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Events/Seminars
From The Thalesians
Introduction
The Thalesians Quantitative Finance Seminars are a bi-weekly 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 and join us for a quantitative finance talk by a guest speaker, followed by drinks and a game of pool.
Videos
Videos of talks are now available: both Flash streaming videos and downloadable in MP4 format for iPod/iTunes.
Venues
London, UK
Upstairs at City Pride
15 Westferry Road
Canary Wharf
London
E14 8JH
Venue home page: http://www.citypride.co.uk/
US
To be announced.
Cost
We shall be charging £15 at the door to cover the venue hire and other expenses.
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, 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
Thalesian Seminar — Dr. Frank Berkshire — The Dynamics of Sharps and Flats — A Primer on Risk and Practical Gambler's Ruin
Date and Time
7:30 p.m. on Wednesday, 8th September, 2010.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/14447955/
Abstract
This talk is NOT intended for those of a musical bent, but for those who might be tempted to gamble in the hope of making a small fortune. Of course the easiest way to do this is to start with a large fortune... However, this talk IS intended to provide some instruction in the ways in which gambling odds may be slanted unfairly to the profit of the card sharp or dice mechanic, at the considerable expense of the innocent and or unwary.
Speaker
Frank Berkshire is the Director of Undergraduate Studies in the Department of Mathematics of Imperial College London.
In addition to his responsibilities for the mathematical course structure and content, he has for many years been fighting a (largely losing) battle against the rise in academic bureaucracy — subject reviews, subject benchmarks, and so on. An imminent challenge is to confront the European Bachelor/Masters structures post-Bologna, while reconciling a role as consultant for the Qualifications and Curriculum Authority on Secondary level assessments — most recently through Chairing the 5-Year Review of Standards over Time for GCSE/AS/A Level Mathematics (2005).
His long term research interests include: fluid mechanics; waves in fluids with applications to oceanic and atmospheric flows; nonlinear partial differential equations, wave focusing and solitons; dynamics; sporting and biological mechanics; statistical aspects of dynamical systems; game theory; gambling; dice; billiards and chaos.
With Professor Tom Kibble he is author of Classical Mechanics (5th Edition 2004 Imperial College/World Scientific).
Video
To be published here
Slides
To be published here.
Resources
To be published here.
Past Seminars
Thalesian Seminar — Dr. Attila Vrabecz — kdb+/q: A Perfect Tool for Your Data
Date and Time
7:30 p.m. on Wednesday, 30th June, 2010.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/13663177/
Abstract
We will begin with a short introduction and history of kdb+/q, outlining the main ideas behind the product that has proved to be one of the best tools for large data sets. We will then proceed to demonstrate the analytical and computational power of the q language through various highly relevant examples.
Speaker
Attila Vrabecz is a Quantitative Analyst at Sun Trading. He has previously worked at Millennium Partners, Dresdner Kleinwort and as a consultant at First Derivatives at several different investment banks. His main expertise is kdb+/q of Kx Systems. He has a PhD in Computational/Theoretical Chemistry.
Sun Trading is a privately held, proprietary firm dedicated to algorithmic trading of various asset classes in the world’s financial markets. We trade on our innovative, cutting-edge electronic platform using proprietary models. From our headquarters in Chicago, and our affiliate in London, we execute multiple strategies across the global markets. For more information, please refer to http://www.suntradingllc.com.
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
To be published here.
Resources
To be published here.
Thalesian Seminar — Saeed Amen — Candlestick Trading in FX
Date and Time
7:30 p.m. on Wednesday, 2nd June, 2010.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/13490974/
Abstract
We outline a rationale for the use of technicals within FX. We show how to use candlesticks to trade FX spot, describing how to identify various popular candlestick formations. We also look at historical results to assess which candlestick formations have been profitable for trading FX spot.
Speaker
Saeed Amen started his career at Lehman Brothers. He worked on the FX desk developing systematic trading models for both G10 and EM and was part of the team who developed the MarQCuS suite of models. He was also responsible for a systematic prop trading book and conducted research around high frequency FX. He is currently a vice president at Nomura working as a quantitative strategist also in FX developing their model infrastructure. He recently published a major piece on trading technicals in FX. He is also currently involved in running a systematic prop trading book at Nomura. He graduated from Imperial College with a first class master's degree in Mathematics and Computer Science.
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
To be published here.
Resources
- Nomura home page: http://www.nomura.com
- Steve Nisson's CandlestickCharts.com: http://www.candlecharts.com/
Thalesian Seminar — Dr. Lynda White — Collaborative Games with 
Players
Date and Time
7:30 p.m. on Wednesday, 5th May, 2010.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/12331078/
Abstract
After a short introduction to two-person zero-sum (i.e. strictly competitive) games I will talk about some two-person non zero-sum games. These are broadly of two types: those where the players select their strategies independently (as happens in Prisoners' Dilemema) and those where they collaborate for mutual benefit. When we increase the number of players in a collaborative game there is the possibility of coalitions forming and I will discuss various solution concepts for such games together with some examples.
Speaker
Lynda White is a Senior Lecturer and the Senior Tutor in the Department of Mathematics at Imperial College London. Her research interests are in statistics, experimental design, and randomisation. She has designed numerous experiments for the industry and the academe. Dr. White also designs and analyses the College's TOAST surveys of academic staff time. In November 2003 she appeared in the BBC Horizon programme on "The Bible Code" which presented an experiment to examine a claim that the book of Genesis contains hidden messages for mankind. In 2006 Dr. White was named Lecturer of the Year in the 2006 Science, Engineering and Technology Awards. Supported by the industry, the awards recognise educational excellence and exceptional achievement by lecturers and students.
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
To be published here.
Resources
- Dr. Lynda White's Imperial College staff home page: http://www3.imperial.ac.uk/people/l.white
- Dr. Lynda White's academic home page: http://www2.imperial.ac.uk/~lvw/
Thalesian Seminar — Dr. Sundararajan Srinivasa — Behavioural Trading
Date and Time
6:30 p.m. on Wednesday, 7th April, 2010.
Note that on this occasion we shall start at 6:30 p.m., not 7:30 p.m. as we usually do.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/12739016
Abstract
The FX market is analysed using a behavioural approach, which is popularly known as Elliott Wave, to trading. We show our approaches to analysing the FX market using combinations of behavioural, time and technical signals. The implications are the thoroughly researched high-probability trading calls and strategies. We hope wrap up the talk with an interactive demonstration.
Speaker
- PhD in International Economics with a special emphasis on exchange rates
- Research Fellow at the University of Konstanz
- Taught at the National Institute of Bank Management; directed training programmes for traders, dealers and corporate clients
- Trading Analyst at Citigroup - Mumbai and London
- Technical Strategist at Lehman Brothers
- Running an investment advisory firm, Trading Parameters Ltd, since June 2008. The firm is authorised and regulated by the FSA under firm reference number 489721
Video
To be published here.
Slides
To be published here.
Resources
- Dr. Sundararajan Srinivasa's LinkedIn page: http://uk.linkedin.com/pub/sundararajan-srinivasa/4/64/7a1
- Trading Parameters Ltd. home page: https://www.tradingparameters.co.uk/
Thalesian Seminar — Dr. David Barrie Thomas — FPGAs for Financial Computing?
Date and Time
7:30 p.m. on Wednesday, 24th March, 2010.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/12738946
Abstract
Many developers of financial software have now used (or at least heard of) GPUs, but fewer have heard of FPGAs, let alone tried to use one. Despite having been on the scene for longer, FPGAs have been replaced by GPUs as the acceleration technology of choice, mainly due to ease-of-use provided by CUDA and a coherent marketing plan. However, FPGAs are still a competitive technology, providing similar acceleration levels to GPUs, with only a tenth the power and cooling requirements.
This talk will outline recent research directions in FPGAs for financial computing, and give some insight into the things that FPGAs are really good at, as well as identifying situations where they are probably not the best choice and GPUs or CPUs are more appropriate.
Speaker
David Thomas is a post-doctoral research associate in the Department of Computing in Imperial College, working mainly with FPGAs, as part of the Custom Computing group.
His two main research interests are random number generators for FPGAs, and also financial computing using FPGAs.
He has published some 25 articles on computational aspects of Monte Carlo simulations for finance applications, random number generators and applications of reconfigurable computing.
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
To be published here.
Resources
- Dr. David Thomas's academic home page: http://www.doc.ic.ac.uk/~dt10/
Thalesian Seminar — Dr. Iain J. Clark — Local and Stochastic volatility: Between 
and the Deep Blue Sea
Date and Time
7:30 p.m. on Wednesday, 10th March, 2010.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/12546276/
Abstract
The Black-Scholes model, due to the assumption of constant volatility, fails to described observed smiles and skews in the market. Two common methods to incorporate smiles and skews into asset price models are state dependent volatility (also known as local volatility) and stochastic volatility (jump-diffusions and Levy processes are also used, but perhaps not quite so ubiquitously in the market).
In this talk, I will give an introduction to the mathematics behind local and stochastic volatility models. The construction of local volatility, first noted by Dupire (1993), relies upon an earlier result from Gyongy (1996) where it was asked: "is it possible to construct a diffusion which matches the marginal distributions at all known time points in the future?". If we know the implied volatilities and thereby the prices of all traded options at a time t, we know the marginal distribution from the Breeden-Litzenberg (1978) result, and can work with that.
Stochastic volatility, e.g. Heston (1993) et al., models a second untradeable factor which feeds into the diffusion for the tradeable asset. While requiring two factors, this is easily numerically tractable. Furthermore, there are numerical techniques which enable European options to be priced using characteristic functions and Fourier integration, which are useful for fast calibration to Europeans. Path dependent options can be priced using 2D Monte Carlo or PDE techiques, where the diffusion of the traded asset depends on the level of the untradeable factor.
For local and stochastic volatility models, the rate of diffusion of the traded asset depends on (a) the level of the traded asset price, and (b) the level of the untradeable factor, respectively. Mixed local-stochastic volatility models such as in Jex, Henderson and Wang (1999) and Ren Madan and Qian (2007) allow the diffusion of the tradeable asset to depend on both factors. A full discussion of mixed local-stochastic volatility models is beyond the scope of this talk but a brief introduction is given, with particular reference to the mathematics described in this talk.
Speaker
Iain has over 11 years experience as a front office quant and has recently taken up the role of head of FX and commodities quantitative analysis in the London office of Standard Bank, a South African bank. He has previously worked at Dresdner Kleinwort, Lehman Brothers, BNP Paribas and JP Morgan.
The material in this talk is taken from Chapters 5 and 6 of his forthcoming book, "FX Option Pricing: A Practitioner's Guide," currently in preparation for Wiley Finance. He has a PhD in applied mathematics from Queensland University and a MSc in financial mathematics from Edinburgh and Heriot-Watt Universities. He still writes his own code.
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
To be published here.
Resources
- Dr. Iain J. Clark's home page: http://www.iainjclark.co.uk/
Thalesian Seminar — Dr. Attilio Meucci — Managing Diversification
Date and Time
7:30 p.m. on Monday, 8th March, 2010.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/12578385/
Abstract
We propose a new, fully general methodology to analyze and manage diversification based on the concept of entropy. We introduce the mean-diversification frontier and how to optimize portfolios accordingly, accounting for transaction costs.
Speaker
Attilio Meucci leads the research effort of ALPHA, the portfolio analytics and risk platform at Bloomberg. Concurrently he is adjunct professor at the Master's in Financial Engineering - Baruch College - CUNY. Previously, Attilio was a researcher at Lehman Brothers, a trader at the hedge fund Relative Value International, and a consultant at Bain & Co.
Attilio is the author of Risk and Asset Allocation - Springer and several other publications in practitioners and academic journals. He teaches graduate courses on quantitative risk- and portfolio-management worldwide and he is frequently invited as a speaker to conferences, financial institutions and universities.
Attilio Meucci holds a BA summa cum laude in Physics from the University of Milan, a MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and he is CFA chartholder. Attilio is fluent in six languages and loves physical activity in the outdoors.
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
- The slides of the talk can be found here http://www.symmys.com/AttilioMeucci/Teaching/Talks/Talks.html
Resources
- Dr. Attilio Meucci's home page: http://www.symmys.com/AttilioMeucci/Home/Home.html
- The talk "Managing Diversification" by Dr. Attilio Meucci draws on this paper http://ssrn.com/abstract=1358533
- The slides of the talk can be found here http://www.symmys.com/AttilioMeucci/Teaching/Talks/Talks.html
- To learn more about Advanced Risk and Portfolio Management, joint the 6-day bootcamp http://www.baruch.edu/math/arpm
Thalesian Seminar — Saeed Amen — Examining the intraday impact of rates decisions on G10 FX
Date and Time
7:30 p.m. on Wednesday, 10th February, 2010.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/12408352/
Abstract
We look at the impact of rates decisions on major G10 FX crosses. We shall look at how surprises in rates decisions by major central banks impact both the direction and volatility of spot on an intraday basis. We shall also examine the impact of Fed rates decisions on non-USD crosses which is less well understood within the market.
Speaker
Saeed Amen started his career at Lehman Brothers. He worked on the FX desk developing systematic trading models for both G10 and EM and was part of the team who developed the MarQCuS suite of models. He was also responsible for a systematic prop trading book and conducted research around high frequency FX. He currently works at Nomura as a quantitative strategist also in FX developing their model infrastructure and recently published a major piece on trading technicals in FX. He graduated from Imperial College with a first class master's degree in Mathematics and Computer Science.
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
To be published here.
Resources
To be published here.
Thalesian Seminar — Numerical Algorithms Group — Monte Carlo Simulation and its Efficient Implementation
Date and Time
7:30 p.m. on Tuesday, 15th December, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/11994542/
Abstract
Monte Carlo simulation is one of the most important numerical methods in financial derivative pricing and risk management. Due to the increasing sophistication of exotic derivative models, Monte Carlo becomes the method of choice for numerical implementations because of its flexibility in high-dimensional problems. However, the method of discretization of the underlying stochastic differential equation (SDE) has a significant effect on convergence. In addition the choice of computing platform and the exploitation of parallelism offer further efficiency gains. We consider here the effect of higher order discretization methods together with the possibilities opened up by the advent of programmable graphics processing units (GPUs) on the overall performance of Monte Carlo and quasi-Monte Carlo methods.
Speaker
Robert Tong received a PhD from the University of Bristol (UK) in the area of applied mathematics and scientific computing, following a first degree in mathematics. His research project was prompted by the need to improve the modeling and design of coastal structures after a major failure.
He followed this with the post of Research Fellow in Applied Mathematics at the University of Birmingham, where his focus was on the role of numerical software and mathematical modeling in the context of the failure of structures due to extreme events.
His interest in numerical software led naturally to his joining NAG to work on the development of their libraries. While there he has worked on data approximation methods, including wavelets and radial basis functions, in addition to applications in finance.
Kai Zhang is pursuing a PhD in mathematical finance with Dr. Nick Webber from Warwick Business School. His research focuses on novel derivative pricing methods and efficient model implementations.
He joined NAG as an intern at the end the second year of his study. His duties are supplying Monte Carlo simulation components, developing example financial applications, writing technical reports for clients and collaborating with leading researchers and practitioners to incorporate new methods in the library.
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
Resources
- NAG's home page: http://www.nag.co.uk/
- Robert Tong's biography on NAG's website: http://www.nag.co.uk/about/rtong.asp
Thalesian Seminar — Prof. Svetlozar (Zari) T. Rachev — Market Crashes and Modeling Volatile Markets
Date and Time
7:30 p.m. on Wednesday, 2nd December, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/11622834/
Abstract
We discuss:
- econometric models for volatile markets in large dimension, exhibiting volatility clustering and heavy-tails — ARMA-GARCH models with stable and tempered stable innovations;
- copula dependencies and factor models;
- forecasting market downturns;
- tail risk and performance measures;
- large scale portfolio optimization.
This is a joint work with my co-authors Aaron Kim, Stoyan Stoyanov, Boryana Racheva-Iotova, Michele-Leonardo Bianchi and Frank Fabozzi.
Speaker
Zari Rachev is a co-founder and President of BRAVO Risk Management Group — originator of the Cognity methodology, which was acquired by FinAnalytica where he serves as Chief Scientist. Rachev holds Chair-Professorship in Statistics, Econometrics and Mathematical Finance at University of Karlsruhe, and is the author of 12 books and over 300 published articles on finance, econometrics, statistics and actuarial science. At University of California at Santa Barbara, he founded the Ph.D.program in mathematical and empirical finance. Rachev holds PhD (1979) and Doctor of Science (1986) degrees from Moscow University and Russian Academy of Sciences. Rachev's scientific work lies at the core of Cognity's newer and more accurate methodologies in risk management and portfolio analysis.
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
Thalesians_Rachev_20091202.ppt
Resources
- Prof. Zari Rachev's academic home page (University of California at Santa Barbara): http://www.pstat.ucsb.edu/faculty/rachev/
Thalesian Seminar — Dr. Peter P. Carr — Local Variance Gamma
Date and Time
7:30 p.m. on Monday, 30th November, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/11893766/
Abstract
Suppose that one can observe European option prices at discrete strikes and at one or more maturities. Here we assume that the risk-neutral process for the underlying futures price is a pure jump Markov martingale operating in continuous time with a continuous state space. When the given option prices are arbitrage free and on a regular grid, we show how to construct a piecewise time and space-homogeneous process that meets them. Our construction leads to partial differential difference equations (PDDE's), which permit both explicit calibration and fast numerical valuation. The construction marries ideas from local volatility and variance gamma and is christened the local variance gamma model.
Speaker
Dr. Peter Carr is the Head of Quantitative Financial Research at Bloomberg LP, where his group is responsible for all facets of the business operation relating to modeling and analytics. He is also the Director of the Masters in Math Finance program at NYU's Courant Institute. Prior to his current positions, he headed equity derivative research groups for six years at Banc of America Securities and at Morgan Stanley. 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 a practitioner director for the Financial Management Association. Peter is also an associate editor for 8 academic 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 recently won awards from Wilmott Magazine for "Cutting Edge Research" and from Risk Magazine for "Quant of the Year".
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
Resources
- Dr. Peter Carr's home page: http://www.math.nyu.edu/research/carrp/
Thalesian Seminar — Steve Zymler — Worst-Case Value-at-Risk of Derivative Portfolios: A Cure for Black Swans?
Date and Time
7:30 p.m. on Tuesday, 24th November, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/11780122/
Abstract
Despite its popularity, VaR lacks some desirable theoretical properties.
Firstly, VaR is known to be a non-convex risk measure. As a result, VaR optimization problems usually are computationally intractable. In fact, they belong to the class of chance-constrained stochastic programs, which are notoriously difficult to solve. Secondly, VaR fails to satisfy the subadditivity property of coherent risk measures. Thus, the VaR of a portfolio can exceed the weighted sum of the VaRs of its constituents. In other words, VaR may penalize diversification. Finally, the computation of VaR requires precise knowledge of the joint probability distribution of the asset returns, which is rarely available in practice.
Usually the investor has some distributional information about the asset returns, such as the first- and second-order moments. A common mistake is then to assume that the asset returns are normally distributed. This "Normal-VaR" approximation is appealing as it is a convex function (at least for most threshold values) and is therefore amenable to convex optimization techniques. However, the normality assumption can be extremely dangerous as it rarely holds in reality. When the true distribution is non Gaussian the implications can be disastrous for Normal-VaR optimized portfolios since the risk may be severely underestimated (Black Swans).
Recently, we developed new Worst-Case VaR models for derivative portfolios. These models assume that only certain elements of information are known about the distribution of the underlying asset returns (such as means, covariance matrix, support, etc) but are otherwise unknown. We take into account the set of all distributions that match the known elements of information about the distribution (even those with high skewness, kurtosis, etc). The Worst-Case VaR is then computed as the VaR under the worst-case probability distribution in this set. This method essentially immunizes us against distributional model risk by optimizing the portfolio over the (possibly infinite) set of matching distributions. As more information is provided about the distribution, Worst-Case VaR becomes less conservative.
It turns out that these worst-case portfolio optimization models can be solved using extremely efficient convex optimization algorithms. Worst-Case VaR is a convex risk measure and is therefore also subadditive. Our numerical out-of-sample Worst-Case VaR optimization backtests are very encouraging.
Speaker
Steve Zymler is a PhD student at the Optimization Group of Imperial College London. His research focusses on decision making under uncertainty. In particular, he investigates novel robust risk models which do not make strong assumptions about the probability distributions of the underlying random variables. Steve is also actively involved in developing software solutions that are able to compute as well as minimize the risk of large scale derivative portfolios. These software packages can be used for automated trading and risk management.
Prior to commencing his PhD, Steve graduated from Imperial College with a first class honours master's degree in Computer Science. Steve has received numerous awards, such as the Microsoft Prize for best master thesis (2006), and was voted amongst the top three students at the British SET Awards (Science, Engineering & Technology Student of the Year 2006). He was also a finalist at British Computing Society (BCS) national programming competition (2003) and the Flemish Mathematics Olympiad (2002).
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
Thalesians_Zymler_20091124.pdf
Thalesian Seminar — Prof. Kevin Parrott — PDE Methods for Option Pricing under Jump Diffusion Processes
Date and Time
7:30 p.m. on Wednesday, 18th November, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/11778739/
Abstract
The PDE approach to Option Pricing under jump-diffusion processes (useful for American style contracts) leads to the need to solve numerically a partial integro-differential equation. Merton’s jump-diffusion model is not too hard but probability distributions such as Variance-Gamma and CGMY produce singularities within the integrals and require more care. A number of approaches can be used and this talk describes in detail the use of finite differences with a coordinate transformation. These transformations permit a highly refined mesh in localised regions of interest and, since they have a uniform mesh in the transformed coordinate, allow the use of Richardson extrapolation. Continuously sampled Asian options have a nice structure with this approach and can be solved accurately using a semi-Lagrange time integration approach that should speed up efficiently on parallel hardware.
Speaker
Professor Kevin Parrott is based at the School of computing and mathematical sciences in the University of Greenwich. He is also a visiting lecturer on the Part-time Postgraduate Diploma in Mathematical Finance at Oxford (http://www.maths.ox.ac.uk/prospective-students/graduate/courses/finance/part-time). Kevin has served as a research follow and UCINA coordinator at the University of Oxford for 13 years and has a PhD in computational astrophysics from Manchester University. He is a member of the Society for Industrial mathematics and a regular speaker at academic computational finance events.
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
Thalesians_Parrott_20091118.pdf
Resources
- Prof. Kevin Parrott's staff page, University of Greenwich: http://www.cms.gre.ac.uk/staff/details.asp?id=241
- Prof. Kevin Parrott's academic home page: http://staffweb.cms.gre.ac.uk/~pa10/
Thalesian Seminar — Saeed Amen — The intraday impact of economic data releases on the Australian dollar
Date and Time
7:30 p.m. on Wednesday, 21st October, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/11478789/
Abstract
In this presentation we quantify the impact of both US and Australian economic data releases on the Australian dollar in terms of both intraday volatility and direction. We create an ordering of importance of economic data releases based on intraday volatility. We also investigate the relationship between economic data surprises and spot displacement.
Speaker
Saeed Amen started his career at Lehman Brothers. He worked on the FX desk developing systematic trading models for both G10 and EM and was part of the team who developed the MarQCuS suite of models. He was also responsible for a systematic prop trading book and conducted research around high frequency FX. He currently works at Nomura as a quantitative strategist also in FX developing their model infrastructure. He graduated from Imperial College with a first class master's degree in Mathematics and Computer Science.
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
Thalesians_Amen_20091021.pdf — restricted access; please contact Saeed dot Amen who happens to be at Nomura dot com
Resources
- Saeed Amen's home page: http://www.saeedamen.com/ — here in addition to finance you will find some of Saeed's excellent photos (he is also a photographer!)
Thalesian Seminar — Dr. Aly Kassam — Implementing High Frequency Trading Algorithms Ten Times Faster
Date and Time
7:30 p.m. on Wednesday, 19th August, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/11056717/
Abstract
This presentation will discuss some of my investigations into the use of a set of visual programming tools to develop and deploy high frequency program trading systems. The tools are well developed and used in other engineering disciplines, but as yet relatively new for finance. In particular we will look at a new design paradigm — Model Based Trading — together with automatic HDL and C-code generation from models and deployment to specific hardware including DSP boards.
Speaker
Aly Kassam has had a long working relationship with The MathWorks Ltd — the creators of MATLAB — where he is currently a Principal Application Engineer for Computational Finance. Prior to this he worked for a couple of years as a program trader at Barclays Capital in London. He has a degree in Astronomy and Physics along with a Masters in Nonlinear Dynamics and Chaos from UCL in London, and a Doctorate in Numerical Methods for PDEs from the Computing Laboratory at Oxford University.
Video
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Slides
To be published here.
Resources
- The MathWorks United Kingdom — the creators of MATLAB.
Thalesian Seminar — Dr. Dan Crisan — Solving Backward Stochastic Differential Equations using Cubature Methods
Date and Time
7:30 p.m. on Wednesday, 22nd July, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/10642489/
Abstract
In the last decade, a new class of numerical methods for approximating distributions of solutions of SDEs have been introduced by Kusuoka, Lyons, Ninomiya and Victoir. These methods are based on the work of Kusuoka and Stroock who established refined gradient upper bounds for the associated semigroup using Malliavin Calculus techiniques. In this talk, I will present an application of these methods to the numerical solution of Backward SDEs together with applications to option pricing. The talk is based on joint work with S. Ghazali and K. Manolarakis.
Speaker
Dan Crisan is a Reader in Mathematics at Imperial College London. His expertise lies in the area of Stochastic Analysis with applications in Engineering and Finance. His current research is on developing high-order numerical algorithms for solving stochastic differential equations, approximating schemes for backward SDEs and particle methods for nonlinear filtering. His book, Fundamentals of Stochastic Filtering appeared at Springer Verlag at the begining of the year and he is currently involved in editing an advanced handbook on Nonlinear Filtering to be published by the Oxford University Press. Dr. Crisan is a member of the editorial board of the Journal of Mathematics and Computation. He is also actively involved in teaching. Among numerous other courses, he has taught stochastic filtering, numerical stochastics, and measure-valued processes at Imperial College; applied probability, and stochastic calculus and applications at Cambridge University.
Video
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Slides
Thalesians_Crisan_20090722.pdf
Resources
- Dr. Dan Crisan's home page: http://www.ma.ic.ac.uk/~dcrisan/
- Dr. Dan Crisan in Imperial College Directory: http://www3.imperial.ac.uk/people/d.crisan
Thalesian Seminar — Dr. Rene Reinbacher — Markovian Projection, Heston Model and Pricing European Basket Options with Smile
Date and Time
7:30 p.m. on Tuesday, 7th July, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/10731842/
Abstract
Following an idea of Piterbarg, we explain how Markovian projection can be used to derive an effective pricing model with smile for European options on a basket. The basket will contain n currencies, each admitting smile and calibrated to the Heston model. This implies that the process for the basket has 2n underlying Brownian motions. Markovian projection generates an effective model driven only by two Brownian motions (a shifted Heston model) representing the basket.
Along the course we give some introduction to the Heston model and develop a calibration method for the correlation matrix between the Heston models of various currencies.
Speaker
Rene Reinbacher holds a Masters degree in Mathematics and a PhD in Physics from the University of Pennsylvania. He was a Postdoctoral Researcher at Rutgers University and Harvard University.
Rene's academic interests include string theory and algebraic geometry. In particular, he was working on the application of algebraic-geometric methods in string theory to study the existence and properties of solutions to nonlinear PDE’s on compact spaces via Kobayashi correspondence, and the numerical methods for explicit construction of these solutions. He used recent theoretical results and numerical methods in C++ to obtain the first known solutions of Ricci flat metrics and Hermitian Yang-Mills equations on compact Calabi-Yau threefolds.
Rene has worked at Lehman Brothers and Barclays Capital as an FX and DCRM front office quant. He is currently working for Barclays Capital.
Video
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Slides
Thalesians_Reinbacher_20090707.pdf
Resources
- Vladimir Piterbarg. Markovian Projection Method for Volatility Calibration. Barclays Capital. May 25, 2006.
- Steven L. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The Review of Financial Studies 6 (2), 327-343.
Thalesian Seminar — Dr. Adrian Zymolka — Constraint Attribution: Mastering Constraints for Better Portfolio Construction
Date and Time
7:30 p.m. on Wednesday, 17th June, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/10513811/
Abstract
Using constraints in portfolio construction causes deviations from the classical mean-variance portfolio, which are referred to as unrealized alpha, opportunity costs, or implementation inefficiency. Various measures like the transfer coefficient attempt to quantify such effects.
Axioma developed a novel methodology — called Constraint Attribution — to consistently allocate these deviations to individual constraints. Besides identifying the largest obstacles for increasing implementation efficiency, such attribution gives portfolio managers deeper insights into and thus greater control over their portfolio construction process. This talk introduces the methodology and discusses results for exemplary strategies.
Speaker
Adrian Zymolka is Director of Client Services Europe for Axioma, based in London.
He holds a diploma in Mathematics from the Philipps University Marburg and a Ph.D. in Mathematics from the Technical University in Berlin.
During his Ph.D. time at the Zuse Institute Berlin (ZIB), Adrian was research assistant in the Optimization department headed by Prof. Martin Grötschel. He developed optimization methods for highly complex problems in the area of telecommunication network design and was leading and participating in various industrial projects. In 2006, he joined atesio, a ZIB spin-off company, where he worked as optimization developer and consultant. In his current role since 2007, Adrian helps users of Axioma's optimization technology to model portfolio strategies tailored to their goals and needs.
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
Thalesians_Zymolka_20090617.pdf
Resources
- Dr. Adrian Zymolka's home page: http://www.zymolka.de/adrian/
- Axioma Inc. home page: http://www.axiomainc.com/
Thalesian Seminar — Dr. Patrick Burns — Using Random Portfolios with R
Date and Time
7:30 p.m. on Wednesday, 3rd June, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/10199379/
Abstract
Random portfolios sample from the set of portfolios that obey a given set of constraints. R is a language that was designed for data analysis and graphics. This talk will discuss some applications of random portfolios, including performance measurement and testing trading strategies. Then it will provide an introduction to R for those who are unfamiliar with it. Finally, a demonstration of some operations in R on random portfolios will be given.
Speaker
In 2002 Patrick Burns founded Burns Statistics, which focuses on consulting and software for asset management. Prior to that he spent 4 years at Citigroup in London in the Equity Research and Equity departments where he worked on quantitative models for trading and risk measurement. Before entering finance Patrick was a lead developer of S-PLUS in its early days. He has a PhD in Statistics from the University of Washington in Seattle.
Video
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Slides
Resources
- Burns Statistics home page: http://www.burns-stat.com/
Thalesian Seminar — Dr. David Bellot — An Introduction to Probabilistic Decision Support Systems for Automatic Trading and Financial Series Analysis
Date and Time
7:30 p.m. on Wednesday, 20th May, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/10259088/
Abstract
A recent evolution in modeling, reasoning and decision-making under uncertainty, has been achieved through the use of graphical models and decision graphs. As a result of the convergence of artificial intelligence and statistics, they ease the natural specification of problem domains, and bring a wealth of new algorithms for automatic construction of models, efficient computations of posteriors and query answering. They are mainly used for the purposes of analysis, simulation, prediction and diagnosis in a variety of fields.
Speaker
David Bellot is interested in Statistical Machine Learning, especially in Probabilistic Graphical Models and Bayesian reasoning with applications on time series analysis, knowledge representation and natural language processing. He applies his background on various decision-support problems in radar tracking, medical monitoring and more recently in the analysis of financial assets. He has a BSc and MSc in Computer Science and a PhD in Artificial Intelligence. He has worked as a researcher in several organizations like INRIA, France and the University of California, Berkeley. Currently David is focused on financial applications of probabilistic decision-support systems.
Video
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Slides
Thalesians_Bellot_20090520.pdf
Resources
- David Bellot's home page: http://david.bellot.free.fr/
Thalesian Seminar — Gernot Ziegler and Thomas Bradley — CUDA — GPU Computing for Financial Applications
QUESTIONNAIRE
Our speakers would appreciate if you could submit the following (optional) questionnaire with your registration for this event:
- Position/job title:
- Brief description of your role: (e.g. exposure to quantitative models, asset classes, front office/middle office)
- Institution:
- Number of years experience in the finance industry:
- What types of computationally intensive processes for financial applications do you run and/or depend on? (e.g. Monte Carlo simulations for derivative pricing)
- Have you had exposure to numerical methods and high performance computing?
- Have you been involved or are you aware of any projects to investigate using CUDA for any of these applications within your institution?
- What are your reservations, if any, about using CUDA to speed up financial applications and reduce hardware costs?
Date and Time
7:30 p.m. on Tuesday, 28th April, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/10199345/
Abstract
With the world's first teraflop many-core processor, NVIDIA® Tesla computing solutions enable the necessary transition to energy efficient parallel computing power. With 240 cores per processor and a standard C compiler that simplifies application development, Tesla scales to solve the world's most important computing challenges more quickly and accurately. The C for CUDA programming environment simplifies many-core programming and enhances performance by offloading computationally-intensive activities from the CPU to the GPU. It enables developers to utilise NVIDIA GPUs to resolve the most complex computation-intensive challenges in financial analysis, such as real-time pricing, value-at-risk and complex Monte Carlo simulations.
Speaker
Gernot Ziegler (MSc/civ.ing.) is an Austrian engineer with an MSc degree in Computer Science and Engineering from Linköping University, Sweden. He pursued his PhD studies at the Max-Planck-Institute for Informatics in Saarbrücken, Germany, where he specialized in GPU algorithms for computer vision and data-parallel algorithms for spatial data structures.
Thomas Bradley MEng(Hons) MIEE graduated with a first-class MEng degree in Computer Systems Engineering from the University of Bristol in 2000, having also completed the final year of the Diplôme d’Ingénieur at l’École Nationale Supérieure de Télécommunications in Brest, France. He worked as processor architect for video encoding processors at STMicroelectronics before moving to ClearSpeed Technology plc to lead architecture development for general purpose parallel processors. Since then he has specialised in High Performance Computing software development at ClearSpeed and now at NVIDIA.
Video
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Slides
Thalesians_NVIDIA_20090428.pdf
Resources
- NVIDIA's home page: http://www.nvidia.co.uk/
Thalesian Seminar — Prof. Berç Rustem and Steve Zymler — Robustness in Investment Decisions
Date and Time
7:30 p.m. on Wednesday, 25th March, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: N/A
Abstract
Recognizing that robust decision making is vital in risk management, we provide concepts for computing the best decision in view of the worst-case scenario. The main tool used is minimax, which ensures robust policies with guaranteed optimal performance that will improve further if the worst case is not realized.
Critically, worst-case design addresses not only Armageddon-type uncertainty. Indeed, the determination of the worst case becomes nontrivial when faced with numerous — possibly infinite — and reasonably likely rival scenarios. Optimality does not depend on any single scenario but on all the scenarios under consideration. Worst-case optimal decisions provide guaranteed optimal performance for systems operating within the specified scenario range characterising the uncertainty.
The noninferiority of minimax solutions — which also offer the possibility of multiple maxima — ensures this optimality. Worst-case design is not intended to necessarily replace expected value optimization when the underlying uncertainty is stochastic. However, wise decision making requires the justification of policies based on expected value optimization in view of the worst-case scenario. Conversely, the cost of the assured performance provided by robust worst-case decision making needs to be evaluated relative to optimal expected values.
Robustness is thus intended to relax the inherent inaccuracy of forecasts. This applies to single as well as multi-period portfolio decision problems. We begin by introducing a generalisation of the standard Markowitz framework to multiple/rival return and risk scenarios. The optimal investment decision is evaluated in view of the worst-case scenario. The multi-period extension is considered to model non-liquid assets and the effect of transaction costs on the optimality of final performance. Robustness is not restricted to simply the mean-variance framework. Indeed, we also consider optimisation of multi-period conditional value at risk in view of rival representations of the future (in terms of scenario trees).
Speaker
Professor Berç Rustem (FIMA, CMath) (Prof. of Computational Methods in Operations Research, Imperial College, London) is editor of Automatica, co-editor of Computational Management Science, Advisory Editor of Journal of Economic Dynamics & Control (JEDC), and on the editorial board of Computational Economics, Journal of Global Optimization, Cybernetics, and several book series. He was President of the Society for Computational Economics (2000-2002), editor of JEDC (1987-2002), chair of the IFAC Technical Committee "Computation in Economics & Finance" (1992-2000), and chair of the IPC IFAC Symposium "Computation in Economics & Finance" (2001). He also was the Principal Investigator in various research projects that led to the development of optimisation software for nonlinear economic models (supplied to HM Treasury), and financial and engineering risk management software. He has authored over 150 journal and conference publications, edited many journal special issues (including JEDC, Parallel Computing), and 4 book volumes (published by MacMillan and Kluwer). He is the author of 3 research monographs on optimisation algorithms, multiple-objective decision making and min-max robust design (Springer-Verlag, Wiley & Sons, Princeton University Press). He is the author of "Projection Methods in Contrained Optimisation and Applications to Optimal Policy Decisions", "Algorithms for Nonlinear Programming", and "Algorithms for Worst-Case Design and Applications to Risk Management".
Video
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Slides
Thalesians_Rustem_20090325.pdf
Resources
- Berc Rustem's academic home page: http://www.doc.ic.ac.uk/~br
Thalesian Seminar — Prof. Claudio Albanese — Interest Rate Derivatives and GPU Computing
Date and Time
7:30 p.m. on Wednesday, 4th March, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
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Abstract
GPU coprocessors give access to extraordinary computational power as long as one can design financial algorithms to take advantage of the hardware features. The talk elaborates on the challenges and solutions in the context of interest rate exotics. I outline algorithms for calibration, pricing and risk management and discuss the implementation of lattice and Monte Carlo methods.
Speaker
Claudio Albanese is a Visiting Professor at the Financial Mathematics Group at King's College and an independent consultant at Level 3 Finance. He received his doctorate in Physics from ETH Zurich, following which he held post-doctoral positions at New York University and Princeton University. He was Associate Professor in the Mathematics Department of the University of Toronto and then Professor of Mathematical Finance at Imperial College London.
Video
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Slides
Thalesians_Albanese_20090304.pdf
Resources
- Claudio Albanese's home page: http://www.level3finance.com/
Thalesian Seminar — Saeed Amen — Introduction to Foreign Exchange
Date and Time
7:30 p.m. on Wednesday, 11th February, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
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Abstract
In this presentation we shall give a short introduction to the FX markets, explaining various quoting conventions and how FX is traded. We shall mostly examine FX spot and options markets, and look at which factors in general influence FX markets.
Speaker
Saeed Amen started his career at Lehman Brothers. He worked on the FX desk developing systematic trading models for both G10 and EM and was part of the team who developed the MarQCuS suite of models. He was also responsible for a systematic prop trading book and conducted research around high frequency FX. He currently works at Nomura as a quantitative strategist also in FX developing their model infrastructure. He graduated from Imperial College with a first class master's degree in Mathematics and Computer Science.
Video
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Slides
Resources
- Saeed Amen's home page: http://www.saeedamen.com/
Thalesian Seminar — Dr. Matthew Dixon — Calibrating Spread Options using a Seasonal Commodity Forward Model
Date and Time
7:30 p.m. on Thursday, 29th January, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: N/A
Abstract
We describe the calibration of spread options on power and natural gas forward prices whose dynamics are described by the Borovkova & Geman (2006) commodity forward price model. This two-factor model resolves the stochastic dynamics of the average value of the forward curve and the term structure of convenience yields, the latter of which incorporates seasonal effects. Capturing the seasonal volatility term-structure from historical prices is essential for accurate forward curve construction and subsequent option pricing. An attractive feature of the seasonal forward model is that the covariance of the forward dynamics is quadratic in the volatility term-structure and can be effectively calibrated to historical data using a non-linear gradient based constrained optimization algorithm. We show the comparative effect on calender spread and heating rate option prices through resolving the full term-structure of seasonal forward volatilities.
The talk will end with a more general and interactive discussion on how term-structure calibration methodology can be modified to account for major market dislocations.
Speaker
Matthew is a specialist in applied numerical analysis and scientific computing and holds a postdoctoral appointment in scientific computing at UC Davis. He previously held a postdoctoral appointment with the Institute for Computational and Mathematical Engineering at Stanford University. Matthew graduated with a PhD in applied mathematics from Imperial College in 2007 and a MSc in parallel and scientific computation (with distinction) from Reading University in 2002. He is a regular speaker at computational finance events and in between his studies has worked for various investment banks in London.
Video
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Slides
Resources
- Matthew Dixon's academic home page: http://www.stanford.edu/~mfrdixon
