Overview
Please join us for November’s installment of the Bloomberg Quant (BBQ) Seminar Series – in-person in New York City at Bloomberg’s 731 Lexington Avenue office.
In this seminar chaired by Bruno Dupire, Fabio Mercurio (Bloomberg) 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: Fabio Mercurio
BloombergMachine Learning for Interest Rates: Using Auto-Encoders for the Risk-Neutral Modeling of Yield Curves
In this talk, we use autoencoders (AE) to capture the historical dependence structure of interest rates and introduce risk-neutral forward rate dynamics that are consistent with a given AE curve manifold. We first derive a general condition for the AE-based forward-rate curve to admit a no-arbitrage evolution. Then, by allowing a small convexity-driven deviation from the AE curve manifold, we derive a risk-neutral modeling framework that is arbitrage-free and incorporates the information built into the AE (low-dimensional) curve manifold. Finally, we showcase numerical results based on historical market swap data for multiple currencies, visualizing graphically some of our key concepts.
- 6:30 PM
Lightning Talks
- Yi Ling Yu | Zygma Labs
How Matchmaking Algorithms Can Be Applied to Finance - Steve Moy | Bloomberg
Muni New Issue Performance - Alex Skabelin | Independent Researcher
AI: Super Orthogonality and Alignment Markets - Francesco Tonin | Bloomberg
The Two Envelopes Paradox
- Yi Ling Yu | Zygma Labs
- 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.
Fabio Mercurio
Fabio Mercurio is the Global Head of Quantitative Analytics at Bloomberg in New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations, and credit and market risk. Fabio is also an adjunct professor at NYU. He co-authored the book “Interest Rate Models: Theory and Practice” (Springer Finance, 2001) and has been published extensively in books and international journals, including 20 cutting-edge articles in Risk Magazine. Fabio was named “Quant of the Year” at the Risk Awards 2020.