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Our Zurich events are organised by Zurich leader Swati Mital.

Next Zurich events

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.

Location of current venue

These are the directions to the venue (Plattenstrasse 14):

From Zurich Main Station take tram number 6 heading for the Zoo and get out at "Platte". You can board the tram at the station Bahnhofstrasse/HB south of the main station. Building PLM at Department of Banking and Finance is highlighted in the map below.


Zurich Leader

Swati Mital (Zurich)

Swati Mital

Swati Mital is a Quantitative Analyst at Credit Suisse in Zurich where she works on credit portfolio modelling in bank's Credit Analytics group. Prior to this, she was a front office Senior Quantitative Analyst at Aberdeen Asset Management and Associate Director for Institutional Product and Consultancy at Moody's Analytics in the UK. She has an Honours degree in Mathematics from St. Stephen's College, Delhi University and an M.A. in Computer Science from University of Cambridge. She is also currently pursuing MSc. in Mathematical Finance from University of Oxford on a part-time basis.

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