– 13 February 2024
The first edition of the workshop on ‘Recent Trends in Quantitative Finance’ (RTQF 2024) was conducted on 13 February 2024. The mini-symposium aimed to bring together academicians, industry experts, and research scholars working on quantitative methods in finance. The talks by the experts touched upon the exciting developments in the field.
Cornelis Oosterlee (Utrecht University) presented the inaugural talk on ‘Deep time-inconsistent Portfolio Optimization with Stocks and Options’, while Sankarshan Basu (IIM Bangalore) spoke on application of quantitative techniques in finance. Arjun Beri (Wells Fargo) gave an overview of the challenges in counterparty credit risk modelling and discussed some methodological solutions employed in the industry to tackle such problems. Anshul Jain (SSGA) talked about leveraging Gen AI techniques for investments and provided an outline of the work happening at his organisation.
Srikanth Iyer (IISc) talked about his work ‘Asymmetric Super-Heston-rough Volatility Model with Zumbach effect as a Scaling Limit of Quadratic Hawkes Processes’. Arjun K M (J P Morgan) explained the need to ensure that any AI (artificial intelligence) & ML (machine learning) model used in decision-making follows the principles of fairness, ethics, accountability, explainability, privacy, security, and governance. Aditya Nittoor (SigmaQuant) talked about ‘Estimation and Minimization of Execution Cost for Quoting Strategies’.
Non-Parametric estimation of ulti-dimensional Marked Hawkes processes was the theme of the talk by Sobin Joseph (IISc). The last talk for the day was delivered by Sumanjay Dutta (IISc) on low sample factor modelling for asset pricing.