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Quantitative Finance Seminars

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

Videos of some of the London talks are available: both Flash streaming videos and downloadable in MP4 format for iPod/iTunes and also on our YouTube site

Venues

London, UK

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

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

Budapest, Hungary

Palack Borbár, Szent Gellért sqr 3, Budapest (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 IAQF/Thalesians NYC seminars is strictly by online registration only and is $25 for non-IAQF 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 thalesians.com to reserve your place and/or sign up to our official seminar list.

Forthcoming Seminars for 2015

Thalesians Panel (London) — Cudmore/Burroughs & more — Global macro & UK election panel

Saeed Amen

Saeed Amen

Date and Time

7:30 p.m. on Wednesday, 29 April, 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/221147156/

Abstract

Global markets are in a flux. The dollar has rallied significantly over recent months against both developed and emerging markets, as the Fed approach potential "lift off", spurring the rise in market volatility. The ECB has started full blown quantitative easing. In the UK, the general election is approaching and could have profound impact on markets. An expert panel will be discussing these market developments and giving their views on the future. It promises to be a very exciting discussion, at a pivotal point in global markets!

There will also be a Q&A to bring the audience into the discussion.

Our panellists will include:

  • Eric Burroughs (Reuters - Editor of FX Buzz @ericbeebo)
  • Mark Cudmore (Bloomberg News - First Word EM Strategist)
  • Jordan Rochester (Nomura - FX strategist)
  • Jeremy Wilkinson-Smith (Independent FX trader @JeremyWS)

Saeed Amen (co-founder and managing director of the Thalesians @thalesians) will host the panel

Selected Bios

Eric Burroughs is editor and managing analyst of Reuters Buzz, the intraday market intelligence and commentary service. Has covered markets and economics around the world for 15 years with Reuters, including stints in New York, Tokyo and Hong Kong where he previously served as Asia Financial Markets Editor.

Mark Cudmore recently joined Bloomberg as an Emerging Market Strategist, focusing predominantly on the CEEMEA region and with FX as a core product focus. He has spent over a decade in financial markets, mainly as an EM FX sell-side trader but also has worked in sales and on the buy-side. Mark graduated from Trinity College Dublin with a first class honours degree in Mathematics and Economics.

Jeremy Wilkinson-Smith (@JeremyWS) is an independent trader. He has spent the 5 years, trading FX and interest rates from a global macro perspective. He is currently reading finance at the University of Warwick.

Saeed Amen is a Managing Director and a Co-founder at Thalesians Ltd.

Saeed is currently publishing ground-breaking quant strategy notes at Thalesians Ltd., drawing upon nearly a decade of experience both creating and running systematic trading models successfully with real cash. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX. He is currently also writing a book on trading which is due to be published by Palgrave Macmillan (preliminary title: Trading Thalesians - What the ancient world can teach us about trading today)

Saeed 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 FX prop trading book and conducted research around high frequency FX including economic events. Later he was at Nomura as an Executive Director in Quantitative Strategy, also in FX, developing their model infrastructure and also running systematic FX prop risk. He graduated from Imperial College with a first class honours master's degree in Mathematics and Computer Science.

Video

To be published here

Slides

To be published here

Resources

To be published here


IAQF-Thalesians Seminar (New York) — Dr. Andrew Kalotay — Tax-Efficient Trading of Municipal Bonds

Andrew Kalotay

Andrew Kalotay

Agenda

Thursday, May 14, 2015:

Venue

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

Registration

Abstract

Although tax-loss selling is widely recognized as a potential enhancer of after-tax return, it is usually employed opportunistically, rather than as part of a comprehensive investment strategy. In particular, little attention is paid to determining the optimum time to execute, given transaction costs.

Municipal bonds provide an ideal asset class to appreciate the benefit of active tax management, because the tax-exemption of interest by itself does not guarantee tax-efficient performance. We will present a dynamic approach to maximize after-tax return, which includes structuring of the portfolio and optimizing the timing of trades. The key insight is that the right to make a tax-driven trade is a (tax) option, which is acquired automatically and at no cost with any purchase. The value of this option can be rigorously determined. Selling and reinvesting entails swapping the associated options. Thus the sale decision should factor in the net loss of option value. Our dynamic strategy is expected to improve after-tax return over buy-and-hold by 30-80 basis points annually, depending on the duration of the portfolio and on investor-specific considerations. The approach can be adapted to other asset classes, including common equity.

Speaker

Andrew Kalotay is a leading authority on the valuation of bonds and interest rate derivatives. He is a prolific contributor to the literature on topics ranging from advance refunding to tax-neutral valuation and tax management of municipal bond investments. His firm licenses fixed income valuation software and provides debt management advisory services.

Before establishing Andrew Kalotay Associates in 1990, Dr. Kalotay was with Salomon Brothers. Prior to Wall Street, he was at Bell Laboratories and AT&T. On the academic side, he was the founding director of the graduate Financial Engineering program at Polytechnic University (now part of NYU).

Dr. Kalotay holds a B.Sc. and M.Sc. from Queen's University and a Ph.D. from the University of Toronto, all in mathematics. He was inducted into the Fixed Income Analyst Society’s "Hall of Fame" in 1997.

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

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

Tim Leung

Agenda

Wednesday, June 18, 2015:

Venue

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

Registration

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

Our old events page is here

  • This page was last modified on 26 April 2015, at 19:47.
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