MathFinance Conference 2023

Speakers

23rd MathFinance Conference

13 – 14 March 2023

Venue: School of Finance & Management in Frankfurt

 

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MathFinance Conference 2023 Speakers - MathFinance

Testimonials

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

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

Artur Sepp

Quantitative Strategist, Julius Bär

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

MathFinance Conference 2023 Speakers - MathFinance

Dr. Beatrice Acciaio

Professor

 ETH Zurich

Quantifying Arbitrage

In this talk I will present a way to quantify arbitrage, that allows to deal with model uncertainty without imposing the no-arbitrage condition. In markets that admit “small arbitrage”, we can still make sense of the problems of pricing and hedging. The pricing measures here will be such that asset price processes are close to being martingales, and the hedging strategies will need to cover some additional cost. We show a quantitative version of the Fundamental Theorem of Asset Pricing and of the Super-replication theorem. We study robustness of the amount of arbitrage and existence of respective pricing measures, showing stability with respect to a new, strong adapted Wasserstein distance. Based on joint work with J. Backhoff and G. Pammer

Beatrice Acciaio is Professor of Mathematics at the Swiss Federal Institute of Technology – ETH Zurich since 2020. Before joining ETH, she was associate professor at the London School of Economics. Her primary research interests are in stochastic analysis and optimal transports and their applications in finance, insurance and economics. Beatrice obtained her PhD in Applied Mathematics from the University of Perugia under the supervision of Walter Schachermayer. She was awarded the 2022 Louis Bachelier prize for her contributions to financial mathematics.

 

MathFinance Conference 2023 Speakers - MathFinance

Dr. Natalie Packham

Professor of Mathematics and Statistics

Berlin School of Economics and Law

Risk factor detection with methods from Explainable ML 

The importance of risk management in the financial industry has increased rapidly since the financial crisis, in particular with regard to financial market stability. A particular focus is on stress testing methods, which captures portfolio risk under adverse conditions. Advances in statistical learning and the availability of large, granular data sets offer new methodological possibilities for stress testing. Financial risk management applications such as hedging, scenario analysis and stress testing rely on portfolio models based on risk factors. In addition to observable risk factors, factor models with non-observable, data-based factors offer interesting alternatives. However, the lack of interpretability of the output is limiting. We develop time-dynamic methods for the interpretability of principal components (PCA), which allow to generate aggregated risk factors from existing risk factors. This aggregation makes it possible to plausibly implement less granular and even global stress scenarios. 

Natalie Packham is Professor of Mathematics and Statistics at Berlin School of Economics and Law and Principal Researcher within the International Research Training Group “High Dimensional Nonstationary Time Series” (IRTG 1792) at Humboldt University Berlin. Natalie has several years of industry experience as a front office software engineer at an investment bank, and is frequently involved in industry-related research and consulting projects. Her research expertise includes Mathematical Finance, Financial Risk Management and Computational Finance, and her academic work has been published in Mathematical Finance, Finance & Stochastics, Quantitative Finance, Journal of Applied Probability and many other academic journals. She is associate editor of “Methodology and Computing in Applied Probability” and “Digital Finance” and co-chair of the GARP Research Fellowship Advisory Board. Natalie holds an M.Sc. in Computer Science from the University of Bonn, a Master’s degree in Banking & Finance from Frankfurt School, and a Ph.D. in Quantitative Finance from Frankfurt School.

MathFinance Conference 2023 Speakers - MathFinance

Dr. Markus Hertrich

Senior Economist

Deutsche Bundesbank

An options-based approach to test for the existence of an undeclared exchange rate target zone

Many central banks worldwide intervene in the foreign exchange market with the aim of stabilizing the foreign value of their currency. To achieve this goal, they either target a specific level or a specific range, often with undeclared bands. Under these regimes, the design and calibration of hedging strategies for foreign exchange option exposures will be affected. Financial market participants managing their risk exposures in a forward-looking manner, will therefore have to recur to a statistical test to assess the existence of implicit bands. For this purpose, no method exists that can be used currency option markets. The present paper fills this gap and proposes a test that can easily be implemented.

Markus Hertrich is a senior economist in the Directorate General Economics and the Research Centre of the Deutsche Bundesbank in Frankfurt am Main (DE) and a post-doctoral research fellow at the University of Basel (CH). He earned his PhD in economics in 2014 from the University of Basel after completing the Swiss National Bank’s program for doctoral students in economics in Gerzensee in 2010. His professional experience also includes several of lecturing and conducting research in empirical finance and international economics and three and a half years working as a financial analyst within the asset management unit of a major Swiss bank.

MathFinance Conference 2023 Speakers - MathFinance

Matthew Sandoe

ESG Risk Manager

BNP Paribas & OS-Climate Physical Risk Lead

Physical Climate Risk Measurement: open source solutions and challenges

This session will comprise an introduction to the management of physical climate risk within financial institutions.  It explores  some of the typical challenges faced in climate risk measurement along with the progress made via open source pre-competitive collaboration between financial institutions and the research community.    

Matt has worked in a diverse range of innovative environments spanning government funded entrepreneurial schemes and food sector R&D, through to taking on global managerial roles in financial risk management where he is currently an ESG risk manager with a focus on climate risk at BNP Paribas. He also leads the open source physical risk initiative for OS-Climate.  During his 26 years in finance he has held a variety of roles ranging from commodities risk management, capital markets global risk analysis, reporting & stress testing and Chief of Staff.

MathFinance Conference 2023 Speakers - MathFinance

Dr. Andrea Mazzon

Lecturer in Financial Mathematics

Ludwig Maximilians Universität (LMU)

Detecting Asset Price Bubbles using Deep Learning

We employ deep learning techniques to detect financial asset bubbles by using observed call option prices. The proposed algorithm is widely applicable and model-independent. We test the accuracy of our methodology in numerical experiments within a wide range of models and apply it to market data of tech stocks in order to assess if asset price bubbles are present. Under a given condition on the pricing of call options under asset price bubbles, we are able to provide a theoretical foundation of our approach for positive and continuous stochastic asset price processes. When such a condition is not satisfied, we focus on local volatility models. To this purpose, we give a new necessary and sufficient condition for a process with time-dependent local volatility function to be a strict local martingale.

 

Andrea Mazzon is Lecturer in Financial Mathematics at the Ludwig Maximilians Universität (LMU) in Munich. He owns a PhD in Mathematics in Natural, Social and Life Sciences from the Scuola Superiore di Studi Avanzati of Trieste. He is project leader for the LMU and member of the Quality board of the GrEnFIn project, a joint program bringing together seven European universities and seven industrial partners whose main goal is to create a Multiple Master Degree in Green Energy and Finance targeting young students. His current research mainly focuses on the study of Asset price bubbles as well as Model uncertainty.

MathFinance Conference 2023 Speakers - MathFinance

Dr. Eric Benhamou

R&D director

AI for Alpha

In 2013, a paper by Google DeepMind kicked off an explosion in Deep Reinforcement Learning (DRL), for games. In this talk, we explain how DRL can also be applied to portfolio allocation given various tricks and adaptation specific to non-stationary data in finance. We present in particular how to Boost DRL.

Eric Benhamou (Ph.D) is the R&D director of the start-up AI for Alpha, since its creation in 2020. He has a mixed profile of researcher, coder and entrepreneur. Before co-founding AI for Alpha, he worked in large groups, in technology (director of content innovation at Thomson Reuters 2013-2016) and in market finance (quant at Goldman Sachs, then head of quantitative research at Natixis). At the end of 2005, he created a startup (Pricing Partners acquired by Thomson Reuters in 2013) developing a software and a proprietary programming language for mathematical models of valuation and risk in market finance.

Eric Benhamou has a versatile profile, with skills in mathematics (PhD in mathematics from the University of Paris Est 2017), economics and finance (Ph.D in economics from the London School of Economics 2000), and artificial intelligence (currently undertaking a PhD in Machine Learning at the University of Paris-Dauphine). He has written numerous scientific papers published on arxiv or ssrn and a book, first in financial mathematics and more recently in statistics and artificial intelligence. He is an alumnus of the Ecole Polytechnique and ENSAE, Paris.

MathFinance Conference 2023 Speakers - MathFinance

Dr. Adil Reghai

Quantitative Research & Dev Lead

Abu Dhabi Investment Authority (ADIA)

Iterative Bregman Approach for Monte Carlo Enhancement

Improve sampling of your Monte Carlo and match exactly martingale and marginal constraints. A very fast algorithm that improves the overall computation x100 for risk management for stress test and for risk regulation computations. An essential block in the investment toolbox

Adil Reghaï joined Natixis in 2008 where he is Head of Quantitative Research for Equities and Commodities. He graduated from Ecole Polytechnique (X92) and Ecole des Mines (P94), Paris. Adil was Head of Quantitative Research at Merrill Lynch, BNP Paribas and Calyon. He has attended conferences on mathematical finance and has written numerous papers and articles. He also gives conferences on mathematical finance in Nice (SKEMA -France), DEA of El Karoui, INSEAD. He is the author of many scientific publications and several books, the latest being: Financial models in production and Financial markets for the million.

MathFinance Conference 2023 Speakers - MathFinance

Dr. Rolf Poulsen

Department of Mathematical Sciences

 University of Copenhagen

We Hold These Truths Not To Be Self-evident

A smorgasbord of new and old things in quantitate finance that may surprise you.   Including: Things that are trivial if you don’t think about them too carefully. Things that are paradoxical, inconsistent, or outright impossible. Things that seem impossible, but aren’t. Things that used to be impossible, but aren’t anymore. Things that can happen when parameters go out-of-scope.      

Rolf Poulsen has worked (researching and teaching) on a variety of topics in quantitative finance; for instance hedging of exotic options, exchange rate models and markets, and optimal mortgage choice. He is 50 years old and has worked at the Department of Mathematical Sciences at University of Copenhagen in four decades.

MathFinance Conference 2023 Speakers - MathFinance

Thomas Barrau

Head of Intraday Research

AXA Investment

Predicting Stock Market Drawdowns using Polymodels

We propose a Systematic Risk Indicator derived from a polymodel estimation. Polymodels allow us to measure the strength of the links that a stock market maintains with its economic environment. We show that these links tend to be more extreme before a market crisis, confirming the well-known increase of correlations while proposing a more subtle perspective. A fully automated and successful trading strategy is implemented to assess the interest of the signal, which is shown to be strongly significant, both from an economic and statistical point of view. Results are robust across different time-periods, for various sets of explanatory variables, and among 12 different stock markets.

    

Thomas Barrau is Head of Intraday Research for the hedge fund AXA Investment Managers Chorus Ltd. He is leading the development of a portfolio of quantitative intraday trading strategies invested in various asset classes.

With Raphael Douady, he co-authored the book “Artificial Intelligence for Financial Markets: The Polymodel Approach”, published by Springer.

He has been a Senior Quantitative Researcher at AXA IM Chorus, a role during which he developed a team of 4 researchers working on an Equity Market Neutral portfolio. Prior to this, he worked at Societe Generale as banker and financial advisor to small businesses, and as CFO in an aerospace company. He holds a PhD in Applied Mathematics from Paris 1 Pantheon-Sorbonne University. Previously, he validated with honors three different Masters of Science from Aix-Marseille School of Economics, Ca’Foscari University of Venice and Poitiers IAE.

MathFinance Conference 2023 Speakers - MathFinance

Dr. William McGhee

Department of Mathematical Sciences

 University of Copenhagen

Building an Exotics Market in Crypto

In this talk we will provide an overview of the current state of non-linear risk products within
the crypto markets and the requirements to move towards a more mature product set which will
fundamentally be driven by the development of an institutional exotics market
• Automated Market Makers
• Options
• Historics
• Exotics and Structured Products  

• Academics: Mathematics (Glasgow), Theoretical Physics (Cambridge), Mathematical Physics (Durham), University of Copenhagen, Guest Researcher
• Industry experience: JP Morgan (1994-98) : FX Quantitative Researcher, Deutsche Bank (1998-03) : Head of FX Quantitative Research, Citi (2003-09) : Head of FX Quantitative Strategy, Proprietarty FX Exotics Trader
• RBS (2009-19) : Head of Hybrid Quant Research, Head of Electronic Trading Quant Research, Global Head of Quantitative Research, Head of Machine Learning. Citadel : FX and Rates Options Quantitative Research
• Immersive Finance: Crypto focussed, Quantitative Research with vanilla and exotics risk management platform, We help build options and structured products trading businesses

MathFinance Conference 2023 Speakers - MathFinance

Dr. Uwe Wystup

Managing Director

MathFinance AG

Uncle Herbert’s Savings Plan with Bonus and the Legal Aftermath

 Bonus savings plans in Germany go back to the 1990, and many retail investors own legacy contracts that entitle them to a base interest plus a 50% bonus on the amount saved every year. Banks try to cancel these contracts, consumers and courts argue about the interest reference rate and how to apply it. We shed some light on the interest rates and the legal framework.

Uwe Wystup is managing director of MathFinance AG, Professor of Financial Option Price Modeling and Foreign Exchange Derivatives at University of Antwerp and Honorary Professor of Quantitative Finance at Frankfurt School of Finance & Management, certified expert for interest rate and currency risk management at Frankfurt’s Chamber of Commerce, honorary judge at Frankfurt Commercial Court and the State Financial Court. Before, he has actively worked in FX derivatives trading as Financial Engineer, Global Structured Risk Manager and Advisor since 1992, including Citibank, UBS, Sal. Oppenheim and Commerzbank. He is one of the few hybrids in the world working in the intersection of the derivates market and academic research. Uwe earned his PhD in mathematical finance from Carnegie Mellon University, is currently He acts internationally as expert witness and mediator in financial disputes. In his consulting work he has advised many leading banks and companies in the world including DBS, OCBC, Deka, GPS, Moneycorp, ICY Software, Murex, SuperDerivatives, Refinitiv, Pictet, La Caixa, DWS, Union Investment, NordLB, LBBW, AXA, Natixis, Reserve Bank of India and many others.

His first book Foreign Exchange Risk was published in 2002, quickly became the market standard and has also been translated into Mandarin. His second book FX and Structured Products appeared in 2006, followed by a second edition in 2017. Many of his papers appeared in scientific journals. See https://www.mathfinance.com/publications/ for publications.

 

MathFinance Conference 2023 Speakers - MathFinance

Dr. Thorsen Schmidt

Senior Financial Engineer

MathFinance

Estimating risk: LSTM vs. GARCH

Estimating value-at-risk on time series data with possibly heteroscedastic dynamics is a highly challenging task. Typically, we face a small data problem in combination with a high degree of non-linearity, causing difficulties for both classical and machine-learning estimation algorithms. In this paper, we propose a novel value-at-risk estimator using a long short-term memory (LSTM) neural network and compare its performance to benchmark GARCH estimators. 

Our results indicate that even for a relatively short time series, the LSTM could be used to refine or monitor risk estimation processes and correctly identify the underlying risk dynamics in a non-parametric fashion. We evaluate the estimator on both simulated and market data with a focus on heteroscedasticity, finding that LSTM exhibits a similar performance to GARCH estimators on simulated data, whereas on real market data it is more sensitive towards increasing or decreasing volatility and outperforms all existing estimators of value-at-risk in terms of exception rate and mean quantile score.

Thorsten Schmidt is Professor for Mathematical Stochastics at University Freiburg (successor of Ernst Eberlein) and Senior Financial Engineer at MathFinance. From 2017-2019 he was fellow of the Freiburg institute of Advanced Studies (FRIAS). Prior to this he was professor for Mathematical Finance at Chemnitz University of Technology since 2008, held a replacement Professorship from Technical University Munich in 2008 and was Associate Professor at University of Leipzig from 2004 on. 

Moreover, he was guest professor at ETH Zurich and at Université d’Evry. His Ph.D. he obtained from University in Giessen in 2003 on credit. He is Associate Editor for Mathematical Finance, International Journal of Theoretical and Applied Finance and was Associate Editor for Journal of Banking and Finance and Statistical and Probability Letters. He is an elected member of the International Statistical Institute and was member of the Board of Fachgruppe Stochastik of the German Mathematical Society. 

He has published numerous articles in Mathematical Finance and Probability in internationally leading journals and is frequently presenting on conferences around the world on his latest research. In particular, he is a well-known scientist in the area of affine models, interest rates, credit risk, incomplete information, risk management, filtering, and insurance mathematics. He has a strong background in statistics and information technology and teaches probability, mathematical finance and machine learning at the university of Freiburg. 

MathFinance Conference 2023 Speakers - MathFinance

Dr. Martin Simon

Professor of Data Science

Frankfurt UAS / MathFinance

Do All Roads Lead to Paris?

In this talk we discuss portfolio construction under climate risk constraints. The first part of the talk is introductory, reviewing the idea of portfolio temperature alignment metrics and the concept of EU Paris-aligned Benchmarks (PABs). The second part is based on recent research highlighting the necessity of uncertainty quantification in temperature alignment metrics.

Martin Simon is a professor in the field of Data Science at Frankfurt University of Applied Sciences, a Docent in Computational Finance at Lappeenranta-Lahti University of Technology and a Senior Financial Engineer at MathFinance AG. He has years of experience working in the financial industry primarily specializing in risk management, derivatives valuation and asset management. His research aims to bridge the gap between novel ideas and technologies developed in academia and industrial applications.  He currently holds a research professorship funded by the German Federal Ministry of Education and Research focused on the development of robust, highly efficient tools for quantitative financial climate risk management.