Written on 10 September 2018.
The summit will bring together global quantitative experts from banks, buy-side, regulators, Silicon Valley and academia to discuss and debate quant tech developments including machine learning, big data, data science, HPC and blockchain applications, regulatory implementation, innovations in modelling and pricing, algorithmic and electronic trading, quantitative buy-side developments, computational and numerical efficiency, CCR, collateral and central clearing, risk management techniques, XVAs and FX and commodity derivatives.
Riccardo Rebonato will be speaking at the event on the theme "Value and Other Rewarded Factors for Smart Beta in Fixed Income". The session will examine the following issues:
You can access the full programme here.
Riccardo Rebonato is Professor of Finance at EDHEC Business School. He was previously Global Head of Rates and FX Research at PIMCO. He also served as Head of Front Office Risk Management and Head of Clients Analytics, Global Head of Market Risk and Global Head of Quantitative Research at Royal Bank of Scotland (RBS). Prior joining RBS, he was Head of Complex IR Derivatives Trading and Head of Head of Derivatives Research at Barclays Capital. Riccardo Rebonato has served on the Board of ISDA (2002-2011), and has been on the Board of GARP since 2001. He was a visiting lecturer in Mathematical Finance at Oxford University (2001-2015). He is the author of several books, in particular having published extensively on interest rate modelling, risk management, and most notably books on SABR/LIBOR Market Model pricing of interest rate derivatives, as well as on the use of Bayesian nets for stress testing and asset allocation. He has published articles in international academic journals such as Quantitative Finance, the Journal of Derivatives and the Journal of Investment Management, and has made frequent presentations at academic and practitioner conferences. He holds a doctorate in Nuclear Engineering (Universita' di Milano) and a PhD in Science of Materials (Condensed Matter Physics, Stony Brook University, NY).