Navigating New Waters of Extreme Change in Quant Finance

Home / Resources / Podcasts / Navigating New Waters of Extreme Change in Quant Finance

Navigating New Waters of Extreme Change in Quant Finance

Dr. Misha Fomytskyi explores rapid market changes and the future of machine learning in quant finance.

Tuesday 26 October 2021

0:00 / 0:00

Podcast Description

With the pace of change in financial markets becoming more rapid, QuantSpeak is joined by Dr. Misha Fomytskyi, Co-Founder of Vola Dynamics, to discuss his journey into quant finance, lessons learned from the previous ‘new world’ of 2008, and why quants should be focusing on Machine Learning over the next 5 years.

Topics & Timestamps

[00:00 - 01:33] Guest Introduction, and Context

[01:33 - 04:55] Career Journey: Physics to Quant Finance

[04:55 - 07:36] Early Market Experience, Learning, Sell Side/Buy Side

[07:36 - 11:16] Calibration, Model Risk, Implied Volatility

[11:16 - 14:37] Market Evolution, Engineering Challenges, Entrepreneurship

[14:37 - 19:13] Building Vola Dynamics, Buy vs. Build, Product Challenges

[19:13 - 25:39] Volatility Modeling: Rough Vol, Parameterization, W-Shaped Curves

[25:39 - 29:06] Parametric Surfaces, Scenario and Dynamics

[29:06 - 31:39] Machine Learning, Blending Approaches, Domain Understanding

[31:39 - 35:06] Workflow, Tools, Risk Attribution and Measurement

[35:06 - 36:27] Closing Remarks.

Disclaimer

Podcasts are for informational purposes only and provided “as is” without any representation or warranty from Fitch Learning of any kind. Comments or statements expressed by speakers may not be those of the Fitch Learning. Fitch Learning is not providing advice or recommendations. Fitch Learning, its directors, officers, or employees do not accept any liability for any loss arising from the use of information.