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.
Agenda
- 5:00pm
Check-in
- 5:30pm
Keynote: Bruno Dupire
The Perils of Parameterization
Surprisingly, common market practices leave free convexity on the table.
Markets trade thousands of underlyings, each one with tens or even hundreds of options, quoted throughout the day. Needless to say, the quotes are not generated manually. They are automated and derived from a functional form with a few parameters. If we know this parameterization, we know in advance that the prices tomorrow of many traded securities will belong to a low dimensional (number of parameters) manifold in a high dimensional (number of securities) space. If the vector of today prices does not belong to the convex hull of the manifold it creates arbitrage. We examine several market practices (recalibration of Black-Scholes or of stochastic volatility models, interest rate interpolation by piecewise constant instantaneous forward rates…) and show that many violate the no arbitrage condition.- 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.
- Umberto Cherubini (University of Bologna) – The econometrics of the ISDA basis
- Mohsen Mazaheri (FF Capital Partners) – Systematic strategies risk management
- Sudha Bellamkonda (SparkBeyond) – Combating cognitive biases in ML
- Pasquale Cirillo (TU Delft) – P-Q distortion
- David Mitchell (Bloomberg L.P.) – Insights from Structured Cross-Asset Queries
- Arturo Cifuentes (Columbia University) – Art-secured lending
- 7:00pm
Cocktail Reception
Keynote Speaker
Bruno Dupire
Bruno Dupire is head of Quantitative Research at Bloomberg L.P., 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.
When & Where
Tuesday, October 29, 2019
5:00 pm – 8:00 pm ET
Bloomberg L.P.
731 Lexington Avenue
7MPR room
New York, NY 10022