Events/Seminars

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Contents

Introduction

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 Manhatten (NYC) or downtown San Francisco (SF) and join us for a quantitative finance talk by a guest speaker followed by discussions.

Videos

Videos of some of the London talks are available: both Flash streaming videos and downloadable in MP4 format for iPod/iTunes.

Venues

London, UK

Private meeting rooms at Marriott Hotel Canary Wharf
Hertsmere Road
Canary Wharf
London
E14 8JJ (venue subject to change)

Venue home page: http://www.marriott.co.uk/hotels/travel/loncw-london-marriott-hotel-west-india-quay/

Map of Marriott Hotel Canary Wharf

New York City, USA

NYU Kimmel Center
Room 914, 60 Washington Square South
NY 10012, NY
or
lower level conference room 014/015
New York Public Library: Science Industry and Business Library
188 Madison Avenue, New York, NY

San Francisco, USA

Location: 5th floor, GGU
536 Mission Street
San Francisco, CA

Budapest, Hungary

ART IX-XI Gallery, 1 Bartók Béla str., Budapest, Hungary (venue subject to change)

Cost

The London seminars charge £15 at the door for events to cover the venue hire and other expenses. Admittance to the IAFE/Thalesians NYC seminars is strictly by online registration only and is $25 for non-IAFE members.

Registration

  • 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 <tt>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 http://www.meetup.com/thalesians/

Forthcoming Seminars for 2015

MathFinance 2015 (Frankfurt - External Event) — Speakers including Wystup & Amen — Quant event

MathFinance

Date and Time

23-24th March 2015

Venue

Frankfurt School of Finance & Management

To sign up

You can register for this event and pay online at the MathFinance website: https://mathfinance2.com/Conferences/2015 (contact saeed at thalesians.com for a discount code, which is available for Thalesians members)

Abstract

The MathFinance Conference is the largest quantitative finance event covering the European market. Its unique take on the blending of industry and academia has allowed it to firmly establish itself as one of the top quant events of the year. Renowned speakers from all over the world deliver their talks as part of this two-day event, held in Frankfurt on the 23-24th March 2015.

For over 13 years, the conference has been an influential driver in the dissemination of ideas, information and knowledge. Talks are presented by experts in their field, including distinguished Senior Quantitative Analysts, Traders, Risk Managers and only the top Academics. This ensures that all major developments and issues of this ever evolving marketplace are covered in depth.

Speaker

Many speakers who have also spoken at the Thalesians will be speaking, including Saeed Amen (co-founder of the Thalesians) and Uwe Wystup.


Thalesian Seminar (London) — Matthew Dixon — Financial Modelling on Parallel Computers using High-Level Programming Languages

Matthew Dixon

Date and Time

7:30 p.m. on Wednesday, 25 March, 2015

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/220689390/

Abstract

As quants, how do we write a single code that can be efficiently deployed on a variety of commodity hardware and accelerator platforms without the need to program in unfamiliar low level programming environments such as CUDA, OpenMP or OpenCL? Software design patterns are well understand but tell us nothing about how software can be efficiently mapped to parallel architectures such as a GPU, the Intel Xeon Phi, or clusters of multi-core computers. Parallel design patterns are an extension of software design patterns and guide the discipline of separating out the domains of concerns from the modeling and the efficient mapping of the computations to the hardware. This leads to portability, flexibility, modularity and scalability of the code. Focusing on derivatives modeling and risk, we present collaborative work with UC Berkeley, Old Dominion University and Xcelerit, demonstrating how parallel design patterns enable Python, R or C++ code to run efficiently on GPUs, multi-core CPUs and clusters of multi-core CPUs. Finally we discuss how parallel design patterns can be applied to Quantlib to enable the compute intensive routines to run on both a multi-core CPU or an Intel Xeon Phi co-processor.

Speaker

Matthew Dixon is a Managing Director and Head of Americas at Thalesians Ltd.

He is also a Term Assistant Professor in the MS in Analytics Program at the University of San Francisco and consultant of analytics and financial risk. He has taught computational analytics, data acquisition and financial applications of analytics using R and Python. He is the author of severals papers in high performance computational finance in collaboration with the UC Berkeley EECS Parlab and Old Dominion University CS Department and chairs the Workshop on High Performance Computational Finance at SC. He has held visiting professorship and postdoctoral research appointments in computational and applied mathematics at UC Davis and Stanford University.

Dr. Dixon began his career as a quantitative developer in the structured credit trading group at Lehman Brothers in London before pursuing academics and consulting in the finance and IT industry for many years. One of his most recent projects included consulting for the private equity firm Silver Lake to develop predictive analytics for identifying investment opportunities. He holds a Ph.D. in Applied Mathematics from Imperial College in London and a MSc in Parallel and Scientific Computation (with distinction) from the University of Reading.

Video

To be published here

Slides

To be published here

Resources

To be published here


Thalesians Séance (Budapest) — Tamas Blummer & Panel — on Impact of Bitcoin and the blockchain technology on our future

Tamas Blummer

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 Friday, 17th April

7:00 p.m. - Welcome drinks, 8:00 p.m. - Tamas Blummer on Impact of Bitcoin and the blockchain technology on our future 9:00 p.m. - Panel discussion with Izabella Kaminska (FT), Barnabas Debreczeni, Peter Isza and Geza Bohus 12.00 a.m. - Next pub

Venue

Palack Borbár, Szent Gellért sqr 3, Budapest

Meetup.com

You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/220503859/

Abstract

The evening will consist of a talk by Tamas Blummer on Impact of Bitcoin and the blockchain technology on our future. Later, a panel will discuss the subject, which comprises of Izabella Kaminska, Barnabas Debreczeni, Peter Isza and Geza Bohus.

Slides

Download the slides (to add)

Speaker

Tamas Blummer is the founder of Bits of Proof, a technology leader company in blockchain technology. He delivered a merchant solution for Bitcoin payments, a real-time auditable exchange of Bitcoin for institutional investors, the first hardware Bitcoin wallet backend used by tens of thousands worldwide, and operated one of the biggest Bitcoin mining facility of the world.


IAQF-Thalesians Seminar (New York) — Dr. Lasse Heje Pedersen — Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined

Lasse Heje Pedersen

Agenda

Wednesday, April 22, 2015:

  • 5:45 PM Registration
  • 6:00 PM Seminar Begins
  • 7:30 PM Reception

Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY

Registration

You can register for this event on Meetup here

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

In a new book and accompanying research, I demonstrate that markets as neither perfectly efficient nor completely inefficient. Rather, they are inefficient enough that money managers can be compensated for their costs through the profits of their trading strategies and efficient enough that the profits after costs do not encourage additional active investing. Understanding how to trade in this efficiently inefficient market provides a new way to analyze investment strategies, including equity strategies, macro strategies, and arbitrage strategies. These ideas are illuminated further by interviews with leading hedge fund managers Lee Ainslie, Cliff Asness, Jim Chanos, Ken Griffin, David Harding, John Paulson, Myron Scholes, and George Soros. More information is available at http://www.lhpedersen.com/efficiently-inefficient

Speaker

A professor at Copenhagen Business School and NYU and a principal at AQR Capital Management, Lasse Heje Pedersen is a distinguished academic and an asset manager. He has published a number of influential research papers on asset pricing, liquidity risk, and trading strategies, which have been cited by Ben Bernanke and other central bank governors around the world and in thousands of academic and industry papers. He has won a number of awards, including the Bernácer Prize to the best E.U. economist under 40 years of age. Further, he has served in the Liquidity Working Group meeting at the Federal Reserve Bank of New York to address liquidity issues during the global financial crisis, the New York Fed's Monetary Policy Panel, the Economic Advisory Boards of NASDAQ and FTSE, as a Director of the American Finance Association, and on the editorial boards of several journals such as the Journal of Finance and Quarterly Journal of Economics. He received his B.S. and M.S. from University of Copenhagen and his Ph.D. from Stanford University.

IAQF-Thalesians Seminars

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.


IAQF-Thalesians Seminar (New York) — Dr. Andrew Kalotay — TBD

File:AndrewKalotay.jpg
Andrew Kalotay

Agenda

Thursday, May 14, 2015:

  • 5:45 PM Registration
  • 6:00 PM Seminar Begins
  • 7:30 PM Reception

Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY

Registration

You can register for this event on Meetup here

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

TBD

Speaker

People/Biographies/AndrewKalotay

IAQF-Thalesians Seminars

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.


Global Derivatives Europe (Amsterdam - External Event) — Speakers including Hull — Trading and risk management

Saeed Amen

Date and Time

18th - 22nd May, 2015

Venue

Hotel Okura, Amsterdam, The Netherlands.

To sign up

You can register for this event and pay online at the Global Derivatives Europe website: http://www.icbi-derivatives.com/FKN2428THW

Members of the Thalesians also have a special 10% discount (please contact saeed who happens to be at thalesians.com for details - clicking the link above will also activate this discount)

Abstract

The World's Leading Quantitative Finance Conference: Cutting Edge Strategies & Practical Techniques For Advanced Derivatives Pricing, Hedging, Trading & Risk Management

Global Derivatives brings together leading quants, traders, risk managers and academics from all over the world to discuss the key challenges affecting the derivatives market. Attending will enable you to:

  • Hear technical details of the latest research being done by leading financial minds
  • Learn cutting edge volatility, correlation, interest rate, FX, equities & credit modelling techniques
  • Discover practical solutions to the challenges you face & learn how to implement them when you get back in the office
  • Meet and learn from hundreds of senior derivatives professionals

What Topics Will Be Covered At Global Derivatives Trading & Risk Management 2015?

  • Now in its 22nd year, Global Derivatives brings together senior practitioners from banks, asset managers, hedge funds, pension funds, propr trading firms, private equity firms, exchanges as well as academics and regulators to discuss the key issues facing quants all over the world.

The event will address topics in 4 key areas:

  • Derivatives Pricing
  • Regulation, Risk Management & Capital Optimisation
  • Quantitative Investment Strategies & Portfolio Optimisation
  • Algorithmic Trading

Speaker

Speakers include many well known figures from the finance community, such as Riccardo Rebonato, John Hull, Darrell Duffie and Emanuel Derman. Saeed Amen, a co-founder of the Thalesians is also speaking on FX vol & Big Data trading strategies.


IAQF-Thalesians Seminar (New York) — Dr. Tim Leung — Exchange-Traded Funds and Related Trading Strategies

Tim Leung

Agenda

Wednesday, June 18, 2015:

  • 5:45 PM Registration
  • 6:00 PM Seminar Begins
  • 7:30 PM Reception

Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY

Registration

You can register for this event on Meetup here

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

We discuss a number of static and dynamic portfolios related to exchange-traded funds (ETFs). We first discuss the price dynamics of futures-based ETFs and leveraged ETFs. This leads us to develop futures-based strategies for the objective of leverage replication, and discuss their applications to VIX and commodity (L)ETFs. We also analyzed several trading strategies involving multiple leveraged ETFs, accounting for their leverage ratios, volatility decays, expense ratios, and tracking errors. The performance and risk characteristics of these portfolios are studied both analytically and empirically.

Speaker

Tim Leung is an Assistant Professor at Columbia University's IEOR Department. He's also an affiliated faculty member of the Center for Financial Engineering, and Institute for Data Sciences & Engineering. He received a Ph.D. in Operations Research & Financial Engineering (ORFE) from Princeton University, and B.S. in Operations Research & Industrial Engineering (ORIE) at Cornell University.

Professor Leung's research focuses on the valuation of financial derivatives, and associated risk management and trading strategies. In particular, he has written extensively on exchange-traded funds (ETFs). His research has been funded by the National Science Foundation (NSF), and published in journals, such as Mathematical Finance, Finance & Stochastics, Quantitative Finance, and SIAM Journals.

IAQF-Thalesians Seminars

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.

Past Seminars

Seminars from 2015

Seminars from 2014

Seminars from 2013

Seminars from 2012

Seminars from 2011

Seminars from 2010

Seminars from 2009

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