MathFinance Digital Conference 2021

15-16 March


 MathFinance Digital Conference

15-16 March 2021

Venue: Webex


MathFinance hosts our annual conference which is tailored to the quantitative finance community. In 2021 for its 21st year running, due to the uncertainty in the coming months on travel and meeting restrictions, we will host our 21st conference also in a digital format.

Providing cutting-edge research and brand new practical applications, the conference is intended for practitioners in the areas of trading, quantitative or derivative research, risk and asset management, insurance as well as for academics studying or researching in the field of financial mathematics.

This year the theme of the conference lies around Artificial Intelligence and Machine Learning in the field of Quantitative Finance as well as quantitative finance subjects with a specific focus on volatility modeling, IR, FX and risk management. This year we are especially pleased to welcome very distinguished speakers from the quantitaive finance world such as:

– Dr. Fabio Mercurio – IBOR Transition: Looking Forward to Backward-Looking Rates

– Mr. Saeed Amen – Developing FX Options Systematic Trading Strategies in Python

– Dr. Alexandre Antonov – Black Basket Analytics for Mid-Curves and Spread-Options

– Dr. Jack Jacquier – A New Version of Roger Lee’s Formula

– Dr. Jesper Andreasen – American Option Pricing in a Tick -Calibration in a Click

– Dr. Antonis Papapantoleon – Deep learning in finance: an empirical investigation

– Dr. Blanka Horvath – A Data-Driven Market Simulator for Small Data Environments

– Dr. Josef Teichmann – Consistent Recalibration Models and Deep Calibration (joint work with Matteo Gambara)

– Dr. Mario Dell’ Era – Machine Learning and Option Pricing

– Dr. Travis Fisher – Martingale Modelling for the USDHKD Exchange Rate

– Dr. Natalie Packham – Copula-Based Hedging of Crypto Currencies

– Dr. Timothy Klassen – Tools for Option Trading in a crazy world

– Dr. Oskar Mencer & Dr. Erik Vynckier – Risk, Cost and Reward of Computing Risk

– Dr. Thorsten Schmidt – Estimating Risk Measures in the Presence of Heteroscedasticity with LSTM

– Dr. Karl F. Hofmann –  Implied Volatilities for Options on Backward-Looking Term Rates

Dr. Rama Cont – Price Excursions: a Novel Approach to Dynamic Trading Strategies

Dr. Arun Verma – Quantitative Trading Strategies & Asset Pricing Using Machine Learning

– Dr. Peter Woeste-Christensenn- Panel Discussion on IBOR Transition

Additionally, we will also have a panel discussion on the recent IBOR transition and the challenges faced in the quantitative finance industry. A blend of world renowned speakers ensure that a variety of topics and issues of immediate importance are covered. This event is a must for all quantitative finance professionals

MathFinance Conference 2019

MathFinance Conference 2018

MathFinance Conference 2017


MathFinance Conference 2021 - MathFinance

MathFinance is a very strong group of people prepared in numerous quantitative finance topics. Their annual conference in Frankfurt represents a bridge between academics and industries. During this event it is possible to build a network of contacts with professionals (Quants) and professors of prestigious Universities of the world, with whom to discuss concrete applications of new quantitative methods and trading strategies. It is certainly an annual event not to be missed.

Mario Dell’Era

VP Market Risk Sr. Manager, Commodities, Team Quant Model Validation, Citigroup

Enjoyable atmosphere, lots of networking, expert speakers, way to learn developments in the industry

Artur Sepp

Quantitative Strategist, Julius Bär

The MathFinance conference provides an excellent environment to learn about recent developments and networking with leading experts from both industry and academia

Martin Simon

Risk Controller, Deka

The conference is a great opportunity to meet interesting people and develop new ideas on recent market trends. Special thanks to the organizers, they did a very good job

Eugen Tiganu

FX Options Product Manager, Murex