QUANT INSIGHTS CONFERENCE:
Black-Scholes 50th Anniversary
14th June 2023
08:30 - 14:30 EDT
Brought to you by
CQF Institute, Fitch Learning, and Wilmott
About the Conference
Join us for a special conference as we celebrate 50 years of the Black-Scholes Model and explore how it has helped to shape the world of quantitative finance. You can expect a packed schedule of talks and breakout sessions as well as the opportunity to connect with your peers and earn CPD credits.
Book your free ticket now to ensure you don't miss a minute of it.
Confirmed speakers and panelists. Click on the images below to explore abstracts and biographies.
Dr. Paul Wilmott
Certificate in Quantitative Finance (CQF)
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 Laura Ballotta
Professor in Mathematical Finance
Bayes Business School
Renewing Black-Scholes: Interpreting Renewal Waiting Times
Abstract coming soon.
Professor Laura Ballotta, Professor of Mathematical Finance, Bayes Business School
Professor Laura Ballotta works in the areas of quantitative finance and risk management. She has written on topics including stochastic modelling for financial valuation and risk management, numerical methods aimed at supporting financial applications, and the interplay between finance and insurance.
Dr. Robert Litterman
Dr. Robert Litterman, Founder, Kepos Capital
Dr. Robert Litterman is a founding partner of Kepos Capital and the Chairman of its Risk Committee. Prior to founding Kepos Capital in 2010, he enjoyed a 23-year career at Goldman Sachs & Co., where he served in research, risk management, investment, and thought leadership roles. He researched and published groundbreaking papers in asset allocation and risk management during his tenure at Goldman Sachs. He is co-developer of the Black-Litterman Global Asset Allocation Model. He is serving or has served on the board of Commonfund, Niskanen Center, Options Clearing Corporation, Resources for the Future, Robert Wood Johnson Foundation, the Sloan Foundation, the CFTC Climate Related Market Risk Subcommittee, and others.
He has a PhD in Economics from the University of Minnesota and a B.S. in Human Biology from Stanford University.
Kepos Capital, founded in 2010, is a registered investment adviser based in New York City. They manage over $2 billion in assets for a global, institutional investor base. Their investment strategies span from systematic macro to carbon transition and carbon allowance markets. Their models seek to deliver returns that are lowly correlated to broad market indices and other investment programs, and they continually evaluate and improve their process in response to new findings, changes in market conditions, and industry competition.
Professor Emanuel Derman
Professor of Financial Engineering
Professor Emanuel Derman, Professor of Financial Engineering, Columbia University
Emanuel Derman is a professor at Columbia University, where he directs their program in financial engineering. He was born in South Africa but has lived most of his professional life in Manhattan. He started out as a theoretical physicist, doing research on unified theories of elementary particle interactions. At AT&T Bell Laboratories in the 1980s he developed programming languages for business modeling. From 1985 to 2002 he worked on Wall Street where he co-developed the Black-Derman-Toy interest rate model and the local volatility model. He is the author of The Volatility Smile (Wiley, 2017), Models.Behaving.Badly (Free Press 2011) one of Business Week’s top ten books of 2011. He is also the author of My Life As A Quant (Wiley 2004), also one of Business Week's top ten of 2004, in which he introduced the quant world to a wide audience.
Senior Quantitative Researcher
Jessica James, Senior Quantitative Researcher, Commerzbank
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.
Dr. Ilia Bouchauev
Dr. Ilia Bouchauev, Managing Partner, Pentathlon Investments
Dr. Ilia Bouchouev is the former President of Koch Global Partners where he launched and managed global derivatives trading business for over 20 years. Over the years, he introduced several energy derivatives products and was recognized as one of the pioneers in energy options trading.
He is currently managing partner at Pentathlon Investments and adjunct Professor at New York University where he teaches energy trading at Courant Institute of Mathematical Sciences. He is also a research associate with Oxford Institute for Energy Studies.
He has Ph.D. in Applied Mathematics and published in recognized journals on derivatives pricing and energy markets. Dr. Bouchouev serves on the editorial board of Quantitative Finance. He is currently working on the book on quantitative oil trading.
Dr. David Orrell
Five Quantum Predictions related to the Pricing of Options
Abstract coming soon.
Dr. David Orrell, Principal, Systems Forecasting
Dr. David Orrell is an Applied Mathematician and the author of many books, including 'Quantum Economics' (2018); 'Quantum Economics and Finance: An Applied Mathematics Introduction' (2020); and 'Money, Magic, and How to Dismantle a Financial Bomb' (2022). He lives in Toronto.
Dr. Randeep Gug
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.
14th June 2023
08:30 - 14:30 EDT
Tickets are free for CQF Institute Members.
Not a member? Become a basic member for free to claim your complimentary ticket.
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.