Annual Quant Insights Conference
2nd - 3rd November 2022
08:30 - 14:30 EST
13:30 - 19:30 GMT
Brought to you by
CQF Institute, Fitch Learning, and Wilmott
About the Conference
The Annual Quant Insights Conference will be back this November for an exciting two-day, online event. This conference will bring together some of the biggest names in quant finance to discuss the latest industry innovations.
Tickets are free for all CQF Institute members and include: access to all talks and panels, breakout and networking activities, plus video on demand. Become a CQF Institute member for free to claim your complimentary ticket today.
Confirmed speakers and panelists. Click on the images below to explore abstracts and biographies.
Dr. Jean-Philippe Bouchaud
President & Head of Research
Capital Fund Management
Excess Out-of-Sample Risk and Fleeting Modes
Using Random Matrix Theory, we propose a universal and versatile tool to reveal the existence of "fleeting modes", i.e. portfolios that carry statistically significant excess risk, signalling ex-post a change in the correlation structure in the underlying asset space. Our proposed test is furthermore independent of the "true" (but unknown) underlying correlation structure. We show empirically that such fleeting modes exist both in futures markets and in equity markets. We proposed a metric to quantify the alignment between known factors and fleeting modes and identify momentum as a source of excess risk in the equity space.
Dr. Jean-Philippe Bouchaud, President & Head of Research, Capital Fund Management
Dr. Jean-Philippe Bouchaud was born in France in 1962. After studying at the French Lycée of London, he graduated from the Ecole Normale Supérieure in Paris, where he also obtained his PhD in physics. He was then appointed by the CNRS until 1992. After a year spent in the Cavendish Laboratory (Cambridge), he joined the Service de Physique de l’Etat Condensé (CEA-Saclay), where he worked on the dynamics of glassy systems and on granular media. He became interested in economics and theoretical finance in 1991. His work in finance includes extreme risk models, agent-based simulations, market microstructure and price formation. He has been very critical about the standard concepts and models used in economics and in the financial industry (market efficiency, Black-Scholes models, etc.). He founded the company Science & Finance in 1994 that merged with Capital Fund Management (CFM) in 2000. He is the President and Head of Research at CFM and professor at Ecole Polytechnique since 2008. He was awarded the IBM young scientist prize in 1990 and the C.N.R.S. Silver Medal in 1996. He has published over 300 scientific papers and several books in physics and in finance.
Professor Alexander Lipton
Global Head, Research & Development
Abu Dhabi Investment Authority
Blockchains, Decentralized Financial Market Infrastructure and Decentralized Finance
This talk discusses some of the most recent developments in the cryptocurrency ecosystem. Specifically, we review stable coins, their classification, potential applications, and related topics. We also address the emerging field of Decentralized Financial Market Infrastructure (dFMI) and Decentralized Finance (DeFi), including Automated Market Makers (AMM). We explain the corresponding mathematics, economics, and technology behind and elaborate on the pros and cons of these developments. Finally, we argue that, despite obvious teething problems, which are both severe and numerous, dFMI has a bright future.
Professor Alexander Lipton, Global Head, Research & Development, Abu Dhabi Investment Authority
Professor Alexander Lipton is Global Head, Research & Development at Abu Dhabi Investment Authority, Professor of Practice at Khalifa University, Visiting Professor and Dean’s Fellow at the Jerusalem Business School of the Hebrew University of Jerusalem, and Connection Science Fellow at MIT. Alex is a Co-Founder and Advisor at Sila – a company providing banking, digital wallet & ACH payments API for software teams, and an advisory board member of several fintech companies worldwide. In 2006–2016, Alex was Co-Head of the Global Quantitative Group and Quantitative Solutions Executive at Bank of America. Earlier, he was a senior manager at Citadel, Credit Suisse, Deutsche Bank, and Bankers Trust. At the same time, Alex held visiting professorships at EPFL, NYU, Oxford University, Imperial College, and the University of Illinois. Prior to becoming a quant, Alex was a Full Professor of Mathematics at the University of Illinois, and a Consultant at the Los Alamos National Laboratory. In 2000 he was awarded the Inaugural Quant of the Year Award and in 2021 the Buy-side Quant of the Year Award by Risk Magazine. Alex authored/edited eleven books and more than a hundred scientific papers on thermonuclear physics, astrophysics, applied mathematics, financial engineering, and distributed ledgers. He frequently gives keynote presentations on Quantitative Finance and FinTech at conferences and forums worldwide. In 2021, Alex published three books Blockchain and Distributed Ledgers: Mathematics, Technology, and Economics (with A. Treccani), Building the New Economy (with A. Pentland and T. Hardjono), and Generalized Integral Transforms in Mathematical Finance (with A. Itkin and D. Muravey).
Professor Dilip Madan
Professor Emeritus of Mathematical Finance
Robert H. Smith School of Business
Professor Dilip Madan, Professor Emeritus of Mathematical Finance, Robert H. Smith School of Business
Dilip Madan is Professor Emeritus of Mathematical Finance at the Robert H. Smith School of Business. Currently he serves as a consultant to Morgan Stanley, and Norges Bank Investment Management. He is a founding member and Past President of the Bachelier Finance Society. He received the 2006 von Humboldt award in applied mathematics, was the 2007 Risk Magazine Quant of the year, received the 2008 Medal for Science from the University of Bologna, held the 2010 Eurandom Chair and is the IAQF Financial Engineer of the Year 2021. He has published over 200 papers and serves on the Advisory Board of Frontiers of Mathematical Finance and as a Director of the Scientic Association of Mathematical Finance.
Dr. Marc Henrard
Swap Rate fallback: unreasonable effectiveness of approximations and alternatives
Cash-settled swaptions with collateral discounting are impacted by the Swap Rate fallback mechanisms decided by working groups/ISDA. The legacy vanilla swaptions are becoming exotic products, as the mechanism is based on a non-linear transformation of the OIS swap rate, and generate convexity adjustments. It turns out that those two effects almost cancel each other and lead to almost vanilla products. We analyse those cancelling effects and the risk management impacts. Based on those insights, we propose an adjusted fallback mechanism that reduces further the exotic features and simplify further the risk management of the legacy book.
Dr. Marc Henrard, Managing Partner, muRisQ Advisory
Marc Henrard is a Managing Partner at muRisQ Advisory and visiting professor at University College London. Over the last 20 years, Marc has worked in various areas of quantitative finance including risk management, trading, software development, and quantitative research.
Marc's research focuses on interest rate modelling and risk management. 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.
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.
2nd - 3rd November 2022
08:30 - 14:30 EDT
13:30 - 19:30 GMT
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.