSTITUTE FOR
CHASE HUMAN
DEVELOPMENT AND
12.25 Bayesian asset Volatility Theta I – What and Is the CCP world HARDING CENTER
pricing for modelling for how? well suited to FOR RISK LITERACY
algorithmic vanilla rates Lorenzo Bergomi, rapid regime IN BERLIN
trading options SOCIÉTÉ change such as
Vinayak Pathak, Sebastian GÉNÉRALE Brexit?
SCOTIABANK Schlenkrich,
D-FINE GMBH
13.05 Lunch Plus meet the VIP lunch tables
5
14-18 May 2018

Algo Trading, Interest Rate Option Pricing & CCR, Collateral & Systematic
E-Trading & Modelling Volatility Central Clearing investment
Machine Learning strategies
14.05 LOXM Overcoming Local stochastic DIM for cleared Chairman’s opening
developments: negative rates in volatility derivatives: remarks
Using deep yield curve modelling “Forecasting the Trend following
computational forecast” strategy: Adapting to
reinforcement modelling
challenges Fabrizio Anfuso, regime change
learning for Michael Dempster,
CREDIT SUISSE Arta Babaee,
electronic trading UNIVERSITY OF
THAYER BROOK
David Fellah, CAMBRIDGE
PARTNERS LLP
JPMORGAN
CHASE
14.45 Machine learning Convexity with Effective Counterparty Smart beta in
driven trading collateral approximations of Trading Limits treasuries: Value and
switch/floor zero coupon Revisited: CSAs, momentum revisited
options, semi- IM, SwapAgent®,
bond/survival Riccardo Rebonato,
analytic approach from PFE to PFL
Emiliano Papa, probabilities and Chris Kenyon, EDHEC
DEUTSCHE BANK Arrow Debreu LLOYDS BANKING
Prices in short GROUP
rate models
Luca Capriotti,
CREDIT SUISSE
15.55 Deep portfolio: Counterparty A new pricing CDS Rate ETFs vs. cash stock
Using deep credit risk: A multi model for cash- construction investing and trading
learning for interest rate curve settled swaptions method by
model for
portfolio Raoul Pietersz, machine learning
exposure
construction and modelling ABN AMRO techniques
signal integration Andre Süss, Zhongmin Luo,
Shilong Yang, CREDIT SUISSE BIRKBECK,
JPMORGAN UNIVERSITY OF
CHASE LONDON
16.35 Volatility, Random field Swaptions, bonds Submodular risk Recent progress in
correlation & LIBOR market and equities in allocation impact dynamics
market impact model HJM models Samim Ghamami, Michael Benzaquen,
U.S.
microstructure developments Viatcheslav ECOLE
DEPARTMENT OF
dynamics: Tao Wu, Belyaev, THE TREASURY, POLYTECHNIQUE
The fallacy of ILLINOIS ALLIANZ LIFE OFR
using single stock INSTITUTE OF
algos for portfolio FINANCE
trading
Michael Steliaros,
GOLDMAN SACHS
17.15 Algorithmic Variable annuities: Quantum pricing Heston calibration Sustainable and
indices: How to Underlying risks models – for counterparty impact investing
build strategies and sensitivities Application of risk Svetlana Borovkova,
Imad Chahboun,
matching the infinite Marco de VRIJE UNIVERSITEIT
FEDERAL
views of the client RESERVE BANK dimensional group Innocentis, AMSTERDAM
without any OF BOSTON representation in CREDIT SUISSE
overdose fitting derivative pricing
Adil Reghai, Gregory Pelts,
NATIXIS WELLS FARGO &
CO
17.55 Chairman’s closing Chairman’s closing Chairman’s closing Chairman’s closing Chairman’s closing
remarks remarks remarks remarks remarks
6
14-18 May 2018

Champagne Discussion Groups offer delegates a chance to delve deeper into timely topics of the day and
network with specific VIP speakers
19.00 End of Main Conference Day 1

Wednesday, 16 May, 2018
Innovations In Volatility Regulation & FRTB Computational & Quant 2.0: Being A
Data, Modelling & Modelling & Numerical Quant In The New
Quant Finance Trading Efficiency Era
08.20 Chairman’s opening Chairman’s Chairman’s opening Chairman’s opening Chairman’s opening
remarks opening remarks remarks remarks remarks
08.25 An extension of On the joint Examining Supercomputing Introduction to

the Heston Model calibration of SPX inconsistencies and machine learning
for P and Q and VIX options between regulatory superintelligence John Hull,
risk capital Horst Simon,
measure Julien Guyon, UNIVERSITY OF
demands and LAWRENCE
modelling of FX BLOOMBERG equity market BERKELEY TORONTO
options L.P. capital in reality NATIONAL
Riccardo Dilip Madan, LABORATORY
Rebonato, UNIVERSITY OF
EDHEC MARYLAND
09.05 Deep primal-dual Diamonds: A The world of many Advanced AAD State of the industry
algorithm for quant’s best curves and applications for address: Where is
BSDEs: friend regulations PDE and Monte the future for
Application of Jim Gatheral, Jessica James, Carlo pricing
quants?
machine learning BARUCH COMMERZBANK Luca Capriotti,
to CVA and IM COLLEGE, CUNY AG CREDIT SUISSE
Pierre Henry-
Labordere,
SOCIÉTÉ
GÉNÉRALE
09.45 Modelling and Quantum bounds The revised Basel Recent progress in Advances in
hedging variable for option prices CVA framework AAD tool financial machine
annuity Paul McCloud, Michael Pykhtin, development for learning
NOMURA FEDERAL C++
guarantees – Marcos López de
RESERVE BOARD Uwe Naumann,
challenges and RWTH AACHEN Prado, LAWRENCE
opportunities UNIVERSITY BERKELEY
Jeanine Kwong, NATIONAL
MANULIFE LABORATORY
7
14-18 May 2018
10.25 Forecasting loan Theta II – Barrier Applying machine Getting to grips Blockchain: How to
utilization using options learning to reduce with Vectorisation practically use it in
neural networks: Lorenzo Bergomi, the computational financial markets?
quantifying the SOCIÉTÉ burden of FRTB
Massimo Morini,
improvement of GÉNÉRALE IMA
hidden layers Chongxian Zhu, BANCA IMI
Tore Opsahl, LLOYDS BANKING
BANK OF GROUP
AMERICA
MERRILL LYNCH
11.35 Regression and Tough vol Banks as regulated GPU usage in Managing quant
information Jesper traders efficient training of minds
criteria Andreasen, Diana Iercosan, neural networks Manlio Trovato,
FORMER FEDERAL LLOYDS BANKING
Tyler Ward,
DANSKE BANK RESERVE BOARD GROUP
GOOGLE
12.15 Quant vs. Trading and TRIM and industry New 4-factor model Risk measures for
machine: pricing rough best practice with jumps-at- rogue traders with S-
Derivative pricing volatility models default for pricing shaped utility
by machine Damiano Brigo,
Quanto CDS and an
learning IMPERIAL COLLEGE
Wim Schoutens, RBF approach to
LONDON
UNIVERSITY OF solving a system of
LEUVEN 4D PDEs
Andrey Itkin,
BANK OF
AMERICA MERRILL
LYNCH
12.55 How are To what extent Incorporating Basel Financial cash-flow World Cup:
regulatory can rough IV in KVA: scripting: Beyond A quantitative
leverage volatility be used implementation valuation analysis of balance
constraints
in a variety of and impact Antoine Savine, and fairness
driving innovative
changes in markets and Matteo Rolle, DANSKE BANK Julien Guyon,
business asset classes? LLOYDS BANKING BLOOMBERG L.P.
practices? GROUP
13.35 Lunch Plus meet the VIP lunch tables

14.35 Machine learning, Stepping MiFID II: Programming Lessons from an
neural networks Stochvol (SSV) Implementing the languages: ethical hacker:
and NLP within Peter Friz, transparency Crowning the best In a world of
derivatives pricing
TU BERLIN, requirements for in today’s unlimited data what
Youssef
WEIERSTRAß- derivatives challenging are the security
Elouerkhaoui,
INSTITUT BERLIN transaction environment? implications and
CITIGROUP
charges how can you be
continually vigilant
to cyber threats?
15.15 Zero covariation Volatility by MiFID II: How to Numerical methods Freakyclown,
returns with jumps trade equities for multi- ETHICAL HACKER
portfolio Laura Ballota, efficiently? dimensional AND SOCIAL
equations ENGINEER
constructions CASS BUSINESS
based on support SCHOOL
vector machine Chairman’s closing
regressions remarks
Dilip Madan,
UNIVERSITY OF
MARYLAND
8
14-18 May 2018
16.25 Deep statistical State of the art Standardised Approximation

hedging models for approach vs. methods
Hans Buehler, forecasting internal models
JPMORGAN volatility and
under FRTB Panel discussion
CHASE correlation
Lukas Gonon, How useful are
ETH Zurich asymptotics in
financial
engineering?
17.05 Non-arbitrage free Multi-asset P&L attribution Efficient pricing of
modeling stochastic using grid credit hybrid
volatility methodology for derivatives
modelling
large scale Colin Turfus,
Hamza
Guennoun, portfolios within DEUTSCHE BANK
SOCIÉTÉ banks
GÉNÉRALE
17.45 Chaos and the Local volatility How to define the Fast analytical
Garch model with NMRF and how to approximations to
Fabio Mercurio, stochastic avoid extra PDEs
interest rates and
BLOOMBERG L.P. charges? Richard Martin,
efficient
calibration by APOLLO GLOBAL
PDE method MANAGEMENT
Julien Hok,
CREDIT
AGRICOLE-CIB
18.25 Chairman’s closing Chairman’s closing Chairman’s closing Chairman’s closing
remarks remarks remarks remarks
Champagne Discussion Groups offer delegates a chance to delve deeper into timely topics of the day and
network with specific VIP speakers
19.30 End of Main Conference Day 2
9
14-18 May 2018

Thursday, 17 May, 2018
08.20 Chairman’s opening remarks In the boardroom
discussions
08.30 Derivatives and the past and future of quantitative finance Reforming CCP
Breakthroughs in modern portfolio theory and the evolution of derivatives business models using
Emanuel Derman, Professor, COLUMBIA UNIVERSITY technology
09.10 High performance computing: Practical tools & real world applications Challenges and pitfalls
What problems can high levels of computational performance solve and is it in FRTB
worth the investment?
09.50 Cyber hacker address New developments in
How I rob banks model validation and
hear anecdotes from a 20+ year career in ethical hacking, social engineering and model risk
physical assessments management
Freakyclown, Ethical Hacker and Social Engineer
10.30 Hannibal ad Portas Breakthroughs in
Impact of fintech on incumbent financial institutions volatility trading
Alexander Lipton, Founder and CEO, STRONGHOLD LABS strategies
STREAM A STREAM B STREAM C
FX, Commodities & Trading XVA Techniques & Risk Management, Model risk &
Innovations Advancements Liquidity
11.40 Chairman’s opening remarks Chairman’s opening remarks Chairman’s opening remarks
11.45 Can FX trading benefit from Panel discussion Model risk assessment: The model of
machine learning? Capital & Margin Optimisation models
Patrik Karlsson, SEB CAPITALAB Eulogio Cuesta, SANTANDER
12.25 Cross currency derivatives KVA Revisited Rates regimes for risk modelling
developments Andrew Green, SCOTIABANK Vladimir Chorniy and
Vinay Kotecha, BNP PARIBAS
13.05 Lunch Plus Meet The VIP Lunchtables
14.05 Valuing a full requirements How to price and model initial Learning the Optimal Risk
contract as a real option by the margin accurately Marco Bianchetti and Marco Scaringi,
method of eigenclaims in the INTESA SANPAOLO
non-markovian approach
Valery Kholodnyi,
WOLFGANG PAULI INSTITUTE
14.45 Liquidity and high frequency Capital Valuation Adjustment: Best practices in marking illiquid
trading in the world of an indifference approach instruments to model
commodities Damiano Brigo,
IMPERIAL COLLEGE LONDON
15.25 Managing risks of long term Approximation methods for Constructing a model inventory:
energy pricing agreements KVA under the Final Basel III Implications for reporting and
Paul Edge, EDP Framework compliance
Rodney Hoskinson, Alberto Elices, SANTANDER
ANZ BANK
16.05 Afternoon Tea & Networking Break
16.35 Using big data to trade FX Tackling the asymmetric FVA What scenarios for consistent hedge &
Saeed Amen, CUEMACRO problem VaR calculations?
Nadhem Meziou, NATIXIS
10
14-18 May 2018
17.15 Identifying jumps in commodity Computing XVA: What are the Bermudan swaption model risk
futures prices efficient methods analysis: A local volatility approach
Michael Dempster, Juliusz Jabłecki,
UNIVERSITY OF CAMBRIDGE NARODOWY BANK POLSKI
17.55 Chairman’s Closing Remarks Chairman’s Closing Remarks Chairman’s Closing Remarks
18.00 End of QuantMinds Main Conference
11
14-18 May 2018
Technical Workshops
Friday, 18 May, 2018Day
Hands-On Adjoint Coding

The course provides a hands-on introduction to adjoint algotithmic differentiation (AAD). Both
manual coding of adjoints and the use of an operator overloading AAD tool for C++ (dco/c++) will
be considered. Hybrid schemes include combinations of hand coding and use of operator
overloading as well as integration of local finite difference approximations (bumping) into adjoint
code. Participants are encouraged to bring their laptops in order to draw full benefit from the
interactive hands-on coding sessions. A C++ compiler should be installed. A trial version of
dco/c++ will be distributed. The general adjoint code generation rules are formulated in a
language-independent fashion. We use C++ for examples including the main case study in form
of a LIBOR market simulation.
Workshop leaders:
- Luca Capriotti, Managing Director - Head Quantitative Strategies Global Credit Products
EMEA, CREDIT SUISSE
- Uwe Naumann, Professor of Computer Science, RWTH Aachen University

9.00 Workshop leaders' opening remarks
9.05 Fundamentals of adjoints in finance (Capriotti)
Monte Carlo and pathwise derivative method, algebraic adjoint approaches, adjoint Algorithmic
Differentiation (AAD), AAD and the pathwise derivative method, first applications.
Hands-on exercise.
11.00 Hand-written adjoint of LIBOR model code (Naumann)
Introducing LIBOR model and adjoint code generation rules, interactive / step by step manual
coding of adjoint LIBOR code. Hands-on exercise.
12.30 Lunch
13.30 Further case studies and AAD for PDE methods (Capriotti)
Case Study: Correlation Greeks for Basket Default Contracts, Case Study: Real Time Risk
Management of Counterparty Risk and XVAs, Application to Partial Differential Equations,
Market Prices Sensitivities, Calibration and the Implicit Function Theorem, Case Study: Market
Prices Sensitivities of Default Intensity Models
15.30 Adjoints by overloading & application to LIBOR model code (Naumann)
Introducing dco/c++, interactive / step by step dco/c++ adjoint of LIBOR code, hands-on
exercise, outlook to advanced issues in AAD and dco/c++ support
12
14-18 May 2018
Market Risk and the Fundamental Review of the Trading Book

The Fundamental Review of the Trading Book is making the quantification of market risk for
regulatory purposes more sophisticated than ever before. This workshop will explain key
concepts underlying both the standardized approach and the internal models approach. It will
also discuss some of the more controversial aspects of FRTB such as the P&L attribution and
non-modellable risk factors.
Workshop leader:
John Hull, Maple Financial Professor Of Derivatives & Risk Management at Joseph L. Rotman School of
Management, UNIVERSITY OF TORONTO
9.00 Workshop leaders' opening remarks
9.05 Risk measures
 VaR and expected shortfall
 Coherent risk measures
 Allocation and aggregation of risk measures
 Backtesting
11.00 Calculation methods
 Historical simulation and its extensions
 Stressed VaR and expected shortfall
 Extreme value theory
 Model Building approach and its use in SIMM and FRTB
12.30 Lunch
13.30 FRTB 1
 The history: Basel I and Basel II.5
 FRTB innovations: stressed expected shortfall and liquidity horizons
 Standardised approach in FRTB
 Weighted sensitivity approach
15.30 FRTB 2
 Internal models approach in FRTB
 Cascade approach
 Trading book vs. banking book boundary
 P&L attribution and backtesting
13
14-18 May 2018
Modern Option Pricing

In this workshop we will address various aspects and techniques of modern option pricing. We will
introduce mathematical tools, old and new, and explain how they can be used to solve modern
quantitative finance problems. The tools include McKean stochastic differential equations,
backward stochastic differential equations (BSDEs), branching diffusions, linear programming,
machine learning techniques, and optimal transport. They will be applied to a variety of
challenging issues that are crucial for risk-management and model risk assessment: the exact
calibration of models to market smiles; the valuation of derivatives under parameter uncertainty;
the computation of the credit valuation adjustment (CVA) and initial margin (IM) of a large book of
derivatives; and the derivation of model-independent bounds for option prices, given the prices of
vanilla options. Implementation details will be provided, together with illustrative examples.
- Pierre Henry-Labordere, Quant, Global Markets Quantitative Research, SOCIÉTÉ GÉNÉRALE
- Julien Guyon, Senior Quant, BLOOMBERG L.P.

9.00 Workshop leader’s opening remarks
9.05 The particle method for smile calibration
 Introductory example: Local stochastic volatility
 The particle method: implementation details
 Adding stochastic rates and stochastic repo/dividend yield
 Path-dependent volatility
 Local correlation
 Cross-dependent volatility
11.00 Stochastic control techniques and applications
 Hamilton-Jacobi-Bellman
 Backward Stochastic Differential Equations
 Uncertain volatility model
 Uncertain default rate model
 Different rates for borrowing and lending
 Portfolio optimization
12.30 Lunch
1.30 Computing CVA and IM
 The semilinear PDE for CVA and IM computations
 Marked branching diffusions
 Neural networks
 Application to CVA and IM computations
3.30 Model-free bounds for option prices
 Primal problem: Linear programming formulation
 Dual problem: Optimal transport
 Martingale optimal transport
 Example: Bounds for VIX futures and VIX options given S&P 500 smiles
14

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14-18 May 2018

Hilton Hotel, Lisbon

Quant Invest Summit

Generating alpha through quant innovations

16.30 Alpha generation – Staying ahead of the crowd

17.10 Deep Trading

08.20 Chairman’s opening remarks

Machine learning: Finding the right use-cases

HPC and quantum computing – What new problems can be solved?

17.50 Chairman’ closing remarks

 Variance swaps, replication, practical issues

Main Conference Day 1

13.05 Lunch Plus meet the VIP lunch tables

STREAM A STREAM B STREAM C STREAM D STREAM E

18.00 Networking drinks reception & champagne roundtable discussion groups

19.00 End of Main Conference Day 1

Main Conference Day 2

08.25 An extension of On the joint Examining Supercomputing Introduction to

13.35 Lunch Plus meet the VIP lunch tables

15.55 Afternoon tea & networking break

16.25 Deep statistical State of the art Standardised Approximation

Main Conference Day 3

18.00 End of QuantMinds Main Conference

Hands-On Adjoint Coding

8.30 Registration, breakfast & networking time

Market Risk and the Fundamental Review of the Trading Book

Modern Option Pricing

8.30 Registration, breakfast & networking time

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