Video Description
Industry Talk June 2025
Large Language Models (LLMs) are increasingly being integrated with reinforcement learning (RL) to push the boundaries of generalist AI agents. In finance, where real-time decision-making is critical, test-time compute efficiency plays a pivotal role in ensuring models can adapt dynamically to evolving market conditions. In-context reinforcement learning (ICRL) is emerging as a transformative approach, enabling LLMs to learn and refine on the fly without explicit fine-tuning. ICRL enhances adaptability in trading, risk assessment, and portfolio optimization. This paradigm shift moves us closer to AI agents capable of robust decision-making, paving the way for more autonomous and generalizable systems in high-stakes applications.
Speaker Bio
Nicole Königstein
Nicole is the Co-Founder, CEO, and Co-Chief AI Officer at Quantmate, a deep-tech fintech company developing AI agents for portfolio management and strategy development via natural language. She is a globally recognized thought leader in large language models (LLMs) and agentic architectures, with a particular focus on their transformative applications in quantitative finance.
As a guest lecturer, Nicole shares her expertise in Python, machine learning, and deep learning at universities. She is also a frequent speaker at AI and quantitative finance events. Nicole has authored Math for Machine Learning and Transformers in Action with Manning Publications. Her forthcoming book, Transformers: The Definitive Guide – Applications Beyond NLP, will be published by O’Reilly Media.
Video Description
Industry Talk May 2025
We develop a joint model for the S&P500 and the VIX indices with the aim of extracting forward looking market consistent information on the correlation between the two markets. We achieve this by building the model on time changed Lévy processes, deriving closed analytical expressions for relevant quantities directly from the joint characteristic function, and exploiting the market quotes of options on both indices. We perform a piece-wise joint calibration to the option prices to ensure the highest level of precision within the limits of the availability of quotes in the dataset and their liquidity. Using the calibrated parameters, we are able to quantify the‘leverage/volatility feedback’effect along the term structure of the VIX options and corresponding VIX futures. We illustrate the model using market data on SPX options and both futures and options on the VIX.
This is joint work with Ernst Eberlein and Gregory Rayée.
Speaker Bio
Professor Laura Ballotta
Laura Ballotta is a Professor of Mathematical Finance at Bayes Business School (formerly Cass). Prof. Ballotta works in the areas of quantitative finance and risk management. She has written on topics including stochastic modelling for financial valuation and risk management, numerical methods aimed at supporting financial applications, and the interplay between finance and insurance.
Recent major contributions have appeared in Journal of Financial and Quantitative Analysis, European Journal of Operational Research and Quantitative Finance among others.
She serves as associate editor and referee for several international journals in the field.
Prof. Ballotta holds a BSc in Economics from Universita’ Cattolica del Sacro Cuore, a MSc in Financial Mathematics from the University of Edinburgh, and a PhD in Mathematical and computational methods for economics and finance, from Universita’ degli Studi Bergamo.
She is the course director of the Quants cluster of MSc programmes at Bayes Business School.
Video Description
Industry Talk April 2025
This talk illustrates the enormous model risk that is present in the quantitative finance field and other domains. Various models calibrated to the same data can lead to significantly different results. Even within a single model, particular choices, like the objective function of a calibration, the numerical scheme of a Monte-Carlo simulation, the instruments to include or exclude from the calibration exercises can again lead to a variety of different outcomes. As a result, we must conclude that there is quite a bit of uncertainty around various pricing exercises. This issue is also present in other domains of science, like climate modelling, and hence one has to be cautious by using the outcome of a single model for policy making. Finally, we connect model risk with conic finance. Speakers: Wim Schoutens is a quantitative finance professor at the University of Leuven, Belgium. He has extensive practical experience of model implementation and validation. He is well known for his consulting work to the banking industry and national and supra-national institutions. He is an independent expert advisor to the European Commission, has worked for the IMF and is the author of several books on quantitative finance. He is also member of different editorial Boards of international finance journals.
Speaker Bio
Wim Schoutens
Wim Schoutens is a quantitative finance professor at the University of Leuven, Belgium. He has extensive practical experience of model implementation and validation. He is well known for his consulting work to the banking industry and national and supra-national institutions. He is an independent expert advisor to the European Commission, has worked for the IMF and is the author of several books on quantitative finance.
He is also member of different editorial Boards of international finance journals. He likes arbitrages, political incorrect statements and making jam.
Video Description
Industry Talk March 2025
AI are essential to making companies agile in the supply chain. In this workshop, we will review the evolution of the supply chain, how this has made procurement a “secret power” of corporate agility, how agility drives market valuation, and quantitative measures of agility. Then we’ll look at a real-world example of how technologies like automation and AI are driving agility right now: an AI-enabled automated negotiations platform used in procurement. This platform reduces contracting cycle times and resource requirements, creates transparency, and boosts EBITDA.
Speaker Bio
Peter Benda
Peter Benda is a 30 year veteran management consultant specializing in procurement and supply chain strategy. He has led and guided hundreds of procurement negotiations on behalf of global clients, including manufacturing, utilities, mining, and financial services. He currently serves as an advisor to Axtom Technology, a SAAS platform that automates negotiations for procurement. He received his MBA from Wharton, along with an MA in international studies from the Lauder Institute. In the past, he worked with McKinsey, A.T. Kearney, Partners in Performance (Australia), and Capital One, as well as founded/ co-founded several startups. He lives in Glen Allen, Virginia.
Video Description
Industry Talk February 2025
We present work where we co-designed, built, and tested superconducting quantum processors and quantum optimization algorithms to investigate opportunities and challenges for near-intermediate scale quantum (NISQ) computers in solving combinatorial optimization problems. We invented, implemented, and experimentally benchmarked the performance of quantum optimization algorithms up to ten thousand quantum operations, executed on 80Q multi-chip quantum processor. We discuss developed advanced quantum mixing strategies for encoding and solving optimization problems via hardware-efficient algorithms, including iterative quantum optimization eliminations, augmented mixer-phaser ansatzes, and quantum relax-and-round techniques. The algorithm developments can be combined with noise mitigation processes, including time-block parameterization, order tuning, noise-directed adaptive remapping, greedy post-processing, and randomized compilation.
Speaker Bio
Dr. Davide Venturelli
Dr. Davide Venturelli is currently Associate Director for Quantum Technologies and Fellow at the USRA Research Institute for Advanced Computer Science (RIACS) in California. He has worked since 2012 in the NASA Quantum AI Laboratory (QuAIL) under the NASA Academic Mission Service, invested in research projects dealing with quantum optimization applications and their implementation in a hardware-software co-design approach. He is the lead of the applications group of the National Quantum Initiative Superconducting Quantum Materials and System (SQMS) Center at Fermi National Laboratory. In 2021 he was elected board member of the Quantum Economic Development Consortium (QED-C), the organism coordinating 100+ companies involved in building the supply chain for the emergent quantum technology industry.
Video Description
Industry Talk November 2024
In this talk, we use the signature method (related to rough path theory) to construct features for a random forest that distinguishes between storable and non-storable commodities with a high degree of accuracy. It turns out that, in the same way that machines can identify dogs in digital images, price formation in a given market has certain tell tale signs. This is true even if we normalize according to volatility. These insights allow us to explain why certain standard options strategies work relatively well in some commodities markets, yet underperform in others. This research was performed jointly with Professor Stephan Sturm at WPI and 3 students, Tora Ito, Adam Mullaney and Kathleen Shiffer. About the Speaker: Hari P. Krishnan is Head of Volatility Strategies at SCT Capital, a New York based hedge fund. He is the author of The Second Leg Down (Wiley, 2017) and Market Tremors (Springer/Palgrave McMillan 2021). He has roughly 25 years of experience in financial markets, including portfolio management roles at CrossBorder Capital and Morgan Stanley and holds a PhD in applied math from Brown University.
This research was performed jointly with Professor Stephan Sturm at WPI and 3 students, Tora Ito, Adam Mullaney and Kathleen Shiffer.
Speaker Bio
Hari P. Krishnan
Hari P. Krishnan is Head of Volatility Strategies at SCT Capital, a New York based hedge fund. He is the author of The Second Leg Down (Wiley, 2017) and Market Tremors (Springer/Palgrave McMillan 2021). He has roughly 25 years of experience in financial markets, including portfolio management roles at CrossBorder Capital and Morgan Stanley and holds a PhD in applied math from Brown University.
Video Description
Industry Talk August 2024
In the context of the book launch of “The Financial Metaverse: Tokens, Derivatives and other Synthetic Assets”, this talk will explore how financial derivatives function as digital twins of their underlying assets. It will emphasise the crucial role of benchmarks specification in anchoring derivatives to their underlying assets. Quants model these benchmarks to value contingent claims. Understanding the complexities of those benchmarks is essential for precise modelling. The talk will also present several case studies that illustrate the dynamic nature of derivative specifications including their evolution, threshold effects, and pricing mechanics.
Speaker Bio
Albin Spinner
Albin Spinner is a banking professional with 30 years of experience in three major financial centers (London, New York, and Tokyo). He is currently working for an Asian investment bank in their fixed income Global Markets division. Prior to this, he held various trading roles at JPMorgan for 10 years. He has an interest in research on Market Structure and Design and Financial Sociology. During his career, he has witnessed a great transformation in financial markets and observed many risk management theories being challenged by market turbulences. He found witnessing the birth of new markets (credit derivatives, carbon credits) particularly thought-provoking. Various periods of market disturbances have also served as harsh but invaluable teachers.
He has published the following articles: “Model or Prophecy?” in WILMOTT magazine in September 2020; “Path-dependent Benchmarks” in WILMOTT magazine in July 2021; “Impact of the Covid-19 Pandemic on the Fungibility of Gold” in WILMOTT magazine in July 2022; “What Does a Singularity in the Financial Market Look Like?” in WILMOTT magazine in June 2024. His book “Financial Metaverse: Tokens, Derivatives, and Other Synthetic Assets” was published by Palgrave Macmillan in June 2024.
Video Description
Industry Talk July 2024
With so much current hype about AI, what is the truth about the future and how will it affect the Quants profession? This punchy and provocative presentation will look at current and likely future AI trends, and consider what actions practitioners need to take to prepare themselves to ensure that they are not left behind, and to safeguard their personal careers.
Speaker Bio
Tony Boobier
Tony Boobier is a former executive for a major international technology company with over 40 years of professional experience with special interest in the financial sector. His international viewpoint particularly focusses on Europe, China, Asia and Latin America. Currently he acts as an independent consultant, NED, and business mentor.
He is the author of 4 published books on the topic of AI and Advanced Analytics, he is a contributor to many published articles, and also a regular speaker and chairman at international events. He is independently identified as a global thought leader and at the moment he is working on his 5th book which considers AI and the Future of Society.
