[expand title=”Norman Niemer, UBS O’Connor: Data Science at UBS O’Connor” tag=”h2″]

Speaker: Norman Niemer, Associate Director Quantitative Research, UBS O’Connor

Bio: Norman is a team lead for an innovative data science project at UBS O’Connor, the hedge fund unit of UBS. He has worked in investment research on the buy-side for 7 years including the macro hedge fund Caxton Associates and a start-up hedge fund. Before that he worked on the sell-side at Morgan Stanley and Merrill Lynch and even founded a tech company in high school. He lead teams that won several high profile coding competitions including Techcrunch NY, Fintech NY and Mastercard Masters of Code NY. He holds a MS Financial Engineering from Columbia University and a BS Banking & Finance from Cass Business School (London).

Summary: The three topics in this talk are:

  • Data Science at UBS O’Connor: who we are, what we do and how we do it
  • Practical interview tips and data science in finance
  • Exciting things we’ve built in finance and beyond

Date: September 14, 2016

[/expand] [expand title=”Oren Tapiero, John Molson School of Business: Are VIX futures relevant for hedging intraday left-tail risk?” tag=”h2″]

Speaker: Oren Tapiero, Professor, John Molson School of Business at Concordia University

Bio: Oren J. Tapiero is a financial economist and currently a scholar in residence at the Department of Finance at John Molson School of Business (Concordia University, Montreal – Canada). Previously, he held a postdoc position at Université de Paris I Sorbonne-Panthéon and the Laboratoire d’Excellence – Regulation Financière (Labex-Rèfi). Dr. Tapiero’s current research focuses on the economic and empirical aspects of risk and uncertainty modeling. Covering a broad range of topics related to high-frequency data analysis, fractional analysis of CBOE index of implied volatility (VIX) and related assets, portfolio strategies in the intraday environment, and accommodation of fractional models within investment decisions. Previous research focused on framing tails uncertainty using non-extensive statistical mechanics theory and information theory.

Summary: Short-term VIX futures are meant to manage tail risk exposures. This talk provides a one-step-ahead efficient portfolio hedge using these futures in a high-frequency environment. To do so, we analyze the predictive information contents of the VIX futures basis and their causality (in mean and volatility) on the spot VIX and S&P 500 index. We find that VIX futures basis embeds significant linear, asymmetric, and nonlinear predictive information for the one-step-ahead S&P 500 log-returns forecast density. VIX futures are also shown to be causal-in-mean to the S&P 500, especially when stock market momentum is negative. We also found a strong feedback-in-volatility relationship among the S&P 500, the VIX spot, and futures. Analysis of the hedged asset allocation performances of VIX futures is done by simulating several portfolios that include an ETF that tracks the S&P 500 and VIX futures. Finally, we conclude that VIX futures are able to hedge effectively left-tail exposures in an intraday environment. On the basis of these results, we show that portfolio returns can be improved using simple minimum variance asset allocation strategies, albeit at the expense of an increased portfolio left-tail exposure.

Date: May 23, 2016

[/expand] [expand title=”Tim Grant, UBS O’Connor: A Personal Journey Through Finance” tag=”h2″]

Speaker: Tim Grant, Managing Director, UBS O’Connor

Bio: Tim Grant is Managing Director at UBS O’Connor, a global musti-strategy hedge fund with $6bn in assets under management. Tim has responsibilities across risk management, quantitative research and technology. Before O’Connor Tim was Managing Director at Benchmark Solutions, a Warburg Pincus backed financial technology startup focused on the combination of complex event processing and financial engineering to create reliable real-time prices for the fixed income market. Benchmark Solutions was sold to Bloomberg LP in March 2013. Before this Tim spent 9 years at UBS, first as Managing Director within the UBS Delta portfolio solutions and analytics business, and then reporting to the Group Chief Risk Officer in 2008 as part of the management team running the $100bn Workout Group of distressed real-estate assets.

Summary: Insights from a 15 year journey through the financial markets with a focus on risk management, analytics and the investment process. The story starts in investment banking (including a front row seat during the financial crisis in 2008), moves to the world of financial technology startups before culminating at one of the most storied hedge fund names in the industry.

Date: October 8, 2015[/expand] [expand title=”Bjarne Stroustrup, Morgan Stanley: C++ Style for 2014 and Beyond” tag=”h2″]

Speaker: Bjarne Stroustrup, Managing Director, Morgan Stanley; inventor of C++

Bio: Dr. Stroustrup designed and implemented the C++ programming language. He is a Managing Director in the technology division of Morgan Stanley in New York City, a Visiting Professor in Computer Science at Columbia University, and a Distinguished Research Professor in Computer Science at Texas A&M University.

Summary: What should modern C++ code look like? How can we benefit from C++11 and C++14 facilities? How do we manage complexity? How do we manage resources? How do we do so with minimal cost? In other words: How do we write simple, efficient, elegant, maintainable, and fast code? Obviously there is no one simple answer, but this talk presents a few rules of thumb and illustrates them with a few key examples.

Date: July 15, 2014[/expand] [expand title=”Daniel Duffy. Datasim Education: C++11 for Design and Implementation of Software Applications: the Next Generation” tag=”h2″] Speaker: Dr. Daniel Duffy, Datasim Education BV

Bio: Daniel J. Duffy has been working in software development projects as programmer, designer, trainer and author since 1979. He has been working in areas such as oil/gas, computer graphics/CAD, process control and computational finance. Daniel Duffy is the originator of the popular Baruch/Quantnet MFE Program C++ online course. He has a PhD in Numerical Analysis from Trinity College (Dublin University). In his free time he likes doing the gentle sports of judo, karate and ju-jutsu.

Summary: We give an overview of the new language features in C++11 and how to use them to create flexible code for applications. In particular, we discuss how to use the new data structures, support for multiparadigm programming models and improved syntax in code:

  • Object-oriented, generic and functional programming models
  • New data structures (for example, tuples and unordered containers)
  • Using C++11 to create next-generation design patterns
  • C++11 and Boost C++ libraries
  • A discussion of applications in computational finance and engineering

Date: June 18, 2015[/expand] [expand title=”Andrew Sheppard, Fountainhead Lab: “Banking on the Blockchain” ~ Crypto-currencies and why finance will never be the same again!” tag=”h2″]

Speaker: >Andrew Sheppard, Principal, Fountainhead Lab

Bio: Andrew Sheppard started his career in finance as a quant at Bankers Trust working in London, then Tokyo, and finally in New York. Andrew has since worked as a consultant, chief quant and CTO at various European and U.S. banks and a multi-billion dollar hedge fund. Since 2010 he has worked as a consultant exclusively in the areas of Big Data and Big Compute in finance and insurance.

Summary: Bitcoin is a financial AND technological tour-de-force; albeit built on a mountain of past failures. Several previous attempts have been made at making some form of digital cash; they all failed for one reason or another. Bitcoin, using the blockchain, is the first crypto-currency and form of digital cash that looks like it might work.

And Bitcoin is really a currency built on top of a technology stack, which is the blockchain. If Bitcoin (the currency) were to die tomorrow, the blockchain would live on. Not only does the blockchain make many things we do in finance simpler, more secure, and lower cost. It also has the future built-in in the sense that it makes many of the things we can imagine doing (and those that we can’t) simpler, more secure, and lower cost.

Now that the blockchain genie is out of the bottle, so to speak; the blockchain, as a technology, is finding wider application well beyond Bitcoin. There are other crypto-currencies, and new ways of using the blockchain wholly unrelated to digital cash (such as electronic volting).

In this talk I will go though the technology building blocks that make up the blockchain and its relationship to crypto-currencies and other things. Along the way, I’ll cover some fundamental concepts; such as how the blockchain relates to information theory and the irreversibility of time. Deep stuff!

Date: August 19, 2015[/expand] [expand title=”Jacky Lee, Credit Suisse: Adjoint Credit Risk Management” tag=”h2″]

Speaker: Jacky Lee, Managing Director, Credit Suisse

Bio: Jacky Lee is the US regional head of Quantitative Strategies and is also the global head of Quantitative Strategies Global Credit Products at Credit Suisse. He is currently focusing in the areas of Flow and Structured Credit, Strategic Risk Program and Counterparty Credit Risk Management. Prior to joining Credit Suisse in August 2002, he began his career as a quantitative modeller in the Credit Derivative Research Team in Morgan Stanley in 1998. Jacky holds a PhD in Operations Research from Stanford University and an MSc in Applied Mathematics from Auckland University, New Zealand.

Summary: Adjoint Algorithmic Differentiation is one of the principal innovations in risk management of the recent times. In this talk we show how this technique can be used to compute real time risk for credit products.

Date: January 27, 2015[/expand] [expand title=”Luca Capriotti, Credit Suisse: Monte Carlo Methods for American Options” tag=”h2″]

Speaker: Luca Capriotti, Director in the Quantitative Strategies Group, Credit Suisse Group

Bio: Dr. Luca Capriotti is a Director at Credit Suisse Group, Investment Banking Division, where he works in the Quantitative Strategies Group(formerly known as GMAG) in the New York city office. He is currently focusing on modeling in the areas of Structured Credit, and Counterparty Credit Risk Management. He is also working on developing efficient and general multi-asset Monte Carlo engines supporting fast calculation of Greeks for which he has a Patent pending. Previous to this role, he has worked in Commodities Exotics in New York and London and in the cross-asset modeling R&D group of GMAG in the London office. His current research interests are in the field of Credit Default Intensity Modelling and Computational Finance, mainly focusing on efficient numerical techniques for Derivatives Pricing and Risk Management. Luca holds a M.S. cum laude in General Physics from University of Florence (1996), and an M.Phil. and Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste (2000).

Date: April 26, 2014[/expand] [expand title=”Eugene Neduv, Red Swan Risk: Financial Network Analytics and Equity Portfolio Hedging” tag=”h2″]

Speaker: Eugene Neduv, Partner, Red Swan Risk

Bio: In 2010 Eugene Neduv has started to work as independent consultant in volatility trading and risk management. His clients include a few firms in Sao Paulo and New York. Eugene also conducts mathematical research with colleagues in Barcelona and Rio de Janeiro. Currently Eugene is also a partner at a boutique risk consulting firm Red Swan Risk and is on board of directors of RDJ fund of funds that provides portfolio construction and allocation advise to off shore investors in Brazil.

Summary: Financial Network Analytics is a software application founded by Kimmo Soramaki. FNA allows exploration and monitoring of large-scale dependence structures of financial assets. It uses network theory for reducing market or portfolio complexity with intuitive and interactive data visualizations. This allows enhanced identification of price driving themes and market dynamics, and the discovery of market anomalies.

Date: April 12, 2014[/expand] [expand title=”Gary Kazantsev, Bloomberg LP: Teaching machines to read for fun and profit” tag=”h2″]

Speaker: Gary Kazantsev, Head R&D Machine Learning, Bloomberg LP

Bio: Gary Kazantsev runs the R&D Machine Learning group at Bloomberg LP, leading projects in the areas of computational linguistics and machine learning such as sentiment analysis, market impact indicators, machine translation, text classification and predictive modeling of financial markets. He holds degrees in physics, mathematics and computer science from Boston University.

Summary: Financial Network Analytics is a software application founded by Kimmo Soramaki. FNA allows exploration and monitoring of large-scale dependence structures of financial assets. It uses network theory for reducing market or portfolio complexity with intuitive and interactive data visualizations. This allows enhanced identification of price driving themes and market dynamics, and the discovery of market anomalies.

Date: April 12, 2014[/expand] [expand title=”Tim Grant, UBS O’Connor: Risky Business” tag=”h2″]

Speaker: Tim Grant, Managing Director, UBS O’Connor

Bio: Tim Grant is Managing Director at UBS O’Connor, a global musti-strategy hedge fund with $6bn in assets under management. Tim has responsibilities across risk management, quantitative research and technology. Before O’Connor Tim was Managing Director at Benchmark Solutions, a Warburg Pincus backed financial technology startup focused on the combination of complex event processing and financial engineering to create reliable real-time prices for the fixed income market. Benchmark Solutions was sold to Bloomberg LP in March 2013. Before this Tim spent 9 years at UBS, first as Managing Director within the UBS Delta portfolio solutions and analytics business, and then reporting to the Group Chief Risk Officer in 2008 as part of the management team running the $100bn Workout Group of distressed real-estate assets.

Summary: Insights from a 15 year journey through the financial markets with a focus on risk management, analytics and the investment process. The story starts in investment banking (including a front row seat during the financial crisis in 2008), moves to the world of financial technology startups before culminating at one of the most storied hedge fund names in the industry.

Date: April 11, 2014[/expand] [expand title=”Vahagn Minasian, Goldman Sachs: Quantitative and operational challenges in the aftermath of financial crisis and another recent market events” tag=”h2″]

Speaker: Vahagn Minasian, Managing Director, Goldman Sachs

Bio: After graduating with a PhD in Mathematics (Algebraic Topology) from University of Illinois, Dr. Vahagn Minasianheld a postdoc at Northwestern University and the Tamarkin Assistant Professorship at Brown before joining the equity derivatives desk at Goldman Sachs in 2004, where I am currently a Managing Director.

Summary: We discuss how some of the recent events in industry changed the way the banks approach variety of risk management and control functions and quantitative challenges it presented Examples include:

  • challenges in projecting funding needs of derivatives businesses
  • flash crash and other electronic mkt disruptions
  • derivatives pricing and risk management in the environment where the “conventional” relationships between mkt data inputs evolve

Date: April 11, 2014[/expand] [expand title=”David Greenberg, Morgan Stanley: Transition of Open Outcry Trading to Electronic Trading” tag=”h2″]

Speaker: David Greenberg, Morgan Stanley, Greenberg Capital, former NYMEX Board of Directors

Bio: Mr. Greenberg has over 22 years of experience in private investments, commodities trading, and global markets. Throughout his career, Mr. Greenberg has appeared on numerous media outlets including CNN, Fox Business News, Bloomberg, and CNBC. He is frequently interviewed about commodities trading, executive board decisions, and business projections. He is a frequent guest lecturer for the finance program at both Hofstra University and the Whitman School of Management at Syracuse University. In addition, he teaches a course on the transition to electronic trading at the Museum of American Finance. Mr. Greenberg is highly sought after for his ability to explain complex corporate and trading situations.

Summary: Transition of Open Outcry Trading to Electronic Trading: how it happened, why it happened, the players involved and the effects it has had on the world energy markets.

Date: April 5, 2014

[/expand] [expand title=”Peter Carr, Managing Director and Global Head of Market Modeling at Morgan Stanley: Kelly’s Criterion” tag=”h2″]

Speaker: Peter Carr, Managing Director and Global Head of Market Modeling, Morgan Stanley

Bio: Dr. Peter Carr is a Managing Director at Morgan Stanley in New York. He is also the Executive Director of the Masters in Math Finance program at NYU’s Courant Institute. Prior to his current positions, he headed quantitative research groups at Bloomberg LP and at Bank of America Securities. His prior academic positions include 4 years as an adjunct professor at Columbia University and 8 years as a finance professor at Cornell University. Since receiving his PhD. in Finance from UCLA in 1989, he has published extensively in both academic and industry-oriented journals. He is currently the treasurer of the Bachelier Finance Society and an associate editor for 8 journals related to mathematical finance and derivatives. He has given numerous talks at both practitioner and academic conferences. He is also credited with numerous contributions to quantitative finance including: co-inventing the variance gamma model, inventing static and semi-static hedging of exotic options, and popularizing variance swaps and corridor variance swaps. Peter has won awards from Wilmott Magazine for “Cutting Edge Research” and from Risk Magazine for “Quant of the Year”. Peter has been named the 2010 IAFE Financial Engineer of the Year.

Date: March 28, 2014[/expand] [expand title=”Dmitry Sendersky, BlackRock Solutions: Valuation of a CSO-squared using control variates” tag=”h2″]

Speaker: Dmitry Sendersky, Director Financial Modeling Group, BlackRock Solutions

Bio: Dmitry Sendersky is a Director with the Financial Modeling Group of BlackRock Solutions. Upon graduating with a PhD in Applied Mathematics from SUNY Stony Brook in 2000, Dmitry has started his career in Finance with Kiodex, a startup specializing in Commodity Risk Management (oil, natural gas, refined products). In 2003 he joined RiskMetrics and focused on Structured Finance (Collateralized Bond Obligations). In 2005, Dmitry has moved to BlackRock Solutions to head the Quantitative Credit Team in Financial Modeling Group (FMG). Currently, Dmitry is the co-head of Term Structure and Security Valuations Team within FMG.

Summary: The presentation discusses a methodology of valuing complex synthetic instruments in the absence of liquid markets and highlights the standard Monte Carlo techniques.

Date: January 23, 2014

[/expand] [expand title=”Thomas Hewett, Perella Weinberg Partners: Random Matrices and Optimal (?) Portfolios” tag=”h2″]

Speaker: Thomas Hewett, Chief Risk Officer, Perella Weinberg Partners

Bio: Thomas is Chief Risk Officer of Perella Weinberg Partners. Prior to joining PWP, he was the Global Chief Risk Officer of Morgan Stanley Investment Management , where he was responsible for all aspects of market, credit and operational risk management oversight from a fiduciary and proprietary perspective. Prior to that he was a Managing Director at MSIM managing the quant team responsible for implementation of risk analytics and review of quantitative portfolio construction tools throughout the business. Before joining MSIM, Thomas was a Senior Manager in the Global Capital Markets Consulting Group at Deloitte & Touche.

Summary: Random Matrices and optimal (?) portfolios.Markowitz Portfolio optimization is considered by many practitioners to be a fundamentally unstable process of more interest to academics than portfolio managers. Random matrix theory (born out of statistical quantum mechanics in the 1950s) provides clarity on why this is so and some powerful new results provide tools for measuring and managing this instability.

Date: November 21, 2013

[/expand] [expand title=”Andreas Bohn, Deutsche Bank: Impact of Basel III on Business Strategy” tag=”h2″]

Speaker: Andreas Bohn, Head of Asset and Liability Management for GTB, Deutsche Bank

Bio: Dr. Andreas Bohn started his career at Deutsche Bank Fixed Income Research in 1993. He held several roles such as market maker for short-term interest rate derivatives, structurer for interest rate notes, and market risk manager for interest rate derivatives as well as banking books. Since 2004 he runs the Asset & Liability Management as well as overall Balance Sheet Management for Global Transaction Banking of Deutsche Bank with presences in Frankfurt, London, New York and Singapore.

Date: February 15, 2012[/expand] [expand title=”Sebastián Ceria, Axioma: Axioma, its role in the financial industry, and opportunities here” tag=”h2″]

Speaker: Sebastián Ceria, CEO, Axioma

Bio: Before founding Axioma, Dr. Sebastián Ceria was an Associate Professor of Decision, Risk and Operations at Columbia Business School from 1993 to 1998. He was honored with the prestigious Career Award for Operations Research from the National Science Foundation, which is given annually to the two best researchers and teachers in the area. While at Columbia he was also recognized as the “best core teacher” by his students and the school. Additionally, Ceria has served as administrator for the Computational Optimization Research Center and as co-principal investigator in two National Science Foundation research projects. Ceria is the author of many articles and has been featured regularly in a variety of publications including Management Science, Mathematical Programming, Optima and Operations Research. He has also been an editor for Optima, and a regular referee for a number of publications in the area. Past speaking engagements include international corporate and academic conferences.

Date: January 24, 2012[/expand] [expand title=”Neil Chriss, Hutchin Hill Capital: A conversation with Jim Gatheral” tag=”h2″]

Speaker: Neil Chriss, Managing Principal, Hutchin Hill Capital

Bio: Dr. Neil Chriss is one of the top quants in the world. More information on Dr. Chriss’s career as a hedge fund manager, an academic and financial engineering educator, and a highly successful poker player, can be found at Wikipedia.

Summary: Professor Jim Gatheral invited Dr. Neil Chriss to a conversation on how his mathematical training contributed to his success, and how he sees the future for mathematically-trained people.

Date: September 26, 2011

[/expand] [expand title=”Tim Grant, Benchmark Solutions: Understanding the Difference Between Risk Taking, Risk Management and Risk Control” tag=”h2″]

Speaker: Tim Grant, Managing Director, Benchmark Solutions

Bio: Tim Grant spent 10 years at UBS. He was an early member of the UBS Delta group (a portfolio solutions and analytics business within the Fixed Income Sales and Trading Division) from 1999 and ultimately led that business in the Americas. In 2008 he reported directly to the Group Chief Risk Officer and was assigned to the team managing the bank’s portfolio of distressed real estate assets.

Summary: With respect to the recent financial crisis was it risk management and quantitative modeling that failed the people? Or was it the people who were supposed to be implementing risk management strategies and leveraging quantitative finance that failed the people? Let’s discuss.

Date: May 06, 2011[/expand] [expand title=”Luca Capriotti, Credit Suisse: Algorithmic Differentiation: Adjoint Greeks Made Easy” tag=”h2″]

Speaker: Luca Capriotti, Director in the Quantitative Strategies Group, Credit Suisse Group

Bio: Dr. Luca Capriotti is a Director at Credit Suisse Group, Investment Banking Division, where he works in the Quantitative Strategies Group(formerly known as GMAG) in the New York city office. He is currently focusing on modeling in the areas of Structured Credit, and Counterparty Credit Risk Management. He is also working on developing efficient and general multi-asset Monte Carlo engines supporting fast calculation of Greeks for which he has a Patent pending. Previous to this role, he has worked in Commodities Exotics in New York and London and in the cross-asset modeling R&D group of GMAG in the London office. His current research interests are in the field of Credit Default Intensity Modelling and Computational Finance, mainly focusing on efficient numerical techniques for Derivatives Pricing and Risk Management. Luca holds a M.S. cum laude in General Physics from University of Florence (1996), and an M.Phil. and Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste (2000).

Summary: Show how algorithmic differentiation can be used as a design paradigm to implement the adjoint calculation of sensitivities in Monte Carlo in full generality and with minimal analytical effort. With several examples we illustrate the workings of this technique and demonstrate how it can be straightforwardly implemented to reduce the time required for the computation of the risk of any portfolio by orders of magnitude.

Date: April 29, 2011[/expand] [expand title=”Miguel Castro, Two Sigma Investment: Forecasting in High-Frequency Trading” tag=”h2″]

Speaker: Miguel Castro, Managing Director, Two Sigma Investments

Bio: Dr. Miguel Castro has 10 years of experience in algorithmic trading. He is presently Managing Director at Two Sigma Investments where he leads a small quant research team in high-frequency algorithmic trading. Before Two Sigma, he worked for a large European bank, and prior to that, for another quantitative hedge fund. Before his life in finance, he worked in research and development for Intel Corporation. Miguel holds a B.A. in Physics and Mathematics from Cornell University, an M.S. in Electrical Engineering with specialty in Machine Learning, and a Ph.D. in Physics, both from Purdue University. He also holds an MBA with emphasis in finance from the University of California at Berkeley’s Haas School of Business.

Summary: Forecasting is at the heart of algorithmic trading. Besides the usual difficulties due to market efficiencies, high-frequency forecasting presents its own set of challenges. We will consider forecasting in the context of high-frequency algo trading, and explore some challenges and useful techniques.

Date: April 12, 2011

[/expand] [expand title=”Peter Carr, Morgan Stanley: An Alternate History of the Black-Scholes PDE” tag=”h2″]

Speaker: Peter Carr, Managing Director and Global Head of Market Modeling, Morgan Stanley

Bio: Dr. Peter Carr is a Managing Director at Morgan Stanley in New York. He is also the Executive Director of the Masters in Math Finance program at NYU’s Courant Institute. Prior to his current positions, he headed quantitative research groups at Bloomberg LP and at Bank of America Securities. His prior academic positions include 4 years as an adjunct professor at Columbia University and 8 years as a finance professor at Cornell University. Since receiving his PhD. in Finance from UCLA in 1989, he has published extensively in both academic and industry-oriented journals. He is currently the treasurer of the Bachelier Finance Society and an associate editor for 8 journals related to mathematical finance and derivatives. He has given numerous talks at both practitioner and academic conferences. He is also credited with numerous contributions to quantitative finance including: co-inventing the variance gamma model, inventing static and semi-static hedging of exotic options, and popularizing variance swaps and corridor variance swaps. Peter has won awards from Wilmott Magazine for “Cutting Edge Research” and from Risk Magazine for “Quant of the Year”. Peter has just been named the 2010 IAFE Financial Engineer of the Year.

Summary: The Black-Scholes partial differential equation (PDE) was first published in 1973, having been derived previously by Black in 1969. This linear PDE is celebrated primarily because it is independent of the attitudes towards risk of investors in the economy. In 1968, Black derived a nonlinear PDE that shares this fundamental risk-neutral property. We show that the famous linear PDE could have been derived from the nonlinear PDE using financial and mathematical concepts available in 1968.

Date: November 29, 2010[/expand] [expand title=”Michael Botlo, Quantbot Technologies: A Conversation with Jim Gatheral” tag=”h2″]

Speaker: Michael Botlo, co-founder and the CEO, Quantbot Technologies

Bio: Dr. Michael Botlo is a co-founder and the CEO of the quantitative investment advisor Quantbot Technologies that transacts daily in many global equity markets. Before 2009, he led Electronic Product Development in the Global Market Division at Merrill Lynch. In this role, he was responsible for the implementation of the automated trading vision across liquid asset classes. Before joining Merrill, Michael was a founding member of the Electronic Trading Lab at Morgan Stanley. The group successfully developed the Firm’s electronic capabilities in global Delta1 Equities, from quantitative proprietary to algorithmic agency businesses. Michael holds a Masters Degree in Astronomy and a PhD in Elementary Particle physics. He has spent several years as a research fellow at various nuclear research facilities across the globe.

Summary: Professor Jim Gatheral invited Dr. Michael Botlo to a conversation regarding careers in quant space, and their future. This promises to be an exceedingly interesting event, with a “Charlie Rose” format! In an informal conversation with Jim Gatheral, Michael Botlo will describe his current role at Quantbot, his previous career, how his mathematical training has contributed to his success, and how he sees the future for mathematically-trained people. Questions from the audience are encouraged.

Date: November 29, 2010

[/expand] [expand title=”John Crosby, UBS: Optimal Hedging of Variance Derivatives” tag=”h2″]

Speaker: ohn Crosby, Executive Director (Quantitative Analytics and Derivatives Research), UBS London; Visiting Professor of Quantitative Finance, Glasgow University

Bio: John began his career by trading FX options. He then moved to Monis (formerly London Business School Financial Software) where he wrote their pricing libraries for a very wide range of exotic derivatives as well as co-writing their three-factor Convertible bond model, which captured stochastic equity prices, interest-rates and default risk. He then headed quant teams at Barclays Capital and Lloyds where he developed derivatives models across all asset classes. He is best known for publishing several papers in the area of commodity and hybrid derivatives. John is a visiting Professor at Glasgow University and an invited lecturer on the M.Sc. course in Mathematical Finance at Oxford University as well as being an Executive Director in the front-office Fixed Income, Foreign Exchange and Commodity derivatives research and quantitative analytics team at UBS.

Summary:

  • Hedging of variance swaps – why the existing log-contract approach is, in general, sub-optimal
  • Optimal hedging of variance swaps
  • Optimal hedging of other variance-equity hybrid derivatives
  • Implications for hedging under extreme market conditions such as in Autumn 2008

Date: November 16, 2010

[/expand]