Model Development & Delivery in Real World Quant Finance
Over the last 10 years, financial companies have been increasingly using quantitative models for decision making. Well performing models can provide automatic and objective decision making as well as a certain ability to synthesize complex issues. However, models expose companies to model risk, higher development cost and longer delivery time. In this MCFAM seminar, we will cover how to reduce the model risk and time to market by using a model design process. Furthermore, we will apply the process on a particular example: OTC FX option volatility calibration.
Bio: Florian Huchedé is a Director of Quantitative Risk Management at CME Group. He leads an international team of quantitative analysts that work on designing, implementing and filing quantitative algorithms on various applications (settlement, pricing, data cleansing, risk management, product creation and large optimization). Furthermore, he is the lead quant for the FX and Equity asset classes.
Florian graduated from the Financial Mathematics program at University of Chicago (2010). He completed his undergraduate studies and MS in Engineering at Ecole Francaise dElectronique et dInformatique in Paris, France (2007). Prior to joining CME Group, he worked at Credit Agricole Asset Management Alternative Investment and at The Option Clearing Corporation.
With more than 10 years of experience, Florian is focused on innovation, creativity and giving back to the quant community. He holds three U.S. patents on risk management and financial products. Furthermore, he initiated a joint research program between University of Chicago and CME Group in 2012. Since then, the program has expanded and is being utilized by many other companies.