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21/06/2019 | |||
09:05 - 09:15 | A few words from Vladimir Piterbarg, Head of QA, NWM Vladimir Piterbarg, Global Head of Quantitative Analytics, NatWest Markets | ||
09:15 - 09:30 | Keynote – Victoria Cleverley and John Smith | ||
09:35 - 10:20 | The classical optimal investment problem: modern models and deep learning Vladimir Piterbarg, Global Head of Quantitative Analytics, NatWest Markets | ||
10:20 - 11:00 | High Performance Adjoint Algorithmic Differentiation for Computational Finance Viktor Mosenkis, Technical Support Engineer, NAG and RWTH Aachen | ||
11:00 - 11:30 | Tea break | ||
11:30 - 12:10 | Quantum Machine Learning Alexei Kondratyev, Managing Director, Head of Data Analytics, Electronic Market Solutions, Standard Chartered Bank | ||
12:10 - 12:50 | Quantifying Model Performance Alexandre Antonov, Director, Standard Chartered Bank | ||
12:50 - 13:50 | Lunch | ||
13:50 - 14:30 | Deep Learning Volatility Blanka Horvath, Lecturer, Financial Mathematics Group King's College London | ||
14:30 - 15:30 | Spiking Neural Networks Stephen Weston, Principal Engineer and Numerical Libraries Architect, Intel Corporation | ||
15:30 - 16:00 | Tea break | ||
16:00 - 17:00 | Panel: “The 2025 quant of the year goes to…” – Ian Bentham, NWM (et al) | ||
17:00 - 17:05 | Closing remarks |
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