Frontiers in Quantitative Finance Seminar
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.
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Upcoming events
To obtain more information and to register please click on the seminar title.
1st June 2023: Kevin Webster (Columbia University)
Disentangling alpha from impact using causal machine learning
Past events
27 April 2023: Olivier Guéant (Université Paris 1 Panthéon-Sorbonne)
Optimal liquidity provision in currency markets: from traditional FX to crypto
23 March 2023: Eric Benhamou (AI For Alpha)
Deep Decoding of Strategies
23 February 2023: Matthias Arnsdorf (J.P. Morgan)
Leveraged Wrong-Way Risk
26 January 2023: Carol Alexander (University of Sussex)
The Risks of Trading on Centralized Crypto Exchanges
13 December 2022: Stephane CREPEY (Université Paris Cité)
Darwinian model risk and reverse stress testing
28 October 2021 (18:00 London time): Alex Lipton ( Abu Dhabi Investment Authority )
Forex trading using consensus as a service on blockchains
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