QUANTАТОN
2024
SUMMER SCHOOL FOR 2nd-4th YEAR STUDENTS
July 14-21, 2024
Together with experts from academia and the industry, explore the life of a mathematical model in an investment bank.
Pushkin,
Saint-Petersburg
ABOUT THE SCHOOL
A week that will expose you to the world of quantitative finance. You will:
understand how work in an investment bank is organized
learn how to evaluate the quality of a model
learn how and why derivatives are valued
build and validate your first models in Python
a derivative is a contract which price depends on a certain asset - it could be a stock, bond, oil, or even the weather
40
participants from all over Russia
25
hours of immersion into financial models
10
project teams
7
experts from academia and industry
1
of the opportunities to join the Vega community
the participants will be divided into teams to solve the final task
you will become a part of the community that brings together the best financial mathematicians in Russia
SCHOOL LECTURERS
will help you grasp the theory
MODEL BUILDING
Dmitry Kramkov
Professor, Carnegie Mellon University
A former Head of Research and Product Development at Tokyo-Mitsubishi International. An expert who has both a vast industrial experience working in the industry and a successful academic career. At Quantaton, he will talk about derivatives valuation, arbitrage and numerical methods for Brownian motion models.
Kirill Klimov
Head of Quantitative Research, VTB Bank;
Head of a Student Research Group, Vega Institute Foundation
He has built and now leads the team of quants that includes four graduates of the Vega Institute Foundation. At Quantaton, he will talk about arbitrage and derivatives from the perspective of a practitioner with more than ten years of experience in investment banking.
Vladimir Shangin
Director of the Quantitative Finance Group, VTB Bank; Head of a Student Research Group, Vega Institute Foundation
At Quantaton, he will decompose the Black-Scholes model and tell where it is needed in an investment bank. He will explain why, even with much more advanced models, quants all over the world still use Black’s formula.
Victor Antipov
Quantitative Analyst, VTB Bank; Postgraduate Student of Moscow State University; Head of a Student Research Group, Vega Institute Foundation
A graduate of the Yandex School of Data Analysis, New Economic School and the Faculty of Mechanics and Mathematics of Moscow State University; a quant. At Quantaton, he will talk about numerical methods for the Black-Scholes model. Under his keen guidance the school participants will work on the methods implementation and get acquainted with the setup of pricing libraries.
MODEL VALIDATION
Leonid Konovalov
Managing Director, Quantitative Risk Management, VTB Bank
An expert with more than 15 years of experience in risk management in market-leading companies. At Quantaton, he will talk about what model risk is in derivatives pricing as well as show methods of its assessment.
SCHOOL TUTORS
will guide you from problem statement to project defense
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Artem Sergeyev
Faculty of Mechanics and Mathematics, MSU; VTB Bank
Artemy Sazonov
Faculty of Mechanics and Mathematics, MSU
Ivan Cherepakhin
Faculty of Mechanics and Mathematics, MSU; VTB Bank
Daria Yunevich
Faculty of Computational Mathematics and Cybernetics, MSU
Diana Kalikaeva
Faculty of Mechanics and Mathematics, MSU
Ivan Polozov
Faculty of Mechanics and Mathematics, MSU
I take part in the Quantaton library development. During the program, I will help you understand the finite difference method and arbitrage-free (fair) valuation of derivatives.

About me: I like St. Petersburg, playing tennis and sleeping. In my spare time I intern at the Quantitative Research of the VTB Bank.
At Quantaton, I will help you understand the practical matters of derivatives valuation and how the pricing library is organized. Often, we don't have an obvious formula for fair value and we have to use numerical methods, which I will talk about in detail.

About me: I'm a student, I lead an active lifestyle and often watch random videos at 3am - about philosophy, linguistics and other unpredictable topics.
I will be validating the difficulty of the assignments and helping participants to complete them assignments at Quantaton. I am an intern at the Quantitative Risks in VTB Bank and am able to explain basic things in a clear way.

About me: I like working out and arm wrestling, cheese and functional analysis. I work in the student research group "Market Microstructure".
I will tell you about Python and its application in financial math problems. I consider programming skill very important, because, without the correct realization of theoretical idea, it is impossible to achieve a reliable final result.

About me: I like sports, jazz and dancing.
Before Quantaton, I will remind you how to numerically solve differential equations and help you understand stochastics. During the program, I will help with problem solving assessment. I can tell you in detail about the Vega specialization at Mech-Math and about Vega student research groups.

About me: I like to cook pasta and make pottery.
At Quantaton, I will be checking your assignments and answer your questions. Before that, I will validate the tasks and help you with preparation.

About me: I like to rest hard and work hard. I have finished the fourth year of the Vega specialization and work in the student research group "Stochastic Volatility Models".
Artem Sergeyev
Faculty of Mechanics and Mathematics, MSU; VTB Bank
Artemy Sazonov
Faculty of Mechanics and Mathematics, MSU
Ivan Cherepakhin
Faculty of Mechanics and Mathematics, MSU; VTB Bank
Daria Yunevich
Faculty of Computational Mathematics and Cybernetics, MSU
Diana Kalikaeva
Faculty of Mechanics and Mathematics, MSU
Ivan Polozov
Faculty of Mechanics and Mathematics, MSU
I take part in the Quantaton library development. During the program, I will help you understand the finite difference method and arbitrage-free (fair) valuation of derivatives.

About me: I like St. Petersburg, playing tennis and sleeping. In my spare time I intern at the Quantitative Research of the VTB Bank.
At Quantaton, I will help you understand the practical matters of derivatives valuation and how the pricing library is organized. Often, we don’t have an obvious formula for fair value and we have to use numerical methods, which I will talk about in detail.

About me: I’m a student, I lead an active lifestyle and often watch random videos at 3am — about philosophy, linguistics and other unpredictable topics.
I will be validating the difficulty of the assignments and helping participants to complete them assignments at Quantaton. I am an intern at the Quantitative Risks in VTB Bank and am able to explain basic things in a clear way.

About me: I like working out and arm wrestling, cheese and functional analysis. I work in the student research group "Market Microstructure".
I will tell you about Python and its application in financial math problems. I consider programming skill very important, because, without the correct realization of theoretical idea, it is impossible to achieve a reliable final result.

About me: I like sports, jazz and dancing.
Before Quantaton, I will remind you how to numerically solve differential equations and help you understand stochastics. During the program, I will help with problem solving assessment. I can tell you in detail about the Vega specialization at Mech-Math and about Vega student research groups.

About me: I like to cook pasta and make pottery.
At Quantaton, I will be checking your assignments and answer your questions. Before that, I will validate the tasks and help you with preparation.

About me: I like to rest hard and work hard. I have finished the fourth year of the Vega specialization and work in the student research group "Stochastic Volatility Models".
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PARTICIPANTS’ FEEDBACK
Alyona Polyukh
Every Quantaton is a celebration and an event to look forward to!
It is an opportunity to…
Altai State University
Sergey Protasov
At Quantaton, I finally met 3 elements of academia in one place: the best experts, the best scientific topics…
Vyatka State University
Bruce Beck
I used to not even know what an option was, and now I’m in a student research group on "Stochastic…
Novosibirsk State University
Oleg Kurilov
The school made very good impression on me: a strong introduction to financial mathematics…
HSE University
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PARTICIPANTS’ FEEDBACK
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Alyona Polyukh
Every Quantaton is a celebration and an event to look forward to!
It is an opportunity to…
Altai State University
Sergey Protasov
At Quantaton, I finally met 3 elements of academia in one place: the best experts, the best scientific topics…
Vyatka State University
Bruce Beck
I used to not even know what an option was, and now I’m in a student research group on "Stochastic…
Novosibirsk State University
Oleg Kurilov
Школа оставила очень хорошие впечатления, сильное введение
в финансовую математику…
HSE University
ELIGIBILITY
2nd-4th year Bachelor and Specialist students

majoring in
Mathematics
and related areas
Information Technology
and related areas
Physics
and related areas
Economics
with advanced background in Mathematics
WE EXPECT THAT YOU
Have a command of the mathematical apparatus
Have the courage to solve complex problems
Are willing to learn to use Python quickly
математика
и смежные специальности
Ability to quickly learn new mathematical methods and apply them
FREE PARTICIPATION
Participation in all academic and extracurricular activities of the school is compulsory.
Russian and English
SCHOOL LANGUAGE
Accommodation, meals, transfer to and from the school location are provided by the organizers.
the school materials are partially in English
stages of selection and preparation
APPLICATION DEADLINE
July 1
PREPARATION FOR THE ENTRY TEST
June 24 – June 30
HANDOUT OF the ENTRY TEST
from June 24 to July 1
ENTRY TEST SUBMISSION
until July 1
ADDMITION RESULTS
until July 5
SCHOOL PREPARATION
July 6 – July 12
school starts
July 14
Schedule of open classes
HOW TO PARTICIPATE
STILL HAVE QUESTIONS?
Contact us:
Radmila Smirnova
Lev Fedorov
Administrative matters
Academic matters
Don’t miss school updates. Follow us on Telegram
If you still have questions about the school, email us at info@vega-institute.org
Lev.Fedorov
@vega-institute.org
Radmila.Smirnova @vega-institute.org
PREVIOUS SCHOOLS
QUANTATON 2022
QUANTATON 2022
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read more
July 4-10
Pushkin
December 11-18
Sirius
© Vega Institute Foundation, 2024