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Switzerland

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

Venue

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

Meetup.com

You can register for this FREE event on Meetup.com: http://www.meetup.com/thalesians/events/225880103/

Abstract

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.

PLM

Zurich Leader

Swati Mital (Zurich)

Swati Mital

Swati Mital is a finance practitioner working in Equity Derivatives Sales and Trading division for an investment bank in London. Prior to this she was based in Switzerland where she held different roles, first as a Front Office quantitative analyst in a buy-side firm and then moving to a sell-side private bank in Zurich. She received MSc. in Financial Mathematics from University of Oxford, M.A. in Computer Science from University of Cambridge and B.A. Honours in Mathematics from St. Stephen's College, University of Delhi. Prior to moving in finance she worked for a number of years researching and developing applications for medical procedures required for diagnosis and treatment of colon cancer and brain trauma.

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