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Quant Insights Conference - October 2021 - Day 1

Watch the recordings from day 1 of the 8th Quant Insights Conference. Enjoy talks from leading practitioners to discover the latest innovations in machine learning, volatility, and risk.

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Joint Calibration: The Case of Bank Regulatory Capital Securities

Jointly calibrating all securities related to the same issuer with a

Thu 25 Nov 2021
Dr. Philippe Henrotte, Co-Founder and Partner, ITO33
37 mins
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Decentralized Finance, Central Bank Digital Coins, Automated Market Makers and Forex of the Future

In this talk, we discuss some of the most recent developments in the

Thu 25 Nov 2021
Professor Alexander Lipton, CIO, Sila and Professor, The Hebrew University of Jerusalem
35 mins
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Cross-Currency Options and the Correlated SABR Model

Assuming EURUSD and USDJPY each follow a SABR process, under some mild

Thu 25 Nov 2021
Dr. Katia Babbar, Lecturer, University of Oxford
34 mins
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American Option Pricing in a Tick - Calibration in a Click

Andersen, Lake and Offengenden (2016) present a staggeringly fast and accurate

Thu 25 Nov 2021
Dr. Jesper Andreasen, Head of Quantitative Research, Saxo Bank
31 mins
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Anticipating the Anticipations of Others

The anticipations of investors influences how their views and expectations

Thu 25 Nov 2021
Grant Fuller, CEO, Irithmics
36 mins
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Panel Discussion: The Origins of Financial Market Volatility

Volatility is at the core of option pricing.

Thu 25 Nov 2021
Various
59 mins
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Optimal Portfolio Construction and Risk Premia in Options Markets

We will discuss how to create optimal options portfolios given forecasts in

Thu 25 Nov 2021
Dr. Misha Fomytskyi, Co-Founder, Vola Dynamics LLC
34 mins
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Fat Tailed Kelly

Asset returns have fat tails.

Thu 25 Nov 2021
Steve Schulist, Quantitative Analyst, PIMCO
21 mins