Quant Insights Conference
12th - 13th November 2020
8:30 - 14:30 EST / 13:30 - 19:30 GMT / 14:30 - 20:30 CET
Globally Online
6th Conference
Brought to you by
CQF Institute, Fitch Learning and Wilmott

2 Days

12+ Talks

Free Tickets

14 Days Video on Demand

About the Conference

The Quant Insights Conference is back for its 6th event. Join talks from Dr. Harry Markowitz, Dr. Paul Wilmott, Nassim Taleb, Professor Emanuel Derman, Elie Ayache, Aaron Brown, Jim Gatheral, and many more to discover the latest innovations in volatility, agent-based modeling, portfolio optimization, and risk.

Tickets are free for all CQF Institute members and include: access to all talks and panels, breakout and networking activities, plus 14 days of video on demand. Become a member to claim your complimentary ticket today.

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Conference Speakers

Confirmed speakers and panelists.

Paul Wilmott

Dr. Paul Wilmott, President, CQF Institute
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.

Dr. Harry Markowitz
Exclusive Pre-Recorded Interview

Dr. Harry Markowitz, President, Harry Markowitz Company
Dr. Harry Markowitz, President, Harry Markowitz Company

Harry Markowitz is the Principal of Harry Markowitz Company in San Diego, CA and a quantitative research scientific advisor at McKinley Capital Management LLC in Anchorage, AK. He is a Noble Laureate and the father of modern portfolio theory. Dr. Markowitz was named “Man of the Century” by Pensions and Investments magazine. He has received the prestigious John von Neumann Theory Prize for his work in portfolio theory, sparse matrix techniques, and the SIMSCRIP programming language. Dr. Markowitz earned his Ph.D. from the University of Chicago. He is a quantitative research scientific advisor at McKinley Capital Management LLC in Anchorage, AK.
In finance: in an article in 1952 and a book in 1959 he presented what is now referred to as MPT, “modern portfolio theory.” This has become a standard topic in college courses and texts on investments, and is widely used by institutional investors and financial advisors for asset allocation, risk control and attribution analysis. In other areas: Dr. Markowitz developed “sparse matrix” techniques for solving very large mathematical optimization problems. These techniques are now standard in production software for optimization programs. Dr. Markowitz also designed and supervised the development of the SIMSCRIPT programming language. SIMSCRIPT has been widely used for programming computer simulations of systems like factories, transportation systems and communication networks.
In 1989 Dr. Markowitz received The John von Neumann Award from the Operations Research Society of America for his work in portfolio theory, sparse matrix techniques and SIMSCRIPT. In 1990 he shared The Nobel Prize in Economics for his work on portfolio theory. Dr. Markowitz is the principal of Harry Markowitz Company. He is also an adjunct professor at the Rady School of Management, UCSD.

Dr. John Guerard

John Guerard, Director of Quantitative Research, McKinley Capital Management LLC
John Guerard, Director of Quantitative Research, McKinley Capital Management LLC

John Guerard is Director of Quantitative Research at McKinley Capital Management, in Anchorage, Alaska. He earned his AB in Economics from Duke University, his MA in Economics from the University of Virginia, MSIM from the Georgia Institute of Technology, and Ph.D. in Finance from the University of Texas, Austin. Mr. Guerard has published several monographs, including Quantitative corporate finance (Springer, 2007, with Eli Schwartz), Introduction to financial forecasting in investment analysis (Springer, 2013), Portfolio and investment analysis with SAS®: Financial modeling techniques for optimization (SAS Press, 2019, with Ganlin Xu and Z Wang), and edited The handbook of portfolio construction: contemporary applications of Markowitz techniques (Springer, 2010). John serves an Associate Editor of the Journal of Investing and the International Journal of Forecasting. He has published Management Science, the IBM Journal of Research and Development, Annals of Operations Research, Research Policy, Financial Analysts Journal, Journal of Investing, and The International Journal of Forecasting,

Aaron Brown

Aaron Brown, Courant Institute for the Mathematical Sciences and the University of California at San Diego
Aaron Brown, Courant Institute for the Mathematical Sciences and the University of California at San Diego

Aaron Brown had a 35-year career on Wall Street as a portfolio manager, risk manager, trader and head of mortgage securities for large financial institutions including Morgan Stanley and AQR Capital Management. He has written four books: The Poker Face of Wall Street, Financial Risk Management for Dummies, Red-Blooded Risk and A World of Chance (with Reuven and Gabrielle Brenner). He is a regular columnist for Bloomberg and Wilmott, and has written many book chapters, journal articles and professional publications. He currently divides his time teach at the Courant Institute for the Mathematical Sciences and the University of California at San Diego.

Dr. Alireza Javaheri

Dr. Alireza Javaheri, Global Head of Equity Derivatives Quantitative Strategies at Credit Suisse
Dr. Alireza Javaheri, Global Head of Equity Derivatives Quantitative Strategies at Credit Suisse

He has been working in the field of quantitative finance for many years in various investment banks including J.P. Morgan and Goldman Sachs. He is an Adjunct Professor at Columbia University as well as NYU Courant Institute. He holds an M.Sc. in Electrical Engineering from Massachusetts Institute of Technology and a Ph.D. in Finance from Ecole des Mines de Paris. He has authored several quantitative finance papers on the subject of volatility, including articles with Peter Carr and Paul Wilmott. His book ‘Inside Volatility Arbitrage’ was elected the quantitative finance book of the year by Wilmott magazine.

Dr. Bill Ziemba

Professor William (Bill) T. Ziemba, Alumni Professor (Emeritus) of Financial Modeling and Stochastic Optimization in the Sauder School of Business, University of British Columbia
Professor William (Bill) T. Ziemba, Alumni Professor (Emeritus) of Financial Modeling and Stochastic Optimization in the Sauder School of Business, University of British Columbia

Dr William T. Ziemba is the Alumni Professor (Emeritus) of Financial Modeling and Stochastic Optimization in the Sauder School of Business, University of British Columbia where he taught from 1968-2006. His PhD is from the University of California, Berkeley. He currently teaches part time and makes short research visits at various universities. Recently he is the Distinguished Visiting Research Associate, Systemic Risk Centre, London School of Economics. He has been a visiting professor at Cambridge, Oxford, London School of Economics, University of Reading and Warwick in the UK, at Stanford, UCLA, Berkeley, MIT, University of Washington and Chicago in the US, Universities of Bergamo, Venice and Luiss in Italy, the Universities of Zurich, Cyprus, Tsukuba (Japan), Sabanci (Turkey), EDHEC (France), KAIST (Korea) and the National University and the National Technological University of Singapore. He has been a consultant to a number of leading financial institutions including the Frank Russell Company, Morgan Stanley, Buchanan Partners, RAB Hedge Funds, Gordon Capital, Matcap, Ketchum Trading and, in the gambling area, to the BC Lotto Corporation, SCA Insurance, Singapore Pools, Canadian Sports Pool, Keeneland Racetrack and some racetrack syndicates in Hong Kong, Manila and Australia. His research is in asset-liability management, portfolio theory and practice, security market imperfections, Japanese and Asian financial markets, hedge fund strategies, risk management, sports and lottery investments and applied stochastic programming. His co-written practitioner paper on the Russell-Yasuda model won second prize in the 1993 Edelman Practice of Management Science Competition. He has been a futures and equity trader and hedge fund and investment manager since 1983. In 2015, he won the futures part of the Battle of the Quants Trading Contest and beat the equity winner as well. He uses behavioral biases, mean reversion, mispriced options, institutional practices, presidential election and FED meeting effects plus calendar anomalies.

Boris Borowski

Boris Borowski, Head of Structured Products Technology Department, Bank Vontobel AG
Boris Borowski, Head of Structured Products Technology Department, Bank Vontobel AG

Boris currently heads the Structured Products Technology Department at Bank Vontobel AG in Zurich, Switzerland. He is responsible for the Front Office IT Stack which includes quantitative modeling as well as risk management and market making systems with a focus on structured products. He previously held positions at UBS Investment Bank in Equity and FX, including Global Head of FX Quantitative Analytics.

Prof. J. Doyne Farmer

Professor J. Doyne Farmer, Director of the Complexity Economics programme at the Institute for New Economic Thinking at the Oxford Martin School
Professor J. Doyne Farmer, Director of the Complexity Economics programme at the Institute for New Economic Thinking at the Oxford Martin School

J. Doyne Farmer is Director of the Complexity Economics programme at the Institute for New Economic Thinking at the Oxford Martin School, Baillie Gifford Professor in the Mathematical Institute at the University of Oxford, and an External Professor at the Santa Fe Institute. His current research is in economics, including agent-based modeling, financial instability and technological progress. He was a founder of Prediction Company, a quantitative automated trading firm that was sold to the United Bank of Switzerland in 2006. His past research includes complex systems, dynamical systems theory, time series analysis and theoretical biology. During the 1980s he was an Oppenheimer Fellow and the founder of the Complex Systems Group at Los Alamos National Laboratory. While a graduate student in the 1970s he built the first wearable digital computer, which was successfully used to predict the game of roulette.

Elie Ayache

Elie Ayache, Co-Founder and CEO of ITO 33
Elie Ayache, Co-Founder and CEO of ITO 33

Elie Ayache is a former option market-maker on MATIF (1987-1990) and LIFFE (1990-1995). He is the co-founder (1999) and currently the CEO of ITO 33, a software company specializing in convertible bond pricing, and more generally equity index and equity-to-credit single name derivative pricing. Elie is the author of ‘The Blank Swan: The End of Probability’ (Wiley 2010) and ‘The Medium of Contingency: An Inverse View of the Market’ (Palgrave 2015).

Emanuel Derman

Professor Emanuel Derman, Financial Engineering Professor at Columbia University
Professor Emanuel Derman, Financial Engineering Professor at Columbia University

Emanuel Derman is a professor at Columbia University, where he directs their program in financial engineering. He was born in South Africa but has lived most of his professional life in Manhattan. He started out as a theoretical physicist, doing research on unified theories of elementary particle interactions. At AT&T Bell Laboratories in the 1980s he developed programming languages for business modeling. From 1985 to 2002 he worked on Wall Street where he co-developed the Black-Derman-Toy interest rate model and the local volatility model. He is the author of ‘The Volatility Smile’ (Wiley, 2017), ‘Models.Behaving.Badly’ (Free Press 2011) one of Business Week’s top ten books of 2011. He is also the author of ‘My Life As A Quant’ (Wiley 2004), also one of Business Week's top ten of 2004, in which he introduced the quant world to a wide audience.

Dr. Jean-Philippe Bouchaud

Dr. Jean-Philippe Bouchaud, Chairman and Chief Scientist of CFM
Dr. Jean-Philippe Bouchaud, Chairman and Chief Scientist of CFM

Jean-Philippe is the Chairman and Chief Scientist of CFM. He supervises the research team with Marc Potters. He founded ‘Science and Finance’ in 1994, which merged with CFM in 2000. Prior to CFM he was a researcher at the Centre National de la Recherche Scientifique until 1992. After a year at the Cavendish Laboratory in Cambridge, he joined the Service de Physique de l’État Condensé at the Commissariat à l’Energie Atomique in Saclay, France, until 2004. He holds a PhD in theoretical physics from the École Normale Supérieure (ENS) in Paris. Jean-Philippe teaches regularly at the ENS and was elected at Collège de France on the Bettencourt Innovation Chair for 2020. He is also Member of the French Académie des Sciences since December 2017.

Jim Gateheral

Jim Gatheral, Presidential Professor, Baruch College, CUNY
Jim Gatheral, Presidential Professor, Baruch College, CUNY

Jim Gatheral is Presidential 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 involved in all of the major derivative product areas as bookrunner, risk manager, and quantitative analyst in London, Tokyo and New York, in a career in the financial industry that spanned over 27 years. Jim has served as a Managing Editor of the International Journal of Theoretical and Applied Finance and as Associate Editor of the SIAM Journal on Financial Mathematics; he currently serves with Michael Dempster as Joint Editor-in-Chief of Quantitative Finance. His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. Jim is also a frequent speaker at both practitioner and academic conferences around the world. 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. He received his Ph.D. in theoretical physics from Cambridge University, and a B.Sc. in Mathematics and Natural Philosophy from the University of Glasgow.

John Ashley

John Ashley, General Manager, Financial Services and Technology, NVIDIA
John Ashley, General Manager, Financial Services and Technology, NVIDIA

John Ashley currently leads the Global Financial Services Industry Strategy team at NVIDIA. His team focuses on global trends and directions in accelerated compute and AI for the entire sector – from hedge funds, fintech, banking, and insurance. NVIDIA supports customers and partners in their adoption of accelerated computing and AI/ML techniques to improve time to insight, enable expanded analytics around risk and fraud, and dive deep into customer data to address key business problems. He also started and led the Professional Services Deep Learning Practice for NVIDIA and the NVIDIA Deep Learning Professional Services Partner program; managed the relationship with IBM’s Software and Cognitive groups, was a Senior Solutions Architect covering Financial Services based in New York and then London, and supported NVIDIA’s work with the Square Kilometer Array radio astronomy programs. He holds a doctorate in Computational Sciences and Informatics, and both BS and MS degrees in Electrical Engineering. His past work experience can best be described as varied – he has been a data scientist, project manager, systems architect, DBA, and developer – working in vendor, consulting, and end user firms in utilities, government, and finance. He holds a US Patent in predictive analytics.

Nassim Taleb

Nassim Taleb, Professor of Risk Engineering at NYU’s Tandon School of Engineering
Nassim Taleb, Professor of Risk Engineering at NYU’s Tandon School of Engineering

Nassim Nicholas Taleb spent 21 years as a risk taker (quantitative trader) before becoming a researcher in philosophical, mathematical and (mostly) practical problems with probability. Taleb is the author of a multivolume essay, the ‘Incerto (The Black Swan, Fooled by Randomness, Antifragile, and Skin in the Game)’ covering broad facets of uncertainty. It has been published into 41 languages. In addition to his trader life, Taleb has also written, as a backup of the ‘Incerto’, more than 70 scholarly papers in mathematical statistics, genetics, quantitative finance, statistical physics, philosophy, ethics, economics, and international affairs, around the notion of risk and probability (grouped in the ‘Technical Incerto’). Taleb is currently a Distinguished Professor of Risk Engineering at NYU's Tandon School of Engineering and scientific advisor for Universa Investments. His current focus is on the properties of systems that can handle disorder ("antifragile").

Mehdi Sonthonnax

Mehdi Sonthonnax, US Equity Derivatives Quantitative Strategies at Credit Suisse
Mehdi Sonthonnax, US Equity Derivatives Quantitative Strategies at Credit Suisse

Mehdi Sonthonnax currently works in US Equity Derivatives Quantitative Strategies at Credit Suisse. He has 13 years of quantitative finance industry experience. Mehdi holds an M.Sc. in Applied Mathematics from the University of Pierre et Marie Curie.

Dr. Randeep Gug

Dr. Randeep Gug, CQF Institute, Managing Director
Dr. Randeep Gug, CQF Institute, Managing Director

Dr. Randeep Gug is the Managing Director of the CQF Institute and a lecturer on the Certificate in Quantitative Finance (CQF). Prior to joining Fitch Learning, Randeep worked in a variety of roles. He spent five years working in the Equities division at Salomon Smith Barney and later traded futures and options on the Indian National Stock Exchange (NSE). More recently he has spent time teaching mathematics at all levels. He is a qualified teacher, holds a 1st class honours degree and a PhD for research in semiconductor physics. He is a CQF Alumnus, achieving a distinction on the programme and his current interests are based around improving and promoting the teaching and learning of Quant Finance.

Dr. Stephen Weston

Dr. Stephen Weston, Risk Advisory Partner for Deloitte
Dr Stephen Weston, Risk Advisory Partner for Deloitte

Stephen is a partner in the Risk Advisory practice at Deloitte, focusing on valuation and risk modelling, as well as AI. He has over 25 years’ experience in investment banking working with many of the largest investment banks, as well as hedge funds and start-ups. Immediately prior to joining Deloitte he spent 4 years at Intel focusing on modelling, fintech and HFT. His experience spans all areas of trading, risk management and quantitative research. In addition, he is also a visiting professor at Imperial College in computational finance. Stephen holds a PhD in mathematical finance from London University. He also has a particular penchant for red trousers and bright socks.

Thijs Van Den Berg

Thijs van den Berg, Independent Consultant in Machine Learning and Quantitative Finance
Thijs van den Berg, Independent Consultant in Machine Learning and Quantitative Finance

Thijs van den Berg is an independent consultant in Machine Learning and Quantitative Finance. For the last 15 years, Thijs has helped asset managers, banks, pension funds, government, trading firms, energy companies, and telecom in Europe with their modeling needs. He has given various courses (with Paul Wilmott) about using Machine Learning in finance. In the past, Thijs was manager Research and Modelling at a large energy firm, and before that an options trader at the trading floor of the European Options Exchange / Euronext. Thijs holds an MSC in Computer Science / Machine Learning from the Technical University of Delft and is currently working part-time on his Ph.D. thesis at the University of Amsterdam. Thijs ranked in the top 0.5% at Kaggle, a platform where AI coders compete on projects, he has won the annual Dutch National Science quiz twice. He’s also a contributor to open-source libraries like the Boost C++ libraries.

Professor Thomas Lux

Professor Thomas Lux, Professor of Monetary Economics and International Finance, University of Kiel
Professor Thomas Lux, Professor of Monetary Economics and International Finance, University of Kiel

Thomas Lux is Professor of Monetary Economics and International Finance at the University of Kiel. His research interests cover various theoretical and empirical aspects of financial and monetary economics that mostly require intense use of computational methods. Among others, he has been working on agent-based models of financial markets, multi-scale stochastic volatility models, and network models for the interbank market. From 2011 - 2016, Thomas was appointed as the Bank of Spain Chair in Computational Economics at the University of Jaume I, Castellon, Spain.

Dr. Timothy Klassen

Dr. Timothy Klassen, CEO and Founder, Vola Dynamics
Dr. Timothy Klassen, CEO and Founder, Vola Dynamics

Dr. Timothy Klassen is well-known as a leading authority on volatility curve design and arbitrage-free surface fitting, and as the designer of the “new VIX” that the CBOE started disseminating in 2003. He is an expert in fast and robust pricing and calibration methods for vanillas and exotic derivatives, as well as volatility arbitrage, with over 20 years of experience in quantitative finance. He founded Vola Dynamics LLC in 2016 to provide the options industry with pricing, modeling, and volatility fitting analytics previously only available to the largest and most sophisticated options trading firms in the world. The Vola Dynamics vol fitter is generally acknowledged to be the best in the industry. He received his Ph.D. in particle physics from the University of Chicago. After postdocs at Cornell and Columbia University, he started his finance career at Goldman Sachs; his last role before founding Vola Dynamics was building up all options analytics and the quant team at pioneering high-frequency trading firm Getco.

Uwe Wystup

Professor Dr. Uwe Wystup, Founder and Managing Director of MathFinance AG
Professor Dr. Uwe Wystup, Founder and Managing Director of MathFinance AG

Prof. Dr. Uwe Wystup is the founder and Managing Director of MathFinance AG, an independent consulting and software company that specializes in FX derivatives pricing. Uwe got his PhD in Mathematical Finance with Steven E. Shreve at Carnegie Mellon University, he is the author of two books “Foreign Exchange Risk” and “FX Options and Structured Products”, writes the FX column for Wilmott magazine and published in many academic journals. Uwe is professor of Foreign Exchange Derivatives at University of Antwerp, and honorary professor of Quantitative Finance at Frankfurt School of Finance and Management, certified public expert for currency markets at Frankfurt’s Chamber of Commerce and the Expert Witness Institute. Ever since he started his FX options front-office role at Citibank in 1992 he has been a great fan of FX markets.

Conference Tickets

12th - 13th November 2020

Tickets are free for CQF Institute Members.
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Conference Organizers

Quant Insights is presented by the CQF Institute & 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
Vola Dynamics
Nvidia
UnRisk
Academic Partners
Golden Education