Spring 2021

Gerardo Ferrara (Bank of England)

10th February: "Deep xVA"

Alessandro Gnoatto (University of Verona, Italy)

Andrey Itkin (NYU and Bank of America)

Peter Carr (NYU Tandon School of Engineering)

Brian Huge & Antoine Savine (Danske Bank)

Autumn / Winter 2020/2021

Jeanine Kwong (Manulife)

Dilip Madan (Robert H. Smith School of Business)

Martino Grasselli (Università di Padova and Devinci Research Center, Paris la Defense)

25th November: "The market generator"

Alexei Kondratyev (Standard Chartered Bank)

Wim Schoutens (University of Leuven)

Winter/Spring 2019/2020

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

Matteo Formenti (UniCredit Group)

Geneviéve  Gauthier (HEC Montréal)

Colin Turfus (Deutsche Bank)

Winter Term 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)

Due to COVID-19, workshops will now be held online via Microsoft Teams from 18:10 - 19:15.

Please register via Campus Groups to ensure you get access to the link.

If you would like to be added onto our mailing list (where registration details are sent out), please contact: faculty.administration@city.ac.uk