Overview
*** In-person registration is now closed. Please sign up to join virtually here. ***
🚨 IMPORTANT NOTE 🚨
We will host this event at Bloomberg’s 731 Lexington Ave office.
Please check the “WHEN & WHERE” section below for details.
Please join us for the 11th Anniversary of the Bloomberg Quant (BBQ) Seminar Series – in-person in New York City at the Bloomberg 731 Lexington Avenue office or virtually. The in-person attendees will be served a barbeque at the reception.
In this seminar chaired by Bruno Dupire, Global Head of Quantitative Research, CTO Office at Bloomberg will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession.
Seating is limited and no walk-ins will be allowed.
Agenda
- 4:30 PM
Check-in
- 5:30 PM
Keynote + Q&A: Bruno Dupire
Global Head of Quantitative Research, CTO Office at Bloomberg
The Geometry of Finance
Is it problematic to recalibrate a model? How to get model free bounds? Can we have financial proofs of (in)equalities? How to generate arbitrage free interpolations? How to compute an optimal hedge? A dominating hedge? How does the alpha of an asset depend on the investor’s reference? What is Siegel’s paradox?All these questions have a nice geometric interpretation.
We review the geometric principles of arbitrage, covering FTAP, and show that the main models used in the market lead to dynamic arbitrage when recalibrated. We interpret the notions of optimal hedge and super/sub hedge in geometric terms and show how to prove inequalities with financial arguments. We then explore the intriguing consequences of the Numeraire Portfolio approach. NP is a numeraire such that asset prices in function of NP are martingales under the real-world measure. It induces a rich structure that clarifies the geometry of the risk premiums and the importance of the reference numeraire of the investor.
- 6:30 PM
Lightning Talks
- Nassim Taleb | NYU & Universa Investments
Maximum ignorance probability - Janna Levin | Barnard College of Columbia University
A total solar eclipse, black holes, and you - Sandrine Foldvari | Bloomberg
Causality: A lesson from survival models - Susan Jaffe | American Ballet Theater
The language of dance
- Nassim Taleb | NYU & Universa Investments
- 7:00 PM
Reception: Celebratory Cocktail, Wine, Beer & Barbeque Â
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.
When & Where
Tuesday, January 30, 2024
5:00 PM – 8:00 PM EDT
🚨Bloomberg Headquarters🚨
731 Lexington Ave
New York, NY 10022
Floor 7 Auditorium