Financial engineering workshops

Winter/Spring 2020

29th January: "The Behavioural Models: Non-Maturity Deposits and Prepayment"

Matteo Formenti (UniCredit Group)

Geneviéve  Gauthier (HEC Montréal)

Colin Turfus (Deutsche Bank)

Winter 2019

09 October: "A Deep Learning Approach to Exotic Option Pricing under LSVol"
Katia Babbar (Oxford Mathematical Institute)

23 October: "Network Analysis of Securities Settlement Fails and buy-in Strategies"
Pedro Gurrola-Perez (Bank of England)

06 November: "Using Alternative Data to Generate Alpha"
Saeed Amen (Cuemacro) 

20  November: "Volatility Risk Premia: Quo Vadis?" 
Vladimir Lucic (Macquarie Group)

04 December: "Pricing FX derivatives: Stochastic Local Volatility and Mixture Local Volatility Models"
Frederic Bossens (MathFinance AG)

Winter/Spring Term 2019

30 January: "Local-Stochastic Volatility for Vanilla Modelling: A Tractable and Arbitrage Free Approach to Option Pricing"
Dominique Bang (Bank of America Merrill Lynch)

06 February: "LIBOR Fallback: A Quantitative Perspective"
Marc Henrard (muRisQ Advisory and UCL)

13 February: "Fast Price Sensitivities with an Application to Margin Valuation Adjustment"
Roberto Daluiso (Banca IMI)

13 March: "Recovering the Market Risk Premium from Stock and Option Prices"
Leonidas Rompolis (Athens University of Economics and Business)

27 March - "Deep Learning Volatility: Fast Calibration of Stochastic Volatility Models"
Blanka Horvarth (Kings College London)

29 May "A Theory of FinTech"
Steven Kou (Questrom School of Business, Boston University)

Autumn 2018

17 October: "Hybrid Modelling: Design and Computational Aspects"
Ernst Eberlein (Freiburg University)

24 October: "Turbocharging Monte Carlo Pricing for the Rough Bergomi Model"
Mikko Pakkanen (Imperial College London)

14 November: "Cross-Currency Basis – What Drives it?"
Jessica James (Commerzbank)

21 November: "Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI Indexes"
Georgios Sermpinis (University of Glasgow)

05 December: "Heston model calibration and simulation for Counterparty Credit Risk”
Marco de Innocentis (Credit Suisse)

Spring Term 2018

31 January: "The P&L Attribution based Eligibility Test under Fundamental Review of Trading Book: Alternative Proposal"
Manuela Benigno, Andrea Fraquelli and Adolfo Montoro (Risk methodology team at Deutsche Bank London)

21 February (room 6001): "Learning Curve Dynamics with Artificial Neural Networks"
Alexei Kondratyev (Standard Chartered Bank)

14 March: "Efficient Numerical Techniques for a Variety of Problems in Quantitative Finance"
Cornelis Oosterlee (Delft University of Technology and CWI - center for mathematics & computer science Amsterdam)

21 March: "Option Pricing with Legendre Polynomials"
Julien Hok (Credit Agricole)

28 March: "XVA Optimisation with Evolutionary Algorithms"
George Giorgidze (Standard Chartered Bank)

Autumn Term 2017

18 October: "On the Joint Calibration of SPX and VIX Options"
Julien Guyon (Bloomberg L.P., Columbia University and NYU)

08 November: "CCP Stress Testing: a Practitioner's Approach" 
Quentin Archer (LCH Ltd)

22 November: "Information Derivatives"
Andrei Soklakov (Deutsche Bank)

06 December: "Model-free Valuation of Barrier Options"
Peter Austing (Citadel)

Unless stated otherwise, workshops will be held in Room 2005 from 18:10 - 19:15

Light refreshments will also be available from 17:40 inside Room 2005.

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