Financial engineering workshops

4th February: Optimization of Risk Exposure and Hard Exit Thresholds
David Shelton (Managing Director, Head of FX and FICC Electronic Trading Quants, Bank of America)
Carlos Veiga (Senior Quant, Bank of America)

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18th February: The Relative Entropy of Expectation and Price
Paul McCloud (Head of Fixed Income Quantitative Research, Nomura)

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4th March: SANOS: Smooth Arbitrage-free Non-parametric Option Surfaces
Dr. Hans Buehler (Visiting Professor, University of Oxford; former Co-CEO of XTX Markets)

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18th March: Multivariate Rough Volatility
Paolo Pigato (Associate Professor, University of Rome Tor Vergata)

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1st April: Quantitative Model Validation in Structured Credit: Numerical Benchmarks and Challenger Approaches
Giuseppe Bonavolontà (European Investment Bank - EIB)
Alper Hekimoglu (European Investment Bank - EIB)

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15th October: "Carbon Default Swap -- Disentangling the Exposure to Carbon Risk Through CDS"

Luca Taschini (University of Edinburgh Business School)

29th October: "FX Market Making"
Alexander Barzykin (HSBC)

12th November: "AI as Pricing Law"
Stefano Iabichino

26th November: "Quantum machine learning: two examples in finance"
Marco Paini, (Rigetti)

10th December: "AI for Time Series: Applications in Macroeconomic Forecasting"
Alexander Denev (Turnleaf Analytics)

5th February: "Beyond Chatbots: Financial Innovation and Data Analysis with Agentic LLMs"
Nicole Königstein (quantmate)

19th February (ONLINE - details sent via email): "The Equity Risk Premium: an options-based approach"
Alan Lewis

5th March: "Neural networks unleashed: Joint SPX/VIX calibration going fast"
Giacomo Bormetti (Università di Pavia)

19th March: "Efficient simulation of the SABR mode"
Jaehyuk Choi (Columbia University MAFN)

2nd April: "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
Milena Vuletić (University of Oxford)

28th May: "Joint Dynamics for the Underlying Asset and its Implied Volatility Surface: A New Methodology for Option Risk Management"
Pascal François (HEC Montréal)

9th October: "Harvesting the FX skew premium"
Lorenzo Ravagli (JP Morgan)

23rd October: "FX Open Forward"
Julien Hok (INVESTEC Bank)

13th November: "CCR Stress Testing, WWR and Leverage: a Monte Carlo simulation based framework"
Fabrizio Anfuso (Traded Risk Measurement, PRA, Bank of England)

ONLINE: 20th November: "Volatility Shape-Shifters: arbitrage-free transformations of implied volatility surfaces"
Valer Zetocha (Julius Bär)

4th December: "Climate Risk Stress Testing: What are the challenges?"
Svetlana Borovkova

31st January:  "Neural Joint S&P 500/VIX Smile Calibration"
Julien Guyon (Ecole des ponts ParisTech)

7th February: "Spoofing and Manipulating Order Books with Learning Algorithms"
Álvaro Cartea (Mathematical Institute, University of Oxford and Oxford-Man Institute of Quantitative Finance)

21st February: "Taboos in Finance"
Wim Schoutens (KU Leuven)

6th March: "Leveraged Wrong-Way Risk"
Matthias Arnsdorf (J.P. Morgan)

3rd April:  "Quantifying Credit Portfolio sensitivity to asset correlations with interpretable generative neural networks"
Sergio Caprioli (Intesa Sanpaolo)

11th October: "CO2eVA: scope 3 emission effects on derivatives pricing and capital"
Chris Kenyon (MUFG)

25th October: "Funding, Wealth Transfer and Financial Stability in the post-LIBOR Era"
Stefano Iabichino (UBS)

8th November: "The Transition from Interbank Offered Rates to Risk-Free Rates: Evolution in Pricing Models for Interest Rate Modelling"
Vincenzo Russo

16th November (room 2006, 17:30 - 18:30)*: "Unmasking stochastic volatility in discontinuous continuity approximations and pricing VIX options directly from SPX options"
Dilip Madan (University of Maryland)

22nd November: "Validation of Machine Learning techniques in joint default assessment"
Patrizia Semeraro (Politecnico Torino)

6th December: "Emergence of shocks in large pool credit contagion models and resulting optimal bailout strategies"
Christoph Reisinger (University of Oxford)

8th February (ONLINE ONLY): "Looking beyond SA-CCR"
Michael Pykhtin (U.S. Federal Reserve Board)

22nd February (ONLINE ONLY): "Quadratic Hawkes processes and endogenous price jumps"
Jean-Philippe Bouchaud (CFM & Academie des Sciences)

8th March: "Characteristics of Automated Market Makers (AMMs) in Decentralized Finance (DeFi) - a look at Uniswap"
Katia Babbar (Immersive Finance and Mathematical Institute, University of Oxford)

15 March: "Term structure modeling based on overnight rates"
Claudio Fontana (Università degli Studi Padova, CMAP, École Polytechnique, France)

22nd March: "Dynamic adoption of CBDC in a stochastic game"
Daniele Marazzina (Department of Mathematics, Politecnico Milano)

5th April (ONLINE ONLY): "Cheap Talk in Corporate Climate Commitments: The effectiveness of climate initiatives"
Markus Leippold (University of Zurich and Swiss Finance Institute, SFI)

9th November: ONLINE ONLY: "Interest Rate Markets - Theory, Pricing & Practice"
Nicholas Burgess (XP Investments)

16th November: "On Randomization of Affine Diffusion Processes, with Application to Pricing of Options on VIX and S&P 500"
Lech Grzelak (Rabobank and Utrecht University)|

23rd November: "Semi-Analytic Conditional Expectations"
Jörg Kienitz (Quaternion)|

30th November: "A fast Monte Carlo scheme for additive processes and option pricing"
Roberto Baviera (Politecnico di Milano)

7th December: "Pricing Commodity Swing Options"
Emanuele Nastasi (swissQuant)

9th February: "Applications of the Dirac Delta Family Method in Implied Volatility, Risk-neutral Density, and High-dimensional Stochastic Control"
Zhenyu Cui (Stevens School of Business)

23rd  February: "Exotic options and Fourier transforms: the story is far from over"
Norberto Laghi (OCBC Bank)

9th March: "Climate impact investing"
Peter Tankov (ENSAE, Institut Polytechnique de Paris)

16th March: "Machine learning and model risk in finance"
Samuel Cohen (University of Oxford and Alan Turing Institute)

23rd March: "Efficient Simulation of Stochastic Differential Equations Based on Markov Chain Approximations and Applications"
Justin Lars Kirkby (Intercontinental Exchange)

6th April: "Impact of Compounding on Bond Pricing with Alternative Reference Rates"
Ana Ponikvar (UBS) and Dario Cziraky (Citibank)

Matthew Dixon (Department of Applied Math, Illinois Institute of Technology)

3rd November: "Why capital charges matter when hedging variable annuity portfolios"
Benoit Vaucher (EDHEC Scientific Analytics)

Chris Kenyon (MUFG)

Stefano Scoleri (Be Management Consulting)

Peter Tankov (ENSAE Paris)

Gerardo Ferrara (Bank of England)

Alessandro Gnoatto (University of Verona, Italy)

Andrey Itkin (NYU and Bank of America)

Peter Carr (NYU Tandon School of Engineering)

Mathieu Rosenbaum (Ecole Polytechnique)

Brian Huge & Antoine Savine (Danske Bank)

Jeanine Kwong (Manulife)

Dilip Madan (Robert H. Smith School of Business)

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

Alexei Kondratyev (Standard Chartered Bank)

Wim Schoutens (University of Leuven)

Geneviéve  Gauthier (HEC Montréal)

Colin Turfus (Deutsche Bank)

09 October: "A Deep Learning Approach to Exotic Option Pricing under LSVol"
Katia Babbar (Oxford Mathematical Institute)

23 October: "Network Analysis of Securities Settlement Fails and buy-in Strategies"
Pedro Gurrola-Perez (Bank of England)

06 November: "Using Alternative Data to Generate Alpha"
Saeed Amen (Cuemacro) 

20  November: "Volatility Risk Premia: Quo Vadis?" 
Vladimir Lucic (Macquarie Group)

04 December: "Pricing FX derivatives: Stochastic Local Volatility and Mixture Local Volatility Models"
Frederic Bossens (MathFinance AG)

30 January: "Local-Stochastic Volatility for Vanilla Modelling: A Tractable and Arbitrage Free Approach to Option Pricing"
Dominique Bang (Bank of America Merrill Lynch)

06 February: "LIBOR Fallback: A Quantitative Perspective"
Marc Henrard (muRisQ Advisory and UCL)

13 February: "Fast Price Sensitivities with an Application to Margin Valuation Adjustment"
Roberto Daluiso (Banca IMI)

13 March: "Recovering the Market Risk Premium from Stock and Option Prices"
Leonidas Rompolis (Athens University of Economics and Business)

27 March - "Deep Learning Volatility: Fast Calibration of Stochastic Volatility Models"
Blanka Horvarth (Kings College London)

29 May "A Theory of FinTech"
Steven Kou (Questrom School of Business, Boston University)

17 October: "Hybrid Modelling: Design and Computational Aspects"
Ernst Eberlein (Freiburg University)

24 October: "Turbocharging Monte Carlo Pricing for the Rough Bergomi Model"
Mikko Pakkanen (Imperial College London)

14 November: "Cross-Currency Basis – What Drives it?"
Jessica James (Commerzbank)

21 November: "Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI Indexes"
Georgios Sermpinis (University of Glasgow)

05 December: "Heston model calibration and simulation for Counterparty Credit Risk”
Marco de Innocentis (Credit Suisse)

31 January: "The P&L Attribution based Eligibility Test under Fundamental Review of Trading Book: Alternative Proposal"
Manuela Benigno, Andrea Fraquelli and Adolfo Montoro (Risk methodology team at Deutsche Bank London)

21 February (room 6001): "Learning Curve Dynamics with Artificial Neural Networks"
Alexei Kondratyev (Standard Chartered Bank)

14 March: "Efficient Numerical Techniques for a Variety of Problems in Quantitative Finance"
Cornelis Oosterlee (Delft University of Technology and CWI - center for mathematics & computer science Amsterdam)

21 March: "Option Pricing with Legendre Polynomials"
Julien Hok (Credit Agricole)

28 March: "XVA Optimisation with Evolutionary Algorithms"
George Giorgidze (Standard Chartered Bank)

18 October: "On the Joint Calibration of SPX and VIX Options"
Julien Guyon (Bloomberg L.P., Columbia University and NYU)

08 November: "CCP Stress Testing: a Practitioner's Approach" 
Quentin Archer (LCH Ltd)

22 November: "Information Derivatives"
Andrei Soklakov (Deutsche Bank)

06 December: "Model-free Valuation of Barrier Options"
Peter Austing (Citadel)