Bloomberg Quant (BBQ) Seminar Series

Check-in

Keynote:  Professor Hélyette Geman, Birkbeck-University of London & Johns Hopkins University

From Changes of Probability Measures and Changes of Numeraire to Blockchains and Bitcoins

The first part of the talk will review the way the economic assumption of No Arbitrage, combined to powerful results established in probability theory in the fairly recent past, leads to a number of beautiful results in Quantitative Finance; in particular, i) the existence of ‘pricing measures’ under which the prices of primitive securities – in the right numeraire – are martingales; ii) under the physical measure P (the one under which big data are accumulated) , No Arbitrage implies that normality of asset returns can be recovered through a stochastic time change where the clock is driven by the order flow.

The second part of the talk will discuss some key features of cryptocurrencies observed so far, and which methodology can be proposed to analyze this particular asset class stored in a new type of inventory called Blockchain.

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.) – “Correlation for asynchronous data”
• Zimeng Cheng (Stevens Institute of Technology) – “Double sampling Kalman filter”
• Francesco Tonin (Bloomberg L.P.) – “Quantum finance”
• Karin Victorin (Linkoping University) – “The human face of AI”
• Vladimir Markov (Bloomberg L.P.) – “Measuring implementation shortfall with a skewed distribution”
• Pasquale Cirillo (Delft University of Technology) – “A graphical approach to risk concentration”
• Arturo Cifuentes (Columbia University) – “Price and color: the paintings of Mark Rothko”

Cocktail Reception