Quant Insights Conference:
QUantum Computing in Quant Finance

5th June 2024
09:00 - 14:30 EDT
Globally Live-Online

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

Days

1 Day

Speakers

8 Talks

Price

Free Tickets

Post Conference

Video

About the Conference

The Quantum Computing in Quant Finance Conference took place on 5th June 2024. Attendees enjoyed talks from some of the leading figures in quantitative finance including Dr. David Orrell, Dr. David Garvin, and more.

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

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Conference Schedule

5th June 2024

09:00 - 09:30 EDT

Virtual conference doors open - Familiarize yourself with the event platform

09:30 - 09:35 EDT

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

09:35 - 10:10 EDT

Predicting Recessions using Quantum Machine Learning Techniques
Dr. David Garvin, Head of Applications, Quantum Finance, Rigetti Computing

10:10 - 10:45 EDT

Probability Distribution Classification Problem
Dr. Oleksiy Kondratyev, Quantitative Research & Development Lead, Abu Dhabi Investment Authority (ADIA)

10:45 - 11:20 EDT

What is Quantum Computing? (pre-recorded session)
Dr. Alonso Pena, Quantitative Analyst, European Investment Bank

11:20 - 11:40 EDT

Break and Networking

11:40 - 12:15 EDT

Confessions of a Quantum Tourist in Finance
Dr. Taha Jaffer, Lecturer, University of Toronto

12:15 - 12:50 EDT

Quantum Monte Carlo
Rafal Pracht, CTO, finQbit

12:50 - 13:25 EDT

Break and Networking

13:25 - 14:00 EDT

A Quantum Finance Approach to Option Pricing
Dr. David Orrell, Principal, Systems Forecasting, and Dominic Widdows, Research Scientist, IonQ

14:00 - 14:05 EDT

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

14:05 - 14:30 EDT

End of day networking

Conference Speakers

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

Dr. Oleksiy Kondratyev
Quantitative Research & Development Lead
Abu Dhabi Investment Authority (ADIA)

Abstract Biography

Probability Distribution Classification Problem

The probability distribution classification is one of the most challenging problems of modern quantitative finance. The problem can be formulated as follows. Let us assume that we have two sets of samples (either ordered or not), in the most general case of unequal size, drawn from the unknown multivariate probability distributions. Can we say with the desired degree of confidence whether these samples were drawn from the same probability distribution or not? This problem has many direct applications to the practical use cases such as detection of structural breaks, graduation testing, monitoring of alpha decay and time series analysis.

Dr. Oleksiy Kondratyev, Quantitative Research & Development Lead, Abu Dhabi Investment Authority (ADIA)

Oleksiy Kondratyev is Quantitative Research & Development Lead at Abu Dhabi Investment Authority (ADIA). Prior to joining ADIA in July 2021, he held quantitative research and data analytics positions at Standard Chartered, Barclays Capital and Dresdner Bank. Oleksiy holds MSc in Theoretical Physics from Taras Shevchenko National University of Kyiv and PhD in Mathematical Physics from the Institute for Mathematics, National Academy of Sciences of Ukraine. He was the recipient of 2019 Risk magazine Quant of the Year award.

Dr. David Orrell
Principal
Systems Forecasting

Abstract Biography

A Quantum Finance Approach to Option Pricing

Quantum finance treats the financial system as a quantum-native system which is best expressed in terms of quantum probability. This talk shows how the quantum approach can be applied to calculate option prices in two ways. One is to estimate the implied volatility using the quantum implied volatility (QIV) model, which assumes a particular price distribution. A second method is to compute option prices from the quantum distribution directly. We show how similar distributions can be produced using simplified quantum walk models that run on currently available, intermediate-scale quantum computers.

Dr. David Orrell, Principal, Systems Forecasting

David Orrell is an applied mathematician and the author of many books, including Quantum Economics: The New Science of Money; Quantum Economics and Finance: An Applied Mathematics Introduction; and (with Paul Wilmott) The Money Formula: Dodgy Finance, Pseudo Science, and How Mathematicians Took Over the Markets. He is also a founding editor of the journal Quantum Economics and Finance. David resides in Toronto, Canada.

Dominic Widdows
Research Scientist
IonQ

Abstract Biography

A Quantum Finance Approach to Option Pricing

Quantum finance treats the financial system as a quantum-native system which is best expressed in terms of quantum probability. This talk shows how the quantum approach can be applied to calculate option prices in two ways. One is to estimate the implied volatility using the quantum implied volatility (QIV) model, which assumes a particular price distribution. A second method is to compute option prices from the quantum distribution directly. We show how similar distributions can be produced using simplified quantum walk models that run on currently available, intermediate-scale quantum computers.

Dominic Widdows, Research Scientist, IonQ

Dominic Widdows is a research scientist at IonQ, with many years of contributions to mathematics, artificial intelligence, and natural language processing, particularly as a researcher at Oxford and Stanford and a software engineer / data scientist at Google, Microsoft, Grab, and LivePerson. In commercial language processing Dominic worked on core semantic language modeling technologies, and applications including search, ontology learning, information extraction, and machine translation.

Dominic’s biggest research area has been in building and semantic vector models and uncovering their mathematical roots shared with quantum theory, including applying models based on quantum logic and entanglement to relation extraction and reasoning.

Dominic has helped author over 70 journal and conference papers, and the book Geometry and Meaning. His contributions to creating and supporting open-source projects have included Infomap NLP, SemanticVectors, SkyMap, pilmaps, and lplangid.

Two of Dominic's pleasures are gardening and playing music.

Rafal Pracht
CTO
finQbit

Abstract Biography

Quantum Monte Carlo

Quantum computers could revolutionize the financial industry. One promising use case is the Quantum Amplitude Estimation algorithm, which provides a quadratic speedup over classical Monte Carlo.

The speech will introduce quantum computing and classical Monte Carlo and then present an overview of quantum Monte Carlo for derivative pricing. Next, the talk will describe the main stage of the algorithm: loading stochastic difference equations on quantum computers, calculating the pay-off function, and extracting the expected value using the QAE algorithm.

In the final part, the speech shows how to combine Quantum Machine Learning and Quantum Monte Carlo to price the American Option using a quantum algorithm inspired by the classical direct method.

Rafal Pracht, CTO, finQbit

Rafał Pracht is a prominent Quantum Software Engineer and Researcher specializing in using quantum computers for financial engineering. He graduated in Applications of Quantum Computing at MIT xPRO and is recognized as IBM Qskit Advocates, the group of the finest minds in quantum computing worldwide. He is an experienced software architect who has worked in financial risk management for leading institutions such as Moody's Analytics and Deloitte. During his career, he has participated in many projects in the finance area in the US, the UK, France, the Middle East, Poland, and Eastern Europe.

He was a quantum researcher at BNP Paribas, and he created novel, cutting-edge quantum algorithms for loading stochastic differential equations on the quantum computer using the Quantum Bionimal Tree and for pricing American Options on the quantum computer.

Currently, he is the CTO at FinQbit, responsible for creating a cutting-edge platform and algorithms for risk management using quantum computers.

Dr. David Garvin
Head of Applications, Quantum Finance
Rigetti Computing

Abstract Biography

Predicting Recessions using Quantum Machine Learning Techniques

Many tasks in quantitative finance relate to using time series for prediction. We investigate the prediction of recessions using financial and economic time series. A technique using classical signature kernels combined with quantum feature maps is proposed. Results obtained from running the method on Rigetti's quantum computing platform are compared against classical benchmarks.

Dr. David Garvin, Head of Applications, Quantum Finance, Rigetti Computing

David Garvin is Head of Applications, Quantum Finance at Rigetti Computing. David focuses on researching, developing and implementing financial industry applications of quantum computing. Previously he worked in the Quantum Computing Office at NEC and at QxBranch, a quantum applications company acquired by Rigetti in 2019..

David has over 20 years experience as a Front-Office Quant in the Finance Industry. Previously, he served as the Global Head of Quantitative Analysis at the Commonwealth Bank of Australia. Prior to that, he was a Director at Deutsche Bank and a Quant Analyst at Morgan Grenfell. He has covered all asset classes and been involved in management, modeling, risk and analytics, derivatives and structured products, machine learning and electronic trading.

David holds a PhD in Artificial Intelligence from Cambridge University and an MBA (Exec) from the Australian Graduate School of Management. He has authored articles in finance, physics, engineering, classical computing and quantum computing.

Dr. Alonso Pena
Quantitative Analyst
European Investment Bank

Abstract Biography

What is Quantum Computing?

Please note this is a pre-recorded session from the November 2023 annual Quant Insights Conference.

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. Taha Jaffer
Lecturer
University of Toronto

Abstract Biography

Confessions of a Quantum Tourist in Finance

This talk will walk the audience through my last six years trying to accelerate quantum computing initiatives in a bank, finding value, and building momentum.

Dr. Taha Jaffer, Lecturer, University of Toronto

Dr. Jaffer is an accomplished finance professional with extensive experience in portfolio management, quantitative trading, artificial intelligence, and quantum computing. He currently serves as a Lecturer at the University of Toronto, teaching advanced courses in mathematical finance and quantum computing. Dr. Jaffer is a Fellow of the Fields Institute for Mathematical Research and has previously held senior roles at leading global financial institutions.

Dr. Randeep Gug
Managing Director
CQF and CQF Institute

Biography

Dr. Randeep Gug, CQF Institute, Managing Director

Dr. Randeep Gug is the Managing Director of the CQF Institute and 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

Conference recordings are available for all CQF Institute members.

Not a member? Become a member for free to watch the event.

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.

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Quant Insights Conference:QUantum Computing in Quant Finance

About the Conference

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Conference Schedule

Conference Speakers

Probability Distribution Classification Problem

Dr. Oleksiy Kondratyev, Quantitative Research & Development Lead, Abu Dhabi Investment Authority (ADIA)

A Quantum Finance Approach to Option Pricing

Dr. David Orrell, Principal, Systems Forecasting

A Quantum Finance Approach to Option Pricing

Dominic Widdows, Research Scientist, IonQ

Quantum Monte Carlo

Rafal Pracht, CTO, finQbit

Predicting Recessions using Quantum Machine Learning Techniques

Dr. David Garvin, Head of Applications, Quantum Finance, Rigetti Computing

What is Quantum Computing?

Dr. Alonso Pena, Quantitative Analyst, European Investment Bank

Confessions of a Quantum Tourist in Finance

Dr. Taha Jaffer, Lecturer, University of Toronto

Dr. Randeep Gug, CQF Institute, Managing Director

Conference Recordings

Conference Organizers

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Quant Insights Conference:
QUantum Computing in Quant Finance