The Cass AIR-Quant Workshop

The presidents of Cass Actuarial, Insurance, Risk and Quants Society are glad to announce Dr Veronika Lunina as our presenter of the next AIR-Quant workshop hosted at Cass Business School on Friday 24th January 2020, in Room LG001, starting from 3pm.

Veronika currently works as a quantitative analyst within the FX options quant team at NatWest Markets, the investment banking business of the RBS Group. Veronika focuses on automation of FX vanilla options trading. Previously, she held quantitative roles at Nordea Asset Management in Stockholm and Morgan Stanley in London. Veronika has earned a PhD degree in Economics from Lund University in Sweden. Her research on volatility transmission between the energy commodities was published in the Journal of Banking and Finance.

The topics of the double presentation are:

1. Kalman Filter with Applications in Electronic Trading
The Kalman filter is a technique for combining observations coming from various sources. It is also widely used in modelling financial markets, where we are constantly taking noisy measurements of key variables that are often not directly observed. The Kalman filter is nowadays likely to be a part of most top electronic market making systems in FX and Rates. In this talk, we will cover the intuition and theory behind the Kalman filter, discuss the implementation challenges and practical tips, and review example use cases in electronic trading.

2. A Guide to Jobs in Quantitative Finance
Today is an exciting time to be a quant! The financial industry is going through the process of automation, and quants are at the forefront of it. In this talk, we will discuss the essential skills for working as a quant, a typical recruitment process for a quant position, what to expect, how to succeed in getting a job and how to further succeed once you have got one. This will be an interactive session, and we will concentrate on the topics that are most interesting and relevant for the audience.

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Peter Vodicka

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