Mariana Marques de Almeida

Quantitative Analyst Intern at CIBC

Speaker

Mariana Marques de Almeida is currently a Quantitative Analyst Intern at CIBC and is completing an MSc in Mathematics and Finance at Imperial College London. At CIBC, she works on initial margin allocation across trading desks using marginal-risk and cooperative game-theory methods. Her MSc thesis, conducted externally with Thalesians Ltd under the supervision of Dr Paul Bilokon, studies the sequential prediction of Bitcoin option volatility surfaces using particle filtering, comparing classical SABR with a lifted rough-SABR model. She holds a BSc in Applied Mathematics from the University of Lisbon.