Financial Engineering Workshop - George Giorgidze (Standard Chartered Bank)
Registration
Details
Refreshments will also be available in room 2005 from 17:40.
Where
Bayes Business School, 106 Bunhill Row
2005
106 Bunhill Row, London EC1Y 8TZ, UK
Speakers
George Giorgidze
Standard Chartered Bank
George Giorgidze is a senior quantitative developer at Standard Chartered Bank. He works on cross-asset class pricing systems (including XVA) and portfolio optimisation. Before joining Standard Chartered, George worked both in academia and industry. His academic work was about programming language design and implementation, with a particular focus on domain specific languages for database query, and modelling and simulation of physical systems. George obtained his PhD degree in Computer Science from the University of Nottingham, his MSc degree in Computer Science from Chalmers University of Technology, and his BSc degree in Physics from the Tbilisi State University.
Short Abstract
The reduction of credit, funding, margin and capital valuation adjustments (XVAs) is a complex non-linear optimisation problem. We apply two popular evolutionary algorithms used in the field of machine learning – genetic algorithm and particle swarm optimisation – to optimise XVAs.