EDHEC

QUANTMINDS INTERNATIONAL CONFERENCE

This May, the world's leading quantitative finance conference brings together about 500 global quant experts from banks, buy-side, regulators, silicon valley and academia in Lisbon and more than 130…
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30 Jan 2018
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This May, the world's leading quantitative finance conference brings together about 500 global quant experts from banks, buy-side, regulators, silicon valley and academia in Lisbon and more than 130 expert speakers will guide delegates through the most pressing challenges facing quants today.

Amongst these speakers, Riccardo Rebonato, Professor of Finance at EDHEC Business School and author of journal articles and books on Mathematical Finance covering derivatives pricing, risk management and asset allocation.

In a first session entitled Systematic Investing Strategies, Prof. Rebonato will introduce Smart beta in treasuries: Value and momentum revisited and in a second session Innovations In Data, Modelling & Quant Finance, he will discuss an extension of the Heston Model for P and Q measure modelling of FX options.

In the session XVA Techniques & Advancements, the EDHEC PhD in Finance graduate (2016), Dr Rodney Hoskinson, Associate Director at ANZ Bank (Singapore) will look at several approaches to the problem of KVA for CVA capital under the final Basel III framework released in December 2017 for his presentation entitled Approximation methods for KVA under FRTB expected shortfall.

Access the conference agenda

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