Newsletter Editorial January 2019

Once again:MathFinance Conference (8-9 April) – for the 19thtime we will bring the quantitative finance community in Europe together to discuss many cutting edge issues and research results.

We are looking forward to the keynote speeches:

  • Ingo Mainert (Managing Director CIO Multi Asset Europe at Allianz Global Investors) on Current Challenges and Developments of the Investment Industry
  • Antoine Jacquier (Director MSc Mathematics and Finance, Imperial College, London) on VIX Options in Rough Volatility Models

 I would like to share some more upcoming highlights of the conference: we will move all the Brexit topics to next year and put together a starters’ kit for cryptos while they are still around.

For the Crypto Markets fan club:

  • Natalie Packham (Berlin School of Economics and Law) will take us through a symposium on Quantitative Methods in Crypto Currencies on Monday morning, which will comprise presentations of the research Group at Humboldt University. Our crypto starter kit will include Wolfgang Härdle on Option Pricing, Alla Petuknina on Portfolio Optimization, Junjie Hu on Volatility Forecasting, and Niels Wesselhöft on classifying crypto currencies as a new asset class with unique features in the tails of the distribution.
  • Frank Thole (Wepex) will moderate our panel discussion Trading Crypto Currencies and its Derivatives – Current Challenges, Solutions, Hurdles preceded by a talk by Christen Zulliger (Resilience) on Crypto Currencies (and Assets) from a Monetary Perspective

For the Numerics fan club:

  • Karel in’t Hout (University of Antwerp) is back with his own presentation on Numerical Valuation of Bermudan Basket Options via Partial Differential Equations, where for thefirst time he uses ADI (surprise, surprise J) for a large number of underlying assets. The trick is to combine it with Principal Component Analysis.
  • Adil Reghaï(Head of Quantitative Research for Equities and Commodities, Natixis) is back and will expand his last years’s talk on The Fair Pricing under Local Stochastic Volatility with more insights about his stock-vol / locl-vol mixing rate.
  • Griselda Deelstra (University of Brussles) is going to present her view on the smile of the illiquid cross using Mutivariate FX Models with Jumps: Triangles, Quantos and Implied Correlation
  • Jacopo Mancin (Quant, Barclays Capital) will deal with the challenge that hedging of Volatility Swapsis model-dependent and highly exposed to volatility oscillations and the concavity effectand presentPDE Pricing Improvements for LSV Frameworks.
  • Mark Beinker (d-fine) willexamine if the Application of Deep Neural Networks, which allow Pricing of Complex Derivativesin constant time, could be helpful.

For the Investment fan club – three ways to become rich:

  • Thorsten Schmidt (University Freiburg) will take us through Statistical Arbitrage and presentsimple strategies with a surprising performance being profitable on average with little remaining risk. This might be the last talk before he opens his own hedge fund.
  • Martin Simon (Deka Investment) has found an Option-Based Indicator for Stock-Price Bubbles.
  • Vadim Kanofyev (Bloomberg) is ready for the Machine Learning for Factor Investing, starting withStyle Investing which helps to construct portfolios that deliver positive long-term returns and have a low correlation with the market.

The MathFinance Conference thanks its sponsors, which currently include d-fine, Wepex, Gloccex and Deloitte, and is supported by Frankfurt Main Finance, and the Allied European Financial Markets Association (AEFMA), watch out for discounts.

I wish all our readers a happy, healthy and prosperous New Year and look forward to seeing you at our Conference in Frankfurt.

Uwe Wystup – Managing Director of MathFinance

Upcoming Events

Date: April 08 – 09, 2019

Prime Price tickets at EUR 735 ends January 25th, 2019. Register now for best price available.

Venue: Frankfurt School of Finance & Management, Adickesallee 32-34, 60322 Frankfurt am Main

MathFinance Conference has been successfully running since 2000 and has become one of the top quant events of the year. The conference is specifically designed for practitioners in the areas of trading, quantitative and derivatives research, risk and asset management, insurance, as well as academics.

As always, we expect around 100 delegates both from the academia and the industry. This ensures a unique networking opportunity which should not be missed. A blend of world renowned speakers ensure that a variety of topics and issues of immediate importance are covered.

Our confirmed speakers for 2019 include:

  • Dr. Mark Beinker (d-fine): Derivative pricing: A pattern-matching problem?
  • Prof. Griselda Deelstra (University of Brussels): Mutivariate FX models with jumps: Triangles, Quantos and implied correlation
  • Prof. Dr. Wolfgang Härdle (Humboldt University of Berlin): Pricing Cryptocurrency Options: the Case of CRIX and Bitcoin
  • Junjie Hu (Humboldt University of Berlin): Realized Cryptocurrency Volatility Forecasting with Jumps: An Empirical Study
  • Prof. Dr. Karel in’t Hout (University of Antwerpen): Numerical Valuation of Bermudan Basket Options via Partial Differential Equations
  • Dr. Antoine Jacquier (Imperial College London): VIX Options in Rough Volatility Models
  • Vadim Kanofyev (Bloomberg): Machine Learning for Factor Investing
  • Dr. Ingo Mainert (Allianz): Current Challenges and Developments of the Investment Industry
  • Maximilian Mair (Unicredit): Application of Machine Learning for Market Making
  • Dr. Jacopo Mancin (Barclays Capital): Volatility Swaps: PDE Pricing Improvements for LSV Frameworks
  • Dr. Alla Petukhina (Humboldt University of Berlin): Portfolio Optimization with Modified CoVar in Cryptocurrency Market
  • Dr. Adil Reghai (Natixis): TBA
  • Prof. Dr. Thorsten Schmidt (University of Freiburg and MathFinance): Statistical Arbitrage
  • Daniel Schiemert (JP Morgan): TBA
  • Dr. Martin Simon (Deka Invest): Stock Price Bubbles – An Option-based Indicator
  • Dr. Niels Wesselhöfft (Humboldt University of Berlin): The Growth-Optimal Portfolio for Cryptocurrencies
  • Prof. Dr. Uwe Wystup (MathFinance): FX Options Greeks unlimited


Please click here for registration (single / group):

Single tickets are priced at our prime price of EUR 735 (+VAT) which ends on January 25, 2019.
Academics pay 525 EUR (+VAT) at all times. We kindly ask for proof of your affiliation.
Group prices (3 or more from the same institution) are at EUR 735 (+VAT) pp.
Discounted price of EUR 840 (+VAT) is valid from January 26 until February 21, 2019.
Regular price from February 22, 2019 is EUR 1.050 (+VAT).

Details of the conference can be found here.