Quant Insights
Volatility modeling in financial markets
London & Online, 10th November 2017
3rd Annual Conference
Brought to you by
CQF Institute and Wilmott
Algo Trading with Python Workshop
London & Online, 7th - 8th November

QI Conference

Fitch Ratings Auditorium, 30 North Colonnade, Canary Wharf, London, E14 5GN

The CQF Institute and Wilmott present their third annual Quant Insights conference this November. Held in the heart of Canary Wharf, London’s modern financial center, the conference will bring together leading practitioners to explore volatility modeling, looking at the latest strategies and new technologies used to model volatility.

Book Ticket

2 Organizers

Two internationally recognized brands; CQF Institute & Wilmott partner for the most topical quant conference of the year.

10 Talks

Quant Insights will have talks from experts in their field and a panel session discussing volatility in quant finance.

120 Live Tickets

The conference offers an opportunity to network with like-minded professionals in the quant community.

100+ Online Tickets

Delegates can follow and participate in the conference proceedings from anywhere in the world with online tickets.

Speakers and Talks

Paul Wilmott
Keynote: Dr. Paul Wilmott,
President, CQF Institute

Paul is the founder of the Certificate in Quantitative Finance and Wilmott.com and he is internationally renowned as a leading expert on quantitative finance. His research work is extensive, with more than 100 articles in leading mathematical and finance journals, as well as several internationally acclaimed books on mathematical modeling and derivatives, including the best-selling Paul Wilmott On Quantitative Finance, published by John Wiley & Sons.

Laura Ballotta
Smiles & Smirks: A Tale of Factors | Abstract
Smiles & Smirks: A Tale of Factors

We offer a general framework based on time changed Lévy process for modeling the stochastic evolution of stock prices, which includes risk factors of both diffusive and jump nature, and leverage effects. The proposed setting encompasses a large number of the most commonly used stochastic volatility models, allows for the construction of new potential alternative models, and enables a comparative study of their features in terms of volatility, volatility of volatility and correlation processes. We analyse the performance of these models in terms of calibration and fit of the volatility

Dr. Laura Ballotta,
Senior Lecturer in Financial Mathematics, Cass Business School, City, University of London

Laura holds a PhD in Mathematical and Computational Methods for Economics and Finance from the Università degli Studi di Bergamo (Italy). Her research interests focus on development of realistic models for asset prices, which also recognize the interdependence in place between them, and their applications to practical problems such as counterparty risk valuation.

Philippe Henrotte
Volatility Calibration and Hedging | Abstract
Volatility Calibration and Hedging
  • Is there a link between calibration quality and back-tested hedging efficiency?
  • Do simpler models lead to better hedging?
  • Is a stable calibration needed to produce stable hedge ratios?
  • How to stabilize the calibrated parameters of a rich model?
  • The hedging role of variance swaps and VIX derivatives.
  • Dr. Philippe Henrotte,
    Co-Founder and Partner, ITO33

    Philippe is one of the founding partners of ITO33, which designs sophisticated derivatives pricing software for financial institutions. He is an Affiliate Professor at the Finance Department of HEC Paris. He holds a PhD in Finance from Stanford University. His research interests focus on risk management and the hedging and pricing of derivatives in incomplete markets. He is a director of Equinox Russian Opportunities Fund Limited, a hedge fund targeting the Russian capital markets.

    Peter Tankov
    Pricing and Hedging with Lognormal Rough Volatility
    Dr. Peter Tankov,
    Professor of Quantitative Finance, ENSAE ParisTechkov

    Peter is a leading expert on jump risk in financial markets, author of the widely-read book Financial Modelling with Jump Processes, and of many publications on subjects ranging from risk management, option pricing and model calibration to stochastic control and commodity prices modeling. His interests include stochastic models and energy finance.

    Avik Sengupta
    Automatic Differentiation - Calibrating Volatility Models and Calculating Greeks Accurately and Efficiently in Julia | Abstract
    Automatic Differentiation - Calibrating Volatility Models and Calculating Greeks Accurately and Efficiently in Julia

    The calibration of volatility models, in common with many other operations in computational finance such as the computation of Greeks, depend on the efficient and accurate estimation of large number of gradients. Automatic differentiation (AD) is a powerful method for computing gradients and higher-order derivatives of numerical programs, which are both numerically exact, yet incur very little computational overhead. AD has already been explored previously in the quantitative finance literature, but its adoption has been hampered by the difficulty of its use.

    In this talk, we will see how Julia's design make it feasible to use AD with minimal effort on the programmers part, while also being much faster and more accurate than finite differencing methods. As a demonstration of how AD exemplifies Julia's promise of productivity and performance in large and complex codebases, we will demonstrate how it can be used for both computing Greeks, as well as efficiently fitting stochastic volatility models such as SABR or Heston models.

    Avik Sengupta,
    Vice President of Engineering, Julia Computing

    Avik has worked on risk and trading systems in investment banking of many years, mostly using Java interspersed with snippets of the exotic R and K languages. This left him wondering whether there were better things out there. Avik’s quest concluded with the appearance of Julia in 2012. He has been coding in Julia and contributing to it ever since. He is a core contributor to the language, maintains many of its packages and is the author of a book about high performance Julia.

    2-Day Algo Trading with Python Workshop

    Yves Hilpisch

    Presented by Dr. Yves Hilpisch, Managing Partner of The Python Quants

    7th - 8th November 2017, Live and Online

    Fitch Learning, The Corn Exchange, 55 Mark Lane, London, EC3R 7NE
    Book a ticket

    Topics Covered

    This two-day intensive training covers all technical topics relevant in the context of algorithmic trading:

    • Pandas for data analysis and vectorized backtesting of trading strategies
    • Object-oriented programming with Python for event-based backtesting
    • Working with sockets and real-time/streaming data
    • Price prediction with regression and machine learning approaches
    • Working with the Oanda trading platform and API (historical data and backtesting, streaming data and automated trading)
    Tickets include 60 days of access to the workshop recordings (Video on Demand).

    Tickets

    Early bird tickets available until 22nd October

    Conference

    10th November

    Early Bird - Live - £245
    Early Bird - Online - £145
    Standard - Live - £295
    Standard - Online - £195
    Book a ticket

    Conference

    10th November | CQFI Premium Member Tickets

    Early Bird - Premium Live - £100
    Premium Online - Free
    Standard - Premium Live - £100
    Premium Online - Free
    Book a ticket
    Become a premium member to receive an access code to book a CQFI premium member ticket.

    2-Day Workshop

    7th & 8th November

    Early Bird - Live - £595
    Early Bird - Online - £495
    Standard - Live - £895
    Standard - Online - £695
    Book a ticket
    Prices above exclude VAT of 20%
    Tickets include 60 days of access to Video on Demand.

    For a 25% student discount for the conference, please email us at events@cqfinstitute.org
    For a 15% discount for group bookings of three or more people, please email us at events@cqfinstitute.org
    Discounts cannot be applied to priority premium member tickets

    If you have any questions about tickets or pricing, please email us at events@cqfinstitute.org

    Conference Organizers

    Quant Insights is presented by the CQF Institue & Wilmott
    CQF Instiute

    Part of Fitch Learning, the CQF Institute is a global membership platform for educating and building the quant finance community.

    Fitch Learning

    Part of the Fitch Group, Fitch Learning partners with clients to enhance knowledge, skills and conduct. Fitch Learning advises and builds learning solutions to accelerate the achievements of individuals and companies.

    Wilmott

    Wilmott is the leading resource for the quant finance community, comprised a website and discussion forum and Wilmott magazine.

    Conference Sponsors

    Platinum Sponsors
    ITO33
    UnRisk
    Gold Sponsor
    Julia Computing
    Affiliate Sponsor
    NAG
    Wiley

    Venue

    Conference

    Fitch Ratings Auditorium,
    30 North Colonnade,
    Canary Wharf,
    London,
    E14 5GN

    Workshop

    Fitch Learning,
    The Corn Exchange,
    55 Mark Lane,
    London,
    EC3R 7NE