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Quantitative Finance Seminars


The Thalesians Quantitative Finance Seminars are a series of talks for dedicated finance professionals to learn about state-of-the-art quantitative finance methodology from seasoned speakers.

We provide a unique opportunity for finance professionals to further their careers by sharing expertise and cross-pollinating new methodology and ideas in the wider context of the finance industry.

Come along to our seminars in Canary Wharf (LDN), Midtown Manhattan (NYC) or Budapest (BUD) and join us for a quantitative finance talk by a guest speaker followed by discussions and often also networking drinks.


Videos of some of the London talks are available: older videos in Flash format and downloadable in MP4 format for iPod/iTunes. Newer videos are available on this website and on our YouTube site.


The London seminars charge £15 at the door for events to cover the venue hire and other expenses. Admittance to the IAQF/Thalesians NYC seminars is strictly by online registration only and is $25 for non-IAQF members.


  • For UK talks, please contact Paul Bilokon, paul, who is at, to reserve your place and/or sign up to our official seminar list.
  • For US talks, please contact Matthew Dixon, matthew, who is at, or Harvey Stein, harvey, who is at to reserve your place and/or sign up to our official seminar list.

Forthcoming Seminars for 2015

IAQF-Thalesians Seminar (New York) — Dr. Andrey Itkin — Efficient solution of structural default models with correlated jumps and mutual obligations

Andrey Itkin

Andrey Itkin


Thursday, November 12, 2015:


NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY



The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional problem is made tractable via a novel computational method, which generalizes the one-dimensional fractional partial differential equation method of Itkin, 2014 to the two- and three-dimensional cases. This method is unconditionally stable and of the second order of approximation in space and time; in addition, for many popular Levy models it has linear complexity in each dimension. Marginal and joint survival probabilities for two and three banks with mutual liabilities are computed. The effects of mutual liabilities are discussed, and numerical examples are given to illustrate these effects.


Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational molecular physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics.

IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.

Thalesians Panel (London) — Cudmore/Burroughs & more — Global macro panel

Eric Burroughs

Eric Burroughs

Date and Time

7:30 p.m. on Wednesday, 25 November, 2015


Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

You can register for this event and pay online on


With markets in flux looking towards a Fed hike in the coming months, and the large sell off in emerging markets, our expert panel will discuss how markets are behaving and also will be giving their views for macro markets, in particular for FX and rates.

There will also be a Q&A to bring the audience into the discussion.

Our panellists will include:

  • Eric Burroughs (Reuters - Editor of FX Buzz @ericbeebo)
  • Mark Cudmore (Bloomberg News - First Word EM Strategist)
  • Mick Grady (Aviva - Senior Economist/Multi-asset strategist @fundamentalmac)
  • Jeremy Wilkinson-Smith (Independent FX trader @JeremyWS)

Saeed Amen (co-founder and managing director of the Thalesians @thalesians) will host the panel

Selected Bios

Eric Burroughs is editor and managing analyst of Reuters Buzz, the intraday market intelligence and commentary service. Has covered markets and economics around the world for 15 years with Reuters, including stints in New York, Tokyo and Hong Kong where he previously served as Asia Financial Markets Editor.

Mark Cudmore recently joined Bloomberg as an Emerging Market Strategist, focusing predominantly on the CEEMEA region and with FX as a core product focus. He has spent over a decade in financial markets, mainly as an EM FX sell-side trader but also has worked in sales and on the buy-side. Mark graduated from Trinity College Dublin with a first class honours degree in Mathematics and Economics.

Mick Grady (@fundamentalmac) recently joined Aviva Investors as Senior Economist and Multi-asset Strategist, responsible for global macro markets. Previously he was Senior Economist at COMAC Capital, a global macro hedge fund, following over a decade in a variety of roles at the Bank of England. He began his career in Australia as an economist at the Treasury department. He holds an Honours degree in Economics (Macquarie University Australia).

Jeremy Wilkinson-Smith (@JeremyWS) is an independent trader. He has spent the 5 years, trading FX and interest rates from a global macro perspective. He is currently reading finance at the University of Warwick.

Saeed Amen is a Managing Director and a Co-founder at Thalesians Ltd and also at Argonautae Ltd.

Saeed is currently publishing ground-breaking quant strategy notes at Thalesians Ltd., drawing upon nearly a decade of experience both creating and running systematic trading models successfully with real cash. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX. He has published Palgrave Macmillan (Trading Thalesians - What the ancient world can teach us about trading today)

Saeed started his career at Lehman Brothers. He worked on the FX desk developing systematic trading models for both G10 and EM and was part of the team who developed the MarQCuS suite of models. He was also responsible for a systematic FX prop trading book and conducted research around high frequency FX including economic events. Later he was at Nomura as an Executive Director in Quantitative Strategy, also in FX, developing their model infrastructure and also running systematic FX prop risk. He graduated from Imperial College with a first class honours master's degree in Mathematics and Computer Science. He has presented his research at the Federal Reserve Board in Washington DC and also at the Bank of England.


To be published here

Thalesians Seminar (Zurich) — Thomas Schmelzer - Portfolio Optimization, Regression and Conic Programming

Thomas Schmelzer

Thomas Schmelzer

Date and Time

6:15 p.m. on Thurday, 26 November, 2015


Room: PLM - 103/104, Plattenstrasse 14, University of Zurich, Zurich, 8092 Zurich

You can register for this FREE event on


This will be a free Zurich event - thanks to Prof. Dr. Markus Leippold, Direktor Master of Advanced Studies UZH in Finance for kindly hosting this event and for Swati Mital for organising. The talk will be at 6.15pm Zurich time. There will also be post-events drinks (location tba).

Using examples from portfolio management and quantitative trading we illustrate the power and flexibility of conic programming. We point to various common mistakes in setting up portfolio models and in solving them algorithmically. Several Python code fragments are given.

Selected Bios

Dr. Thomas Schmelzer is Head of Quantitative Research at a Geneva based wealth manager. He has a PhD. in Mathematics from University of Oxford where he was a Rhodes Scholar at Balliol College. In his previous roles he has held key positions in the UK, Liechtenstein and Switzerland including Senior Researcher at Winton Capital Management and a Quantitative Portfolio Manager at Oxford Asset Management.

Past Seminars

Seminars from 2015

Seminars from 2014

Seminars from 2013

Seminars from 2012

Seminars from 2011

Seminars from 2010

Seminars from 2009

Our old events page is here

  • This page was last modified on 30 October 2015, at 19:41.
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