18-22 may 2015 hotel okura, amsterdam draft agenda · to register or for more information, please...

To register or for more information, please visit: www.icbi-derivatives.com

Tel: +44 (0)20 7 017 7200 Fax: +44 (0)207 017 7807 Email: [email protected]

18-22 May 2015 ● Hotel Okura, Amsterdam Draft Agenda

Quantitative Investment Strategies Summit Monday 18 May 2015

08.20 Registration & Coffee

08.50 Chairman’s Opening Remarks (Grand Ballroom III)

09.00

Backtesting Correcting For Backtest Overfitting & Selection Bias

Marcos Lopez de Prado, Senior Managing Director, GUGGENHEIM PARTNERS & Research Fellow, LAWRENCE BERKELEY NATIONAL LABORATORY

09.40

Smart Beta Capturing Risk Premia & Long Term Investment Themes

Yoav Git, Head Of Fixed Income, AHL Che Hang Yiu, Portfolio Manager, AHL / MAN SYSTEMATIC STRATEGIES

10.40

Morning Coffee (Foyer)

11.10

Factor Investing Using Quantitative Techniques To Understand The Risk Drivers Underlying A Portfolio & To Develop Successful Factor Investing Strategies

Nicolas Gaussel, Chief Investment Officer, LYXOR ASSET MANAGEMENT

11.50

Socially Responsible Investing Integrating ESG Factors Into Quantitative Equity Investments

Gerben de Zwart, Head Of Quantitative Equity Research, APG

12.30 Lunch + Meet The Speaker Roundtables (Grand Ballroom IV&V)

13.50

Big Data Leveraging Big Data To Measure & Forecast Human Behaviour

Tobias Preis, Associate Professor Of Behavioural Science & Finance, WARWICK BUSINESS SCHOOL

http://www.icbi-derivatives.com/

mailto:[email protected]



14.30

FX Volatility Over Events & Using Big Data To Trade Macro

Saeed Amen, Managing Director & Co-Founder, THALESIANS LTD.

15.10 Afternoon Tea (Foyer)

15.35

Volatility Trading Gaining The Alpha Advantage In Volatility Trading

Artur Sepp, Vice President, Equity Derivatives Analytics, BANK OF AMERICA MERRILL LYNCH

16.15

Multi-Period Optimisation Recent Advances In Multi-Period Optimisation With Alphas & Trading Costs

Gordon Ritter, Senior Portfolio Manager, GSA CAPITAL & Adjunct Professor, COURANT INSTITUTE OF MATHEMATICAL SCIENCES, NYU

16.55 Chairman’s Closing Remarks

17.00 Drinks Reception (Grand Ballroom IV&V)





In-Depth Technical Workshops Monday 18 May 2015 (9 am – 5 pm)

New Approaches To Interest Rate Modelling Led by

John Hull, Maple Financial Professor Of Derivatives & Risk Management, JOSEPH L. ROTMAN SCHOOL OF MANAGEMENT, UNIVERSITY OF TORONTO

Adjoint Methods & Algorithmic Differentiation For Greeks Led by

Mike Giles, Professor Of Scientific Computing, OXFORD-MAN INSTITUTE OF QUANTITATIVE FINANCE Uwe Naumann, Professor Of Computer Science, RWTH AACHEN UNIVERSITY

& Luca Capriotti, Director, Head Of Quantitative Strategies Global Credit Products EMEA, CREDIT SUISSE





Main Conference Day 1: Tuesday 19 May 2015 07.30

- 08.30

Breakfast Briefing: Latest Research In FVA – Otter & Esperance Room

Darrell Duffie, Dean Witter Distinguished Professor Of Finance, Graduate Business School, STANFORD UNIVERSITY

07.45 Registration & Coffee

08.25 Chairman’s Opening Remarks (Grand Ballroom I-III)

08.30 Assessing Geopolitical Risk Hotspots Around The World: The Big Trends Shaping The World In The Coming Years

Bronwen Maddox, Editor & Chief Executive, PROSPECT MAGAZINE

09.10 New Research In Behavioural Finance: Investors’ Judgments, Sentiment & Derivatives

Hersh Shefrin, Mario L. Belotti Professor Of Finance, SANTA CLARA UNIVERSITY

09.55 The Global Derivatives ‘Hall Of Fame’ Keynote Address: Opportunities & Risks In China's Financial Markets

Darrell Duffie, Dean Witter Distinguished Professor Of Finance, Graduate Business School, STANFORD UNIVERSITY

10.40 Industry Leader Discussion: We Have The Data, Now We Just Need The Right Questions Exploring Strategies For Overcoming The Challenges Of Managing Big Data

Moderator: Tobias Preis, Associate Professor Of Behavioural Science & Finance, WARWICK BUSINESS SCHOOL Michael Hintze, Chief Executive Officer & Senior Investment Officer, CQS

Darrell Duffie, Dean Witter Distinguished Professor Of Finance, Graduate Business School, STANFORD UNIVERSITY Marcos Lopez de Prado, Senior Managing Director, GUGGENHEIM PARTNERS & Research Fellow, LAWRENCE BERKELEY NATIONAL LABORATORY

11.25 Morning Coffee (Foyer)

Stream A (Grand Ballroom I-II)

Capital Requirements In The New Regulatory Environment

Chaired by: Stuart Weinstein,

COVENTRY UNIVERSITY

Stream B (Grand Ballroom III)

The Latest Advances In Volatility Modelling & Trading Techniques

Stream C (Grand Ballroom IV&V)

New Challenges & Innovations In

Interest Rate Modelling

Stream D (Griffeon Room) Innovations In

Computational & Numerical Efficiency

Engaged Conversations (Meerman Room)

Interactive Sessions, Small Group Discussions & Live

Demos

11.55 Balance Sheet Optimisation &

Risk Appetite Statement Understanding the Dynamics of

Assets & Liabilities & Using That Information To Drive Strategy &

Optimise Return On Capital

Alex Lipton BANK OF AMERICA

Equity Volatility & The

Business Cycle: How Low Can It Go?

Krag Gregory

GOLDMAN SACHS

Yield Curve Dynamics Under

Real World Measure Via Short Rate Models

Franz Michel

CREDIT SUISSE

Latest Advances In Developing Multilevel Monte

Carlo Methods

Mike Giles OXFORD-MAN INSTITUTE

OF QUANTITATIVE FINANCE

Are Derivatives Good? When Are They Bad? Michael Dempster UNIVERSITY OF

CAMBRIDGE

Michael will present practical results from his latest research

before opening the floor to discussion of the role and future

of derivatives.





12.35 Transatlantic Extraterritoriality & The Regulation Of Derivatives:

The Current State Of Play

Stuart Weinstein COVENTRY UNIVERSITY

Re-Examining The Local

Volatility Model

Lorenzo Bergomi SOCIÉTE GÉNÉRALE

OIS Discounting

John Hull

UNIVERSITY OF TORONTO

GPUs How GPUs & Other

Accelerators Are Changing The Game For The

Financial Community

Felix Grevy MISYS

Tat Fung

MISYS

Small Group Discussion

Examining The Social, Organisational & Regulatory

Forces That Shape Derivatives Modelling

Practices Taylor Spears

UNIVERSITY OF EDINBURGH

13.15 Lunch (Heian Room)

Lunchtime Briefing (Otter & Esperance Room) An Introduction To Sports Modelling: Predicting The Unpredictable

Rob Mastrodomenico, Owner, GLOBAL SPORTS STATISTICS

Meet The Speaker Roundtables (Witte Leeuw Room)

Bronwen Maddox PROSPECT MAGAZINE

Hersh Shefrin SANTA CLARA UNIVERSITY

Plus more tbc soon!

14.35 Prudent Valuation:

A New Bridge Between Pricing & Risk Management

Marco Bianchetti

INTESA SANPAOLO

Local/ Stochastic Volatility

Models

Lorenzo Bergomi SOCIÉTE GÉNÉRALE

Excess Returns In The Fixed

Income World: What We Now Know, Why Traditional Models Do Not

Work, & What To Do About It

Riccardo Rebonato PIMCO

AAD

Mind The Gap: Flexible Adjoint AD By Overloading

In C++

Uwe Naumann RWTH AACHEN

UNIVERSITY

Engaged Conversations (Otter & Esperance Room) Interactive Sessions, Small Group Discussions & Live

Demos

15.15 Use Of IMM For CCR Capital:

Best-Practice, Current Challenges & Regulatory

Alternatives

Fabrizio Anfuso CREDIT SUISSE

Non-Parametric Local Volatility For Swaptions

Dariusz Gatarek

UNICREDIT

Dong Qu UNICREDIT

The Best Of Both Worlds: A P- & Q-Measure Term

Structure Model With Good Fitting & Believable Market

Price Of Risk

Riccardo Rebonato PIMCO

Adjoint Algorithmic

Differentiation (AAD) Beyond Monte Carlo: From PDE

To Calibration

Luca Capriotti CREDIT SUISSE

Boom, Gloom & Spikes In Commodity Markets Oil Prices & Hedging

Strategies

Helyette Geman UNIVERSITY OF LONDON

& JOHNS HOPKINS UNIVERSITY






16.20 Using Quantile Regression To

Model Extreme Quantiles & Calculate Economic Capital In A

More Robust Manner

Dherminder Kainth ROYAL BANK OF SCOTLAND

Rough Volatility

Jim Gatheral

BARUCH COLLEGE, CUNY

Fifty Shades Of SABR

Simulation

Roger Lord CARDANO

Better Pricing & Risk Management With High

Dimensional Quasi Monte Carlo

Marco Bianchetti INTESA SANPAOLO

Stefano Scoleri

POLITECNICO DI MILANO

Extended Session With

Live Demos & Interactive Discussions

Practical Implementation Of AAD For Risk Management

In Production Systems

Antoine Savine DANSKE BANK

Brian Huge

DANSKE BANK

Hans-Jorgen Flyger DANSKE BANK

17.00 Value-at-Risk Scaling For Long

Term Risk Estimation

Luca Spadafora UNICREDIT

Pricing With Fractional

Volatility

Sylvain Corlay BLOOMBERG

Mixing The SABR For

Negative Rates: Analytical Arbitrage-Free

Solution

Alexander Antonov NUMERIX

Optimal Portfolio Selection With Efficient Monte Carlo

Methods

Cornelis Oosterlee CENTER FOR

MATHEMATICS AND COMPUTER SCIENCE,

AMSTERDAM

17.40 Fundamental Review Of The

Trading Book Overcoming The Challenges Of Building A Model With Different

Liquidity Horizons That Will Aggregate PnL

Martingale Information Of

The Implied Volatility Smile

Antoine Jacquier IMPERIAL COLLEGE

LONDON

Application Of Multi-Factor

HJM Model To Pricing Exotic Derivatives (Including

CVA/ DVA)

Marat Kramin WELLS FARGO

Efficient Solution Of Structural Default Models With Correlated Jumps &

Mutual Obligations

Andrey Itkin BANK OF AMERICA

MERRILL LYNCH

Open Source Implementation

Of AAD In QuantLib With Tape Compression

Alexander Sokol

COMPATIBL

18.20 Chairman’s Closing Remarks Chairman’s Closing Remarks Chairman’s Closing Remarks Chairman’s Closing Remarks

18.25 Drinks Reception (Heian Room)

Champagne Roundtables





Main Conference Day 2: Wednesday 20 May 2015 08.20 Registration & Coffee

Stream A (Grand Ballroom I&II)

The Latest Innovations In XVA

Stream B (Grand Ballroom III) New Algorithmic

Trading Strategies


New Research In Option Pricing Techniques

Stream D (Griffeon Room)

The Latest Advances In Risk Management Models &

Techniques

Strategy Labs (Otter & Esperance Room)

08.50 Chairman’s Opening Remarks

Chairman’s Opening Remarks




09.00 FVA

Derivatives Funding, Netting & Accounting

Christoph Burgard

BARCLAYS

Optimal Trade Execution In Order Books With Time-

Varying Liquidity

Torsten Schöneborn DEUTSCHE BANK

Applying Convex Duality To

Option Pricing

Peter Carr MORGAN STANLEY

Towards Artificially Intelligent

Risk Management

Igor Halperin JP MORGAN

Volatility Modelling

Jim Gatheral

BARUCH COLLEGE

09.40 KVA MASTERCLASS

Including The Cost Of

Capital In Derivative Pricing

What Is The Cost Impact Of KVA?

Overcoming The Challenges

That Regulatory Heterogeneity Raises For Computing KVA At The

Portfolio-Level

Can We Hedge KVA?

Andrew Green LLOYDS BANKING GROUP

Dynamic Portfolio Management With

Multi-Horizon Views On The Market

Attilio Meucci

KKR

Discrete Barrier Options:

Finance Without Time

Alexander Skabelin GOLDMAN SACHS

Conic Finance Explained &

Applied

Wim Schoutens CATHOLIC UNIVERSITY OF

LEUVEN

10.20 Rates eTrading

A Sell Side Point Of View

Manlio Trovalto LLOYDS BANKING GROUP

Incremental Vs Stand-

Alone Pricing No Derivative Is An Island: Pricing Derivatives In The

Context Of The Book, Rather Than As Stand-Alone

Contracts

Antonio Castagna IASON

Liquidity Adjusted Risk

Management Analysing, Modelling & Stress Testing What To Do If Market

Liquidity Dries Up

Marco Avellaneda COURANT INSTITUTE, NYU

Volatility Trading

Peter Carr

MORGAN STANLEY






11.25 Scandinavian Options:

Branching Processes For XVA

Jesper Andreasen

DANSKE BANK

Dynamic Optimal Execution In A Mixed-Market-Impact

Hawkes Price Model

Pierre Blanc CERMICS, ENPC

Modelling Collateral Basis:

Convexities & Options

Paul McCloud NOMURA

Model Risk: New Techniques

Adil Reghaï

NATIXIS

The Volatility Complex:

SPX Volatility, VIX Futures & VIX Options

Marco Avellaneda

COURANT INSTITUTE, NYU

12.05 TVA

Pricing Capital & Tax Implications In CVA Risk

Warehousing

Chris Kenyon LLOYDS BANKING GROUP

Post Trade Allocation

Ali Hirsa

SAUMA CAPITAL

Historical Anomalies In FX

Option Pricing

Jessica James COMMERZBANK

Dynamic Hedging For

Economic Competitiveness

Dilip Madan UNIVERSITY OF

MARYLAND

12.45 Lunch (Foyer)

Meet The Speaker Roundtables

14.00 On Non-Linear PDE Arising In Problems Of Funding &

Collateral

Vladimir Piterbarg BARCLAYS

Statistical Filtering In Algorithmic Trading

Paul Bilokon

DEUTSCHE BANK

Exact Simulation Algorithm

For Multi-Dimensional SDEs

Pierre Henry-Labordere SOCIÉTE GÉNÉRALE

Exposure Conditional On Default: A Fast Structural

Approach

Vladimir Chorniy BNP PARIBAS

Erdem Ultanir

Central Clearing

Paul Glasserman

COLUMBIA BUSINESS SCHOOL

14.40 XVA: Theory Vs. Market

Pricing

Milena Imamovic-Tomasovic

DEUTSCHE BANK

Can Option Strategies

Enhance Trend Following?

Jacob Bartram

ORWELL CAPITAL LTD.

The Latest Advances In Volatility Modelling & Trading Techniques

Econometric Modelling Econometric Modelling Of

Stock Prices & CDS Spreads With Risk-Premiums

Artur Sepp

BANK OF AMERICA MERRILL LYNCH

Tradable Estimates Of

Historical Volatility

Bruno Dupire BLOOMBERG





15.20 XVA TRADING PANEL

Trading & Risk Managing XVA In Practice

Moderator: Milena Imamovic-Tomasovic,

DEUTSCHE BANK

Chris McHugh, HSBC

Troy Ovitsky, WELLS FARGO

Jeremy Vice, UNICREDIT

Trade Execution Algorithms &

Market Dynamics

Rama Cont IMPERIAL COLLEGE

LONDON

Cross-Dependent Volatility The Benefits Of Incorporating

Cross-Asset Information In Volatility Modelling

Julien Guyon BLOOMBERG

Forecasting Portfolio Value-

at-Risk With Generalized Autoregressive Score Models

John Crosby

GRIZZLY BEAR CAPITAL & GLASGOW UNIVERSITY


Fabio Mercurio BLOOMBERG


16.25 Being Right About Wrong-Way Risk

Fabio Mercurio BLOOMBERG

Latest Innovations In Credit Derivatives

Some Aspect Of Modelling Volatility-Control Indices

Vladimir Lucic

BARCLAYS

New Challenges & Innovations In


Capital Optimisation

Alex Lipton

BANK OF AMERICA

Different Aspects Of

Recovery Rate Modelling In Credit Risk

Stephan Höcht

ASSENAGON ASSET MANAGEMENT

Long Term Interest Rates Dynamic Models For The

Long Rate Of Interest

Lane Hughston BRUNEL UNIVERSITY

LONDON

17.05 Fair Value Unfair

Adjustments

Andrey Chirikhin LETTERONE TREASURY

SERVICES

CDS

Understanding The Correlation Structure In CDS

Paul Glasserman

COLUMBIA BUSINESS HOOL

Valuation Of Short-Dated Options In The Moderate

Regime

Peter Friz TU-BERLIN

Smile Impact On Bermudan & Forward Starting Swaptions

Dong Qu

UNICREDIT

Simone Costa UNICREDIT





17.45 Total Valuation Adjustment

Bringing It All Together: A Consistent Framework For

Nonlinear Valuation With Multi-Curves, CCP & SCSA Collateral, Funding, CVA &

NVA

Damiano Brigo IMPERIAL COLLEGE

LONDON

Dirac Processes &

Default Risk

Chris Kenyon LLOYDS BANKING GROUP

Forward Implied Volatility

Expansion In Local Volatility Model

Julien Hok

CITI

SABR-VV: Interest Rate

Implied Volatility Modelling Capturing The Drivers Of

Implied Volatility In Interest Rate Markets

Peter Dobranszky

BNP PARIBAS

Portfolio Management

Attilio Meucci

KKR

18.25 Chairman’s Closing Remarks Chairman’s Closing Remarks Chairman’s Closing Remarks Chairman’s Closing Remarks

18.30 Drinks Reception (Exhibition Area)

Rising Stars Showcase (Exhibition Area)





Main Conference Day 3: Thursday 21 May 2015 07.55 Registration & Coffee

08.25 Chairman’s Opening Remarks (Grand Ballroom I-III)

08.30 Rates, Recovery & The Global Economic Outlook

Willem Buiter, Global Chief Economist, CITIGROUP

09.05 Guest Regulatory Address Reforming The Financial System: Assessing The Progress So Far & what Else Still Needs To Be Done

Mark Wetjen, Commissioner, COMMODITY FUTURES TRADING COMMISSION (CFTC)

09.40

Guest Academic Address A Look At Some New Systemic Risks In Finance & Beyond

Emanuel Derman, Professor, COLUMBIA UNIVERSITY & Co-Head Of Risk, PRISMA CAPITAL PARTNERS

10.20 Thought Leader ThinkTank: The Changing Role Of Quants Moving From Front Office To Back Office & Risk Neutral To Real World:

What Does The Future Hold For Us?

Moderator: Attilio Meucci, Chief Risk Officer, KKR Jesper Andreasen, Global Head Of Quantitative Research, DANSKE BANK

Peter Carr, Managing Director, MORGAN STANLEY Bruno Dupire, Head Of Quantitative Research, BLOOMBERG

Alexander Lipton, Managing Director, Mathematical Finance Executive, BANK OF AMERICA


Stream A (Grand Ballroom I&II)

Advanced Pricing & Trading Of FX & Commodity Derivatives

Stream B (Grand Ballroom III)

Advanced Pricing & Trading Of Equity Derivatives


CCR, Collateral & Central Clearing

11.35 Examining The Outlook For Currency Markets in

2015 & Beyond Steven Englander

CITI

Hedging Of Autocallables & The Impact Of The Forward Volatility Skew

Alexander Giese UNICREDIT

CCPs CVA Using A CDO Pricing Approach Youssef Elouerkhaoui

CITI

12.15 Multi-Currency FVA With All The Trimmings

Mats Kjaer

BLOOMBERG

Dividend Modelling Economically Justifiable Dividend Modelling

Peter Jaeckel VTB CAPITAL

Central Clearing Valuation Adjustment

Stéphane Crépey UNIVERSITY OF EVRY

12.55 Lunch (Heian Room)

Meet The Speaker Roundtables





14.00 Calibrating FX Volatility Surfaces Solving The Problems Of Parameterisation &

Developing An Arbitrage Free Model

David Shelton BANK OF AMERICA MERRILL LYNCH

Modelling & Trading Correlation Examining The Impact Of Central Clearing On

Risk & The Stability Of The Financial System: A Network Approach

Svetlana Borovkova

FREE UNIVERSITY OF AMSTERDAM

Analyzing Model Robustness Via A Distortion Of The Stochastic Root: A Dirichlet Prior Approach

Matthias Scherer

TECHNISCHE UNIVERSITÄT MÜNCHEN

14.40 Modelling Pegged Currencies

Iain Clark

On The Construction Of High-Dimensional Models

For Dependent Default Times

Jan-Frederik Mai XAIA INVESTMENT MANAGEMENT

Regulatory Issues In Governing Systemically Important CCPs

Shallom Moses

CFTC


15.45 Modelling Energy American Options In The Non-

Markovian Approach

Valery Kholodnyi VERBUND TRADING

Real-World Hedging Under Correlations

Massimo Morini

BANCA IMI

Modeling Credit Exposure For Margined Counterparties

Accounting for Cash Flows Within The Margin Period of Risk

Michael Pykhtin FEDERAL RESERVE BOARD

16.25 Pricing & Modelling Electricity Derivatives

Co-Integration & Risk Premia

Fred Espen Benth UNIVERSITY OF OSLO

Understanding Correlation Skew In Equity Derivatives

Valer Zetocha

BANCO SANTANDER

Complying, Pricing & Capitalizing With Initial Margin For Non-Cleared OTC

Marc Jeannin NOMURA

17.45 Chairman’s Closing Remarks Chairman’s Closing Remarks Chairman’s Closing Remarks 17.50 End Of Main Conference





In-Depth Technical Workshops Friday 22 May 2015 (9 am – 5 pm)

Nonlinear Option Pricing Led by

Pierre Henry-Labordère, Senior Quant, Global Markets Quantitative Research Team, SOCIÉTÉ GÉNÉRALE & Julien Guyon, Senior Quantitative Analyst, BLOOMBERG

Modelling & Validation for Capital, Initial Margin & Prudent Value Led by

Massimo Morini, Head Of Credit Models & Coordinator Of Model Research, BANCA IMI & Marco Bianchetti, Head Of Financial Modelling & Validation, INTESA SANPAOLO

XVA Pricing Led by

Andrew Green, Head Of Quantitative Research - Credit Risk, LLOYDS BANKING GROUP & Chris Kenyon, Director, Quantitative Research, LLOYDS BANKING GROUP



18-22 may 2015 hotel okura, amsterdam draft agenda · to register or for more information, please...

Documents