Frontiers in Quantitative Finance is a monthly seminar series which brings novel research on quantitative modelling in finance and risk management to a broad audience of academic researchers, industry professionals and regulators.  

The  seminar provides a forum for academics and practitioners to discuss and debate new ideas in the modelling, management and regulation of financial risks and an opportunity for networking. Students, academics and professionals from the finance and government sector are welcome to attend the seminar and the reception. Attendance is free of charge but requires prior online registration.

Frontiers in Quantitative Finance is brought to you by the Oxford Mathematical and Computational Finance Group and sponsored by CitiGroup and Mosaic SmartData.

Upcoming events

To obtain more information and to register please click on the seminar title:

28 October 2021 (18:00 London time): Alex Lipton ( MIT )  
Forex trading using consensus as a service on blockchains

Past events

30 September 2021 : Nicholas Westray (Alliance Bernstein)  
Deep Order Flow Imbalance : Extracting Alpha from the Limit Order Book

17 June 2021 : Carol Alexander (University of Sussex)  
Hedging and Speculation with  Bitcoin Derivatives 

6 May 2021 : Sasha Stoikov (Cornell University)  
Market microstructure for cointegrated assets

15 April 2021: Petter Kolm (New York University)  
Hedging an options book with Reinforcement Learning

18 March 2021 : Bastien Baldacci (Ecole Polytechnique)  
Adaptive trading strategies across liquidity pools

4 February 2021 : Nicolas Gaussel (Metori Capital)  
ESG risk ratings for funds

7 January 2021 : Darrell Duffie (Stanford)  
New approaches to dynamic credit-spread benchmarks

10 December 2020: Ilia Bouchouev   (Pentathlon Investments)
Modelling the oil squeeze: storage costs and trading opportunities in oil derivatives

19 November 2020 : Richard Martin (Imperial College London)
Black to Negative: Embedded optionalities in commodities markets

29 October 2020 : Charles-Albert Lehalle (CFM)
Reinforcement Learning and applications in High Frequency Finance

24 September 2020 : Vladimir Piterbarg (NatWest Markets)
LIBOR reform and the arc-sine law

25 June 2020: Loriana Pelizzon (Goethe University, Frankfurt)
Loss sharing in Central Counterparties: winners and losers

11 June 2020: Marco Avellaneda (New York University)
Hierarchical Principal Component analysis and applications to portfolio management

7 May 2020: Brian Healy (Decision Science Ltd) and Andrew Papanicolaou (New York University)
Principal Component analysis of implied volatility surfaces

16 April 2020: Johannes Ruf (London School of Economics) Hedging with Neural Networks

20 February 2020: Olivier Guéant (Université Paris 1) Algorithmic market making for options

23 January 2020: Robert Almgren (Quantitative Brokers): Execution Cost Analysis for Futures Trading

12 December 2019: Antoine Savine (Danske Bank): Deep analytics for risk management

21 November 2019:  Pierre Henry-Labordere (SocGen) Some Applications of Machine Learning in Quantitative Finance

17 October 2019: Matthias Arsndorf (JP Morgan)  Credit Value adjustments for central clearing

13 June 2019: Lisa Goldberg (Aperio Group) Better Betas

22 May 2019: Roel Oomen (Deutsche Bank) Price signatures

24 April 2019: Hans Bühler (JP Morgan) Deep Hedging: from theory to practice

26 March 2019: Mathieu Rosenbaum (Ecole Polytechnique) Ranking the market makers

27 Feb 2019: Mourad Berrahoui (Lloyds) Counterparty trading limits revisited