Overview
Thank you for your interest in the Bloomberg Quant (BBQ) seminar series. Event registration is closed at this time.
If you have any questions please email quantseminar@bloomberg.net or visit our event page at www.bloomberg.com/bbq.
Please join us for the next installment of the Bloomberg Quant (BBQ) Seminar Series. The seminar takes place every month and covers a wide range of topics in quantitative finance.
In this session, chaired by Bruno Dupire, Prof. Jim Gatheral will present his current research, followed by several “lightning talks” of 5 minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics.
Register and secure your spot for the next session of the BBQ Seminar.
Agenda
- 5:00pm
Check-in
- 5:30pm
Keynote: Diamonds: A Quant’s Best Friend
We use the Alòs Itô Decomposition Formula to express certain conditional expectations as exponentials of forests of trees. Each tree represents iterated applications of a new diamond operator. As one application, we compute an exact formal expression for the leverage swap for any stochastic volatility model expressed in forward variance form. As another, we show how to extend the Bergomi-Guyon expansion to all orders in volatility of volatility. Finally, we compute exact expressions under rough volatility, obtaining in particular the fractional Riccati equation for the rough Heston characteristic function. As a corollary, we compute a closed-form expression for the leverage swap in the rough Heston model.
- Keynote Speaker: Jim Gatheral
- 6:15pm
Lightning talks
A lightning talk is a very short presentation lasting only 5 minutes. Several ones will be delivered in a single session by different speakers in quick succession.
- Bruno Dupire (Bloomberg L.P.): “Radon Transform in finance and medicine”
- Priti Balchandani (Icahn School of Medicine at Mount Sinai): “Finding new ways to visualize the human brain”
- Papa Momar Ndiaye (Stevens Institute of Technology): “Improving Markowitz in turbulent markets”
- Soumya Kalra (R-Ladies New York) : “Gender disparity in open source contributions”
- David Mitchell (Bloomberg L.P.) ” Does the ESG factor add alpha?”
- Amanda Stent (Bloomberg L.P.): ” Deep learning has not solved NLP”
- Nassim Nicholas Taleb (NYU Tandon School of Engineering): “Convexity and medical responses”
- 7:00pm
Cocktail Reception
Keynote Speaker
Jim Gatheral
Jim Gatheral is Presidential Professor of Mathematics at Baruch College, CUNY teaching mostly courses in the Masters of Financial Engineering (MFE) program. Prior to joining the faculty of Baruch College, Jim was involved in all of the major derivative product areas as bookrunner, risk manager, and quantitative analyst in London, Tokyo and New York, in a career in the financial industry that spanned over 27 years. Jim has served as a Managing Editor of the International Journal of Theoretical and Applied Finance and as Associate Editor of the SIAM Journal on Financial Mathematics; he currently serves with Michael Dempster as Joint Editor-in-Chief of Quantitative Finance. His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. Jim is also a frequent speaker at both practitioner and academic conferences around the world. His best-selling book, The Volatility Surface: A Practitioner’s Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling. He received his Ph.D. in theoretical physics from Cambridge University, and a B.Sc. in Mathematics and Natural Philosophy from the University of Glasgow.
When & Where
Monday, June 25th, 2018
5:00 pm – 8:00 pm ET
Bloomberg L.P.
731 Lexington Avenue, 7MPR Room
New York, NY 10022