Overview
Please join us for February’s installment of the Bloomberg Quant (BBQ) Seminar Series – in-person in New York City at Bloomberg’s 120 Park Avenue office.
In this seminar chaired by Bruno Dupire, Eduardo Abi Jaber, Professor in Applied Mathematics at Ecole Polytechnique, will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession.
Please note: Seating is limited and no walk-ins will be allowed. Please register early to reserve your seat.
Agenda
- 5:00 PM
Registration
- 5:30 PM
Keynote: Eduardo Abi Jaber
Path-Signatures: Memory and Stationarity
We explore the interplay between path-signatures, memory, and stationarity, highlighting their implications for machine learning, representation of stochastic processes and applications in mathematical finance. In a first part, we provide explicit series expansions to certain stochastic path-dependent integral equations in terms of the path signature of the time augmented driving Brownian motion. Our framework encompasses a large class of stochastic linear Volterra and delay equations and in particular the fractional Brownian motion with a Hurst index H in (0, 1). Our expressions allow to disentangle an infinite dimensional Markovian structure. In addition they open the door to: (i) straightforward and simple approximation schemes that we illustrate numerically, (ii) representations of certain Fourier-Laplace transforms in terms of a non-standard infinite dimensional Riccati equation with important applications for pricing and hedging in quantitative finance. In a second part, we introduce a time-invariant version of the signature: the fading-memory signature, and establish powerful algebraic, analytic and probabilistic properties with applications to learning stationary relationships in time series. This is based on joint works with Paul Gassiat, Louis-Amand Gérard, Yuxing Huang, Dimitri Sotnikov.
- 6:30 PM
Lightning Talks
- Aakriti Mittal | Bloomberg
Delphyne: A Pre-Trained Model for Financial Time Series - Ilia Bouchouev | Pentathlon Investments
A Stylized Model of a Commodity Squeeze - Francesco Tonin | Bloomberg
Poirot and the Case of the Missing “One”
- Aakriti Mittal | Bloomberg
- 7:00 PM
Networking Reception
Speakers
Bruno Dupire
Bruno Dupire is the Global Head of Quantitative Research, CTO Office at Bloomberg, which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008. He runs and organizes the Bloomberg Quant (BBQ) Seminar, the largest monthly event of this kind.
