The Practitioners' Lecture Series is aimed at engaging students (MSc and PhD) in a wide range of up-to-date topics and trends with direct industry relevance, reaching beyond the core contents of the MSc.
It consists of short lectures (1-2 hrs length) given by practitioners working in the field with contents ranging from technical to more hands-on, or overviews, with a strong emphasis on the everyday applications and challenges. Topics include Algorithmic Differentiation, Regulation, Stress testing, Block Chain, Impact of Brexit, FinTech, Big Data and many more.
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October 22, 2024
TBC
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October 29, 2024
Alexander Barzykin - HSBC
Quant side of FX market making business
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January 14, 2025
TBC
Archive
Lectures
- 17 October 2023 - Alexander Pinto, Signal AI
- 24 October 2023 - Roel Oomen, Deutsch Bank OTC Markets
- 7 November 2023 - Georgios Dafinis, RBC Capital Markets
- 14 November 2023 - Johannes Bauer, S&P Global
- 21 November 2023 - Alexis Yannakou, Citadel
- 28 November 2023 - Gordon Lee, BNY Mellon
- 5 December 2023 - Ben Wood and Amira Akkari, JP Morgan
- 11 October 2022 Roel Oomen, Deutsche Bank
- 18 October 2022 Gordon Lee, BNY Mellon
- 25 October 2022 Ben Wood, JP Morgan Chase & Co
- 1 November 2022 Claudio Brangian, Bloomberg
- 8 November 2022 Alexis Bellot, DeepMind
- 15 November 2022 Marco Dion, Qube Research and Technologies
- 22 November 2022 Johannes Bauer, Markit
- 29 November 2022 Irene Perdomo and Leonardo Marroni
- 24 January 2023 Ben Wood, JP Morgan
- 31 January 2023 Cecilia Auburn, Capital Fund Management
- 7 February 2023 Himanshu Chaturvedi, Cambridge Associates
19 October 2021
Irene Perdomo, Gresham Investment Management
How to set up a hedge fund
9 November 2021
Jessica James, Commerzbank
FX Markets
16 November 2021
Abdessamad Khaled, Bloomberg
Structured Products post Covid
30 November 2021
Leonardo Marroni, Gresham Investment Management
What can go wrong?
7 December 2021
Alexandre Pinto, Outra
NLP in Industry
9 February 2022
Laurent Laizet, Qube Research and Technologies
In sample biases in systematic investing
16 February 2022
Irene Perdomo, Gresham Investment Management
Commodities
9 March 2022
Ben Steiner, causaLens
Model Risk Management for DL and Investment Strategies
16 March 2022
Diego Medina Vargas, NatWest Markets
A Markovian approach to HJM
20 October 2020
Gordon Lee (Executive Director, Portfolio Quantitative Analytics, UBS)
The importance of Being (Earnestly) Collaterised
27 October 2020
LEONARDO MARRONI and IRENE PERDOMO (Gresham Investment Management)
How to set up a hedge fund
17 November 2020
Hans Buehler and Ben Wood (JP Morgan)
Deep Hedging
24 November 2020
Kimmo Soramati, Founder and CEO of Financial Network Analytics
1 December 2020
Roel Oomen (Managing Director, electrinic FX Spot Trading, Deutsche Bank)
FX OTC Market Structure
2 March 2021
Ben Steiner (BNP Paribas Asset Management & Columbia University)
Deep Learning, Model Risk Management and Alpha Strategies
4 November 2019, 6:30 - 7:30pm
Gordon Lee (Executive Director, Portfolio Quantitative Analytics, UBS)
The Importance of Being (Earnestly) Collaterised
12 November 2019, 6 - 7 pm
LEONARDO MARRONI and IRENE PERDOMO (Devet Capital)
The Do's and Don'ts of Hedge Funds
19 NOVEMBER 2019, 6-8 PM
A MOCK INTERVIEW SESSION WAS HELD CONDUCTED BY INDUSTRY PRACTITIONERS
26 November 2019, 6-7 pm
ROEL OOMEN (Managing Director, electrinic FX Spot Trading, Deutsche Bank)
FX OTC Market Structure
21 January 2020
Ali Pichvai and Mickael Rouillere from QuodFinanical
4 February 2020
Emmanuel Sérié, CFM
11 February 2020
Massimo Morini, Banca IMI
10 March 2020
Leonardo Marroni and Irene Perdomo from Devet Capital on Trading volatility: The VIX index
17 March 2020
Jessica James from Commerzbank the lecture was CANCELLED due to COVID-19 and College closure.
16 October, 6-8pm
Shri Rengasamy
(DC Innovation Leader, Mercer)
Investing for Retirement
23 October, 6-8pm
Tiziano Bellini
(Senior Manager, BlackRock)
Tiziano Bellini Presentation
30 October, 6-8pm
Ben Wood
(Quantitative Analyst, JP Morgan)
Deep Statistical Hedging
6 November, 6-8pm
Gordon Lee
(Executive Director, Portfolio Quantitative Analytics, UBS)
The Importance of Being (Earnestly) Collateralised
13 November, 6-8pm
Leonardo Marroni and Irene Perdomo
(Devet Capital)
Commodity markets and commodity indexes: a practitioners’ introduction
4 December, 6-8 pm
Roel Oomen
(Managing Director, electronic FX Spot Trading, Deutsche Bank)
FX OTC market structure
29 JANUARY, 7-8 PM
(Practitioner in Stress Methodology and Model Risk) Counterparty Credit Risk Stress Testing
5 FEBRUARY, 6-8 PM
Mickael Rouillere and Ali Pichvai
(Quod Financial) Machine Learning in the financial technology space
12 February, 6-8 pm
Joaquin Narro, Managing Director, Alcazar Investment Management Limited
Forecasting Prices of Electricity Futures
19 FEBRUARY, 6-8PM
Emilio Barucci, University of Milan
Who will rescue finance? The role of academics, bankers, politicians, regulators
26 FEBRUARY, 6-8 PM
Marc Henrard, Managing Partner at muRisQ Advisory and visiting professor at University College London.
The future of LIBOR: A quantitative perspective
5 March, 6-8 pm
Massimo Morini, Head of Interest rate and Credit models, Banca IMI
12 March, 6-8 pm
Jessica James, Managing Director, Commerzbank
FX Option Anomalies
The FX option market is one of the largest and most liquid in the world. So how could it have been wrong from the start? Detailed data analysis shows that FX options are statistically mispriced, and have been for years.
- 22 March, 17:00-18:00 Clore Lecture Theatre (Huxley 213): Patrick McGuire (LMR Partners) on Practical Volatility and Credit Trading
Abstract: Discussion of several topics relating to the practical challenges in the research and implementation of trading strategies in the volatility and credit asset classes.
- 21 March, 16:30-17:30 Huxley 139: Claude Martini (Zeliade Systems Paris) on Robust Calibration and No Arbitrage Interpolation of eSSVI Slices
Abstract: We describe a robust calibration algorithm of a set of SSVI slices (i.e., a set of 3 SSVI parameters θ,ρ,φ attached to each option maturity available on the market), which grants that these slices are free of But- terfly and Calendar-Spread arbitrage. Given such a set of consistent SSVI parameters, we show that the most natural interpolation/extrapolation of the parameters povides a full continuous volatility surface free of arbitrage. The numerical implementation is straightforward, robust and quick, yielding an effective, parsimonious benchmark solution to the smile problem.
- 13 March, 17:00-18:00 Weeks Hall Lecture Theatre: Gordon Lee (UBS) on The Importance of Being (Earnestly) Collateralised
Abstract: This talk gives an introduction to the increasing important that collateral agreements plays in various XVA and Credit Risk Exposure computation in finance. We will go through the interplay between collateral agreements and pricing, also looking at the future problems that need to take these issues into account.
- 13 February, 17:00-18:00 Weeks Hall Lecture Theatre: Leonardo Marroni and Irene Perdomo (Devet Capital) on February 5th: Black Monday for VIX, and VIX products
Abstract: In this lecture we will look at what happened on 5th Feb to VIX markets and VIX Exchange Traded Products. We will consider how the VIX futures can be used to build tradable VIX Indexes, such as the S&P 500 VIX Short-Term Futures Index. We will then analyse the most common VIX ETNs. For example, for the short ones, we will consider the necessary adjustments that have to be made in order to make them replicable, like daily rebalancing, termination thresholds and the risks that they may trigger. We will then review the events of 5th Feb that culminated in the withdrawal of some of the short VIX ETNs, after they experienced sudden losses in excess of 90% of the investments. We will consider where it all went wrong and the key points which need to have been learnt from the extreme events of last week.
- 14 December, 17:00-18:00 Huxley LT 144: Ben Wood (JP Morgan Chase) on Deep Statistical Hedging
- 7 December, 17:30-18:30, Huxley LT 139: Eric Schaanning (Norges Bank and ETH Zurich) on Next generation stress testing
Abstract: We give an overview of the current regulatory stress tests that are conducted to assess financial stability. A key assumption in the current framework is that of “static balance sheets”, i.e. banks do not react to the stress scenario, but keep their portfolios unchanged during the stressed episode. Intense research efforts are trying to (i) introduce dynamic balance sheets for banks, (ii) include feedback effects between the financial sector and the real economy, (iii) model solvency – liquidity feedbacks, (iv) develop system-wide stress testing that includes other sectors beyond banks (asset managers, insurance companies, …) in order to develop “next generation stress tests”.
- 2 November, 17:30-18:30, Huxley LT 139: Joaquin Narro (Alcazar Investment Management Ltd / Bainbridge Partners LLP) on Commodity markets and commodity indexes: a practitioners’ introduction
Abstract: In the first part of this lecture we will start introducing the most common commodity markets (energy, soft & grains, metals) and the concept of term structure of forward commodity prices as well as the typical commodity markets participants. We will then introduce the key concepts of contango and backwardation and their most common drivers, including examples of what may happen in certain extreme cases (such as strong demand/supply disruption or spikes) and the comparison with non-commodity assets. In particular we will discuss that:
i. for low supply / supply disruptions / demand spikes, it may be impossible to arbitrage a curve even when it is in extreme backwardation;
ii. for low demand / demand disruptions / excessive supply, traditional “cash and carry” arbitrage strategies may be implemented but they require access to the physical market and they may still fail if / when storage facilities become unavailable.
We will conclude the first part giving plenty of examples of the most common shapes a commodity curve may take depending on the nature of the commodity itself (for instance curves showing a strong seasonality, such as refined products or natural gas) as well as examples of commodity curve behaviour in extreme market conditions.
In the second part of the lecture, we will introduce the simplest examples of commodity indexes (such as trackers for individual commodities) and the reasons for their strong popularity among different types of investors; after comparing them with the most traditional equity indexes we will focus on the way they are constructed and we will make a clear distinction between the so called “spot” and “excess return” indexes; we will show that, due to the different rolling mechanism of the underlying futures contracts, “spot indexes” are not self-financing strategies and therefore they’re not suitable to be used as benchmarks for commodity investment products (such as ETFs), whereas “excess return” indexes are.
We will conclude showing that, by construction, “excess return” commodity indexes enjoy a flat forward term structure which makes them particularly tractable from and analytical point of view as well as easy to replicate in practice.
- 5 October, 16:30-18:00, Huxley LT 340: Tiziano Bellini on Stress testing and risk integration in banks
Contents:
-The Need for Electricity: understanding how 45% of the world’s energy supply is processed through electricity plants
-The Cost-Price Conundrum: exploring the complexities of estimating the cost of production
-A Balancing Act: learning how supply and demand of electricity should be matched at all times
-The Power Market: analysing the building blocks of the wholesale market
-Pricing Futures: researching the uncertainties of pricing electricity futures
Scholarships
MSc Maths Finance News
- Msc Mathematics and Finance ranks 1st in the 2024 QuantNet Ranking of Best UK Quant Programs
- MSc Mathematics and Finance ranks 5 highest UK-based programme in the 2022 Quant Guide
Congratulations!
- Ranitea Gobrait for receiving the JP Morgan Scholarship New J.P. Morgan Scholarship creates Quantitative Finance study opportunities | Imperial News | Imperial College London
- Cécilia Auburn (Class of 2020) for the award of First laureate of the "CFM Women in quantitative finance" grant.
Terms and conditions
Important information that you need to be aware of both prior to becoming a student, and during your studies at Imperial College: