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, Professor Peter Carr 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.
Agenda
- 5:00pm
Check-in
- 5:30pm
Keynote: Professor Peter Carr, NYU
Just in Time Portfolio Insurance
The buyer of just-in-time portfolio insurance can floor one out of a set of N daily price relatives at some contractually specified positive constant. The decision whether or not to floor a given price relative must be made just after the price relative is realized. We use a little known branch of mathematics called pseudo-analysis to value the insured portfolio in closed form. Pseudo analysis allows the addition and/or multiplication binary operations to differ from ordinary addition and multiplication. For example, ordinary addition can be replaced by the maximum operation while ordinary multiplication is unchanged- 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.
- Daniel Caporaletti (Bloomberg L.P.) – “FX sentiment on news and Twitter”
- Gregory Pelts – “Jump diffusion with magic time”
- Hongjing Zhang & Menglu Jiang (Stevens Institute of Technology) – “Santiment analysis on oil”
- Zef Lokhandwalla (Bloomberg L.P.) – “The future of energy”
- Zhibai Zhang (NYU Tandon) – “ML to predict realized variance”
- Chris Dolan (Bloomberg L.P.) – “Weather maps”
- 7:00pm
Cocktail Reception
Keynote Speaker
Peter Carr
Dr. Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. He has headed various quant groups in the financial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his Ph.D. from UCLA in 1989. He has over 85 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor’s Tech 50, an annual listing of the 50 most influential people in financial technology.
When & Where
Thursday, February 21, 2019
5:00 pm – 8:00 pm ET
Bloomberg L.P.
731 Lexington Avenue
7MPR Room
New York, NY 10022