Annual Quant Insights Conference

1st - 2nd November 2023
08:00 - 15:00 EDT
12:00 - 19:00 GMT
Globally Live-Online

Brought to you by
CQF Institute, Fitch Learning, and Wilmott

Days

2 Days

Speakers

14+ Talks

Price

Free Tickets

Post Conference

Video

About the Conference

The Quant Insights Conference took place on 1st and 2nd November 2023. Attendees enjoyed talks from some of the biggest names in quantitative finance including Dr. Paul Wilmott, Professor Jim Gatheral, Professor Natalie Packham, and more.

Missed the conference? The conference recordings are available to watch now on the CQF Institute website.

watch conference recordings

Conference Schedule

Day 1 Day 2

Day 1 - 1st November 2023

08:00 - 08:30 EDT

Virtual conference doors open - Familiarize yourself with the event platform

08:30 - 08:35 EDT

Welcome Remarks
Dr. Randeep Gug, Managing Director, CQF Institute

08:35 - 09:10 EDT

God's Money: The Key to Unlimited Clean Energy and the Age of Abundance Ahead
Professor Espen Gaarder Haug, Professor of Finance, Norwegian University of Life Science

09:10 - 09:45 EDT

20 Years of CQF and the Evolution of Quantitative Finance
Dr. Paul Wilmott, Founder, Certificate in Quantitative Finance (CQF)
Dan Tudball, Editor, Wilmott Magazine
Dr. Randeep Gug, CQF Institute, Managing Director

09:45 - 10:10 EDT

Break and Networking

10:10 - 10:45 EDT

Risk-Sensitive Investment Management: A Guide for Quants
Professor Sébastien Lleo, Professor of Quantitative Finance, NEOMA Business School

10:45 - 11:05 EDT

Break and Networking

11:05 - 11:40 EDT

Bond Futures: Delivery Option with Term Structure Modelling
Dr. Marc Henrard, Managing Partner, muRisQ Advisory

11:40 - 12:15 EDT

A Behavioral Economics Approach To AI Safety
Dr. Steve Phelps, Co-Founder, Mesonomics

12:15 - 12:50 EDT

Risk Factor Aggregation and Stress Testing
Professor Natalie Packham, Professor of Mathematics and Statistics, Berlin School of Economics and Law

12:50 - 13:20 EDT

Break and Networking

13:20 - 13:55 EDT

A Machine-Learning Tool for Visual Risk Analysis and Manager Selection
Dr. Claus Huber, Head of Quantitative Modelling and Analytics, Helvetia Insurance

13:55 - 14:30 EDT

Computing Skew-Stickiness
Professor Jim Gatheral, Presidential Professor of Mathematics, Baruch College, City University of New York

14:30 - 14:35 EDT

Closing Remarks
Dr. Randeep Gug, Managing Director, CQF Institute

Day 2 - 2nd November 2023

08:00 - 08:30 EDT

Virtual conference doors open - Familiarize yourself with the Hopin platform

08:30 - 08:35 EDT

Welcome Remarks
Dr. Randeep Gug, Managing Director, CQF Institute

08:35 - 09:10 EDT

Beyond Convexity
Dr. Jessica James, Senior Quantitative Researcher, Commerzbank

09:10 - 09:45 EDT

What is Quantum Computing?
Dr. Alonso Pena, Quantitative Analyst, European Investment Bank

09:45 - 10:20 EDT

A Novel Way to Diversify Portfolio Weights
Jean-Paul Jaegers, Head of Asset Allocation, Barclays

10:20 - 10:40 EDT

Break and Networking

10:40 - 11:15 EDT

What I Don't Like About Quant Finance
Dr. Paul Wilmott, Founder, Certificate in Quantitative Finance (CQF)

11:15 - 11:50 EDT

The Short Lira Put Option Investment - Wealth or Trap of Price Spikes Causing Disastrous Losses
Dr. Uwe Wystup, Founder and Managing Director, MathFinance AG

11:50 - 12:20 EDT

Break and Networking

12:20 - 12:55 EDT

The P2P Pandemic Swap: Decentralized Pandemic-Linked Securities
Daniel Linders, Associate Professor of Actuarial Science and Mathematical Finance, University of Amsterdam

12:55 - 13:20 EDT

Break and Networking

13:20 - 13:55 EDT

A Singular Variance Gamma Expansion
Dr. Peter Jaeckel, Founder, OTC Analytics

13:55 - 14:30 EDT

Keynote Speech
Nassim Taleb, Former Trader, Risk Specialist and Best-Selling Author

14:30 - 14:35 EDT

Closing Remarks
Dr. Randeep Gug, Managing Director, CQF Institute

Conference Speakers

Confirmed speakers and panelists. Click on the images below to explore abstracts and biographies.

Nassim Taleb
Former Trader, Risk Specialist and Best-Selling Author

Biography

Nassim Taleb, Former Trader, Risk Specialist and Best-Selling Author

Nassim Nicholas Taleb was an option arbitrage trader for more than two decades, closing more than half a million option transactions, before becoming a researcher and scholar of risk and probability. He is the author of NDynamic Hedging: Managing Vanilla and Exotic Options (Wiley 1997), which bridges the gap between theory and practice, as well as Statistical Consequences of Fat Tails (STEM 2020), on how to adapt statistical methods to handle nonGaussian distributions.

Taleb spent 12 years at NYU Tandon School of Engineering as a distinguished professor of risk engineering and published more than 80 technical papers related to applied probability. He has been since 2007 involved with Universa Investments. His nontechnical work, grouped in the Incerto (which includes The Black Swan and Antifragile, etc.) is published in 49 languages.

Professor Jim Gatheral
Presidential Professor of Mathematics
Baruch College, City University of New York

Abstract Biography

Computing Skew-Stickiness

Empirically, implied volatility moves proportionally to the implied volatility skew; the constant of proportionality, the skew-stickiness ratio (SSR) is roughly independent of time to expiry. We express the value of the SSR in terms of diamond trees (related to Bergomi-Guyon spot volatility autocorrelation functionals). We give examples of explicit computations.

Professor Jim Gatheral, Presidential Professor of Mathematics, Baruch College, City University of New York

Jim Gatheral is Presidential Professor of Mathematics at Baruch College, CUNY teaching mostly courses in the Masters of Financial Engineering (MFE) program. Prior to joining the faculty of Baruch College, Jim was involved in all of the major derivative product areas as bookrunner, risk manager, and quantitative analyst in London, Tokyo and New York, in a career in the financial industry that spanned over 27 years. Jim has served as a Managing Editor of the International Journal of Theoretical and Applied Finance and as Associate Editor of the SIAM Journal on Financial Mathematics; he currently serves with Michael Dempster as Joint Editor-in-Chief of Quantitative Finance. His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. Jim is also a frequent speaker at both practitioner and academic conferences around the world. His best-selling book, The Volatility Surface: A Practitioner's Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling. He received his Ph.D. in theoretical physics from Cambridge University, and a B.Sc. in Mathematics and Natural Philosophy from the University of Glasgow.

Dr. Paul Wilmott
Founder
Certificate in Quantitative Finance (CQF)

Abstract Panel Abstract Biography

What I Don't Like About Quant Finance

I continue with my theme, going back a quarter of a century at least, of things about quant finance that can be improved. Some of these are technical, some are pedagogical.

20 Years of CQF and the Evolution of Quantitative Finance

Join Dr. Paul Wilmott, Dr. Randeep Gug, and Panel Chair, Dan Tudball, as they commemorate the 20th anniversary of the Certificate in Quantitative Finance (CQF), discussing its history, key milestones, and the evolution of quantitative finance. They'll delve into industry challenges, trends, and CQF's adaptive approach over the years. The session will conclude with insights for future quants on essential skills and advice for success in the field.

Dr. Paul Wilmott, Founder, Certificate in Quantitative Finance (CQF)

Paul is the founder of the Certificate in Quantitative Finance and Wilmott.com and he is internationally renowned as a leading expert on quantitative finance. His research work is extensive, with more than 100 articles in leading mathematical and finance journals, as well as several internationally acclaimed books on mathematical modeling and derivatives, including the best-selling Paul Wilmott On Quantitative Finance, published by John Wiley & Sons.

Professor Natalie Packham
Professor of Mathematics and Statistics, Berlin School of Economics and Law

Abstract Biography

Risk Factor Aggregation and Stress Testing

Stress testing refers to the application of adverse financial or macroeconomic scenarios to a portfolio. For this purpose, financial or macroeconomic risk factors are linked with asset returns, typically via a factor model. We expand the range of risk factors by adapting dimension-reduction techniques from unsupervised learning, namely PCA and autoencoders. This results in aggregated risk factors, encompassing a global factor, factors representing broad geographical regions, and factors specific to cyclical and defensive industries. As the adapted PCA and autoencoders provide an interpretation of the latent factors, this methodology is also valuable in other areas where dimension-reduction and explainability are crucial.

Professor Natalie Packham, Professor of Mathematics and Statistics, Berlin School of Economics and Law

Dr. Natalie Packham is Professor of Mathematics and Statistics at Berlin School of Economics and Law and Principal Researcher within the International Research Training Group “High Dimensional Nonstationary Time Series” (IRTG 1792) at Humboldt University Berlin. Natalie has several years of industry experience as a front office software engineer at an investment bank, and is frequently involved in industry-related research and consulting projects. Her research expertise includes Mathematical Finance, Financial Risk Management and Computational Finance, and her academic work has been published in Mathematical Finance, Finance & Stochastics, Quantitative Finance, Journal of Applied Probability and many other academic journals. She is associate editor of “Quantitative Finance” amongst other journals. Natalie holds an M.Sc. in Computer Science from the University of Bonn, a Master’s degree in Banking & Finance from Frankfurt School, and a Ph.D. in Quantitative Finance from Frankfurt School.

Professor Espen Gaarder Haug
Professor of Finance
Norwegian University of Life Science

Abstract Biography

God's Money: The Key to Unlimited Clean Energy and the Age of Abundance Ahead

The talk will briefly outline different money systems and discuss various aspects of them. It will quickly cover topics such as gold-backed money, fractional fiat money, and what can be called darwinistic money. Additionally, the presentation will explore the interconnection between energy and the monetary systems. In the modern world, there is an increasing demand for a significant amount of clean energy. Clean energy has become a focal point for politicians, the general public, and companies alike.

At times, it becomes crucial to revisit the fundamental principles of physics to fully comprehend our current position and objectives. It's worth emphasizing that many of today’s clean energy projects, such as liquid hydrogen, carbon capture from gas combustion, and nuclear fission and fusion, are designed to harness less than 1% of the potential energy as indicated by fundamental physics. Despite the substantial investments made by governments and corporations, the majority of these efforts only scratch the surface of the energy reserves we could potentially tap into. This underscores an immense untapped reservoir of energy, accounting for 99% of the total available energy, and this is once again linked to a special type of money—namely, God’s Money!

Professor Espen Gaarder Haug, Professor of Finance, Norwegian University of Life Science

Espen Gaarder Haug has accumulated over 30 years of experience in derivatives trading and research. He served as a proprietary option trader at J.P. Morgan Chase in New York and as a trader for the hedge fund Paloma Partners. Dr. Haug's prolific publications span journals such as Quantitative Finance, the International Journal of Theoretical and Applied Finance, and Wilmott Magazine.

He currently holds the position of Professor of finance at the Norwegian University of Life Science. Despite being professor in finance he has over the past decade primarily dedicated his efforts to research in the field of physics, particularly focusing on developing a full quantum gravity theory. Professor Haug has also authored numerous articles at the intersection of finance and physics, highlighting the connection between these two disciplines, his talk will be along some of these lines.

Dr. Jessica James
Senior Quantitative Researcher
Commerzbank

Abstract Biography

Beyond Convexity

The recent transition from zero or even negative yields to higher yield environments caught many investors by surprise. The ‘low for longer’ mindset drove the issuance of century bonds from even high quality credits. But these instruments cannot be understood in this environment using familiar duration and convexity approximations - these get it badly wrong. We derived for the first time analytic expressions for these ‘beyond convexity’ terms, and use them to explain the catastrophic loss of value incurred for holders of the super long bonds.

Dr. Jessica James, Senior Quantitative Researcher, Commerzbank

Dr. Jessica James is a Senior Quantitative Researcher at Commerzbank in London. She joined Commerzbank from Citigroup where she held a number of FX roles, latterly as Global Head of the Quantitative Investor Solutions Group. Prior to this she was the Head of Risk Advisory and Currency Overlay Team for Bank One. Before her career in finance, James lectured in physics at Trinity College, Oxford. She holds a BSc in Physics from Manchester University and a D. Phil. in atomic and nuclear physics from Oxford University.

Her significant publications include the ‘Handbook of Foreign Exchange’ (Wiley), 'Interest Rate Modelling' (Wiley), and 'Currency Management' (Risk books). Her latest books include ‘FX Option Performance’ (Wiley, 2015), ‘Quantitative Finance’ (IoP, 2017) and ‘Random Walks in Fixed iNcome and Foreign Exchange’ (de Gruyter, to be published 2021). She has been closely associated with the development of currency as an asset class, being one of the first to create overlay and currency alpha products.

Jessica is a Visiting Professor both at UCL and at The Business School, University of London. She is a Managing Editor for the Journal of Quantitative Finance. Apart from her financial appointments, she is a Fellow of the Institute of Physics and has been a member of their governing body and of their Industry and Business Board.

Daniel Linders
Associate Professor of Actuarial Science and Mathematical Finance
University of Amsterdam

Abstract Biography

The P2P Pandemic Swap: Decentralized Pandemic-Linked Securities

In the wake of the 2014 Ebola outbreak, the World Bank created the first ever pandemic bond in 2017, an innovative solution to provide emergency financing to poor countries facing pandemic risk. However, the bond has been slow to payout in the COVID-19 pandemic, drawing mounting criticism for failing to deliver its promise of emergency funding. Many called for structural reforms of the pandemic bond in order to address fundamental flaws of the funding mechanism exposed by COVID-19.

The paper presents an alternative to the current bond design by introducing a peer-to-peer (P2P) structure. While preserving the mechanism of pandemic contingent debt instrument, the P2P structure offers more flexibility with payment triggers catering to the needs of individual countries and better inclusion of co-funding agencies beyond bond investors. The work is intended to bring fresh perspectives to the ongoing debate on the development of international framework for health emergency preparedness and response.

Daniel Linders, Associate Professor of Actuarial Science and Mathematical Finance, University of Amsterdam

Daniel Linders is an Associate Professor of Actuarial Science and Mathematical Finance at the University of Amsterdam. He completed a Doctoral Program in Business Economics from KU Leuven (Belgium), with a thesis on measuring herd behavior in financial markets. Daniel has held various academic positions. He was an Assistant Professor at the University of Illinois (US), a postdoctoral researcher at TUM (Germany) and a visiting lecturer at the Université Libre de Bruxelles and the University of Antwerp. Daniel’s research is situated at the crossovers between actuarial science and quantitative finance. He has written several publications in actuarial science and quantitative finance.

Jean-Paul Jaegers
Head of Asset Allocation
Barclays

Abstract Biography

A Novel Way to Diversify Portfolio Weights

There is broad agreement among academics and practitioners that, in general, a diversified portfolio delivers more robust out-of-sample performance than a concentrated one. This session covers a new method to diversify portfolio weights, which does not rely on expected returns or volatilities and is therefore robust to measurement error in these variables. It uses pair-wise regressions to estimate how much variation each asset explains in terms of another asset. The optimisation function finds the portfolio weights that maximise the unexplained variation of the portfolio. We benchmark our method to established methods from the literature, such as the minimum volatility and the equal risk contribution portfolios. We demonstrate that our method adheres to established diversification properties.

Jean-Paul Jaegers, CFA, CQF, Head of Asset Allocation, Barclays

As Head of Asset Allocation for Barclays Private Bank and Wealth Management, Jean-Paul leads the team focussed on the core investment offering covering Strategic Asset Allocation (SAA), Tactical Asset Allocation (TAA), and multi asset research.

Jean-Paul Jaegers joined Barclays in 2018, and following his role as Head of Investment Strategy, in July 2019 became Head of Asset Allocation. Jean-Paul joined from Prudential UK, where he was senior investment strategist for the multi asset ‘with profit’ funds. Prior to that, Jean-Paul was senior portfolio manager and deputy head of research in the multi asset solutions teams at BNP Paribas Asset Management and Fortis Investments.

Jean-Paul has 18 years of experience in the investment management sector. He has a Masters in Finance from Maastricht University (The Netherlands), is a CFA charter holder and CQF qualified. Jean-Paul is a frequent contributor of economic and capital market’s insight to CNBC, Reuters and various other media outlets.

Dr. Marc Henrard
Managing Partner
muRisQ Advisory

Abstract Biography

Bond futures: Delivery Option with Term Structure Modelling

Bond futures are characterised by a set of underlying bonds; the short party has the option to deliver at expiry any of those underlying bonds. Consequently, bond futures embed a choice option between bonds with different maturities and coupons. The delivery mechanism also incorporates conversion factors that create an implicit strike. The option is impacted by different maturities and different moneyness for each bond. It is important to take into account the full term structure of volatility with smile. A recent paper Bang and Daboussi (2022) developed such an approach for swap rate based products like CMS. In this paper we extend their approach to cover futures and apply it to the specific case of bond futures. The method allows the analysis of the impact of smile, term structure of volatility and correlations between rates on the delivery option and convexity adjustment values. All of them have an impact on the valuation and risk management of bond futures.

Dr. Marc Henrard, Managing Partner, muRisQ Advisory

Dr. Marc Henrard is a Managing Partner at muRisQ Advisory, a niche quantitative finance advisory firm specialising in interest rate modelling and risk management. Over the last 20 years, Marc has worked in various areas of quantitative finance including risk management, trading, software development, and quantitative analysis.

Marc's research focuses on interest rate modelling and risk management. More recently he focused his attention to market infrastructure (benchmark transition, initial margin, product design, quantitative impacts of regulation). He authored two books: The multi-curve framework: foundation, evolution, implementation and Algorithmic Differentiation in Finance Explained. Marc holds a PhD in mathematics from the University of Louvain, Belgium.

Professor Sébastien Lleo
Professor of Quantitative Finance
NEOMA Business School

Abstract Biography

Risk-Sensitive Investment Management: A Guide for Quants

Risk-sensitive investment management (RSIM) has emerged as a powerful approach that leverages the mathematics of stochastic control to address dynamic investment management problems. This talk presents RSIM and examines three practical implications of RSIM for investment managers:

1. RSIM models serve as a valuable tool for understanding and explaining the outcomes of realistic dynamic models. For example, they offer closed-form approximations of stochastic programming models.

2. RSIM sheds light on crucial investment management questions. RSIM enables practitioners to analyze the impact of various factors on investment performance, unravel the dynamics between active and passive management strategies, investigate the mechanics of learning within investment decisions, assess the value of expert opinions, and evaluate the effectiveness of stress test scenarios.

3. RSIM casts light on perilous strategies and practices that can lead to catastrophic losses for investment funds, such as excessive betting or overbetting.

Professor Sébastien Lleo, Professor of Quantitative Finance, NEOMA Business School

Sébastien Lleo, Ph.D., is a professor of quantitative finance at NEOMA Business School in France, known for his extensive international expertise in academia and the financial sector. With a research portfolio encompassing investment management, stochastic control, statistical machine learning, behavioral finance, and risk management, Sébastien has made significant contributions through numerous publications and co-authored books. As an accomplished educator, he has successfully taught a diverse range of international audiences, from business students to seasoned professionals and executives. His ability to connect with students from various backgrounds and levels of expertise has been highly valued throughout his career. Alongside his passion for finance, he has a deep personal interest in world history, finding inspiration and intellectual stimulation within the narratives of the past.

Notable achievements include serving as the inaugural Director for NEOMA's Doctoral School, where he spearheaded the development of a groundbreaking Ph.D. in Management and a DBA program. He also led the coordination of the RISKPERFORM project, a venture supported by Région Champagne Ardenne and FEDER. Additionally, he has designed a sophisticated risk analytics system for CMHC Pension Fund, showcasing his practical expertise.

Sébastien's dedication to interdisciplinary learning, along with his academic credentials (Ph.D. in Mathematics, HDR in Social Science and Humanities, and IMBA) and prestigious certifications (CFA Charterholder, Certified Financial Risk Manager, Professional Risk Manager, and CQF alumnus), have established him as a respected academic figure.

Dr. Alonso Pena
Quanitative Analyst
European Investment Bank

Abstract Biography

What is Quantum Computing?

Quantum Computing is about the application of the principles of quantum physics to information technology. We read every day that quantum computers are becoming a reality, offering incredibly fast solutions to complex problems in physics, engineering, cryptography, medicine, logistics, meteorology, drug design, finance. Public and private institutions around the world announce new initiatives to fund research and development in this field. Books and articles are written. Courses are taught. Jobs advertised. A true revolution indeed! In this talk we present a brief overview of quantum computing, from qubits to quantum circuits to quantum computers.

Dr. Alonso Pena, Quantitative Analyst, European Investment Bank

Alonso is a Quantitative Analyst with extensive industry and academic experience. He works at the European Investment Bank, Luxembourg. He has been SDA Professor at the SDA Bocconi School of Management in Milan, Honorary Senior Visiting Fellow at the University of Cambridge, Associate Tutor for the Certificate in Quantitative Finance, and full-time quantitative analyst at Thomson Reuters and Unicredit Group.

He has taught in-house at the European Central Bank, the European Commission, HSBC, BNP Paribas, UBS, RBS, Bank of England, Prudential Regulatory Authority (UK), Bank of Italy, HM Treasury, Bank of Tokyo Mitsubishi, ING, European Investment Bank, European Investment Fund, De Nederlandsche Bank, Royal Bank of Sweden (Sveriges Riksbank), Nordic Investment Bank, J.P. Morgan, amongst others. He has more than 50 publications in scientific and professional journals, and is the author of the book "Advanced Quantitative Finance with C++".

Alonso has a PhD in finite element analysis from the University of Cambridge, a BSc in physics, the CQF from Fitch Learning and has been elected Fellow of the Institute of Mathematics and its Applications (IMA).

Dr. Peter Jaeckel
Founder
OTC Analytics

Abstract Biography

A Singular Variance Gamma Expansion

We give an analytical expansion for option prices and Black implied volatilities consistent with the Variance Gamma model based on a singular expansion of the standard gamma density in terms of the Dirac function and its derivatives.

Dr. Peter Jaeckel, Founder, OTC Analytics

Dr. Peter Jaeckel is the Founder and Managing Director of OTC Analytics. He received his DPhil in Physics from Oxford University in 1995. After a period in academic research, he migrated into quantitative analysis and financial modeling in 1997, when he joined Nikko Securities.

When Nikko closed down its European operations in 1998, he changed to NatWest, which later became part of the Royal Bank of Scotland group. In 2000, he moved to Commerzbank Securities’ product development group, and headed up the team jointly with a co-head from 2003.

From September 2004 to May 2008, he was with ABN AMRO as Global Head of Credit, Hybrid, Inflation, and Commodity Derivative Analytics. Peter is the author of the book Monte Carlo Methods in Finance (2002) and a series of articles on financial mathematics and derivatives models.

Dr. Claus Huber
Head of Quantitative Modelling and Analytics
Helvetia Insurance

Abstract Biography

A Machine-Learning Tool for Visual Risk Analysis and Manager Selection

This talk describes the application of Kohonen’s self-organising maps (SOMs), a method of machine learning, to the problem of selecting managers, for example hedge funds, to achieve stable portfolio performance. The appealing visualisation capabilities of SOMs can be used to identify similarities in return structures of managers and hence avoid risk concentrations in a portfolio. The talk reports on results of a project on applying SOMs as decision-support tool in Asset Management.

Dr. Claus Huber, Head of Quantitative Modelling and Analytics, Helvetia Insurance

Claus is the Head of Quantitative Modelling and Analytics at Helvetia Insurance in Basel, Switzerland, where his team develops digital tools for Strategic and Tactical Asset Allocation, risk budgeting, overlay management, manager selection, visual representation of complex data structures, and a few more. In previous roles he developed new investment products for Quantitative Multi Asset Funds and, as Head of Digital Transformation, drove the development of new tools and data products that allow smart data usage and sharing. As the founder of Rodex Risk Advisers LLC, based in Altendorf (Switzerland), he advised clients on risk management and quantitative investment solutions, for example, a Machine Learning approach to select hedge fund managers. He has extensive experience as entrepreneur, risk manager, credit strategist, hedge fund analyst, and government bond trader and worked for hedge funds, banks, and insurance companies.

Dr. Uwe Wystup
Founder and Managing Director
MathFinance AG

Abstract Biography

The Short Lira Put Option Investment - Wealth or Trap of Price Spikes Causing Disastrous Losses

Selling 15-Delta EUR Call TRY Put options in a regime of a steadily growing spot rate can be tempting, especially when volatilities are high. The idea is to keep the initial premium and let the options expire. We consider a case study where a position was force-closed during August 2018 when EUR-TRY spiked.

Dr. Uwe Wystup, Founder and Managing Director, MathFinance AG

Uwe Wystup is the Founder and Managing Director of MathFinance AG, an independent consulting company that specializes in FX derivatives models.

Uwe got his PhD in Mathematical Finance with Steven E. Shreve at Carnegie Mellon University, he is the author of two books “Foreign Exchange Risk” and FX Options and Structured Products”, writes the FX column for Wilmott magazine and published in many academic journals.

Uwe is professor of Foreign Exchange Derivatives at University of Antwerp, and honorary professor of Quantitative Finance at Frankfurt School of Finance & Management, certified public expert for currency markets at Frankfurt’s Chamber of Commerce, the Expert Witness Institute and the Panel of Recognized International Market Experts in Finance, and also acts as a judge at the Financial Court of the state of Hessen and the Frankfurt Commercial Court.

Ever since he started his FX options front-office role at Citibank in 1992 he has been a great fan and contributor of FX markets.

Dr. Steve Phelps
Co-Founder
Mesonomics

Abstract Biography

A Behavioral Economics Approach To AI Safety

AI Alignment is often presented as an interaction between a single designer and an artificial agent in which the designer attempts to ensure the agent's behavior is consistent with its purpose, and risks arise solely because of conflicts caused by inadvertent misalignment between the utility function intended by the designer and the resulting internal utility function of the agent. With the advent of agents instantiated with large-language models (LLMs), which are typically pre-trained, we argue this does not capture the essential aspects of AI safety because in the real world there is not a one-to-one correspondence between designer and agent, and the many agents, both artificial and human, have heterogeneous values which change over time. Therefore, there is an economic aspect to AI safety and the principal-agent problem is likely to arise. In a principal-agent problem conflict arises because of information asymmetry together with inherent misalignment between the utility of the agent and its principal, and this inherent misalignment cannot be overcome by coercing the agent into adopting a desired utility function through training. We argue the assumptions underlying principal-agent problems are crucial to capturing the essence of safety problems involving pre-trained AI models in real-world situations. In this talk, I will discuss experiments in which we investigated how large-language models behave in principal-agent conflicts, how they respond to changes to changes in information asymmetry, and whether they can establish trust through reciprocity. I will conclude by outlining a research programming investigating the use of incentive engineering to create safer AI systems.

Dr. Steve Phelps, Co-Founder, Mesonomics

Steve has experience of the electronic-commerce and financial sectors, having worked for a number of SMEs and blue-chip companies, with a total of over ten years of commercial software engineering experience. He co-founded a startup company, Ripple Software Ltd., which developed econometric analysis tools for powersellers in the eBay market place, and later Victria Ltd which delivered a prototype dark-pool trading platform. He is interested in developing methods for using big data sets to systematically calibrate agent-based simulation models, in order to try and better understand the role of learning and adaptation in explaining some of the phenomena that are observed in empirical financial time-series data, which cannot be accounted for by the classical theoretical models in this field.

Dan Tudball
Editor
Wilmott Magazine

Panel Abstract Biography

20 Years of CQF and the Evolution of Quantitative Finance

Dan Tudball, Editor, Wilmott Magazine

Dan Tudball is the Editor of Wilmott Magazine, the respected publication serving quantitative finance practitioners in finance, industry, and academia. The magazine publishes new work from leading authors in the field alongside columns from industry greats, and editorial reflecting the lifestyles and interests of a qualitatively demanding readership.

Dr. Randeep Gug
Managing Director
CQF Institute

Panel Abstract Biography

20 Years of CQF and the Evolution of Quantitative Finance

Dr. Randeep Gug, CQF Institute, Managing Director

Dr. Randeep Gug is the Managing Director of the CQF Institute and a lecturer on the Certificate in Quantitative Finance (CQF). Prior to joining Fitch Learning, Randeep worked in a variety of roles. He spent five years working in the Equities division at Salomon Smith Barney and later traded futures and options on the Indian National Stock Exchange (NSE). More recently he has spent time teaching mathematics at all levels. He is a qualified teacher, holds a 1st class honours degree and a PhD for research in semiconductor physics. He is a CQF Alumnus, achieving a distinction on the programme and his current interests are based around improving and promoting the teaching and learning of Quant Finance.

Conference Recordings

Missed the conference? The conference recordings are available to watch now on the CQF Institute website.

watch conference recordings

Conference Organizers

Quant Insights is presented by the CQF Institute, Fitch Learning, & Wilmott

Promoting the highest standard in practical financial engineering, the CQF Institute, part of Fitch Learning, is a global membership organization dedicated to educating and building the quantitative finance community. The CQF Institute is also the awarding body for the Certificate in Quantitative Finance (CQF) the world’s largest professional qualification in quantitative finance.

Part of the Fitch Group, Fitch Learning partners with businesses to help develop the future leaders of the financial services industry. Alongside centers in established financial hubs, Fitch Learning utilizes a best-in-class technology platform to deliver blended learning solutions that maintain the personal element of development.

Wilmott is the leading resource for the quant finance community, comprised a website and discussion forum and Wilmott magazine.

Explore more Quant Insights Conferences

Quant Insights Conference:

Portfolio Management in Quant Finance

Date

23rd March 2023

Time

10:30 - 17:35 GMT

Quant Insights Conference:

Black-Scholes 50th Anniversary

Date

14th June 2023

Time

09:00 - 16:30 EDT

Quant Insights Conference:

Machine Learning in Quant Finance

Date

21st September 2023

Time

13:30 - 20:00 CEST

Annual Quant Insights Conference

About the Conference

Proudly supported by

Conference Schedule

Conference Speakers

Nassim Taleb, Former Trader, Risk Specialist and Best-Selling Author

Computing Skew-Stickiness

Professor Jim Gatheral, Presidential Professor of Mathematics, Baruch College, City University of New York

What I Don't Like About Quant Finance

20 Years of CQF and the Evolution of Quantitative Finance

Dr. Paul Wilmott, Founder, Certificate in Quantitative Finance (CQF)

Risk Factor Aggregation and Stress Testing

Professor Natalie Packham, Professor of Mathematics and Statistics, Berlin School of Economics and Law

God's Money: The Key to Unlimited Clean Energy and the Age of Abundance Ahead

Professor Espen Gaarder Haug, Professor of Finance, Norwegian University of Life Science

Beyond Convexity

Dr. Jessica James, Senior Quantitative Researcher, Commerzbank

The P2P Pandemic Swap: Decentralized Pandemic-Linked Securities

Daniel Linders, Associate Professor of Actuarial Science and Mathematical Finance, University of Amsterdam

A Novel Way to Diversify Portfolio Weights

Jean-Paul Jaegers, CFA, CQF, Head of Asset Allocation, Barclays

Bond futures: Delivery Option with Term Structure Modelling

Dr. Marc Henrard, Managing Partner, muRisQ Advisory

Risk-Sensitive Investment Management: A Guide for Quants

Professor Sébastien Lleo, Professor of Quantitative Finance, NEOMA Business School

What is Quantum Computing?

Dr. Alonso Pena, Quantitative Analyst, European Investment Bank

A Singular Variance Gamma Expansion

Dr. Peter Jaeckel, Founder, OTC Analytics

A Machine-Learning Tool for Visual Risk Analysis and Manager Selection

Dr. Claus Huber, Head of Quantitative Modelling and Analytics, Helvetia Insurance

The Short Lira Put Option Investment - Wealth or Trap of Price Spikes Causing Disastrous Losses

Dr. Uwe Wystup, Founder and Managing Director, MathFinance AG

A Behavioral Economics Approach To AI Safety

Dr. Steve Phelps, Co-Founder, Mesonomics

20 Years of CQF and the Evolution of Quantitative Finance

Dan Tudball, Editor, Wilmott Magazine

20 Years of CQF and the Evolution of Quantitative Finance

Dr. Randeep Gug, CQF Institute, Managing Director

Conference Recordings

Conference Organizers

Explore more Quant Insights Conferences

Portfolio Management in Quant Finance

Black-Scholes 50th Anniversary

Machine Learning in Quant Finance

Follow the CQF Institute