July 4-10, 2022, town of Pushkin, St. Petersburg
QUANTАТОN 2022
EN
RU
Workshop: introduction to contemporary financial mathematics, machine learning, and blockchain technology by top-ranked experts.
SUMMER SCHOOL OF VEGA INSTITUTE FOUNDATION
About The school
Application deadlines:
through June 15 – for participants from Moscow

through June 22 – for participants from other cities
July 5-9, 2022
Participants arrive on July 4 and leave on July 10
Participation is free of charge
The participants' travel to the school's location is arranged and covered by the organizers
University students in their 3rd and 4th year of the Bachelor's program with majors in mathematics, IT, and related fields

University students in their 3rd and 4th year of the Bachelor's program in economics with advanced mathematical foundation (for example, you know the difference between Riemann, Lebesque, and Ito integrals)

Students in their 2nd year of the Specialist program of the Faculty of Mechanics and Mathematics of the Moscow State University
Workshop location:
Kochubey Center, town of Pushkin (St. Petersburg)
*QUANT (Quantitative researcher)
the name given to mathematical finance professionals who work in investment business and finance industry.
June 25
Acceptance notification:
Who is invited to apply:
Workshop dates:
A week-long theory-and-practice workshop:
The participants will be invited to split into teams of five and solve the presented problems using the newly-acquired knowledge.

theory and practice combined
Discover financial mathematics and learn to assess the value of basic financial instruments

Get acquainted with contemporary blockchain technologies and write your first smart contract

Understand the way machine learning is used to solve different applied problems

3
days of theory
2
days of Quantaton*
7
days of face-to-face engagement with experts
Intense
extracurricular activities
engagement with the top-ranked experts from academia and industry
historical campus
networking
While at the School, you will:
QUANTATON – the School's competitive component
Financial Derivatives with C++
Dmitry Kramkov
Carnegy Mellon University
The course gives a sense of the powerful capabilities of existing C++ libraries when applied to the assessment of derivative instruments.
3 areas of study:
You will learn about fundamental ideas underlying the implementation of such financial models and the principal algorithms for evaluation of derivatives, and will try your hand at C++ language programming.

List of topics:
  • Price = replication. Backward induction.
  • C++ elements: object oriented programming, smart pointers, RAII ("Resource acquisition is initialization "), PIMPL ("Pointer to implementation").
  • Development of financial model for assessment of derivatives. Rollback operator.
  • The processes of state.
  • Calculation of the estimation algorithms for stock and interest rate options using C++.
Introduction to Machine Learning
Evgeny Burnaev
Skolkovo Institute of Science and Technology (Skoltech)
We will discuss the base methods and related sets, what factors impact the choice of the right method, and which mathematics is connected to each of the methods.
List of topics:
  • Introduction to machine learning, the role of regression, simple regression, decision tree method.
  • The purpose of systematization, logistic regression, gradient boosting.
  • Neural networks, convolutional neural networks for image processing.
Blockchain and cryptocurrencies
Rostislav Berezovsky
Hash CIB
The course will talk about foundations of blockchain technology and introduce the students to the operations of Bitcoin and Ethereum networks.
The primary focus will be on decentralized finance (DeFi), operational models of landing platforms, stablecoins, decentralized exchanges. We will review the Liquidity Provider problem in Automated Market Making (AMM) with concentrated liquidity. The course's practical component involves dispatch of transactions and work with smart contracts in the Ethereum testing environment.

 
Prior to commencement of classes, we recommend that participants closely review the study materials provided by the lecturers.
Preparation
Step 1. Submit application online.
Step 2. Fill out the questionnaire and upload the necessary documents.
Submit Application
Organizing Commitee
Yuri Kabanov
Chairman of the Board of Directors,
Scientific Director of the Foundation
Dr. Sci. in Phys. and Maths, Professor (Faculty of Mechanics and Mathematics, MSU)
Kirill Klimov
Chief Executive Officer of the Foundation,
Cand.Sci. in Phys. and Maths,
Graduate of the Faculty of Mechanics and Mathematics, MSU and AESC MSU
Marianna Prutovykh
Deputy Chief Executive Officer of the Foundation
Valeria Stefanenko
Vega Institute Foundation, Deputy director for education
Valeria Volobueva
Vega Institute Foundation, Project Manager of Educational Initiatives