21st MathFinance Conference
15-16 March 2021
The time has come for our annual conference which is tailored to the quantitative finance community. 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 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 quantitative finance world such as Dr. Rama Cont, Dr. Bruno Dupire, Dr. Antoine Savine and Dr Brian Huge. The speakers and their talks comprise:
Thorsten Schmidt (University of Freiburg and MathFinance) Estimating Risk Measures Measures in the Presence of Heteroscedasticity with LSTM
– Dr. Fabio Mercurio (Global head of Quantitative Analytics, Bloomberg) IBOR Transition: Looking Forward to Backward-Looking Rates
– Dr. Karl F. Hofmann, CFA, (Senior Manager | Financial Industry Risk & Regulation, Deloitte GmbH) Implied Volatilities for Options on Backward-Looking Term Rates
– Dr. Saeed Amen (Thalesians) Developing FX Options Systematic Trading Strategies in Python
– Dr. Alexandre Antonov (Danske Bank) Black Basket Analytics for Mid-Curves and Spread-Options
– Dr. Jack Jacquier (Imperial College London, Director of the MSc in Mathematics and Finance) A New Version of Roger Lee’s Formula
– Dr. Jesper Andreasen (Head Quantitative Research, Saxo Bank) American Option Pricing in a Tick -Calibration in a Click
– Dr. Antonis Papapantoleon (National Technical University of Athens) Deep learning in finance: an empirical investigation
– Dr. Blanka Horvarth (Imperial College) A Data-Driven Market Simulator for Small Data Environments
– Dr. Josef Teichmann (professor for Mathematical Finance at ETH Zurich) Consistent Recalibration Models and Deep Calibration (joint work with Matteo Gambara)
– Dr. Mario dell’Era (Citibank) Machine Learning and Option Pricing
– Dr. Travis Fisher (Barclays) Martingale Modelling for the USDHKD Exchange Rate
– Dr. Rolf Poulsen (Professor of Mathematical Finance, University of Copenhagen) Poly Parrot – commenting on Differential Machine Learning, at talk by Dr. Antoine Savine and Dr. Brian Huge, (Danske Bank) at last year’s MathFinance Conference.
– Dr. Jesper Toft (Global Stability Unit) Live-Trading GSU against Various Currencies
– Dr. Natalie Packham (Professor of Mathematics and Statistics, Berlin School of Economics and Law) Copula-Based Hedging of Crypto Currencies
– Dr. Timothy Klassen (Vola Dynamics) Modeling the Dynamics of Volatility
– Dr. Oskar Mencer and Dr. Erik Vynckier (Maxeler Technologies) Risk, Cost and Reward of Computing Risk
Additionally, we will also have a panel discussion on the recent IBOR transition and the challenges faced in the quantitative finance industry. This may happen on the same day as the announcement of a new standard. Peter Woeste-Christensen (LPA) will moderate the discussion with the following panelists:
- Karl F. Hofmann, CFA, Senior Manager | Financial Industry Risk & Regulation, Deloitte GmbH
- Fabio Mercurio, Global head of Quantitative Analytics, Bloomberg LP
- Paola Rensi, Director, Risk and Capital Analytics, ISDA
- Joseph Wong, CEO, CCK Financial Solutions
A blend of world renowned speakers ensures that a variety of topics and issues of immediate importance are covered. This event is a must for all quantitative finance professionals.
For updates on the agenda and registration please visit:
We are happy for supporting sponsors Deloitte, Maxeler Technologies and VolaDynamics, and thank our Media Partners Wilmott, Financial Risk Hub and our affiliate partner UAE FMA.
Mixed Local Volatility Model for FX Derivatives Flow Business by Prof. Uwe Wystup
Return of the Quaffers – QWAFAxNEW strikes back online!!!
Wednesday February 24, 2021
Login directions will be sent on the day of the event to confirmed registrants.
Annual Membership– Students at only $25 & Quants at only $95.
Become a member here: https://qwafaxnew.org/membership/
Register for the event here: https://qwafaxnew.org/events/
Uwe Wystup : https://www.uantwerpen.be/en/staff/uwepeter-wystup/
Uwe Wystup presents: Mixed Local Volatility Model Boosts Distribution of Exotics
Tuesday, 2 March 2021, 8pm London time
More information and registration at
FX Vanilla Options Training in Warsaw 21-22 June 2021
Uwe Wystup, Managing Director of MathFinance