Overview
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Agenda
- 5:00 PM
Registration
- 5:30 PM
Keynote: Nassim Nicholas Taleb
Researcher and Scholar of Risk and Probability
Some Practical Problems in Probability
In a survival function, under fat tails, errors on probability translate into disproportionately large, possibly infiinite, errors on threshold. The same applies to errors on growth rates for diseases, as well as academic papers on forecasting.
Discussion of fundamental technical errors in psychology papers with respect to probability.
Fooled by correlation and relative distances in the geometry of information. We propose heuristics for the application of entropy methods for genetic distances.
- 6:30 PM
Lightning Talks
- Elias Bareinboim | Columbia University
Causal Data Science - Aakriti Mittal | Bloomberg
Diffusion Models in AI - Revant Nayar | FMI Technologies
From Black Scholes to Black Holes - ShengQuan Zhou | Bloomberg
Understanding VIX1D, the New 1-Day VIX
- Elias Bareinboim | Columbia University
- 7:00 PM
Reception: Specialty Cocktail, Wine, Beer & Italian Cuisine
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 was also selected as the recipient of the 2025 Financial Engineer of the Year Award by the International Association for Quantitative Finance (IAQF) . He runs and organizes the Bloomberg Quant (BBQ) Seminar, the largest monthly event of this kind.
Nassim Nicholas Taleb
Nassim Nicholas Taleb was an option arbitrage trader for more than two decades, closing more than half a million option transactions, before becoming a researcher and scholar of risk and probability. He is the author of Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley 1997), which bridges the gap between theory and practice, as well as Statistical Consequences of Fat Tails (STEM 2020), on how to adapt statistical methods to handle nonGaussian distributions.