Portfolio Optimization Summit & Correlation Workshop: November 17, 2014 Main Conference: November 18-20, 2014 Volatility & Algorithmic Differentiation Workshops: November 21, 2014 Swissôtel Chicago, IL, USA www.globalderivativesusa.com Sponsors www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]America’s Leading Derivatives & Quant Trading Conference Quantitative Trading ● Portfolio Construction ● Pricing Volatility ● Equity ● Interest Rates ● FX ● Commodities ● Inflation ● Credit ● Hybrids Ray Iwanowski Founder & Managing Principal SECOR ASSET MANAGEMENT Neal Soss Vice Chairman, Research CREDIT SUISSE Haim Bodek Managing Principal DECIMUS CAPITAL MARKETS, LLC & Author of The Problem Of HFT Sam Priyadarshi Head, Fixed Income Derivatives VANGUARD Meet & Learn From Over 200 Senior Quantitative Traders, Portfolio Managers, Derivatives Strategists & Quantitative Analysts Benefit From The Experience & Expertise Of Over 80 Speakers Across 90 Sessions, 9 Streams, 1 Summit & 3 Workshops Latest Cutting-Edge Research In Key Areas Such As Volatility Trading & Modelling, Quant Trading Strategies, Portfolio Optimization, Equity Derivatives Trading, Fixed Income Modelling, Managing Commodity Risk, Computational Efficiency, FX Trading Strategies, Valuation Adjustments, Central Clearing & Regulation Invaluable Insights & New Perspectives From Senior Industry Experts Including: Freddy Lim Managing Director & Global Head Of Derivatives Strategy NOMURA Vineer Bhansali Managing Director & Portfolio Manager PIMCO Nicolas Mougeot Senior Director - Research CAISSE DE DÉPÔT ET PLACEMENT DU QUÉBEC Marko Kolanovic Global Head Of Quantitative & Derivatives Strategy JP MORGAN
Meet & Learn From Over 200 Senior Quantitative Traders, Portfolio Managers, Derivatives Strategists & Quantitative Analysts
Benefit From The Experience & Expertise Of Over 80 Speakers Across 90 Sessions, 9 Streams, 1 Summit & 3 Workshops
Latest Cutting-Edge Research In Key Areas Such As Volatility Trading & Modelling, Quant Trading Strategies, Portfolio Optimization, Equity Derivatives Trading, Fixed Income Modelling, Managing Commodity Risk, Computational Efficiency, FX Trading Strategies, Valuation Adjustments, Central Clearing & Regulation
Invaluable Insights & New Perspectives From Senior Industry Experts Including:
Freddy LimManaging Director & Global
Head Of Derivatives StrategyNOMURA
Vineer BhansaliManaging Director & Portfolio
ManagerPIMCO
Nicolas MougeotSenior Director - Research
CAISSE DE DÉPÔT ET PLACEMENT DU QUÉBEC
Marko KolanovicGlobal Head Of Quantitative
& Derivatives StrategyJP MORGAN
2 To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
Monday November 17, 2014The Portfolio Optimization Summit
& Correlation Workshop
Tuesday November 18, 2014Main Conference Day 1
Wednesday November 19, 2014Main Conference Day 2
Thursday November 20, 2014Main Conference Day 3
Friday November 21, 2014Volatility & Algorithmic
Differentiation Workshops
Your Week At Global Derivatives USAWe know that our agenda can seem a little overwhelming at fi rst glance. So, just to give a you a few ideas, here is what we suggest:
If You Focus On Volatility:
• Monday: Portfolio Optimization Summit or Correlation Trading Workshop• Tuesday: Plenary Sessions On The Economy, Geopolitical Risk & Volatility
Plus Stream A (Volatility Trading)• Wednesday: Stream B (Volatility & Correlation)• Thursday: Plenary Sessions on High Frequency Trading Plus Stream C (Volatility Modeling & Trading)• Friday: Volatility Workshop
If You Focus On Equity Derivatives:
• Monday: Portfolio Optimization Summit or Correlation Trading Workshop• Tuesday: Plenary Sessions On The Economy, Geopolitical Risk & Volatility
Plus Stream A (Volatility Trading)• Wednesday: Stream B (Volatility & Correlation)• Thursday: Plenary Sessions on High Frequency Trading Plus Stream C (Volatility Modeling & Trading)• Friday: Volatility Workshop or Algorithmic Differentiation Workshop
If You Focus On Fixed Income:
• Monday: Portfolio Optimization Summit or Correlation Trading Workshop• Tuesday: Plenary Sessions On The Economy & Geopolitical Risk
Plus Stream B (Fixed Income Algo Trading & Insurance Products)• Wednesday: Stream C (Fixed Income & Counterparty Risk)• Thursday: Stream B (Central Clearing)• Friday: Volatility Workshop or Algorithmic Differentiation Workshop
If You Focus On Commodities/ FX Derivatives
• Monday: Portfolio Optimization Summit or Correlation Trading Workshop• Tuesday: Plenary Sessions On The Economy & Geopolitical Risk
Plus Stream C (Commodities)• Wednesday: Stream A (FX & Quant Trading Strategies) Or Stream C
(Fixed Income)• Thursday: Stream A (Risk & Portfolio Management) Or Stream C (Volatility)• Friday: Volatility Workshop or Algorithmic Differentiation Workshop
If You Focus On Quantitative Investment Strategies or Quantitative Trading
• Monday: Portfolio Optimization Summit• Tuesday: Stream A (Volatility Trading) Or Stream B (Fixed Income Algo Trading)• Wednesday: Stream A (Quant Trading Strategies)• Thursday: Plenary Sessions on High Frequency Trading
Plus Stream A (Risk & Portfolio Management)• Friday: Volatility Workshop or Algorithmic Differentiation Workshop
If You Focus On Portfolio Optimization
• Monday: Portfolio Optimization Summit• Tuesday: Plenary Sessions On The Economy & Geopolitical Risk
Plus Stream A, B or C (depending on the asset class you focus on)• Wednesday: Stream A (Quant Trading Strategies)• Thursday: Stream A (Risk & Portfolio Management)• Friday: Volatility Workshop or Algorithmic Differentiation Workshop
blogs.icbi-events.com/global-derivatives
Scan with
smartphone
QR Reader App:
3To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
Hear From World-Renowned Quant Finance & Derivatives Experts
Robert Almgren, Co-Founder, QUANTITATIVE BROKERSWorld-renowned expert on algorithmic trading, Robert will be delivering an extended masterclass on fi xed income algorithmic trading (Tuesday November 18, 14:15-16:15)
Frederic Boyer, Head Of Quantitative Research, Global CreditCITADEL INVESTMENT GROUPFrederic will be discussing trading non-equity volatility in our Talking Volatility Panel (Tuesday November 18, 14:15)
Peter Carr, Managing Director, MORGAN STANLEYPeter will be presenting a new approach to option pricing (Wednesday November 19, 09:00)
Bruno Dupire, Head Of Quantitative Research, BLOOMBERGBruno be discussing volatility trading strategies (Thursday November 20, 11:10)
Jim Gatheral, Professor, Department Of MathematicsBARUCH COLLEGE, CUNYJim will be sharing his latest research on fractional volatility models (Wednesday November 19, 09:40)
Puneet Kohli, Portfolio ManagerHEALTHCARE OF ONTARIO PENSION PLANJoining our tail risk panel discussion, Puneet will be discussing whether tail protection is dead, alongside Vineer Bhansali of PIMCO and Arthur Berd of General Quantitative (Thursday November 20, 11:50)
Alex Lipton, Managing Director, Mathematical Finance ExecutiveBANK OF AMERICATBC
Alex will be discussing the major regulatory changes affecting the market, including clearing, collateral, futurization & SEFs, as part of our Market Structure Panel (Tuesday November 18, 09.50)
Fabio Mercurio, Head Of Derivatives ResearchBLOOMBERGFabio will be discussing being right about wrong-way risk (Wednesday November 19, 09.40)
4 To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
Invaluable Insights From Unmissable Guest SGlobal Economic Outlook
Neal Soss, Vice Chairman, Research, CREDIT SUISSE Neal Soss will be sharing the benefi t of his vast experience with us as he presents this
year’s Guest Economic Address.
Neal has over 35 years experience of fi nancial markets. Prior to his current role, Neal Soss was the Chief Economist within Credit Suisse Investment Bank and before joining First Boston Corporation in 1984, Neal worked for the Federal Reserve, the OCC and the New York State government.
Neal will be discussing Monetary Policy, Emerging Markets & The Future Global Economic Outlook (Tuesday November 18, 08:30)
A Unique Perspective On the Markets & Quantitative Finance
Ray IwanowskiFounder & Managing PrincipalSECOR ASSET MANAGEMENT
Prior to founding SECOR, Ray was the co-head of the Quantitative Investment Strategy group within Goldman Sachs Asset Management. Under Ray’s leadership, the QIS team managed and developed a wide range of investment products, including a well-known fl agship hedge fund, overlays, long-only benchmarked funds, and customized separate accounts.
Ray will be examining Emerging Developments & Trends In Quantitative Investment Management: Looking Ahead To 2015 & Beyond (Tuesday November 18, 09:10)
Geopolitical Risk Alexander Kazan, Head Of Emerging Markets Strategy
EURASIA GROUP As head of emerging markets strategy at leading political risk research fi rm, Eurasia
Group, Alexander Kazan is uniquely placed to examine emerging geopolitical risks and their implications for trading strategies and risk management.
Alexander developed Eurasia Group’s Political Risk Country Portfolio, a comparative framework for analyzing the market pricing of political risk and has previously worked as an equity strategist at Goldman Sachs and an economist at Daiwa Asset Management.
Alexander will be discussing Toward A More Systematic Approach To Political Risk(Tuesday November 18, 11:00)
5To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
t SpeakersThe High Frequency Trading Debate
Haim Bodek, Managing Principal, DECIMUS CAPITAL MARKETS, LLC & Author of The Problem Of HFT
Haim Bodek is an electronic trading executive and algorithmic trading strategist with 15 years’ experience in the automated trading space. He was formerly founder and Chief Executive Offi cer of Trading Machines LLC, an independent high frequency options trading fi rm, and Managing Director and Joint Global Head of Electronic Volatility Trading at UBS Investment Bank. His book, 'The Problem Of HFT' has stimulated widespread debate about high frequency trading and the need for US stock market reform.
Haim will be discussing Inside The Black Box: An Insider’s View On Market Structure & High Frequency Trading (Thursday November 20, 08:40)
Big Data Tobias Preis
Associate Professor Of Behavioural Science & FinanceWARWICK BUSINESS SCHOOL
Tobias Preis is a German physicist and founder of the Artemis Capital Asset Management GmbH. His current research focuses on quantifying and modeling fi nancial market fl uctuations. He recently headed a research team which provided evidence that search engine query data and stock market fl uctuations are correlated.
Tobias will be sharing his latest research on Using Big Data To Develop Adaptive Algorithms & Effective Trading Strategies (Thursday November 20, 10:05)
Networking At Global Derivatives USA 2014Meet The Speaker Lunch Tables – Summit & Main Conference Days 1, 2 & 3This is your opportunity to have lunch with one of the world's leading experts in quantitative fi nance! The lunch tables provide an informal environment where you can chat and ask questions as you enjoy lunch with a small group of your peers and one of the leading lights of the industry.
Drinks Receptions – Summit & Main Conference Days 1 & 2Meet and network with hundreds of senior quantitative traders, portfolio managers, derivatives strategists and quantitative analysts from around the world. Share war stories, learn from the experience of your peers, reconnect with old friends and make some new ones.
Strategy Labs – Main Conference Day 3These informal sessions will give delegates the chance to set the agenda and ask questions about the challenges they are facing in their day to day work. All sessions will be led by industry experts who will be sharing their experience and expertise before opening the discussion to the group, enabling you to meet fellow practitioners, hear experiences from around the industry, learn from your peers and discover practical solutions to the specifi c problems you face.
Topics and speakers already confi rmed include:· Fabio Mercurio on Fixed Income Derivatives· Arthur Berd on Quantitative Investment Strategies
To ensure your question will be addressed, please email questions in advance to [email protected] There will also be a board where you can post your questions throughout the event.
6 To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
PORTFOLIO OPTIMIZATION Summit Monday November 17, 2014
07.40 Registration & Coffee
08.10 Chairman’s Opening Remarks
08.15 Guest Investor AddressAn Investor’s Perspective On Allocating To Quantitative Investments
Jay Vyas, Vice-President & Head Of Quantitative Investing, CANADA PENSION PLAN INVESTMENT BOARD
08.45 Panel: Smart BetaWhich Risk Premia? How Best To Get Exposure? How Best To Diversify?
David Kuenzi, Managing Director Of Risk Management & Quantitative Research, AURORA INVESTMENT MANAGEMENTRan Leshem, Chief Investment Offi cer, APERIO GROUP
Nicolas Mougeot, Senior Director - Research, CAISSE DE DÉPÔT ET PLACEMENT DU QUÉBEC
09.25 Harvesting Risk PremiaExploring Techniques For Harvesting Risk Premia Across Asset Classes
Miguel Alvarez, Director, Quantitative Strategy, DEUTSCHE BANK
10.05 Low Risk InvestingWhy Is Low Risk Investing Successful?
David Jessop, Managing Director, Global Head Of Equities Quantitative Research, UBS
10.45 Morning Coffee
11.00 Entropy PoolingPortfolio Construction & Systematic Trading With Factor Entropy Pooling
David Ardia, Assistant Professor Of Finance, LAVAL UNIVERSITY
11.40 Quant & Fundamentals ICombining Quantitative & Fundamental Strategies To Construct A Portfolio
Indrani De, Director Of Quantitative Research, NEW AMSTERDAM PARTNERS
12.20 Quant & Fundamentals IICombining Quantitative & Fundamental Strategies In The Investment Process
Joseph Cerniglia, Director, BLACKROCK
13.00 Lunch – Plus Meet The Speaker Lunch Tables David Kuenzi, AURORA INVESTMENT MANAGEMENT ● Nicolas Mougeot, CAISSE DE DÉPÔT ET PLACEMENT DU QUÉBEC
14.00 Drawdown RiskOn A Convex Measure Of Drawdown Risk
Lisa Goldberg, Director Of Research, Center For Risk Management & Adjunct Professor Of StatisticsUNIVERSITY OF CALIFORNIA, BERKELEY
14.40 Downside RiskManaging Downside Risk Through Effective Portfolio Construction
James Xiong, Head Of Quantitative Research, MORNINGSTAR INVESTMENT MANAGEMENT
16.20 Liquidity RiskAn Anatomy Of Liquidity Risk Under Opacity
Sorina Zahan, Partner & Chief Investment Offi cer, CORE CAPITAL MANAGEMENTJamie Rauch, Portfolio Manager, CORE CAPITAL MANAGEMENT
17.00 Dynamic Portfolio AnalysisUsing Dynamic Portfolio Analysis In Practice To Optimise Portfolios
Petter Kolm, Director, Mathematics In Finance Masters Program, COURANT INSTITUTE OF MATHEMATICAL SCIENCES
17.40 Multi-Period Portfolio ChoiceExamining A New Approach To The Study Of Multi-Period Portfolio Selection Problems With Time Varying Alphas, Trading Costs & Constraints
Gordon Ritter, Adjunct Professor, COURANT INSTITUTE, NYU & RUTGERS
18.20 Chairman’s Closing Remarks
18.25 Drinks Reception
The Latest Innovations In Quantitative Approaches To Portfolio Optimization
CORRELATION TRADING WORKSHOP Monday November 17, 2014
09.00-
17.00
Latest Developments In Correlation TradingLed By: Gunter Meissner, Professor Of Finance, UNIVERSITY OF HAWAII & CEO, CASSANDRA CAPITAL MANAGEMENT
See pg. 11 for more details
See pg. 10-11 for more details
7To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
Main Conference Day 1 overview Tuesday November 18, 2014
07.50 Registration & Coffee
08.25 Chairman’s Opening Remarks
MACRO MORNING
08.30 Global Economic OutlookMonetary Policy, Emerging Markets & The Future Global Economic Outlook
Neal Soss, Chief Economist, CREDIT SUISSE
09.10 Emerging Developments & Trends In Quantitative Investment Management:Looking Ahead To 2015 & Beyond
Ray Iwanowski, Founder & Managing Principal, SECOR ASSET MANAGEMENT
Exploring The Impact Of The Changes So Far, What Further Reforms Can We Expect & What Does It All Mean For How We Do Business?Alex Lipton, Managing Director, Mathematical Finance Executive, BANK OF AMERICATBC
Stephan Schoess, Chief Economist, THE OPTIONS CLEARING CORPORATIONMarco Avellaneda, Professor Of Mathematics & Finance, COURANT INSTITUTE, NYU
10.35 Morning Coffee
11.00 Geopolitical RiskToward A More Systematic Approach To Political Risk
Alexander Kazan, Head Of Emerging Markets Strategy, EURASIA GROUP
11.40 Equity Markets & Volatility Dynamics Panel Why Is Volatility So Low? Where Are Markets Headed?
Moderator: Paul Stephens, Vice President, CBOEBenjamin Bowler, Global Head Of Equity Derivatives Research, BANK OF AMERICA MERRILL LYNCH
Michael Purves, Chief Global Strategist & Head Of Derivatives Research, WEEDEN & COEuan Sinclair, Trader, BLUEFIN TRADING
12.20 Volatility As An Asset Allocation Problem: A Multi-Dimensional Macro Factor ApproachFreddy Lim, Managing Director & Global Head Of Derivatives Strategy, NOMURA
13.00 Lunch – Plus Meet The Speaker Lunch Tables - Freddy Lim, NOMURA ● Alex Lipton, BANK OF AMERICAHelyette Geman, UNIVERSITY OF LONDON & JOHNS HOPKINS UNIVERSITY ● Euan Sinclair, BLUEFIN TRADING
Stream A: Innovations In Volatility Trading Stream B: Fixed Income Algorithmic Trading
Stream C: The Latest Advances In Commodity Derivatives Trading
14.15 Panel: Talking VolatilityExamining The Latest Volatility Trading
Strategies Beyond Selling VolatilityNeil Joshi, Formerly of PEAK6 INVESTMENTS
Frederic BoyerCITADEL INVESTMENT GROUP
Sorina ZahanCORE CAPITAL MANAGEMENT
FIXED INCOME ALGORITHMIC TRADING MASTERCLASS
Session 1: 40 minutesThe Impact Of Changing Market Structure On
Fixed Income TradingRobert Almgren, QUANTITATIVE BROKERS
Session 2: 40 minutesOptimising Execution In Fixed Income MarketsRobert Almgren, QUANTITATIVE BROKERS
Session 3: 40 minutesTrading Through & Around News,
Macroeconomic Data Releases & Treasury Auctions
Robert Almgren, QUANTITATIVE BROKERS
Commodity Market OutlookA Focus On Event-Driven Volatility & The Impact For Commodity Trading
Guillaume Poujade, TOTAL GAS & POWER
14.55
VIX Risk PremiaMarko Kolanovic, JP MORGAN
Commodity Markets After Financialization: The Examples Of Agricultural Commodities &
Natural Gas MarketsHelyette Geman, UNIVERSITY OF LONDON
& JOHNS HOPKINS UNIVERSITY
15.35 Harvesting Volatility Risk Premium For Alpha & Effi cient Hedging In A Dynamic & Distorted
MarketBenjamin Bowler, BANK OF AMERICA
MERRILL LYNCH
Quantifying Geopolitical Risk In The Equity & Commodity Markets
Ehud RonnUNIVERSITY OF TEXAS AT AUSTIN
16.15 Afternoon Tea
16.40
Developing Forward-Looking Strategies For Trading Volatility Across Asset Classes
Quantitative Finance Approaches For The Insurance Industry Exploring New Advances In Modelling &
Managing FX-Commodity CorrelationWiley Pickett, Formerly of
FORD MOTOR COMPANYVariable Annuities
Managing The Risk Of Guaranteed Minimal Withdrawal Through Product Design &
Hedging Strategies
17.20Central Banking & Market VolatilityMichael Purves, WEEDEN & CO
A New Technique For Modelling The Stochasticity Of Mortality Risk
Dilip Madan, UNIVERSITY OF MARYLAND
Global Arbitrage In Commodity Markets, Physical & Financial
Alex Burke, LA COOP FÉDÉRÉE
18.00 Using Volatility To Increase Alpha & Decrease Risk
Neil Joshi, Formerly ofPEAK6 INVESTMENTS
Managing Gap RiskUnderstanding The Role & Application Of Low
Volatility Products
How To Use Options To Develop The Optimal Hedge For Physical Assets
9To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
Main Conference Day 3 overview Thursday November 20, 2014
08.00 Registration & Coffee
08.30 Chairman’s Opening Remarks
Innovations In Quantitative Trading
08.40 Inside The Black BoxAn Insider’s View On Market Structure & High Frequency Trading
Haim Bodek, Managing Principal, DECIMUS CAPITAL MARKETS, LLC & Author of The Problem Of HFT
09.20 Panel: The HFT DebateHow Fast Is Too Fast? What Reforms Will Be Useful For The Market & For Investors? Who Will Be The Winners & Losers?
Haim Bodek, Managing Principal, DECIMUS CAPITAL MARKETS, LLC & Author of The Problem Of HFTDan Penley, Director, Algorithmic Trading & Execution, SPOT TRADING
Michael Sotiropoulos, Global Head Of Algorithmic Trading Quantitative Research, BANK OF AMERICA MERRILL LYNCH
10.05 Big DataUsing Big Data To Develop Adaptive Algorithms & Effective Trading Strategies
Tobias Preis, Associate Professor Of Behavioural Science & Finance, WARWICK BUSINESS SCHOOL
10.45 Morning Coffee
Stream A: Risk & Portfolio Management Strategies
Stream B: The Latest Developments In Central Clearing & Regulation
Stream C: Innovations In Volatility Modelling & Trading
ONTARIO PENSION PLANArthur Berd, GENERAL QUANTITATIVE
Recent Advances In Modelling & Managing Liquidity Risk For Cleared OTC Derivatives
Marco AvellanedaCOURANT INSTITUTE, NYU
Leveraged ETF Options & ETF/Index Options: Linking the Volatility Skews
Roger LeeUNIVERSITY OF CHICAGO
12.30
Better Capturing Key Risk Factors In Pricing
Design & Stress-Testing Of CCP Risk Management Systems
Rama ContIMPERIAL COLLEGE LONDON
Vol Of VolUnderstanding Volatility Of Volatility
Dynamics & The Implications For Trading Strategies
Scott Maidel, RUSSELL INVESTMENTS
13.10 Lunch – Plus Meet The Speaker Lunch Tables
Puneet Kohli, HEALTHCARE OF ONTARIO PENSION PLAN ● Sam Priyadarshi, VANGUARD ● Dan Penley, SPOT TRADING
Stream A: Risk & Portfolio Management Strategies
Stream B: The Latest Developments In Central Clearing & Regulation
Stream C: Innovations In Computational Effi ciency
14.30
Towards Artifi cially Intelligent Risk Management
Igor Halperin, JP MORGAN
How Should Central Counterparty Risk Be Managed Coherently In Practice & How
Should Banks Be Capitalized Against Their Exposures To CCPs?Samim Ghamami
FEDERAL RESERVE BOARD
Implementation Of PDE Methods On GPUsMike Giles
OXFORD-MAN INSTITUTE OF QUANTITATIVE FINANCE
15.10Risk Management & Modeling Of Derivatives
In Global, Unconstrained PortfoliosBob Gingrich
WESTERN ASSET MANAGEMENT
Regulation & InnovationExploring The Market Dislocations,
Opportunities & Innovation That May Be Caused By Recent Regulatory Change
Adjoint Algorithmic Differentiation Software Tool Support For Robust Large-Scale
Parameter Calibration In Computational Finance
Uwe NaumannRWTH AACHEN UNIVERSITY
15.50 Afternoon Tea
16.15 Strategy LabsThese informal sessions are your chance to set the agenda & discover practical solutions to the specifi c problems you face.
You will be able to pose your question about challenges you are facing in your day to day role to one of our leading industry experts who will be sharing their experience and expertise, before opening discussion to the fl oor enabling you to meet fellow practitioners, share ideas and
learn from the experience of your peers from across the industry.Topics and speakers already confi rmed include:
Fabio Mercurio on Fixed Income Derivatives ● Arthur Berd on Quantitative Investment Strategies
17.15 End Of Main Conference
IN-DEPTH TECHNICAL WORKSHOPs Friday November 21, 2014
09.00-
17.00
Adjoint Methods For Option PricingLed by: Mike Giles, Professor Of Scientifi c Computing
OXFORD-MAN INSTITUTE OF QUANTITATIVE FINANCEUwe Naumann, Professor Of Computer Science
RWTH AACHEN UNIVERSITYSee pg. 21 for more details
Latest Advances In Volatility Trading & ModelingLed by: Sebastien Bossu, Principal, OGEE GROUP LLC
& Adjunct Professor, PACE UNIVERSITYSee pg. 21 for more details
See pg. 18-20 for more details
10 To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
07.40 Registration & Coffee
08.10 Chairman’s Opening Remarks
08.15
Guest Investor AddressAn Investor’s Perspective On Allocating To Quantitative Investments
Jay Vyas, Vice-President & Head Of Quantitative Investing, CANADA PENSION PLAN INVESTMENT BOARD
Jay Vyas, CFA, has over 20 years experience in the fi eld of quantitative investments. Prior to joining CPPIB in 2010, Jay was a co-founder and Chief Investment Offi cer at Vyas Capital Management. Before that, he was a Senior Portfolio Manager and Head of Portfolio Management Process in Barclays Global Investors' Alpha Strategies Group, a portfolio manager at Martingale Asset Management, and he worked at Barra Inc. where he began his career.
08.45
Panel: Smart BetaWhich Risk Premia? How Best To Get Exposure? How Best To Diversify?
David Kuenzi, Managing Director Of Risk Management & Quantitative ResearchAURORA INVESTMENT MANAGEMENT
Aurora is a $10 billion alternative investment solutions provider. Until December 2008, David Kuenzi served as Head of Risk Management and Quantitative Research at Man Investments (Glenwood). Prior to joining Glenwood in 2003, Mr. Kuenzi was at Nuveen Investments where he held a number of roles, before which he was at Perritt Capital Management. He is also a Chartered Financial Analyst. His articles have appeared in The Journal of Alternative Investments, The Journal of Portfolio Management, The Journal of Investing, The Journal of Performance Measurement and the “Cutting Edge” section of Risk.
Ran Leshem, Chief Investment Offi cer, APERIO GROUP
Ran Leshem oversees the portfolio management and operations of Aperio’s US, Foreign, and Global products. Ran has extensive expertise in applying
quantitative techniques and information technology to complex operational problems. Prior to joining Aperio in 2006, Ran was a Manager, Operating Strategy at the GAP, Inc. At the GAP, Ran managed the development of a store level forecasting system utilizing clustering and data mining algorithms to predict sales based on historical data. Ran received a Bachelor's degree in Mathematics from the University of Waterloo, Canada, where he received the Hewlett Packard Award for academic excellence, and his MBA from the University of California at Berkeley.
Nicolas MougeotSenior Director - Research CAISSE DE DÉPÔT ET PLACEMENT DU QUÉBEC
Prior to joining la Caisse, Nicolas Mougeot was managing director and global head of equity derivatives and quantitative research at Deutsche Bank in London. He also previously held research positions at Lehman Brothers, Citigroup Smith Barney and BNP Paribas. Nicolas and his team have been ranked #1 derivatives strategists in Europe by Institutional Investor in 2011 and 2012 and received the Risk award for derivatives research house of the year in 2011. Nicolas holds a PhD and MSc in fi nance from the University of Lausanne, Switzerland.
09.25
Exploring Techniques For Harvesting Risk Premia Across Asset Classes
Miguel AlvarezDirector, Quantitative Strategy DEUTSCHE BANK
Miguel Alvarez is primarily focused on alpha, risk and portfolio construction.
Before joining Deutsche Bank, Miguel worked at Barclays Global Investors (BGI) in the active equity strategies group where he was a Principal Research Offi cer on the Emerging Markets Strategy team. Prior to BGI, Miguel worked as a Vice President of Research at MSCI Barra where he led the Alternative Assets Research team and worked on various risk topics, including multifactor and multi-asset risk modeling.
minimum variance or risk weighting) is one of the more enduring quantitative strategies. The anomaly is that low-risk portfolios can offer a higher return than riskier portfolios. What is the explanation for low-risk stocks outperforming?
• We offer a new explanation for the success of low-risk investing. In brief, the market responds asymmetrically to good and bad news. In bear markets, betas are dispersed and volatility is high – and this heavily favours low-beta stocks. However, in bull markets, betas are tight and volatility low – and so low-beta stocks barely underperform. Over the cycle, low beta wins out.
• We also show that high beta names are asymmetrically affected by negative earnings surprises, which partly explains their underperformance.
David Jessop, Managing Director, Global Head Of Equities Quantitative Research UBS
David Jessop’s key areas of research include portfolio analysis and construction, style analysis and risk modelling. He also helps clients understand, use and implement the quantitative tools available from UBS. David joined UBS in 2002. Prior to this, he spent seven years at Citigroup as Head of Global Quantitative Marketing. Before moving to the sell side he spent six years at Morgan Grenfell Asset Management, where he managed index funds, asset allocation funds and also an option overwriting fund.
10.45 Morning Coffee
11.00
Portfolio Construction & Systematic Trading With Factor Entropy Pooling• Trading signals • Equilibrium prior• Entropy pooling • Inequality views (ranking)
David ArdiaAssistant Professor Of FinanceLAVAL UNIVERSITY
David Ardia is assistant professor of fi nance at Laval University (Québec City) and conducts research on fi nancial
econometrics. Previously he was senior analyst at aeris CAPITAL AG and head of research at Tolomeo Capital AG, two Swiss-based asset managers. In 2008, he received the Chorafas prize for his book “Financial Risk Management with Bayesian Estimation of GARCH Models” published by Springer. He is the author of several scientifi c articles and statistical packages. He holds a PhD in Bayesian econometrics.
11.40
Combining Quantitative & Fundamental Strategies ToConstruct A Portfolio• Examining how quantitative models can be
built based on fundamental and market factors (e.g. profi tability, growth, earnings quality, valuation, market expectations)
• Using non-traditional data like ESG to build effective return and risk prediction models
• The role of models in identifying innovative companies and companies with high idiosyncratic risks like problematic accounting
• Over-lay by fundamental analysis useful in capturing regime-specifi c and company-specifi c issues. Consider risk-control constraints, factor exposure and tilts relative to its benchmark to remain consistent with investment strategy
Indrani De, Director Of Quantitative Research, NEW AMSTERDAM PARTNERS
Indrani De, CFM, PRM, received an MBA from the Indian Institute of Management. Indrani completed the
coursework for a PhD at the City University of New York. Prior to her doctoral studies, she worked as an Investment Analyst for GE Capital Services and 20th Century Venture Capital. She has been published in the Journal of Investing and NYSSA Financial Professionals’ Post. Indrani is the President of the Society of Quantitative Analysts and a member of the NY Steering Committee of the Professional Risk Managers International Association.
12.20
Combining Quantitative & Fundamental Strategies In the Investment Process• Blending signals from quantitative &
fundamental processes• Using quantitative signals in a fundamental
process• Portfolio optimization of quantitative &
fundamental alphaJoseph Cerniglia, Director, BLACKROCKJoseph Cerniglia, CFA, is a Director and a head of the Quantitative Analysis Research Group (QARG) in the Fundamental Equity division of BlackRock's Alpha Strategies Group. His responsibilities include research for Alpha strategies and portfolio construction. Prior to joining QARG, he was in the Risk and Quantitative Analysis Group at BlackRock. Prior to joining BlackRock in 2011, Mr Cerniglia was a senior portfolio manager and quantitative researcher at Aberdeen Asset Management and Gartmore Global Investments. Prior to joining Gartmore Global Investments in 2000, he was an equity analyst at Pitcarin Trust Company.
13.00
Lunch - Plus Meet The Speaker Lunch Tables
14.00
On A Convex Measure Of Drawdown Risk
Lisa Goldberg, Director Of Research, Center For Risk Management & Adjunct Professor Of StatisticsUNIVERSITY OF
CALIFORNIA, BERKELEYLisa Goldberg is an inventor on four patents. She is the co-author of a book, Portfolio Risk Analysis, which was published by Princeton University Press in 2010, and more than forty published articles in mathematics and fi nancial economics. Lisa is Book Review Editor for Quantitative Finance and she serves on the editorial board of Financial Analysts Journal, as Associate Editor for Journal of Investment Strategies.
PORTFOLIO OPTIMIZATION Summit Monday November 17, 2014
11To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
14.40
Managing Downside Risk Through Effective Portfolio Construction• Mean-conditional value-at-risk (M-CVaR)
optimization is more appropriate when return distribution is not normally distributed
• Acceleration leads to poor performance and higher probability to crash
• Acceleration can reconcile the one-month reversal and 2-12 month momentum
• Acceleration is robust in forecasting negative skewness for equity asset classes
• Forecasting skewness is the key in applying the MCVaR Optimization
• Forecasting skewness is benefi cial in reducing downside risk without giving up returns
James XiongHead Of Quantitative ResearchMORNINGSTAR INVESTMENT
MANAGEMENT In his current role, Xiong leads and develops new methodologies and algorithms that deal with tail risk management, momentum investing, portfolio optimization, strategic and dynamic asset allocation, mutual fund selection, simulation-based wealth forecasting, and other investment and fi nancial planning areas. He also conducts extensive research on the investment industry and his work has been published in journals including the Financial Analysts Journal, Journal of Investment Management and Journal of Portfolio Management. Previously, Xiong served as a senior research consultant for Ibbotson Associates. From 2003 to 2007, he was a quantitative analyst for Morningstar Associates. He joined Morningstar as a software engineer in 2000.
15.20
Tail Risk Parity & Beyond: Addressing Leverage & Drawdown Risk Concerns• Risk-driven investing - an investment style, a
marketing ploy, or a conceptual framework?• Which risks need to be balanced in risk
parity?• How to account for leverage risk?• Can dynamic asset allocation help manage
the drawdown risks? Arthur Berd, Founder &
Chief Executive Offi cerGENERAL QUANTITATIVE
Arthur M. Berd is the Founder and CEO of General Quantitative LLC, an emerging diversifi ed fi nancial services
fi rm. He also founded and edits the Journal of Investment Strategies. Earlier, Arthur was the Head of Macro Volatility Strategies at Capital Fund Management, and held senior strategy and research positions at BlueMountain Capital Management, Lehman Brothers and GSAM.
16.00 Afternoon Tea
16.20
An Anatomy Of Liquidity Risk Under Opacity• Liquidity measures and regimes of liquidity• Regimes of liquidity risk• Measuring liquidity risk across portfolios of
hedge funds Sorina Zahan, Partner & Chief
Investment Offi cer, CORE CAPITAL MANAGEMENT
Sorina Zahan is a Partner and CIO at Core Capital Management, an
alternative investment services and fi nance research company that she helped establish in 2004. Her responsibilities include the management of Core’s research and investment activities. Prior to 2004 Dr. Zahan spent fi fteen years in academia. Her current research activity is focused on optimality and risk allocation in public pension plans and the correction of common biases in portfolio construction.
Jamie RauchPortfolio Manager, CORE CAPITAL MANAGEMENT
Jamie Rauch is a Portfolio Manager at Core Capital Management. His responsibilities include due diligence,
monitoring and portfolio management of the Core portfolios. Prior to joining Core in 2008, Mr. Rauch was a derivatives and foreign currency trader at Chicago Trading Company and the Gelber Group, respectively.
17.00
Using Dynamic Portfolio Analysis In Practice To Optimise Portfolios• Novel approach to multi-period portfolio
selection problems with time varying alphas, trading costs, and constraints
• Construct a bayesian dynamic model whose most likely state sequence is the solution
• New intuition leads to effi cient algorithms which extend to portfolios with many assets and certain classes of constraints
• Generalizes to many problems in fi nance, including optimal dynamic hedging
Petter Kolm, Director, Mathematics In Finance Masters ProgramCOURANT INSTITUTE, NYUPrior to his current role, Petter Kolm worked in the Quantitative Strategies Group at Goldman Sachs Asset Management. Petter co-authored the books Financial Modeling of the Equity Market: From CAPM to Cointegration (2006), Trends in Quantitative Finance (2006), Robust Portfolio Management and Optimization (2007), and Quantitative Equity Investing: Techniques and Strategies (2010). Petter is a member of the editorial boards of the International Journal of Bonds and Currency Derivatives, International Journal of Portfolio Analysis and Management, Journal of Investment Strategies & Journal of Portfolio Management.
17.40
Examining A New Approach To The Study Of Multi-Period PortfolioSelection Problems With Time Varying Alphas, Trading Costs & ConstraintsWe present a new theoretical framework for multiperiod optimization with transaction costs which recasts the problem as estimation of a hidden state sequence in a Markov chain. This framework is general enough to encompass the vast majority of the multiperiod portfolio choice and portfolio tracking problems that have thus far appeared in the literature. The framework leads naturally to practical optimization methods which are shown to converge for a large class of cost functions.
Gordon RitterAdjunct Professor, COURANT INSTITUTE, NYU & RUTGERS
Gordon Ritter is an Adjunct Professor at the Courant Institute (NYU), where he teaches graduate-level courses in the Mathematics in Finance program, and at Rutgers where he teaches in the Financial Statistics and Risk Management program. Concurrently with his academic roles he has held several prestigious buy-side positions in the area of statistical arbitrage alpha generation and portfolio management. He completed his PhD at Harvard University and is a recipient of Harvard's award for excellence in teaching.
18.20 Chairman’s Closing Remarks
18.25 Drinks Reception
Correlation Trading WORKSHOPIntroduction: What Are Financial Correlations & Why Are They Critical In Finance?• Investments and correlation• Trading and correlation• Risk management and correlation • The global fi nancial crisis and correlation• Regulation and correlation
An Overview Of Correlation Models: Is There A ‘Best Correlation Model’?
Foundations Of Correlation Trading: How Do Correlations Behave In The Real World?• How do equity correlation levels and vol
behave in a recession, normal economic period, economic expansion?
• Do equity correlations exhibit mean reversion?
• Do equity correlations exhibit autocorrelation? Is mean reversion the ‘reverse property’ of autocorrelation?
• How are equity correlations distributed?
Correlation Trading: How Can Correlation & Cointegration Analysis Support Our Trading Decision? • Do the established correlation plays still
work? - Autocorrelation of stocks has changed! - Does the ‘January barometer’ and ‘Sell in
May and go away’ still work? - Does international stock-index arbitrage
exist?• How to price and hedge correlation options
as multi-asset options, quantos• Excel Exercise: Programming an exchange
option (as imbedded in a convertible bond) and programming Cora and Gora to derive
the Impact of correlation on the exchange option price
- Pricing and hedging correlation swaps• Should we model the underlying correlation
with a stochastic process? If so which one?• Excel Exercise: Programming White Noise,
the Geometric Brownian Motion with Jumps, and the bounded Jacobi process
- Dispersion trading - a play on correlation• Group Exercise: Creating a dispersion
strategy with the Dow index for a one-year time horizon
Gunter Meissner, Professor Of Finance, UNIVERSITY OF HAWAII & CEO, CASSANDRA CAPITAL MANAGEMENT
Bio available on pg. 16
PORTFOLIO OPTIMIZATION Summit Monday November 17, 2014
Monday November 17, 2014
12 To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
07.50 Registration & Coffee
08.25 Chairman’s Opening Remarks
Macro Morning 08.30
Global Economic OutlookMonetary Policy, Emerging Markets & The Future Global Economic Outlook
Neal Soss, Vice Chairman, Research, CREDIT SUISSE
Neal M. Soss is the Vice Chairman, Research within the Investment Banking division. Prior to his current role, Neal was the
Chief Economist within the Investment Bank. He joined the First Boston Corporation in 1984 from the Federal Reserve Bank of New York, where he was a Vice President responsible for bank supervision and foreign relations. During a two-year leave from the NY Fed, he was assistant to Chairman Paul A. Volcker of the Federal Reserve Board. Neal's experience in Washington also includes two years as Director of the Banking Research and Economic Analysis Division in the US Offi ce of the Comptroller of the Currency. Neal has also held various positions in New York State government, including three years in the New York State Banking Department. Neal received his Ph.D. in Economics from Princeton University.
09.10
Emerging Developments & Trends In Quantitative Investment Management: Looking Ahead To 2015 & Beyond
Ray IwanowskiFounder & Managing PrincipalSECOR ASSET MANAGEMENT
Prior to founding SECOR, Ray was the co-head of the Quantitative Investment Strategy (QIS) group within Goldman Sachs Asset Management(GSAM). Under Ray’s leadership, the QIS team managed and developed a wide range of investment products, including a well-known fl agship hedge fund, overlays, long-only benchmarked funds, and customized separate accounts. He has authored a number of publications on fi xed income asset allocation and fi xed income derivatives. Ray holds an M.B.A. from the University of Chicago.
09.50
Market Structure PanelClearing, Collateral, Futurization & SEFs: Exploring The Impact Of The Changes So Far, What Further Reforms Can We Expect& What Does It All Mean For How We Do Business?
Alexander Lipton, Managing Director, Mathematical Finance ExecutiveBANK OF AMERICATBC
In his enterprise-wide role, Alexander consults with and advises fi nancial leaders in the bank on how to develop mathematical models for return maximization. Previously, he spent seven and a half years in London, where, most recently, he was a Managing Director and Co-Head of the Global Quantitative Group at Bank of America Merrill Lynch, and a Visiting Professor of Mathematics at Imperial College. Prior to joining Merrill Lynch, Alexander held roles at Citadel Investment Group, Credit Suisse, Deutsche Bank and Bankers Trust in New York. Before switching to the fi nancial industry, Alexander
was a Full Professor of Mathematics at the University of Illinois and a Consultant at Los Alamos National Laboratory.
Stephan SchoessChief EconomistTHE OPTIONS CLEARING CORPORATION
Prior to his current position, Mr. Schoess managed OCC’s risk management department with responsibilities for formulating, devising, and controlling OCC’s risk-management procedures. Before joining OCC in 1998, Mr. Schoess held positions as Principal of Hedge, Inc., Managing Director of the Chicago Board Options Exchange, Senior Strategic Planner at Continental Illinois National Bank of Chicago, and Associate Professor of Finance at Northeastern Illinois University.
Marco AvellanedaProfessor Of Mathematics COURANT INSTITUTE OF MATHEMATICAL SCIENCES, NEW YORK UNIVERSITY
Marco Avellaneda has previously worked at Banque Indosuez as consultant in FX derivatives, in fi xed-income research at Morgan Stanley, as quant strategist at Gargolye Strategic Investments, as Head of Volatility Arbitrage at Capital Fund Management and as Portfolio Manager for quant trading at the Galleon Group. He is known in academic fi nance as the inventor of the Uncertain Volatility model, for developing model-calibration algorithms using Weighted Monte Carlo/Max Entropy, for the theory behind dispersion trading, and for his more recent works on statistical arbitrage, high-frequency trading and price forecasting. He is in the editorial boards of Communications on Pure and Applied Mathematics, the International Journal for Theoretical and Applied Finance and Quantitative Finance, among others and authored the textbook “Quantitative Modeling of Derivative Securities”. He was awarded the prize 2010 Quant of the Year by RISK Magazine.
10.35 Morning Coffee
11.00
Toward A More Systematic Approach To Political Risk
Alexander KazanHead Of Emerging Markets Strategy EURASIA GROUP
Alexander Kazan is Practice Head, Emerging Markets Strategy at Eurasia Group, the world’s leading global
political risk research fi rm. He is responsible for the fi rm's comparative emerging market initiatives. Alex also led the development of the Political Risk Country Portfolio, a new comparative framework for analyzing the market pricing of political risk across emerging markets. Alex previously led the Latin America equity strategy team at Goldman Sachs and has worked at Daiwa Asset Management as an economist and investment strategist and at Bear Stearns covering Latin America. Alex holds degrees from the University of California, Davis, and Georgetown University.
11.40
Equity Markets & Volatility Dynamics Panel Why Is Volatility So Low? Where Are Markets Headed?
Moderator: Paul StephensVice President, CHICAGO BOARD OPTONS EXCHANGE
Paul Stephens is Head of Institutional End-User Business Development for the Chicago Board Options Exchange. He currently focuses on index-related products such as S&P 500 options (SPX), the most active U.S. index option, and options on the CBOE Volatility Index (VIX), the world’s
barometer for market volatility. Mr. Stephens has over twenty years industry experience in options, futures and other derivative securities. Previously Mr. Stephens was a Senior Staff Instructor with The Options Institute division of the CBOE. He also taught classes for the University of Chicago’s Masters in Financial Mathematics program. Before arriving at the CBOE, he served as Financial Derivatives Instructor for S.G. Warburg. Mr. Stephens has also been a fl oor broker at the Chicago Mercantile Exchange for clients of Refco, Inc.
Benjamin BowlerManaging Director & Head Of Global Equity Derivatives Research, BANK OF AMERICA MERRILL LYNCH
Benjamin Bowler’s team is focused on product and strategy research across global equity derivatives markets, and cross-asset volatility for effi cient hedging and alpha generation. During his 15 years as a publishing research analyst, Ben has helped to pioneer fi nancial market developments including trading volatility as an asset class, hedge fund replication, and the use of cross-asset risk in portfolio management through the creation of the fi rm's Global Financial Stress Index. The team is also the originator of numerous investable indices, which provide access to innovative alternative investment strategies utilizing derivatives and quantitative asset allocation.
Michael Purves, Chief Global Strategist & Head Of Derivatives Research WEEDEN & CO
In his role, Michael develops actionable trade ideas and hedging strategies using listed derivatives. Drawing on more than two decades of experience, he integrates fundamental analysis and trading dynamics with options to generate ideas with optimized risk/return profi les. Michael is well recognized for his “Wolf Market” framework and his timing and understanding of precious metals. Prior to joining Weeden & Co, he held similar posts at BGC Financial and Pali Capital. Previously, Michael was a founding partner at Hudson Fairfax, an Indian long/short hedge fund. He also worked at Compass Group where he ran equity analysis for their fl ag ship Latin American focused hedge fund. Before this, Michael was an investment banker at S.G. Warburg (now UBS), Merrill Lynch and RBC Capital Markets. Michael is frequently interviewed in the fi nancial media, including Bloomberg, CNBC and the Wall Street Journal.
Euan Sinclair, TraderBLUEFIN TRADING
Dr Euan Sinclair is an option trader with over fi fteen years of professional trading experience. He has traded options on indices, stocks, commodities and
interest rate products. He currently works on strategy design and is the risk manager at Bluefi n Trading. He holds a PhD in theoretical physics from the University of Bristol and has written two books, “Volatility Trading” and “Option Trading”, both published by Wiley.
12.20
Volatility As An Asset Allocation Problem: A Multi-Dimensional Macro Factor Approach• Low volatilities across asset classes and
markets have been a real pain for most fund managers and traders over the last few years. Post US fi nancial crisis, we have tighter risk-related regulations around the world which in general has led to less “digital” derivatives product innovation. As a result, macro regime breaks are more likely to drive volatilities from here.
• We will present a framework for thinking about volatilities across different macro regimes. In particular, there has been some interesting techniques to quantify and defi ne macro regimes based on cycles and
Main Conference Day 1 Tuesday November 18, 2014
13To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
Main Conference Day 1 Tuesday November 18, 2014
momentum of growth, infl ation and central bank policies.
• Having a clearly articulated framework like this could help investors decide asset and volatility allocation in years to come.
Freddy Lim, Managing Director & Global Head Of Derivatives Strategy, NOMURA
Freddy Lim leads a team of strategists responsible for assessing value, developing themes and providing
actionable trade ideas in derivatives markets across asset classes. He joins Nomura from Millennium Capital Management Singapore where he was a Portfolio Manager focusing on cross-asset and quantitative macro investing. He held similar roles at Citi Capital Advisors and Citi Principal Strategies Group. Before moving to the buy-side, Freddy was APAC Head of G10 Rates Strategy for Citigroup, and prior to that was Head of Interest Rate Strategy at Morgan Stanley Japan.
Frederic BoyerHead Of Quantitative Research, Global Credit, CITADEL INVESTMENT GROUP
Frederic Boyer manages a team of researchers that are in charge of all mathematical and statistical modeling of risk and returns of linear and non-linear securities traded by the Global Credit business, including convertible and corporate bonds, credit default swaps, equities and equity options. Mr. Boyer joined the fi rm in 2002 as a quantitative researcher. He was appointed to his current role in 2006. Prior to joining Citadel, he worked as an economist for Banque de France. Mr. Boyer graduated from the Ecole Polytechnique in Paris and holds a masters of science from ENSTA and the University of Paris.
Neil Joshi, Former Co-Chief Investment Offi cer, PEAK6 INVESTMENTS
Sorina Zahan, Partner & Chief Investment Offi cer, CORE CAPITAL MANAGEMENTBio available on pg. 11
14.55
VIX Risk Premia Marko Kolanovic, Global Head
Of Quantitative & Derivatives Strategy, JP MORGAN
Marko Kolanovic's team is responsible for developing equity derivatives, quantitative equity, portfolio
trading, and cross-asset class strategies for clients and fi rm's trading desks. His team currently holds 5 top rankings in the Institutional Investor surveys in the US, Asia and Europe, and Marko individually ranks #1 in the category of US Equity Derivatives. Prior to joining J.P. Morgan, Dr. Kolanovic was Head of Derivatives and Quantitative Equity Strategies at Bear Stearns and a derivatives research analyst at Merrill Lynch. His trading methods have been implemented by major hedge funds and his expertise has been used by major investment offi ces around the world. Dr. Kolanovic's work is frequently quoted in publications such as the Wall Street Journal, Financial Times, Barron's, and others. Marko graduated from New York
University with a PhD in theoretical high-energy physics. He has developed a number of scientifi c theories, has authored top-cited research publications, and is the winner of numerous excellence awards.
15.35
Harvesting Volatility Risk Premium For Alpha & Effi cient Hedging In A Dynamic & Distorted Market• The popularity of trading volatility as an asset
class continues to rise• However, the market is challenged by near
unprecedented distortions arising from central banks all-in policies
• How the very nature of risk is changing and where to fi nd value in trading volatility for alpha and effi cient hedging across asset classes
Benjamin BowlerManaging Director & Head Of Global Equity Derivatives ResearchBANK OF AMERICA MERRILL LYNCHBio available on pg. 12
16.15 Afternoon Tea
16.40
Developing Forward-Looking Strategies For Trading Volatility Across Asset ClassesSpeaker tbc
17.20
Central Banking & Market Volatility• Implications of “globally diversifi ed” interest
rate suppression on volatility• Considering equity market volatility in the
context of pan-asset volatility• A macro framework for the new volatility
catalystsMichael Purves, Chief Global Strategist & Head Of Derivatives ResearchWEEDEN & COBio available on pg. 12
18.00
Using Volatility To Increase Alpha & Decrease RiskNeil Joshi, Former Co-Chief Investment Offi cer, PEAK6 INVESTMENTS
18.40 Chairman’s Closing Remarks
18.45 Drinks Reception
Stream B: Fixed Income Algorithmic Trading
14.15 – 16.15
Fixed Income Algorithmic Trading Masterclass
Robert Almgren, Co-Founder QUANTITATIVE BROKERS
Robert Almgren is also a Fellow in the Mathematics in Finance Program at New York University. Until 2008, Dr Almgren was a Managing Director
and Head of Quantitative Strategies in the Electronic Trading Services group of Banc of America Securities. From 2000-2005, he was a tenured Associate Professor of Mathematics and Computer Science at the University of Toronto, and Director of its Master of Mathematical Finance program.
Session 1: 40 minutesThe Impact Of Changing Market Structure On Fixed Income Trading• Market structure across the fi xed income
universe• Ingredients that are necessary to support
quantitative trading• What areas are developing the most rapidly
Session 2: 40 minutesOptimising Execution In Fixed Income Markets• Special features of fi xed income market
microstructure• The challenges of accurate transaction cost
analysis• Quantitative aspects of optimal executionSession 3: 40 minutesEvent-Based Algorithmic TradingHarvesting Alpha From The News, Macroeconomic Data Releases & Treasury Auctions• The different types of market-moving events• Which events affect which markets• Effects of volume, volatility, and quote size
curves
16.15 Afternoon Tea
Stream B: Quantitative Finance Approaches For The Insurance
Industry
16.40
Variable AnnuitiesManaging The Risk Of Guaranteed Minimal Withdrawal Through Product Design & Hedging Strategies
Speaker tbc 17.20
MortalityA New Technique For Modelling The Stochasticity Of Mortality Risk
Dilip Madan, Professor Of Mathematical FinanceROBERT H. SMITH SCHOOLOF BUSINESS, UNIVERSITY OF MARYLAND
Dilip Madan is Professor of Finance at the Robert H. Smith School of Business specializing in Mathematical Finance and currently serving as a consultant to Morgan Stanley and Meru Capital. He is Managing Editor of Mathematical Finance, and Co-editor of the Review of Derivatives Research. He held the 2006 von Humboldt award in applied mathematics, the 2007 Quant of the year award, the 2008 Medal for Science from the University of Bologna and the 2010 Eurandom chair.
18.00
Managing Gap RiskUnderstanding The Role & Application Of Low Volatility ProductsSpeaker tbc
18.40 Chairman’s Closing Remarks
18.45 Drinks Reception
14 To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
Main Conference Day 1 Tuesday November 18, 2014
Stream C: The Latest Advances In Commodity Derivatives Trading
14.15
Commodity Market OutlookA Focus On Event-Driven Volatility & The Impact For Commodity Trading • Market update: 2014, a year full of market
impacting events• Weather-driven volatility: How to model and
quantify weather impact? How to hedge and mitigate associated risk?
• Geopolitical and idiosyncratic risk: How to quantify the associated risk premium?
Guillaume PoujadeHead Of Market & Quantitative Research
TOTAL GAS & POWER At Total, Guillaume Poujade leads the team responsible for Market Analysis and Quantitative Research and Pricing across a wide spectrum of energy markets: natural gas (US, Europe), power, global coal and global LNG. Prior to his current role, he was Gas & Power Trader in Houston for Total Gas & Power. Guillaume received his MBA from the University of Chicago Booth School of Business in 2011 and was honored with the Wilson Ling Alumni Recognition Award. Previously, Guillaume held a Commodities Quant position at Murex.
14.55
Commodity Markets After Financialization: The Examples Of Agricultural Commodities & Natural Gas Markets• The bank downsizing in commodities and the
growth of trading houses• US shale gas as a game changing in the
world gas markets• Trading strategies around liquid natural gas
and the US, UK and Japanese gas indexes• Trading strategies in agricultural commodities Helyette Geman, Director
Commodity Finance Centre, UNIVERSITY OF LONDON & Research Professor, JOHNS HOPKINS UNIVERSITY
Professor Geman has been a scientifi c advisor to major fi nancial institutions, energy and mining companies as well as major commodity houses for the last 16 years. She was previously the Head of Research at Caisse des Depots in Paris and fi rst President of the Bachelier Finance Society. Prof Geman has published more than 120 papers in top journals. Her research includes interest rates and catastrophic insurance, commodity spot prices and forward curve modeling. Prof Geman was named in 2004 in the Hall of Fame of Energy Risk and received in July 2008 the medal for Sciences of the Institute for Advanced Studies of the University of Bologna for the CGMY model. Her book Commodities and Commodity Derivatives: Energy, Metals and Agriculturals has become the reference in the fi eld.
15.35
Quantifying Geopolitical Risk In The Equity & Commodity Markets • Using VIX to quantify nervousness/
uncertainty in the equity market• The crude-oil market - Demand- and supply-side effects in
crude-oil futures markets: Comovement of oil and equity markets
- Impact of economic/ fi nancial/ geopolitical events on implied volatilities in the crude-oil market
- The need for a model of forward-looking oil betas
• Where is the “risk” (is the risk in upside or downside) in oil-price movements?
- The volatility “smile” in the oil markets - Quantifying jump-risk in oil markets
Ehud Ronn, Professor Of Finance, UNIVERSITY OF TEXAS AT AUSTIN
Ehud I. Ronn is a professor of Finance at the McCombs School of Business, University of Texas at Austin. Since
Sep. 2012 he has served concurrently as director of Energy Risk Analytics at Guzman Energy. Dr. Ronn received his Ph.D. from Stanford University. Prior to joining the University of Texas in 1988, Dr. Ronn was a faculty member at the University of California, Berkeley, and the University of Chicago. During 1991 – ‘93, Dr. Ronn served as Vice President, Trading Research Group at Merrill Lynch & Co. From 2010 to 2011, Prof. Ronn was Commodity Market Modeling practice area manager at Morgan Stanley & Co. In Nov. 2004, Dr. Ronn was inducted to the “Energy Risk Hall of Fame.”
16.15 Afternoon Tea
16.40
Exploring New Advances In Modelling & Managing FX-Commodity Correlation• Advantages of using correlation models in
managing foreign exchange and commodity risks as a combined portfolio
• Can the use of correlations in managing FX-commodity risks reduce hedging requirements?
• How do you test the robustness of correlations used in reducing FX-commodity hedging?
• Examples of situations where correlations might break down or become ineffective
• Role of accounting and controls in hedging Wiley Pickett, Former Senior
Commodity & FX Derivatives StrategistFORD MOTOR COMPANY
Former Senior Derivatives Strategist in the Treasurer’s Offi ce of Ford Motor Company for over 20 years. Responsible for establishing innovative foreign exchange and commodity hedging strategies. Developed and pioneered a unique strategy to hedge competitive FX exposures so the company benefi ted competitively from currency strengthening and benefi ted fi nancially through hedge gains from currency weakening. Adjunct Professor of Administration for a decade. Former Chairman and current member of several Boards of Directors.
17.20
Global Arbitrage In Commodity Markets, Physical & Financial
Alexandre has served as risk manager and head of trading for a large commercial commodity trading fi rm.
Prior to his current role he was a senior trader at Infi nium Capital Management, focusing on relative value and global arbitrage. He received a B. Comm in fi nance from the John Molson School of Business.
18.00
How To Use Options To Develop The Optimal Hedge For Physical AssetsSpeaker tbc
18.40 Chairman’s Closing Remarks
18.45 Drinks Reception
Main Conference Day TwoWednesday
November 18, 2014
08.20 Registration & Coffee
Stream A: Quantitative Trading Strategies
08.50 Chairman’s Opening Remarks
09.00
HFT In Options• How prominent is HFT in options?• What are the implications for non-HFT
investors?• What is the cost of HFT activity in the options
markets?• Risk management strategies available to
non-HFT investors• Near-term directions of HFT developments in
options Irene Aldridge
Managing PartnerABLE ALPHA TRADING
Irene Aldridge is the author of “High-Frequency Trading: A Practical Guide to Algorithmic Strategies and
Trading Systems,” (Wiley). In addition, she is presently serving on the technology and high-frequency trading subcommittee of the CFTC. Prior to her current role, Aldridge worked for various institutions on Wall Street and in Toronto, including Goldman Sachs and CIBC. She also taught fi nance at the University of Toronto. Over the years, Aldridge has been called to contribute to numerous government regulatory panels, including the U.K. Government Committee for Future of Computer Trading. She is also a frequent contributor to numerous media publications, including the Journal of Trading, Futures Magazine and Reuters HedgeWorld and often appears on major television networks, including BBC, CNBC and FOX Business.
09.40
Market ImpactNew Advances In Market Impact ModellingSpeaker tbc
10.20
Developing & BacktestingSystematic Trading StrategiesBrian Peterson, Partner, Director Of Quantitative Trading, DV TRADING
11.00 Morning Coffee
11.30
Opportunities In Macro-Volatility Strategies: The Big Picture• Proliferation in ways to access volatility
exposure• Differences between investor risk-preferences
and those available in access products• Framework to tailor macro-volatility strategies
to investor risk-preference Vivek Kapoor, Senior
Portfolio Manager, Volaris CREDIT SUISSE
Vivek is responsible for creating systematic investment strategies based
on options and executing them in separately managed account and fund structures. These strategies include
15To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
a Tail Risk Hedging Strategy and a Dynamic Volatility Strategy. Vivek is intently aware of risk premiums in derivatives and how the market demand-supply & greed-fear cycles control valuation. Rejecting the idealized replication framework, he has developed a risk-return cognizant approach to derivatives trading, hedging and valuation. Vivek has worked in capital markets trading & risk management roles since 2000. He has worked on multi-asset class trading in the context of dynamic portfolio allocation and equity volatility and credit volatility and correlation risk-premiums. He received his PhD from MIT and conducted Post-Doctoral research at Stanford.
12.10
Bid-Ask Imbalance & Trade Arrival Modeling• Order book imbalance is assessed as a
predictor of price movement and trade arrival• A three dimensional diffusion model is
presented, and probabilities of trade arrival conditional on imbalance are computed
• The model is calibrated to limit order book data
• Practical applications and extensions are discussed
Michael Sotiropoulos, Global Head Of Algorithmic Trading Quantitative ResearchBANK OF AMERICA MERRILL LYNCH
Michael Sotiropoulos is the global head of algorithmic trading quantitative research at Bank of America Merrill Lynch. His group supports the Global Execution Services business, and focuses on market microstructure and algorithmic trading research and development. Michael joined Bank of America in 2004, as an equity derivatives quant after spending three years at Bear Stearns in the same role. He was head of equities quantitative research for year 2008 before moving to algorithmic trading. He has a Ph.D. in Theoretical Physics from SUNY Stony Brook. Prior to joining the fi nance industry he taught and worked in quantum fi eld theory and particle physics at the University of Southampton, England and at the University of Michigan.
12.50
Lunch - Plus Meet The Speaker Lunch Tables
14.00
Sentiment AnalysisRecent Advances In Sentiment Analysis & Opinion MiningSpeaker tbc
14.40
Optimal Trading With High-Frequency Predictors• Using high frequency predictors to reduce
slippage• How to optimally track an ideal portfolio• Mixing daily and high-frequency signals• Approximate solutions to Hamilton-Jacobi-
Bellman equation• Calibrating predictors in practice
Samuel Vazquez, Founder VEGA EDGE
Dr. Vazquez is founder of Vega Edge LLC, a boutique asset management fi rm specializing in systematic volatility-driven strategies. Previous to Vega
Edge, Dr. Vazquez was a Visiting Scholar at the CUNY Baruch College within the Financial Mathematics program. His areas of interest include volatility modeling and trading and design of systematic investment strategies. Before joining Baruch, he was a Senior Research Manager at Capital Fund Management, where he developed alpha strategies across many asset classes, and was a key member of the team developing and managing the directional
volatility program from the ground up. Previous to CFM, Dr. Vazquez was a postdoctoral researcher at the Perimeter Institute for Theoretical Physics. He holds a PhD in Physics from the University of California at Santa Barbara. 15.20
Alpha Generation Strategies For Low Frequency Algorithmic TradingSpeaker tbc
16.00 Afternoon Tea
Stream A: Modeling & Trading FX Derivatives
16.25
Optimal Hedging Strategies For Different FX Markets• What type of hedge? Forwards, options, risk
reversals, or others?• What tenor? Do long term hedges bring
reassurance - or just cost more?• What strike? Out-of-the-money hedges are
cheap - but are they cheap for a reason?• EM hedging - can we decide when to hedge?
And what contracts give good value? Jessica James, Head Of The
FX Quantitative Solutions Team, COMMERZBANK
Jessica James joined Commerzbank from Citigroup where she held a number of FX roles, latterly as Global
Head of the Quantitative Investor Solutions Group. Before her career in fi nance, James lectured in physics at Trinity College, Oxford. Her previous signifi cant publications include 'Interest Rate Modelling' (Wiley), and 'Currency Management' (Risk books). She is on the Board of the Journal of Quantitative Finance, and is a Visiting Lecturer at Cass Business School. She has also been involved with the Institute of Physics as a member of their governing body.
17.05
Examining The Latest Moves In Global FX Markets & Associated Opportunities & Trading StrategiesSpeaker tbc
17.45
Beta Strategies In FX & How We Can Improve Them?• We shall discuss what constitutes beta in FX
and how they can be used to explain most FX fund returns
• We later examine fi lters which can improve upon the returns from FX beta strategies
• We use traditional approaches which involve vol & more novel techniques including news analytics
Saeed Amen, Managing Director & Co-FounderTHE THALESIANS
Saeed is a co-founder of the Thalesians, a fi nance think tank, which meets in London, New York and San Francisco,
where he also publishes FX & gold quant strategy notes, drawing upon nearly a decade of experience creating and running FX trading models. Independently, he is a systematic FX trader prop trader. He has been quoted in numerous articles on FT, WSJ and ZeroHedge and is currently writing a trading book. He started his career at Lehman Brothers as an FX quant strategist. Later he was an Executive Director in FX quant strategy at Nomura, taking systematic FX prop risk and covering gold.
18.25 Chairman’s Closing Remarks
18.30 Drinks Reception
Stream B: Innovations In Volatility Modelling Chairman’s
Opening Remarks
08.50 Chairman’s Opening Remarks
09.00
A New Approach To Option Pricing Peter Carr, Managing Director,
MORGAN STANLEY Dr. Peter Carr has 16 years of
experience in the derivatives industry. He was a fi nance professor for
8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He is presently the Executive Director of the Math Finance program at NYU's Courant Institute, the Treasurer of the Bachelier Finance Society, and a trustee for the Museum of Mathematics in New York. He has over 70 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical fi nance. He was selected as Quant of the Year by Risk Magazine for 2003 and as Financial Engineer of the Year by IAFE for 2010. In 2011, he broke into Institutional Investor's Tech 50.
09.40
Fractional Volatility Models• Motivation for fractional models• Empirical volatility statistics• Fractional Brownian motion (fBm)• Prior fractional models of volatility• Fractional Stein Stein and fractional SABR
models Jim Gatheral, Professor,
Department Of Mathematics BARUCH COLLEGE, CUNY
Jim Gatheral is professor of mathematics at Baruch College, CUNY teaching mostly courses in the Masters
of Financial Engineering (MFE) program. Prior to joining the faculty of Baruch College, Jim was a Managing Director at Bank of America Merrill Lynch, and also an adjunct professor at the Courant Institute, NYU. His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. His best-selling book, The Volatility Surface: A Practitioner's Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling.
10.20
A Robust & Concise Approach To Price Volatility Derivatives• The importance on getting the right delta one
model before you can even consider trying to model volatility
• The need for a dynamic volatility model to correctly price forward starting derivatives that cannot be inferred from the vanilla surface
• The distinction between the var swap and the log contract that can only be revealed using a model of the underlying stochastic process with jumps
Philippe HenrotteCo-Founder & Partner, ITO33
Philippe Henrotte is one of the founding partners of ITO33, a company which designs sophisticated derivatives pricing software for fi nancial institutions.
Philippe Henrotte is an Affi liate Professor at the Finance and Economics Department of HEC Paris. He holds a PhD in Finance from the Graduate School of Business, Stanford University. His research interests focus on risk management and the hedging and pricing of derivatives in incomplete markets.
Main Conference Day 2 Wednesday November 19, 2014
16 To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
11.00 Morning Coffee
11.30
Calibration Of Term Structures• Common structure of calibration problems• Response functions and hedge computation• Principle of minimal response - Coupling• Explicitly underdetermined calibration - Role of the starting point - Rates vol surface - Equity vol surface - Yield curve
Tom Hyer, Head Of Quantitative ResearchHBK INVESTMENTS
Tom Hyer received a B.A. from Rice and a Ph.D. from Stanford before beginning his analytics career at Bankers Trust.
He joined UBS in 2001, eventually becoming global head of UBS's unifi ed quant group. He is perhaps best known as the author of "It's About Forward Vol", a seminal analysis of calibration techniques for interest rate models, and more recently of the book Derivatives Algorithms. In addition to mathematical modeling, he has long focused on technological and operational issues, especially library and language design.
12.10
Cross-Asset Volatility ContagionQuantifying How Risk From Other Asset Classes Percolates Through To Equities & What That Means For Trading Strategies
Edward Tom, Managing Director, Global Head Of Equity & Equity Derivatives Trading Strategy, CREDIT SUISSE
Edward K. Tom’s group is responsible for the development of derivatives research and quantitative analytics for hedge funds and major fi nancial institutions. Mr. Tom joined Credit Suisse in 2001 from Donaldson, Lufkin & Jenrette, where he specialized in the development of econometric trading algorithms for the program trading group. Previously, he was a quantitative analyst in Salomon Brothers' equity derivatives and quantitative research group. Mr. Tom began his career in 1991, developing statistical models for JPMorgan's counterparty and interest rate risk management department.
Khoa Le, Head Of Flow Equity Derivatives Trading, CREDIT SUISSEKhoa currently runs fl ow equity derivatives trading for Credit Suisse. Previously, he spent time on the buyside as well as at JP Morgan and Morgan Stanley as a currency options trader and an equity derivatives trader.
12.50
Lunch - Plus Meet The Speaker Lunch Tables
14.00
Realized Vol, Realized Vol SurfaceVol, Skew, Surface: Tick-By-Tick Measurement, Long-Term Forecasting & Real Time Updates• Theory and practical aspects of realized vol
measurements and forecast• How do we know that tick-by-tick realized vol
measures are real?• Model-free realized vol surface of a single
path: how to price options without an options market
Alex TartakovskySenior Quant, HAP CAPITAL
Alex Tartakovsky is a senior quant at HAP Capital with 15 years of experience in the derivatives industry
His focus is on developing systematic vol trading strategies, implied and realized vol dynamics and forecast. He joined HAP from Spot Trading, where he was managing risk and vol forecast quant teams. Prior to that, he led quantitative efforts to establish trading in structured energy and weather derivatives. Alex holds a PhD in Theoretical Physics of quantum stochastic systems.
14.40
Understanding How VIX Option Dynamics Work In Practice & The Implications For Trading Strategies
Maneesh Deshpande, Managing Director & Head Of Americas Equity Derivatives Strategy, BARCLAYS
Maneesh S. Deshpande joined Barclays Capital in September 2008. He was part of the team which has been ranked No. 1 in Institutional Investor’s annual survey from 2007-2010 in the Equity Derivatives/Equity Linked category. Prior to Barclays Capital, Maneesh held a similar role at Lehman Brothers since 2007. He joined Lehman Brothers from Goldman Sachs, where he established and ran its Systematic Portfolio trading desk. Prior to that, Maneesh was the head of the Principal Trading desk at Morgan Stanley Japan and was the head of the U.S. Interest Rate Options Trading desk at BNP. Maneesh earned a Ph.D. in Theoretical Physics from the University of Pennsylvania.
Stream B: Modelling & Trading Equity Correlation
15.20
Latest Advances In Equity Correlation Modeling• Correlation fundamentals• Local correlation models• Stochastic correlation models
Sebastien Bossu, Principal, OGEE GROUP LLC & Adjunct Professor, PACE UNIVERSITY
Sébastien Bossu is currently Principal at Ogee Group LLC where he runs a startup hedge fund which posted a 30%
net return in 2012-2013. Sébastien has almost ten years’ experience in banking and the fi nancial industry at institutions such as J.P. Morgan, Dresdner Kleinwort and Goldman Sachs. An expert in derivative securities, he has published several papers and textbooks in the fi eld and is a regular speaker at specialized conferences. His latest textbook Advanced Equity Derivatives: Volatility & Correlation was published in May 2014 by John Wiley & Sons.
16.00 Afternoon Tea
16.25
Are Financial Correlations Too Random & Erratic To Model Them As A Stochastic Process? • How are equity correlations, bond
correlations, and default correlations distributed?
• Correlation levels and vol in different states of the economy
• Correlation mean reversion• Correlation autocorrelation• Conclusion: Should we apply the bounded
Jacobi process to model fi nancial correlations?
Gunter Meissner, Professor Of Finance, UNIVERSITY OF HAWAII & CEO, CASSANDRA CAPITAL MANAGEMENT
After a lectureship in Mathematics and Statistics, Gunter Meissner PhD, joined Deutsche Bank in 1990, trading Interest Rate Futures, Swaps and Options in Frankfurt and New York. He became Head of Product Development in 1994, and Head of Options at Deutsche Bank Tokyo 1995/1996. From 1997 to 2013 he was Professor of Finance and Director of the MFE program. Currently, Gunter is CEO of Cassandra Capital Management, (www.cassandracm.com), and Adjunct Professor of Mathematical Finance at NYU-Courant. Gunter’s 5th book on “Correlation Risk Modeling and Management – An Applied Guide including the Basel III Correlation Framework” (John Wiley) was published this February.
17.05
Pricing & Hedging Correlation Options• Review of implied and realized correlations• Correlations among SPX, SPX implied
volatility, VIX, implied and realized correlations• Implied correlation and dispersion trading:
some old and new results• Historical performance of dispersion trading
Anlong Li, Head Of Quantitative Volatility Group, ALLSTON TRADING
Prior to his current role, Anlong Li was a Partner and the Director Of Financial Engineering at Spot Trading. He has
over 20 years of trading and research experience in derivatives. Prior to joining Spot, he was Head of Quantitative Analytics for Emerging Market, Credit and Principal Mortgage Trading at Barclays Capital; Managing Director and Head of Research at XL Weather and Energy; Director of Quantitative Research at Citadel Investment Group; Senior Vice President and U.S. Head of Structured Product Trading at ABN AMRO; First Vice President and Head of Derivatives Modeling at First Chicago; Vice President of Derivatives Research at Salomon Brothers and Associate on the Swap Desk at Lehman Brothers. Anlong also served as Research Fellow at the Federal Reserve, Adjunct Professor in the Financial Engineering Program at Columbia University, and Adjunct Professor at the Illinois Institute of Technology. Many of his publications can be found at http://ssrn.com/author=16402
17.45
Panel: Talking CorrelationExploring Correlation Trading Strategies: Is Dispersion Dead & Do Pairs Trades & Swaps Offer A Better Alternative?Gunter Meissner, Professor Of Finance, UNIVERSITY OF HAWAII & CEO, CASSANDRA CAPITAL MANAGEMENTBio available above
Sebastien Bossu, Principal, OGEE GROUP LLC & Adjunct ProfessorPACE UNIVERSITYBio available to left
Anlong Li, Head Of Quantitative Volatility Group, ALLSTON TRADINGBio available above
18.25 Chairman’s Closing Remarks
18.30 Drinks Reception
Main Conference Day 2 Wednesday November 19, 2014
17To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
Stream C: Modelling & Trading Fixed Income Products
Chairman’s Opening Remarks
08.50 Chairman’s Opening Remarks
09.00
Pricing Options & Futures On A Government Bond Volatility Index• No arbitrage model for pricing derivatives
on government bond volatility indexes (e.g., CBOE-CBOT VXTYN)
• Model can be used to back-test strategies and hedging techniques in the absence of historical data
• Model is also suitable as a risk management tool as it is able to simultaneously match the government bond yield curve and VXTYN (or other government bond volatility indexes) while pricing futures and options on VXTYN
• Model is calibrated to available data and used to reconstruct hypothetical time series of future and option values on VXTYN (or other government bond volatility indexes) from 2008 to present
• Model is used to simulate how Fed policy decisions, shocks to specifi c parts of the yield curve, or a spike in realized volatility of interest rates can affect both VXTYN as well as the term structure of VXTYN future and option values
Antonio Mele, Professor Of Finance, SWISS FINANCE INSTITUTE
Antonio Mele is a Professor of Finance with the Swiss Finance Institute in Lugano after a decade spent as a
tenured professor at the London School of Economics. He is also a Research Fellow at the CEPR in London, and holds a PhD in Economics from the University of Paris. His expertise covers various fi elds in fi nancial economics, pertaining to capital market volatility, interest rates and credit markets, macro-fi nance, capital markets and business cycles, and information in securities markets, and his work outside academia includes developing fi xed income volatility indexes for Chicago Board Options Exchange. He is currently a member of the Group of Economic Advisers at the European Securities Markets Authority.
09.40
Being Right About Wrong-Way Risk• An overview of methodologies for calculating
WWR• A practical and intuitive recipe for WWR
modeling• The FX case• The IR case• Numerical examples
Fabio MercurioHead Of Derivatives Research BLOOMBERG
Fabio is head of Derivatives Research at Bloomberg LP, New York. Previously, he was head of Financial Engineering
at Banca IMI, Milan. He is also adjunct professor at NYU. Fabio has jointly authored the book 'Interest rate models: theory and practice' and published extensively in books and international journals, including 13 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.
10.20
Examining The Potential Impact Of Rising Rates On Derivatives Portfolios: Are There Cheaper Ways To Hedge?Speaker tbc
11.00 Morning Coffee
11.30
Infl ationLatest Developments In The Infl ation Markets & Trading Strategies
Dariush MirfendereskiGlobal Head Of Infl ation Trading, HSBC
Dariush is the global head of infl ation trading at HSBC, covering the US, UK, European, and Asian markets.
Previously, Dariush worked eight years at Barclays Capital as a derivative trader where he helped develop the infl ation derivative market with a focus on the UK and European markets. He then joined UBS, where he worked for over 7 years, heading up the global infl ation trading desk, combining infl ation bond and derivative trading in the US, UK, and European markets and later incorporating the Japanese and Australian infl ation markets. Dariush is also the co-author of the book: “Infl ation-Indexed Securities: Bonds, Swaps, and Other Derivatives” published in 2004 by Wiley Finance and considered the standard reference on this asset class.
12.10
MunisThe Outlook For Municipal Bonds In 2015 & BeyondSpeaker tbc
12.50
Lunch - Plus Meet The Speaker Lunch Tables
Stream C: Innovations In Computational Effi ciency
14.00
GPUsThe New Paradigm In Computational Effi ciency: Applications To The Real-Time Pricing Of Risk For Derivatives• This presentation will offer an interesting
insight into how technology savvy trading fi rms could use the latest GPU architecture to improve the effi ciency of real-time risk control while reducing the costs associated with their technology infrastructure
• Learn more about the use of the latest GPU technology and about how to substantially improve the performance of numerical implementations for your pricing models
• Get introduced to complex numerical methods that are used in pricing problems associated with high-dimensional PDEs
Cris DolocGPU & HPC Expert
Cris Doloc holds a PhD in Computational Physics. His main area of expertise is in computational engineering and in the development
of enterprise systems for trading, valuation and risk. In the last 5 years Cris has been a very active participant in the GPU community and is currently running the Chicago HPC & GPU Supercomputing Meet-up.
14.40
CodingExploring The Features, Benefi ts & Limitations Of Python For Quantitative FinanceSpeaker tbc
15.20
Examining Tools & Techniques For Effectively Implementing Algorithmic DifferentiationRichard Muddle, Vice President BARCLAYS
16.00 Afternoon Tea
Stream C: Latest Innovations In Managing & Modelling
Counterparty Risk
16.25
A Symmetric Treatment Of CVA/ DVA/ FDACredit Valuation Adjustments (CVA) and Funding Valuation Adjustments (FVA) are intertwined, requiring simultaneous calculations at the portfolio level, which are not additive in general because of non-linearities. In addition, the classic Debit Valuation Adjustment (DVA) calculation, which is a bankruptcy-contingent one, is questioned and an alternative calculation of DVA is illustrated, based on a shareholder perspective calculation. The approach requires the calculation of a Funding Defi cit Adjustment (FDA). An example is used to illustrate the methodology, the resulting loss of law-of-one price, and the reduced sensitivity to own credit/funding spreads.
Roberto CacciaFaculty Director, Burridge Center For FinanceUNIVERSITY OF COLORADO AT BOULDER
Roberto Caccia is a senior instructor in the Finance department of the Leeds School of Business. Prior to joining the school, Roberto worked at the New York offi ce of Goldman Sachs, where he spent twelve years as a strategist (focusing on commodity and credit derivatives) and then two years as risk manager for the global trading areas of the fi rm, creating and leading the counterparty risk management team. Prior to that, Roberto spent two years at McKinsey & Co Italy as a business analyst, where he consulted for clients in the energy and banking sector.
17.05- 18.25
CVA MasterclassSession 1: 25 MinutesWrong Way & Gap Risk Modeling: A Marked Default Time Approach • Wrong way and gap risk modeling• Modeling default time with a mark• XVA analysis• Cure period• Application to credit derivatives: dynamic
copula models Stéphane Crépey
Professor, Mathematics DepartmentUNIVERSITY OF EVRY
Stéphane Crépey is professor at the mathematics department of University of Evry (France), head of probability and mathematical fi nance and of the MSc quantitative fi nance program "M2IF".
Main Conference Day 2 Wednesday November 19, 2014
18 To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
His research interests are counterparty risk, backward stochastic differential equations and numerical fi nance. He is the author of numerous research papers and two books: “Financial Modeling: A Backward Stochastic Differential Equations Perspective” (Springer Finance Textbook Series, 2013) and “Counterparty Risk and Funding, a Tale of Two Puzzles” (S. Crépey, T. Bielecki and D. Brigo, Chapman & Hall/CRC Financial Mathematics Series, 2014).
Session 2: 25 MinutesA Levy HJM Multiple-Curve Model With Application To CVA Computation• Valuation of interest rate derivatives in the
David Skovmand, Assistant Professor, Department Of Finance, COPENHAGEN SCHOOL OF BUSINESS
David Skovmand is an assistant professor at the Copenhagen School of Business, Department of Finance. He has an Msc degree in mathematics and economics from the department of mathematical sciences as well as a PhD in Finance from Aarhus University. His research interests include fi nancial econometrics and asset pricing, specifi cally interest rate derivatives. His research has mainly focused on applying Lèvy processes to model LIBOR rates. Dr. Skovmand has previously held a position at Aarhus University and a visiting position at the Haas School of Business, UC Berkeley.
Session 3: 25 MinutesValuation & Hedging Contracts Subject To Funding Costs & Collateralization • Trading strategies and their wealth dynamics
subject to funding costs• Trading strategies and their wealth dynamics
subject to collateralization• Arbitrage-free property and martingale
measures• Valuation and hedging with funding costs and
collateral• Diffusion Model: BSDEs and replication
Tomasz BieleckiProfessor Of Applied Mathematics, ILLINOIS INSTITUTE OF TECHNOLOGY
Tomasz R. Bielecki is an author of numerous research papers in the areas of stochastic analysis, stochastic control and mathematical fi nance. He is a co-author of the monographs “Credit Risk: Modeling, Valuation and Hedging” (with Marek Rutkowski) and “Credit Risk Modeling” (with Monique Jeanblanc and Marek Rutkowski). The areas of his current research interests include valuation and hedging of convertible securities and credit derivatives, modelling of dependence between stochastic processes, as well as applications of stochastic control to optimal portfolio selection. He has previously held academic positions in the Warsaw School of Economics, University of Kansas, University of Illinois at Chicago, Northeastern Illinois University and New York University. He currently serves as an associate editor of Mathematical Finance and International Journal of Portfolio Analysis and Management.
Joint Q&A: 5 Minutes
18.25 Chairman’s Closing Remarks
18.30 Drinks Reception
Main Conference Day 3Thursday
November 20, 2014
08.00 Registration & Coffee
08.30 Chairman’s Opening Remarks
Innovations In Quantitative TradingInnovations In Quantitative Trading
08.40
Inside The Black BoxAn Insider’s View On Market Structure & High Frequency Trading
Haim BodekManaging Principal, DECMUS CAPITAL MARKETS, LLC & Author of The Problem Of HFT
Haim Bodek was formerly a founder and Chief Executive Offi cer of Trading Machines LLC, an independent high frequency options trading fi rm. Prior to TM, Mr. Bodek was a Managing Director and Joint Global Head of Electronic Volatility Trading at UBS Investment Bank. He is an electronic trading executive and algorithmic trading strategist with 15 years’ experience in the automated trading space. Mr. Bodek’s career, experiences, and advocacy for US stock market regulatory reform are described extensively in Dark Pools by Scott Patterson.
09.20
Panel: The HFT DebateHow Fast Is Too Fast? What Reforms Will Be Useful For The Market & For Investors? Who Will Be The Winners & Losers?Haim Bodek, Managing PrincipalDECMUS CAPITAL MARKETS, LLC & Author of The Problem Of HFTBio available above
Dan Penley, Director Of Algorithmic Trading & Execution, SPOT TRADING
Dan Penley has worked at Spot Trading since March 2011, managing a team of traders and technologists. His decade
of experience designing and innovating automated trading systems position him well to lead Spot’s algorithmic trading business. Dan’s years of experience in computerized trading include roles at Greenback Automation, Infi nium Capital Management, Fox River Partners, and Allston Trading LLC. Dan is a Chartered Financial Analyst, and NASD Series 7, 24, 44 and 55 certifi ed.
Michael Sotiropoulos, Global Head Of Algorithmic Trading Quantitative Research BANK OF AMERICA MERRILL LYNCHBio available on pg. 15
10.05
Big DataUsing Big Data To Develop Adaptive Algorithms & Effective Trading StrategiesIn this talk, I will outline some recent highlights of our research, addressing two questions. Firstly, can big data resources provide insights into crises in fi nancial markets? By analysing Google query volumes for search terms related
to fi nance and views of Wikipedia articles, we fi nd patterns which may be interpreted as early warning signs of stock market moves. Secondly, can we provide insight into international differences in economic wellbeing by comparing patterns of interaction with the Internet? To answer this question, we introduce a future-orientation index to quantify the degree to which Internet users seek more information about years in the future than years in the past. We analyse Google logs and fi nd a striking correlation between the country's GDP and the predisposition of its inhabitants to look forward. Our results illustrate the potential that combining extensive behavioural data sets offers for a better understanding of large scale human economic behaviour.
Tobias Preis, Associate Professor Of Behavioral Science & Finance, WARWICK BUSINESS SCHOOL
Tobias Preis is a German physicist and founder of the Artemis Capital Asset Management GmbH. He performed complex systems research with H. Eugene Stanley at Boston University and Dirk Helbing at ETH Zurich. He was awarded a Ph.D. in physics from the Johannes Gutenberg University of Mainz and was a junior member of the Gutenberg Academy. His current research focuses on quantifying and modeling fi nancial market fl uctuations. In addition, he has made contributions to general-purpose computing on graphics processing units in statistical physics and econophysics. Recently, he headed a research team which provided evidence that search engine query data and stock market fl uctuations are correlated. More details on his research can be found at www.tobiaspreis.de
10.45 Morning Coffee
Stream A: Risk & Portfolio Management Strategies
11.10
Revisiting Trend Following• Time Series Momentum as a risk factor• The evolution of multi-asset investing and role
of momentum• New insights into systematic trend following
Vineer Bhansali, Managing Director & Portfolio Manager, PIMCO
Dr. Bhansali oversees PIMCO's quantitative investment
portfolios. Prior to joining PIMCO in 2000, he was a proprietary trader in the fi xed income trading group at Credit Suisse First Boston and in the fi xed income arbitrage group at Salomon Brothers. Previously, he was head of the exotic and hybrid options trading desk at Citibank. He is the author of the books "Bond Portfolio Investing and Risk Management," "Pricing and Managing Exotic and Hybrid Options," "Fixed Income Finance: A Quantitative Approach" and "Tail Risk Hedging". He has 24 years of investment experience and holds a Ph.D. in theoretical particle physics from Harvard University.
11.50
Panel: Talking Tail RiskIs Tail Protection Dead?
Puneet Kohli, Portfolio Manager, HEALTHCARE OF ONTARIO PENSION PLAN
At HOOPP, Mr. Kohli is responsible for the development of investment programs to maximize the Plan’s
return-to-risk profi le. His focus is across all asset classes including Equities, Credit, Rates and Volatility. Prior to HOOPP, Mr. Kohli was a Portfolio Manager with the National Bank of Canada, Alternative Investments (NBCAI). Over eight years, he managed
Main Conference Day 3 Thursday November 20, 2014
19To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
Main Conference Day 3 Thursday November 20, 2014
two products - Lotus (a volatility arbitrage fund) and Red Stone (a tail-risk fund). From 2001 to 2004, Mr. Kohli was the VP of Global Equity Derivatives at the Bank of Montreal, Nesbitt Burns (BMONB) where he was responsible for the volatility proprietary trading and advised on the use of volatility and credit based products. From 1997 to 2001, Mr. Kohli was at the Ontario Teachers Pension Plan Board where he had many roles including Research and Economics, Quantitative Analysis and Volatility Portfolio Management. Mr. Kohli also holds an MBA and has achieved his CFA designation.
Vineer Bhansali, Managing Director & Portfolio Manager, PIMCOBio available above
Arthur Berd, Founder & Chief Executive Offi cer, GENERAL QUANTITATIVEBio available on pg. 11
12.30
Better Capturing Key Risk Factors In PricingSpeaker tbc
13.10
Lunch - Plus Meet The Speaker Lunch Tables
14.30
Towards Artifi cially Intelligent Risk Management• Machine Learning and Artifi cial intelligence in
fi nance• Obligor grade modeling • Credit spreads for illiquid counterparties• Text mining and operational risk modeling
Igor Halperin, Executive Director, Quantitative Research JP MORGAN
Igor Halperin is an Executive Director in Quantitative Research at JP Morgan.
His interests include derivatives pricing, incomplete market models, and statistical methods. He is also an adjunct professor at the department of Finance and Risk Engineering at NYU Poly. Igor has a Ph.D. in Theoretical High Energy Physics.
15.10
Risk Management & Modeling Of Derivatives In Global, Unconstrained Portfolios• Some common risk measures and their
weaknesses/irrelevance for derivatives• Biases and blind spots when using factor
based global covariance matrices• Solutions and work-arounds for factor
methodology• More complicated derivative strategies with
full revaluation Robert Gingrich
Risk Manager/ Modeler, WESTERN ASSET MANAGEMENT
Robert Gingrich received a PhD in theoretical physics from Caltech in 2001 and worked in quantum computation until switching to fi nance in 2003. His fi rst position was at Pimco working primarily on modelling derivatives and structured products in C++. He also had responsibilities of a desk quant and did research for a variety of new funds and strategies. In 2010 he moved to Western Asset where he is the risk manager/modeler for rates and derivative products. Responsibilities include risk management of unconstrained and alternatives portfolios and modelling decisions for derivative products across the fi rm. He also works on the development of new funds (e.g. tail risk fund) and on the internal WISER risk system.
15.50 Afternoon Tea
16.15
Strategy LabsThese informal sessions are your chance to set the agenda & discover practical solutions to the specifi c problems you face.You will be able to pose your questions about challenges to one of our leading industry experts who will be sharing their experience and expertise, before opening discussion to the fl oor enabling you to meet fellow practitioners, share ideas and learn from the experience of your peers from across the industry.Topics and speakers already confi rmed include:• Fabio Mercurio on Fixed Income
Derivatives• Arthur Berd on Quantitative
Investment Strategies
17.15 End Of Main Conference
Stream B: The Latest Developments In Central Clearing
& Regulation
11.10
The Future Of Fixed Income Derivatives • Impact of regulatory changes • Move towards electronic trading • Futurization of swaps • Market structure changes
Sam Priyadarshi, Head, Fixed Income DerivativesVANGUARD GROUP INC.
Dr. Sam Priyadarshi leads a team responsible for derivatives
trading for all fi xed income funds. He manages the research and execution of derivatives overlay strategies for active fi xed income funds. Dr. Priyadarshi holds a Bachelor of Science inMechanical Engineering from Birla Institute of Technology, Ranchi. He holds an MBA from the Indian Institute of Management, Calcutta, and has a Ph.D. in fi nance from Virginia Tech. He has more than 17 years of investment experience.
11.50
Recent Advances In Modelling & Managing Liquidity Risk For Cleared OTC Derivatives
Marco AvellanedaProfessor Of Mathematics COURANT INSTITUTE OF MATHEMATICAL SCIENCES, NEW YORK UNIVERSITY
Bio available on pg.12
12.30
Design & Stress-Testing Of CCP Risk Management Systems
Rama Cont, Chair In Mathematical Finance & Professor Of MathematicsIMPERIAL COLLEGE LONDON
Rama Cont is Director of the CFM-Imperial Institute of Quantitative Finance and Scientifi c advisor to Norges Bank, the central bank of Norway. His research focuses on stochastic processes and mathematical modeling in fi nance, in particular the modeling of extreme market risks: market discontinuities, extreme risks, endogenous risk and systemic risk. He has co-authored the highly cited monograph Financial Modelling with Jump Processes and is the Editor-in- Chief of the Encyclopedia of Quantitative Finance (Wiley 2010). Prof Cont was awarded the
Louis Bachelier Prize by the French Academy of Sciences in 2010 for his research on mathematical modeling in fi nance.
13.10
Lunch - Plus Meet The Speaker Lunch Tables
14.30
How Should Central Counterparty Risk Be Managed Coherently in Practice & How Should Banks Be Capitalized Against Their Exposures To CCPs?• The 2009 G-20 clearing mandate and the
importance of CCP risk management post 2007-2008 fi nancial crisis
• International regulatory standards: CCP risk management and CCP risk capital
• The default waterfall resources of the typical derivatives CCPs
• Why is it impossible to defi ne the CCP risk capital coherently in the absence of a unifying model for the default waterfall resources?
• Introducing the static models of CCP risk• Formulating the CCP risk capital based on
the proposed model Samim Ghamami, Economist
FEDERAL RESERVE BOARD Samim Ghamami is an affi liated senior
researcher at the Center for RiskManagement Research at UC Berkeley. His research has broadly focused on
fi nance, risk management, and stochastic modeling. He has been a post-doctoral researcher at the CREATE Homeland Security Center, a quantitative analyst at Barclays Capital, an adjunct faculty member of University of Southern California, a senior quantitative researcher at MSCI and a technical advisor to the Basel Committee on Banking Supervision. His publications have appeared in various journals including the Journal of Applied Probability, Journal of Derivatives, Mathematics of Operations Research, Probability in the Engineering and Informational Sciences, and Quantitative Finance.
15.10
Regulation & InnovationExploring The Market Dislocations, Opportunities & Innovation That May Be Caused By Recent Regulatory ChangeSpeaker tbc
15.50 Afternoon Tea
16.15
Strategy LabsThese informal sessions are your chance to set the agenda & discover practical solutions to the specifi c problems you face.
You will be able to pose your questions about challenges to one of our leading industry experts who will be sharing their experience and expertise, before opening discussion to the fl oor enabling you to meet fellow practitioners, share ideas and learn from the experience of your peers from across the industry.
Topics and speakers already confi rmed include:• Fabio Mercurio on Fixed Income
Derivatives• Arthur Berd on Quantitative
Investment Strategies
17.15 End Of Main Conference
20 To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
Main Conference Day 3 Thursday November 20, 2014
Stream C: Innovations In Volatility Modelling & Trading
11.10
Volatility Trading Strategies Bruno Dupire
Head Of Quantitative Research BLOOMBERG
Bruno Dupire joined Bloomberg L.P. in 2004. Prior to this he has headed the Derivatives Research teams at Société
Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model in 1993 and subsequent stochastic volatility extensions. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame” of the 50 most infl uential people in the history of Derivatives and Risk Management. He is the recipient of the 2006 “Cutting edge research” award of Wilmott magazine and was the recipient of the Risk Magazine “Lifetime Achievement” award for 2008.
with index options• Building the LETF volatility skew from the ETF
volatility skew• Explicit formulas and relationships• Adjustments for different risk regimes
Roger Lee, Associate Professor Of Mathematics UNIVERSITY OF CHICAGO
Roger Lee is an Associate Professor of Mathematics at the University of Chicago. In addition he serves as an
Associate Editor of the SIAM Journal on Financial Mathematics. Previously he held an NSF postdoctoral fellowship at Stanford University and at NYU, and worked in Global Equity-Linked Products at Merrill Lynch in New York. He has a PhD from Stanford University.
12.30
Vol Of VolUnderstanding Volatility Of Volatility Dynamics & The Implications For Trading Strategies• VIX options implied vol versus VIX index • VIX options implied vol versus VIX futures
realized vol • Mechanics of VIX skew and VIX term
structure • Capturing the VIX risk premium
Scott Maidel, Senior Portfolio Manager, Equity Derivatives, RUSSELL INVESTMENTS
Within Russell’s investment services group, Scott Maidel is responsible for a variety of derivative trading activity,
strategy and product development across global markets. He is involved with formulating synthetic trading strategies and research for Russell funds and third-party clients as they relate to volatility strategies and other overlay services. Scott joined Russell in 2010. Previously, he worked in a global fi xed, equity and commodity derivatives, portfolio management, trading and research role for First Quadrant, LP. During this time, Scott managed volatility arbitrage and absolute return option overlays and was responsible for implementation of a variety of active derivative overlays.
13.10Lunch - Plus Meet The Speaker Lunch Tables
Stream C: Innovations In Computational Effi ciency
14.30
Implementation Of PDE Methods On GPUs• Explicit and implicit time-marching• 1-factor and 3-factor models• Solution of multiple tridiagonal systems• Importance of minimising data movement• Comparison of performance to vectorization on CPUs
Mike Giles, Professor Of Scientifi c Computing, OXFORD UNIVERSITY MATHEMATICAL INSTITUTE
Mike Giles completed a PhD in Aeronautical Engineering at MIT where he became an Associate Professor before moving to Oxford in 1992. After working closely with Rolls-Royce for many years developing computational fl uid dynamics techniques for turbomachinery, in 2005 he moved into the development of Monte Carlo methods in computational fi nance. In 2007 he was named ‘Quant of the Year’ by Risk magazine, together with Paul Glasserman of Columbia Business School, for their 'Smoking Adjoints' paper on the use of adjoints for the effi cient calculation of Monte Carlo sensitivities. More recently, he was given the 2011 INFORMS Outstanding Simulation Publication Award for his 2008 Operations Research paper on 'Multilevel Monte Carlo path simulation'.
14.50
Adjoint Algorithmic Differentiation Software Tool Support For Robust Large-Scale Parameter Calibration In Computational Finance• Recent developments in Adjoint Algorithmic
Differentiation (AAD) tool support in the context of large-scale parameter calibration methods
• First-and second-order derivative-based approaches to solving the underlying numerical optimization problems
• Specifi c mathematical and structural properties of the underlying simulation
• The superiority of AAD software tools over manual approaches to the implementation of adjoint fi nancial models
Uwe Naumann, Professor Of Computer Science, RWTH AACHEN UNIVERSITY
Dr. Naumann has been professor of computer science with focus on numerical methods and software tools
for Computational Science, Engineering, and Finance at RWTH Aachen University, Germany, since 2004. Dr. Naumann has published more than 100 scientifi c papers in peer-reviewed journals. He is the author of “The Art of Differentiating Computer Programs. An Introduction to Algorithmic Differentiation” published in 2012. The AAD software developed by his group is actively used within a large number of numerical software projects and, in particular, by several tier-1 banks.
15.50 Afternoon Tea
16.15
Strategy LabsThese informal sessions are your chance to set the agenda & discover practical solutions to the specifi c problems you face.
You will be able to pose your questions about challenges to one of our leading industry experts who will be sharing their experience and expertise, before opening discussion to the fl oor enabling you to meet fellow practitioners, share ideas and learn from the experience of your peers from across the industry.
Topics and speakers already confi rmed include:• Fabio Mercurio on Fixed Income
Derivatives• Arthur Berd on Quantitative
Investment Strategies
17.15 End Of Main Conference
Maximize Your Learning By Attending Our Separately- Bookable, Technical Workshops
Our workshops are in-depth, classroom-based learning sessions. Run in small groups so that each participant can receive one-on-one attention, workshops provide the perfect opportunity to ask questions and gain real understanding of complex topics, as the workshop leader examines the topic in far more depth than is possible in a 40 minute session.
Focused on specifi c areas so you can choose the workshop best suited to your area of interest, attending one of our workshops will enable you to learn concrete solutions to problems you face every day in your role that you can implement as soon as you are back in the offi ce.
Class sizes are limited to facilitate greater learning so book your place now to avoid disappointment!
Why not gain maximum benefi t by combining Gunter Meissner's correlation trading workshop on theMonday with one of our Friday workshops on algorithmic differentiation or volatility?
21To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
Adjoint Methods For Option Pricing
Fundamentals Of Algorithmic Differentiation• Generic black-box approach• Algorithmic differentiation• Adjoints for higher-level linear algebra• Algorithmic differentiation software tools dco and dcc
SDEs & Monte Carlo Methods: I• Monte Carlo simulation and augmented state• LRM and pathwise sensitivity approaches• Adjoint pathwise approach• Use of automatic differentiation software• Storage/ re-computation tradeoff• Local volatility example with dco/dcc, revisited
SDEs & Monte Carlo Methods: II• Multiple payoffs• Binning and correlation Greeks• Non-smooth payoffs
PDEs & Finite Difference Methods: I• Formulation of adjoint PDEs and fi nite difference methods• Financial application• Possible advantages for pricing calculation• FDE sensitivities for linear explicit discretizations
PDEs & Finite Difference Methods: II• Nonlinear implicit equations• What can go wrong?• Calibration using Fokker-Planck discretization• Greeks using Black-Scholes discretization• Local volatility example with dco/dcc
Mike Giles, Professor Of Scientifi c ComputingOXFORD UNIVERSITY MATHEMATICAL INSTITUTE
Mike Giles completed a PhD in Aeronautical Engineering at MIT where he became an Associate Professor before moving to Oxford in 1992. After working closely with Rolls-Royce for many years
developing computational fl uid dynamics techniques for turbomachinery, in 2005 he moved into the development of Monte Carlo methods in computational fi nance. In 2007 he was named ‘Quant of the Year’ by Risk magazine, together with Paul Glasserman of Columbia Business School, for their 'Smoking Adjoints' paper on the use of adjoints for the effi cient calculation of Monte Carlo sensitivities. More recently, he was given the 2011 INFORMS Outstanding Simulation Publication Award for his 2008 Operations Research paper on 'Multilevel Monte Carlo path simulation'.
Uwe Naumann, Professor Of Computer Science RWTH AACHEN UNIVERSITY
Dr. Naumann has been professor of computer science with focus on numerical methods and software tools for Computational Science, Engineering, and Finance at RWTH Aachen University, Germany, since 2004. Dr. Naumann has published more than 100
scientifi c papers in peer-reviewed journals. He is the author of “The Art of Differentiating Computer Programs. An Introduction to Algorithmic Differentiation” published in 2012. The AAD software developed by his group is actively used within a large number of numerical software projects and, in particular, by several tier-1 banks.
Latest Advances In Volatility Trading & Modeling
Intro: Implied & Realized Vol
Part I: Volatility Trading• Via options• Via var/vol swaps• Via VIX futures• Via variance futures• Dispersion Trading
Part II: Volatility Modeling• Vol surface• Local volatility & beyond
Part III: Questioning volatility• Short-term strategy• Long-term strategy
Sebastien Bossu, Principal, OGEE GROUP LLC & Adjunct Professor, PACE UNIVERSITY
Sébastien Bossu is currently Principal at Ogee Group LLC where he runs a startup hedge fund which posted a 30% net return in 2012-2013. Sébastien has almost ten years’ experience in banking and the fi nancial industry at institutions such as J.P. Morgan, Dresdner
Kleinwort and Goldman Sachs. An expert in derivative securities, he has published several papers and textbooks in the fi eld and is a regular speaker at specialized conferences. His latest textbook Advanced Equity Derivatives: Volatility & Correlation was published in May 2014 by John Wiley & Sons.
In-Depth technical workshops Friday November 21, 2014
In computational fi nance it is very important to be able to compute the sensitivity of option prices to various input parameters. As well as being used to compute the so-called Greeks for risk hedging, they are also used for calibrating models to market prices. Adjoint methods are a well-established mathematical approach for effi ciently computing sensitivities when there are multiple input parameters, but only one output quantity. In this case, the computational cost is similar to the original pricing calculation, whereas the standard linear sensitivity approach would have a cost proportional to the number of inputs. In this one-day course, we will discuss the mathematical foundations for adjoints methods, concentrating on the discrete level, not the differential level (i.e. fi nite difference and recurrence equations, rather than PDEs) and the use of algorithmic differentiation (AD) software to generate the adjoint code. We will then discuss its application to both fi nite difference methods for PDEs, and Monte Carlo methods for SDEs.
Practical examples/exercises will be based on the AD software tools dcc (derivative code compiler) and dco (derivative code by overloading) for C/C++. Brief introductions to both tools will be followed by fully worked out case studies in computational fi nance.
Algorithmic Differentiation Tool Support For Greeks & Calibration Using PDEs & SDEs
Volatility is arguably the most critical concept in option trading and modeling. In this one-day workshop equity derivatives guru Sebastien Bossu will look at volatility from a variety of angles, bridging the gap between theory and practice to bring valuable insights for traders and quants. Topics cov-ered will include: How to trade volatility directly and indirectly; How to calculate fair variance swap prices; How to construct smooth volatility surfaces and extract the corresponding local volatilities; What are the limits of volatility as a concept and how to devise model-defeating trading strategies... And much more!
22 To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
ABOUT OUR SPONSORS
Co-Sponsors CBOE Holdings, Inc. (NASDAQ: CBOE) is the holding company for Chicago Board Options Exchange, Incorporated (CBOE), CBOE Futures Exchange, LLC (CFE) and other subsidiaries. CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options and volatility trading through product innovation, trading technology and investor education. CBOE Holdings offers equity, index and ETP options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options and futures on the CBOE Volatility Index (the VIX Index). Other products engineered by CBOE include equity
options, security index options, LEAPS options, FLEX options, and benchmark products such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE Holdings is home to the world-renowned Options Institute and www.cboe.com, the go-to place for options and volatility trading resources. CBOE is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the OCC.
Contact Information: Chicago Board Options Exchange, Incorporated, 400 South LaSalle Street, Chicago, IL 60605 Telephone: 1-312-786-8310
Website: www.cboe.com
ITO33 is a leading provider of Equity Derivatives and Equity to Credit pricing and hedging solutions.
Since the inception of the company in 1999, ITO33 has been viewed as the specialist of convertible bonds. Accuracy, speed, robustness and fl exibility have been associated with ITO33’s pricing software and are enabled by PDE based solvers.
Volatility surfaces consistent with CDS, barrier options, forward starting options, variance swaps, options on variance, VIX options, dividend swaps…and many more instruments are handled by our regime switching model which is calibrated to market prices and takes jumps into account.
Be A Part Of Global Derivatives USA 2014Over the last four years, Global Derivatives USA has established itself as the meeting place for leading quant traders, portfolio
managers, derivatives strategies and quantitative analysts.
Exhibitions and conferences are proven to generate more sales prospects per spend than almost any other form of marketing or promotional activity. Even in the new age of technology led communication, social media and the mobile internet, face to face
interactions are still key to fostering profi table business relationships.
Global Derivatives USA is the only event that offers you the opportunity to meet and target the most senior quant traders, portfolio managers, derivatives strategies and quantitative analysts in North America and beyond.
We have a number of exclusive sponsorship and speaking options to help you raise your profi le. For more information please contact:
Rustum Bharucha, Business Development Manager, Global Derivatives USA [email protected] +44 (0) 20 7017 7225
23To register or to view the latest information, please visit: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Email: [email protected]
In the heart of downtown Chicago where the Chicago River meets Lake Michigan, Swissotel Chicago offers stylishly modern guest rooms and suites with stunning views stretching along the lakefront from Navy Pier to Millennium Park. Luxury accommodation is just steps from the lakefront, the downtown business district and fabulous shopping on The Magnifi cent Mile. All within 20 mi/32 km of Chicago's O'Hare International and Midway airports.
Accommodation:We have arranged a special room rate at the Swissôtel Chicago for attendees. Please visit www.globalderivativesusa.com/page/accommodation for more information or to book your room.
Dress Code:Business attire
venue information
50% DISCOUNT
Register Now – Four Easy Ways!1. Fax this form on +44 (0)20 7017 7807 2. Telephone us on +44 (0)20 7017 7200 3. Email: [email protected]. Via the website:www.globalderivativesusa.comAlways quote your VIP CODE when registering.
• November 17, 2014: Portfolio Optimization Summit & Correlation Workshop
• November 18-20, 2014: Global Derivatives USA Main Conference
• November 21, 2014: Algorithmic Differentiation & Volatility Workshops
VENUE DETAILSSwissôtel Chicago323 East Upper Wacker Drive, ChicagoIL 60601-9722 ▪ USATel: +1 312 565 0565 Fax: +1 312 565 0540View hotel booking information at:www.globalderivativesusa.com
TERMS AND CONDITIONS: Attendance at this conference is subject to the ICBI Delegate Terms and Conditions at http://www.icbi-events.com/page/termsandconditions. Your attention is drawn in particular to clauses 6, 8 and 14 of the ICBI Delegate Terms and Conditions which have been set out. Cancellation Policy: If you cancel in accordance with this policy, you will receive a refund of your fees paid to ICBI (if any): (i) if you cancel your registration 28 days or more before the Conference, subject to an administration charge equivalent to 10% of the total amount of your fees plus VAT; or (ii) if you cancel your registration less than 28 days, but more than 14 days before the Conference, subject to an administration charge equivalent to 50% of the total amount of your fees plus VAT. ICBI regrets that the full amount of your fee remains payable in the event that your cancellation is 14 days or less before the Conference or if you fail to attend the Conference. All cancellations must be sent by email to [email protected] marked for the attention of Customer Services and must be received by ICBI. Youacknowledge that the refund of your fees in accordance with this policy is your sole remedy in respect of any cancellation of your registration by you and all other liability is expressly excluded. Changes to the conference: ICBI may (at its sole discretion) change the format, speakers, participants, content, venue location and programme or any other aspect of the Conference at any time and for any reason, whether or not due to a Force Majeure Event, in each case without liability. Data protection: The personal information which you provide to us will be held by us on a database. You agree that ICBI may share this information with other companies in the Informa group. Occasionally your details may be made available to selected third parties who wish to communicate with you offers related to your business activities. If you do not wish to receive these offers please contact the database manager. For more information about how ICBI use the information you provide please see our privacy policy at: http://www.icbi-events.com/page/termsandconditions. If you do not wish your details to be available to companies in the Informa Group, or selected third parties, please contact the Database Manager, Informa UK Ltd, Maple House, 149 Tottenham Court Road, London, W1T 7AD. Tel: +44 (0)20 7017 7077, fax: +44 (0)20 7017 7828 or email [email protected] .Incorrect Mailing: If you are receiving multiple mailings or you would like us to change any details, or remove your name from our database, please contact the Database Manager at the above address quoting the reference number printed on the mailing label.By completing and submitting this registration form, you confirm that you have read and understood the ICBI Delegate Terms and Conditions and you agree to be bound by them.
DATES
1st DelegateName
Job title Department
Direct Tel Mobile Tel
Email Address I would like to receive information on future events & services via email. By giving you my email address I am giving Informa companies the permission to contact me by email.
Hd of Dept: Name
Job title Department
Direct Tel Mobile Tel
Email Address
Booking Contact: Name
Job title Department
Direct Tel Mobile Tel
Email Address
Person who will attend if I have to cancel:
Name
Job title Department
Direct Tel Mobile Tel
Email Address
COMPANY DETAILS
Company Name: Nature of Company’s business:
Address: Postcode/Zip:
2nd Delegate: 2nd Delegate:
Name
Job title
Department
Direct Tel
Mobile Tel
Email Address I would like to receive information on future events & services via email. By giving you my email address I am giving Informa companies the permission to contact me by email.
3rd Delegate: Name
Job title
Department
Direct Tel
Mobile Tel
Email Address
I would like to receive information on future events & services via email. By giving you my email address I am giving Informa companies the permission to contact me by email.
Savings include Multiple Package & Early Booking Discounts. All discounts can only be applied at the time of registration and discounts cannot be combined (apart from Early Booking discounts that apply to everyone). All discounts are subject to ap-proval. Please note the conference fee does not include travel or hotel accommodation costs. 50% discount for third and subsequently registered delegate fee for any packages that include the main conference. We are happy to accept a replacement delegate for the whole event, however delegate passes cannot be split or shared between delegates under any circumstances. Conference code FKN2388
Please use this form as our request for payment. Fax and phone bookings should be made with a credit card number,or followed up by a posted registration form. Places are only guaranteed by full payment, which must be receivedbefore the conference. I will pay by:■ Cheque/bankers draft made payable to ICBI for $...............................................■ Invoice to be sent to my company■ Bank transfer - full details of bank transfer options will be given with your invoice on registration.
To make payment by credit card: To ensure we provide the highest level of security for your credit carddetails we are unable to accept such payments via email or fax which ensures that these details are never stored on our network. To make payment by credit card on-line, please enter your credit card details in our secure payments website that you will use when making your booking via the event website: www.globalderivativesusa.comAlternatively call our customer service team on +44 (0) 20 7017 7200
PAYMENT DETAILS
PLEASE SELECT YOUR EARLY BIRD PACKAGE DATES Register By July 25 2014 SAVE Register By
Sept 26 2014 SAVE Register ByOct 24 2014 SAVE Register After
delegates, the 3rd and each subsequently registered delegate will receive 50% off any packages that include the main conference.
"I thought Global Derivatives USA was really terrifi c. As ever you attracted great speakers who gave interesting talks."Emanuel Derman, Professor, COLUMBIA UNIVERSITY
![Background Methods Results & ConclusionsMethods Design [quant → QUAL] Quant Data Collection. Phase 1: Quant. Phase 2: QUAL . Quant Data Analysis. QUAL Data Analysis . Integration](https://static.documents.pub/doc/80x56/6000faa49b2cd844807c19b1/background-methods-results-conclusions-methods-design-quant-a-qual-quant.jpg)
