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, Fabio Mercurio 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: Fabio Mercurio, Bloomberg L.P.
Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR
In this talk, we define and model forward risk-free term rates, which appear in the payoff definition of derivatives, and possibly cash instruments, based on the new interest-rate benchmarks that will be replacing IBORs globally. We show that the classic interest-rate modeling framework can be naturally extended to describe the evolution of both the forward-looking (IBOR-like) and backward-looking (setting-in-arrears) term rates using the same stochastic process. We then introduce an extension of the LIBOR Market Model (LMM) to backward-looking rates. This extension, which we call generalized forward market model (FMM), completes the LMM by providing additional information about the rate dynamics between fixing/payment times, and by implying dynamics of forward rates under the classic money-market measure. Our FMM formulation is based on the concept of extended zero-coupon bonds, which proves to be very convenient when dealing with backward-looking setting-in-arrears rates. Thanks to this, not only the bonds themselves, but also the forwards and swap rates, along with their associated forward measures, can be defined at all times, even those beyond their natural expiries.- 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.
- Hongjing Zhang (Stevens Institute of Technology) – Santiment* analysis on natural gas: Vol. II
- David Mitchell (Bloomberg L.P.) – Factor decompositions
- Tony Zhou (Top ranked horse betting tournament player) – Benter, boosting and beyond
- Mohsen Mazaheri (FF Capital Partners) – Risk weights and portfolio construction
- Arka Bandyopadhyay (Baruch College) – Deep learning for risk in commercial mortgages
- Achintya Gopal (Bloomberg L.P.) – Quantum ML
- 7:00pm
Cocktail Reception
Keynote Speaker
Fabio Mercurio, Ph.D.
Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and market risk. Fabio is also adjunct professor at NYU. He has jointly authored the book “Interest rate models: theory and practice” and published extensively in books and international journals, including 18 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands
When & Where
Tuesday, May 28, 2019
5:00 pm – 8:00 pm ET
Bloomberg L.P.
731 Lexington Avenue
7MPR Room
New York, NY 10022