Quantitative Finance Seminars
The Thalesians Quantitative Finance Seminars are a series of talks for dedicated finance professionals to learn about state-of-the-art quantitative finance methodology from seasoned speakers.
We provide a unique opportunity for finance professionals to further their careers by sharing expertise and cross-pollinating new methodology and ideas in the wider context of the finance industry.
Come along to our seminars in Canary Wharf (LDN), Midtown Manhattan (NYC) or Budapest (BUD) and join us for a quantitative finance talk by a guest speaker followed by discussions and often also networking drinks.
Videos of some of the London talks are available: older videos in Flash format and downloadable in MP4 format for iPod/iTunes. Newer videos are available on this website and on our YouTube site.
The London seminars charge £15 at the door for events to cover the venue hire and other expenses. Admittance to the IAQF/Thalesians NYC seminars is strictly by online registration only and is $25 for non-IAQF members.
- For UK talks, please contact Paul Bilokon, paul, who is at thalesians.com, to reserve your place and/or sign up to our official seminar list.
- For US talks, please contact Matthew Dixon, matthew, who is at thalesians.com, or Harvey Stein, harvey, who is at thalesians.com to reserve your place and/or sign up to our official seminar list.
- However, the quickest and easiest way to register (and pay online) is on Thalesians Meetup.com
Forthcoming Seminars for 2015
Thalesians Séance (Budapest) — Taylor Spears & Panel — The Sociology of CVA
A very special thanks to Attila Agod for organising this talk! Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events!
Date and Time
7:00 p.m. on Fri 9th October, 2015
7:00 p.m. - Welcome drinks, 8:00 p.m. - Taylor Spears presentation 9:00 p.m. - Discussion panel 12.00 a.m. - Next pub
Palack Borbár, Szent Gellért sqr 3, Budapest
You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/225264939/
At the 7th Thalesians Séance Taylor Spears from the Sociology Department of The University Edinburgh will introduce the evolution of Credit Valuation Adjustment (CVA) from a sociologist’s point of view. After Taylor's talk a panel of practitioners will challenge his ideas.
Members of the panel: - Andras Bohak (MSCI, Counterparty credit researcher) - Daniel Homolya (Mol Group, Financial risk management team lead) - Balazs Palosi-Nemeth (ING, Architect) - Gabor Salamon (Morgan Stanley, CVA team lead)
Dr Taylor Spears is a research fellow in the Sociology of Financial Modelling at the School of Social and Political Science in the University of Edinburgh.
IAQF-Thalesians Seminar (New York) — Dr. Dan Pirjol — Can one price Eurodollar futures in the Black-Derman-Toy model?
Wednesday, October 14, 2015:
NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY
Interest rates models with log-normally distributed rates in continuous time are known to display singular behavior. For example, Eurodollar futures prices are infinite in the Dothan and Black-Karasinski models, as shown in 1998 by Hogan and Weintraub. These singularities are usually assumed to disappear when the models are simulated in discrete time. Using a precise simulation of the BDT model, we demonstrate that this is true only for sufficiently low volatilities. Eurodollar futures prices explode for volatilities above a critical value. The explosion is due to contributions from a region in state space which corresponds to very large interest rates and is truncated off in usual simulation methods such as trees and finite difference methods. In the limit of a very small simulation time step the explosion appears for any volatility, and reproduces the Hogan-Weintraub singularity of the continuous time model.
Dan Pirjol works in the Model Risk Group at JP Morgan, covering valuation models in commodities. Previously he was with Markit and Merrill Lynch in various roles in modeling and model risk, after doing research in theoretical high energy physics. He is interested in applications of methods from mathematical physics and probability to problems in mathematical finance.
The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.
Thalesians Seminar (London) — Robert Carver — Lessons from Systematic Trading
Date and Time
7:30 p.m. on Wednesday, 21 October, 2015
Ginger Room, Marriott Hotel, Canary Wharf, London, UK.
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/224130063/
It's my belief that successful systematic trading is not about finding some deep hidden source of alpha, but about avoiding stupid mistakes. In this talk I share some of the mistakes I've made, and seen others make, whilst designing and managing systematic trading systems for both a multi billion hedge fund and a retail trading account. This is a wide ranging talk which provocatively questions many commonly held beliefs about the business of managing money systematically.
Robert Carver is an independent systematic trader, and writer. He trades his own capital with a fully automated system of 40 futures markets, using a proprietary system written in python. Robert is the author of "Systematic Trading", a forthcoming book to be published by Harriman House in October 2015. He regularly blogs on the subject of trading, finance and investment.
Robert, who has bachelors and masters degrees in Economics, began his city career trading exotic derivative products for Barclays Capital. He then worked as a portfolio manager for AHL , one of the worlds largest systematic hedge funds before, during and after the global financial meltdown of 2008. Robert was responsible for the creation of AHL's fundamental cross asset global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. He retired from the industry in 2013.
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