Financial engineering workshops
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 Term 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.
If you would like to be added onto our mailing list (where registration details are sent out), please contact: firstname.lastname@example.org