Quant Insights Conference:
Volatility and Risk in Quant Finance

Fast Times, Slow Times and Timescale Separation in Financial Timeseries Data

Quantitative strategies rely on stationarity of the underlying processes. Parameter drift eventually kills all strategies, how ever brilliant they may be. This talk will explore some methods for unmixing financial timeseries using intrinsic relaxation timescales, recovering any stationary processes, but also allowing us to separate “slow” from “fast” processes. This has various interesting implications for trading and portfolio allocation, which we will briefly discuss.

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

Dr. Paul Wilmott 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.

Paul has extensive consulting experience in quantitative finance with leading US and European financial institutions. He has founded a volatility arbitrage hedge fund and a university degree course. Paul has lectured at all levels, to students and to practitioners.

AI Liar's Poker

Liar's Poker was a popular game among Wall Street traders from the mid-1980s to the mid-1990s, made famous by Michael Lewis' book of the same name. Although the game was played for very high stakes among highly quantitative people, no exact game theory solution has been found. Recent AI approaches seem to dominate human players. Given the close resemblance between the game and financial trading, this could be a bellwether for the impact of AI on trading and risk management.

Aaron Brown, Columnist, Bloomberg & Wilmott Magazine

Aaron Brown is a columnist for Bloomberg and Wilmott Magazine, and teaches at New York University, University of California at San Diego and New Mexico State University. He worked for 35 years on Wall Street as a trader, portfolio manager, head of mortgage securities and risk manager for firms including Morgan Stanley and AQR Capital Management. He is the author of The Poker Face of Wall Street, Red-Blooded Risk, Financial Risk Management for Dummies and A World of Chance (with Reuven and Gabrielle Brenner). He won the 2011 Risk Manager of the Year award from the Global Association of Risk Professionals. He was a top professional poker player in the 1970s and 80s, and continues active poker, sports betting and other gambling activities. He splits his time between Manhattan, New Mexico and Coronado Island. He has degrees from Harvard (Applied Math) and the University of Chicago (Finance and Statistics). He has been actively involved in crypto trading, venture capital and start-ups since 2011.

A Stylized History of Quantitative Finance

The evolution of a quantitative approach to finance has proceeded through many small but significant steps and occasional large epiphanies. This talk outlines how, over the past 70 years, financial models have quantified the notion of derivatives, diffusion, risk, volatility, the riskless rate, diversification, hedging, replication, and the principle of no riskless arbitrage.

Professor Emanuel Derman, Professor Emeritus of Financial Engineering, Columbia University

Emanuel Derman is professor emeritus at Columbia University, where he directed their program in financial engineering from 2003-2023. 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. His latest book, a memoir of youth in an immigrant community in South Africa, is ‘Brief Hours and Weeks: My Life as a Capetonian,’ (LML Press 2025).

A Revolution in Risk Management

We stand at the cusp of a revolution where data and risk models evolve into the narratives that sit at the core of decision making. Breakthroughs in artificial intelligence, particularly large language models, have put us in the position of viewing risk within a forward-looking narrative that evolves over time, influenced by the force of human activities that reshape the world.

Join Rick Bookstaber to explore how shifts in risk management redefine our approach, transitioning from:

• Quantitative analysis to storytelling frameworks
• Traditional financial risks to emerging physical threats
• Historical perspectives to future projections
• Immediate concerns to long-term impacts
• Static models to dynamic processes

Dr. Rick Bookstaber, Director of Risk Research, MSCI Inc.

Rick is a noted expert in financial risk management, and is the author of The End of Theory (Princeton, 2017), and A Demon of Our Own Design (Wiley, 2007).

He is a co-founder of Fabric, acquired by MSCI in 2024 and now renamed MSCI Wealth. With the acquisition he joined MSCI as managing director, later leaving that role to serve as a senior advisor to the firm while independently developing AI-powered innovations for risk management.

He has been in chief risk officer roles at Salomon, Morgan Stanley, Moore Capital, and Bridgewater Associates. From 2009 to 2015 he served at the SEC and the U.S. Treasury, drafting the Volcker Rule and modeling risk for the Financial Stability Oversight Council, and recently was the chief risk officer in the University of California Office of the CIO for the university’s $170 billion pension and endowment funds.

His roles have placed him at the center of financial crises of the last three decades – working with portfolio insurance during the 1987 Crash while at Morgan Stanley, overseeing risk at Salomon during the 1998 failure of Long-Term Capital Management (dubbed “Salomon North”), and with the aftermath of the 2008 Crisis while in the regulatory sphere.

A black belt in Brazilian jiu-jitsu, Rick can be found training at the Renzo Gracie Academy in his free time.

Rick received a Ph.D. in economics from MIT.

The Science and Practice of Trend-following Systems

We derive an exact relationship between the profit-and-loss (P&L) of a trend-following system with exponentially moving average (EWMA) filter and the auto-correlation function of returns generating stochastic process. This generic result appears to be new. Using this formula, we analyse the impact of the lookback span of EWMA filter on the P&L of the trend-following system when returns dynamics are driven by auto-regressive fractal processes with long memory. We show that the trend-following system is expected to perform well when autocorrelation of returns is positive over longer time scales, even if returns may exhibit mean-reversion over shorter time scales.

In the empirical part, we examine the autocorrelation observed in major futures markets and the performance of different trend-following systems applied to futures markets. We discuss and contrast the so-called American and European specifications of trend-following systems. Finally, we demonstrate the defensive profile of trend-following systems which provides diversification benefits to long-only portfolios.

Dr. Artur Sepp, Global Head of Investment Services Quant Group, LGT Bank

Artur Sepp is the Global Head of Investment Services Quant Group at LGT bank in Zurich focusing on quantitative asset allocation and systematic investment strategies. Artur has almost 20 years of experience in financial markets, including heading quant research and portfolio management at a systematic hedge fund and a family office, as well as leading development of front-office quant strategies and derivatives at private (Julius Baer) and investment banks (Merrill Lynch/BofA). Artur has a PhD in Mathematical Statistics from the University of Tartu, an MSc in Industrial Engineering and Management Sciences from Northwestern University, and a BA cum laude in Mathematical Economics from Tallinn University of Technology. His expertise covers quantitative investing and asset allocation, quantitative modelling of derivative securities, machine learning and data science, and blockchain applications within decentralised finance. He is the author and coauthor of several research articles on quantitative finance published in key journals. Artur won the Quant of the Year Award from Risk Magazine (2024). He is an active martial arts practitioner in his free time.

Multivariate Additive Subordination with Applications in Finance

We introduce a tractable multivariate pure jump process in which the trading time is described by an additive subordinator. The multivariate process retains the additivity property, and therefore is time inhomogeneous, i.e., its increments are independent but non stationary. We provide the theoretical framework of our process, perform a sensitivity analysis with respect to the time inhomogeneity parameters, and design a Monte Carlo scheme to simulate the trajectories of the process. We then employ the model in the context of option pricing in the FX market. We take advantage of the specific features of currency triangles to extract the joint dynamics of FX log-rates. Extensive tests based on observed market data show that our model outperforms well established pure jump benchmarks.

Joint work with Giovanni Amici and Patrizia Semeraro

Professor Laura Ballotta, Professor of Mathematical Finance, Bayes Business School

Laura Ballotta is a Professor of Mathematical Finance at Bayes Business School (formerly Cass). Prof. 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.

Recent major contributions have appeared in Journal of Financial and Quantitative Analysis, European Journal of Operational Research and Quantitative Finance among others. She serves as associate editor and referee for several international journals in the field.

Prof. Ballotta holds a BSc in Economics from Universita’ Cattolica del Sacro Cuore, a MSc in Financial Mathematics from the University of Edinburgh, and a PhD in Mathematical and computational methods for economics and finance, from Universita’ degli Studi Bergamo. She is the course director of the Quants cluster of MSc programmes at Bayes Business School.

Causal Asset and Factor Network Interfence under Treatment Effects

The focus is the application of scenario-causal asset and factor network interference to model and investigate the network effects of specific interventions or influences on the node level under potential outcomes. The underlying assumption is that the nodes in the network are not isolated; instead, the interactions between them define both the indirect, direct and combined impacts of the interventions, a principle referred to as causal network interference.

In the context of financial markets, such effects could be triggered actions such as central bank policies, regulatory activities affecting nodes, or "interventions" in the form of return predictions conducted within an investment process. Unlike actions that directly affect edges, these interventions impact nodes, which are interconnected via edges that may facilitate spillover effects to other nodes.

Dr. Gueorgui S. Konstantinov, Senior Portfolio Manager

Gueorgui S. Konstantinov, Ph.D, CAIA, FDP is a senior portfolio manager and has over 18+ years of experience. He managed global bond portfolios and currencies for institutional investors and pension funds. He is an editorial board member of The Journal of Portfolio Management, The Journal of Alternative Investments, and The Journal of Financial Data Science. He earned the designations of Chartered Alternative Investments Analyst (CAIA) and Financial Data Professional (FDP). He received his MA in economics in 2005 and received a doctoral degree in 2008 from Vienna University of Economics and Business Administration (WU).

U.S./Trump 2.0: Accelerating “EM-ification” Drives Systemic Risks to U.S. Treasuries, High Uncertainty Around Regulatory Reforms

This talk will harness GeoQuant’s systematic and high-frequency political risk data to explore explicit, quantitative relationships between political risk and financial markets, with a focus on the United States and the global impacts of “Trump 2.0”.

Dr. Mark Rosenberg, Founder, GeoQuant

Mark Rosenberg, PhD, is Founder and Co-Head of GeoQuant, acquired by Fitch Group in 2022 and now part of BMI, a Fitch Solutions company. He received his PhD from UC Berkeley, where he was a National Science Foundation (NSF) Fellow and specialized in game theory and African politics.

After Berkeley, he joined the political risk firm Eurasia Group (EG), where he was the Director of Africa, Comparative Analytics and Research Management. Mark also led product development at EG; he created the firm’s Political Trajectories and helped create its Political Risk Country Portfolio asset allocation model. Prior to this, Mark worked at the global human rights organization Freedom House, where he helped build their highly regarded democracy index and edited the flagship Freedom in the World publication.

Mark teaches political risk analysis as an adjunct professor at Columbia University’s School of International and Public Affairs and UC Berkeley's Haas School of Business and has written and spoken widely on country and geopolitical risks. He was born in Johannesburg, South Africa and lives in Los Angeles with his family.

U.S./Trump 2.0: Accelerating “EM-ification” Drives Systemic Risks to U.S. Treasuries, High Uncertainty Around Regulatory Reforms

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 and CQF Institute

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