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Thalesian Seminar (San Francisco) — Prof. Farshid Jamshidian — An Overview of Interest-Rate Derivatives Modeling

Date and Time

7:00 p.m. on Wednesday, 14th December, 2011.

Venue

rm 2203 GGU, 536 Mission St, San Francisco

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/40633852/

Abstract

The presentation reviews interest-rate modeling since its advent in the mid 70s, with particular focus on fixed-income derivatives and their valuation. We highlight the crucial role played by practitioners in the evolution of modeling to the present day. As we argue, the major theoretical advances were incited by traders needs and insistence on model compatibility with liquid instruments. The Gaussian, BDT, HJM, and Libor Market Models are discussed in some detail and many other models remarked on. We conclude with some outstanding issues of great practical importance that still defy a satisfactory theoretical solution.

Video

To be published here

Slides

To be published here

Resources

- Libor and Swap Market Model and Measures (1997), Finance and Stochastics 1, 293-330.

- Bond and Options Evaluation in the Gaussian Interest Rate Model (1991), Research in Finance 9, 131-170.

- Forward Induction and Construction of Yield Curve Diffusion Models (1991), Journal of Fixed Income 1(1), 62-74.

- An Exact Bond Option Formula (1989), Journal of Finance 44, 205-209.


Thalesian Seminar and Annual Festive Dinner (London) — Saeed Amen — What Drives Gold?

SaeedAmen

Date and Time

7:00 p.m. on Wednesday, 7th December, 2011.

Please note: Saeed's talk will start earlier than usual, at 7:00 p.m. At 7:45 p.m. we shall proceed to the dinner buffet. The cost of food is included in the ticket.

Venue

Upstairs at City Pride, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/40881222/

Menu

  • Yorkshire puddings filled with beef and horseradish
  • Open salmon sandwich served on brown bread and cream cheese
  • Spicy cajun chicken chunks
  • Filo pastry king prawns
  • Mini sausages in honey and mustard sauce
  • Mince pies and Christmas pudding

Vegetarian Options:

  • Bruschetta (v) - Substitute for one of the above
  • Christmas salad of mixed leaves, julian carrots, poached pears and walnuts (v)

Abstract

The price action in gold has many drivers. We discuss the various factors which impact gold, including its relationship with rates and FX. We also look at the composition of end user demand for gold. We analyse how gold trades with respect to risk sentiment and its relationship with market risk events. As well as looking at the historical behavior of gold, we also outline our view on gold for the coming year and we discuss our forecasts.

Speaker

Saeed is the founder of Cuemacro and is a co-founder of the Thalesians. Over the past decade, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX, which has had a Sharpe ratio over 1.5 since 2013. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan).

Video

To be published here

Slides

To be published here


Thalesian Seminar (London) — Dr. Boryana Racheva-Iotova — Myths and Realities — Why Many Investment Managers Are Hesitant to Implement Fat-tailed Risk Models

Boryana Racheva-Iotova

Date and Time

7:30 p.m. on Wednesday, 30th November, 2011.

Venue

Upstairs at City Pride, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/41180492/

Abstract

It's fact that "Black Swans" and "Fat-tails" are among the key buzz words since late 2008 and even more so recently. It's also fact that there is hesitation for many on adopting risk and portfolio management approaches that better capture the tail risk. We explore the question “Why?” Clearly people in different roles from Quants to CEO's have different views and thought processes. Some are very clear and well grounded but others are closer to myths. This talk will try to demystify what is behind those concerns and provide both quantitative views and a common-sense inventory on how these stand up as we head into 2012:

  • Are Fat-tailed approaches always more conservative and do they lead to missed opportunities?
  • Are Fat-tailed models technically unmanageable – model fitting, infinite variance, stability, can’t price derivatives?
  • There are so many approaches proposed recently - how to distinguish which are sound and reliable? - "I have seen bizarre results..."
  • The value versus complexity isn’t worth it... right?
  • Does it really matter over the long-term?
  • Is the practical system implementation harder?
  • How to ensure acceptance within the Firm and explain to the board and investors?!...

Speaker

Boryana Racheva-Iotova is President of FinAnalytica. She leads FinAnalytica's R&D team and product development of the Cognity platform – the award winning multi-asset class risk and portfolio construction suite for investment managers. She was co-founder and CEO of the Bravo Risk Management Group and the originator of the Cognity product and its patented fat-tailed risk and optimization methodology, later acquired by FinAnalytica. Her many articles have appeared in premier scientific journals. She has over 10 years of experience in building risk management solutions and utilizing the latest analytical advancements to meet the needs of financial industry practitioners. She holds M. Sci. in Probability and Statistics at the Faculty of Mathematics and Informatics, Sofia University, and Doctor of Science degree from LMU Munich.

Video

To be published here

Slides

To be published here

Resources


Thalesian Seminar (San Francisco) — Dr. Peter Shepard — 2nd Order Risk

Peter Shepard

Date and Time

7:00 p.m. on Wednesday, 30th November, 2011.

Venue

rm 5312 GGU, 536 Mission St, San Francisco

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/40631142/

Abstract

Financial models play a critical role in the investment process, but we sometimes forget that they are just that: models. There is always a gap between the model and the true behavior of the markets. In addition to the uncertainty captured by a model, “first order risk”, there is additional risk due to uncertainty of the model itself, “second order risk”. We show that this additional source of risk is often much larger than would be expected, and we can begin to forecast this risk like more traditional sources of uncertainty.

Speaker

Peter Shepard is a Vice President and Senior Researcher at MSCI, where he works in multi-asset class research. He led development of the new Barra Integrated Model (BIM301), spanning global stocks, bonds, commodities, currencies, hedge funds, private real estate, and equity volatility futures. He was an architect of the Barra Global Equity Model (GEM2), and has done research in portfolio construction. Prior to joining MSCI, he worked in fixed income risk modeling in the quantitative research group at Thomson Financial.


Dr Shepard holds a PhD in theoretical physics from the University of California at Berkeley, where he researched string theory and the quantum theory of gravity. He has publications in theoretical physics and finance. Dr Shepard also holds a Bachelors degree in physics and mathematics from Brown University

Video

To be published here

Slides

To be published here

Resources

http://arxiv.org/abs/0908.2455


Thalesian Seminar (London) — Dr. Cassio Neri — Introduction to the KeyValue Library

Cassio Neri

Date and Time

7:30 p.m. on Wednesday, 2nd November, 2011.

Venue

Upstairs at City Pride, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/38982082/

Abstract

Option pricing libraries developed in-house by financial institutions share many features. Specifically, most of them are Excel add-ins written in C++ that give to users the ability of instantiating objects (e.g. volatility surfaces, models, instruments, etc.) on the spreadsheet. The objects are stored in a repository and handles to these objects are returned to the spreadsheet, allowing the users to call their methods.

KeyValue is a library that helps the development of such add-ins. Additionally, the library is cross-platform and creates OpenOffice and LibreOffice extensions that work on Windows and GNU/Linux systems.

The library is named after its interface where function parameters are passed through key-value pairs in contrast to the standard positional interfaces of Excel, LibreOffice and OpenOffice. The way that pricing spreadsheets are designed makes this interface very convenient.

KeyValue is flexible and can be used in other areas. This talk is an introduction specially tailored for quants and quant-devs.

Speaker

Cassio Neri completed his Ph.D. in Applied Mathematics at University of Paris-Dauphine in 2002 advised by Prof. Pierre-Louis Lions (1994 Fields Medal Winner).

After a few years lecturing Applied Mathematics at the Federal University of Rio de Janeiro, he moved to London in 2006 and became a quantitative analyst. Before joining the FX Quantitative Research Team of Lloyds Bank Commercial Banking he worked at Dresdner Kleinwort and Commerzbank.

Cassio is a member of the BSI C++ Panel and a researcher on applications of Statistical Mechanics and Entropic Methods to finance. He has published articles in journals on mathematics, financial mathematics and programming.

Video

To be published here

Slides

To be published here

Resources


Thalesian Seminar (London) — Prof. Uwe Wystup — Embedded Currency Exchange Options in Roll-over Loans

Uwe Wystup

Date and Time

7:30 p.m. on Wednesday, 19th October, 2011.

Venue

Upstairs at City Pride, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/36309342/

Abstract

For ship and aircraft financing long term roll-over loans are often equipped with the right to change the currency every quarter at spot. The loan taker then pays LIBOR of the respective currency plus a pre-determined constant sales margin. If the capital outstanding exceeds 105% calculated in the original currency, the amortization is required to the level of 105% of the original currency. By clever currency management the loan taker can amortize the loan faster and terminate the loan early. Essentially the loan taker owns a series of options on the cross currency basis spread with unknown notional amounts. We determine the key drivers of risk, an approach to valuation and hedging, taking into consideration the regulatory constraints of a required long term funding.

Key words: currency option, basis spread, cross currency swap, roll-over loan, derivatives valuation

Co-author: Andreas Weber, senior financial engineer at MathFinance

Speaker

Uwe Wystup is managing director of www.mathfinance.com, a global network of quants specializing in modeling and implementing and validating derivatives models. He has been working as Financial Engineer, Structurer and Consultant in FX Options Trading Teams of Citibank, UBS, Sal. Oppenheim and Commerzbank since 1992 and became an internationally known FX Options expert in both Academia and Practice.

Uwe holds a PhD in mathematical finance from Carnegie Mellon University, serves as an honorary professor of Quantitative Finance at Frankfurt School of Finance & Management and associate fellow at Warwick Business School.

His first book Foreign Exchange Risk co-edited with Jürgen Hakala published in 2002, has become a market standard. His second book on FX Options and Structured Products appeared in 2006 as part of the Willey Finance Series. He has also published articles in Finance and Stochastics, the Journal of Derivatives, Review of Derivatives Research, Quantitative Finance, the Annals of Finance, Wilmott Magazine, Derivatives Week.

Video

To be published here

Slides

To be published here

Resources


Thalesian Seminar (San Francisco) — Dr. Richard Libby — Metamathematical Finance

Richard Libby

Date and Time

6:00 p.m. on Wednesday, 19th October, 2011.

Venue

LH Community Meeting Room, located on the San Francisco Public Library's lower level (please enter at 30 grove street and proceed down stairs to the lower level).

Meetup.com

You can register for this free inaugural talk of the Thalesian SF Fall seminar on Meetup.com: http://events.thalesians.com/events/34937802/

This event will be held in conjunction with the GARP San Francisco Chapter meetings. GARP members can alternatively register for this event at http:/www.garp.com

Abstract

Quantitative finance relies on a number of assumptions about the behavior of markets. The degree to which these assumptions approximate the reality may or may not lead to accurate analysis and forecasting. This talk will examine these assumptions in an historical context and with a view as to how to make them better, or at least less dangerous when mis-handled.

Speaker

Richard is the Founding Director of Perihelion Capital Advisors, LLC, a firm devoted to risk advisory and analytics services in San Francisco, California. Prior to founding Perihelion, Richard was the Chief Credit Officer at Barclays Global Investors, where his focus was on counterparty credit and risk capital analysis, market and liquidity risks, and risk management governance. His team of market and credit risk analysts controlled and managed trading exposures and performed risk assessments ensuring that the asset manager was appropriately capitalized. Prior to his work with Barclays, Richard oversaw the development of market and credit risk systems for the measurement and control of derivatives and foreign exchange exposures at Bank of America. He holds a PhD in Mathematics from UC Santa Cruz.

Video

http://www.zentation.com/viewer/index.php?passcode=XF2jkyC3q9

Resources


Thalesian Seminar (London) — Dr. John Crosby — Reflections on trading and hedging complex derivatives: Is the business model broken?

John Crosby

Date and Time

7:30 p.m. on Wednesday, 5th October, 2011.

Venue

Upstairs at City Pride, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/34518552/

Abstract

We ask if the business model used by banks to price and hedge complex derivatives is broken. Answering our own question in the affirmative, we propose simple-to-implement fixes which are based on more fundamental economic analysis and on banks holding reserves against market imperfections and model risks.

Speaker

John Crosby gained a first class honours degree in Applied Mathematics and Theoretical Physics at Girton College, Cambridge University before going on to study Electrical Engineering at University College, Oxford University. He began his career by trading fx options. He then moved to Monis (formerly London Business School Financial Software) where he researched and wrote their pricing libraries for a very wide range of exotic options as well as co-writing their three-factor Convertible bond model, which captured stochastic equity prices, interest-rates and default risk. He has then worked at First Chicago, Barclays Capital and Lloyds TSB Financial Markets where he has been responsible for developing advanced models for pricing and risk-managing a wide-range of complex derivatives. John is best known for publishing a number of papers on the subject of pricing commodity derivatives using a multi-factor jump-diffusion model and for being a co-author of the Carr-Crosby fx options model.

John is a visiting Professor of Finance in the Centre for Economic and Financial Studies in the Department of Economics at Glasgow University.

John is also an invited lecturer on the M.Sc. course in Mathematical Finance in the Mathematical Institute at Oxford University (link here).

Outside of mathematical finance and derivatives research, his main interests are sport (he is a keen runner and cyclist and regularly goes to the gym) and history. He is also a reasonably proficient speaker of Russian.

Video

To be published here

Slides

To be published here

Resources


Thalesian Seminar (London) — Dr. Lajos Gergely Gyurko — Cubature on Wiener space and Multilevel Monte-Carlo

Lajos Gergely Gyurko

Date and Time

7:30 p.m. on Wednesday, 14th September, 2011.

Venue

Upstairs at City Pride, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/31934452/

Abstract

"Cubature on Wiener space" is a numerical method for the weak approximation of SDEs. After an introduction to this method we present some cases when the method is computationally expensive, and highlight some techniques that improve the tractability. In particular, we adapt the Multilevel Monte-Carlo framework and extend the Milstein-scheme based version of Mike Giles to higher dimensional and higher degree cases.

Speaker

Lajos Gergely Gyurko obtained a DPhil in Mathematics from the Mathematical Institute, University of Oxford. After graduating he joined the institute as a Departmental Lecturer. Beyond lecturing numerical methods, Greg is the course director of the Mathematical and Computational Finance MSc and faculty member of the Oxford-Man Institute of Quantitative Finance. Greg's research interests are Rough Paths Theory and its applications in Computational Finance.

Video

To be published here

Slides

To be published here

Resources


Thalesian Seminar (New York) — Gregory Zuckerman — Lessons from The Greatest Trade Ever

Gregory Zuckerman

Date and Time

5:30 p.m. on Tuesday, 23rd August, 2011.

Venue

Enter and leave the building at 188 Madison Avenue. Signs will direct you to the lower level and conference room 014/015.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/28022141/

Abstract

How a band of unlikely investors pulled off the greatest financial coup in history, why the experts didn’t see the global real-estate collapse coming, and why we’re in an era of financial bubbles.

Speaker

Gregory Zuckerman is a Special Writer at The Wall Street Journal and the author of “The Frackers: The Outrageous Inside Story of the New Billionaire Wildcatters,” a national bestseller published November 2013 by Portfolio/Penguin Press about the nation’s move toward energy independence and the drama behind it. He also is the author of “The Greatest Trade Ever: The Behind-the-Scenes Story of How John Paulson Defied Wall Street and Made Financial History,” a New York Times and Wall Street Journal best-seller published in December 2010 by Crown Business, a division of Random House. The book has been translated in nine languages and was awarded book-of-the-year honors by the National Association of Real Estate Editors.

At the Journal, Greg writes about big financial trades, hedge funds, private-equity firms, the energy revolution and other investing and business topics. In the past, Greg wrote the widely read "Heard on the Street" column and covered the credit markets for the Journal. In 2012, Greg broke the story about the huge, disastrous trades by J.P. Morgan’s “London Whale.” In 2007, he was part of a team that won the Gerald Loeb award -- the highest honor in business journalism -- for breaking news coverage of the collapse of hedge fund Amaranth Advisors. He also was part of a team that won the 2003 Gerald Loeb award for breaking news coverage of the demise of telecom provider WorldCom. Greg was part of a team that won the New York Press Club Journalism award in 2008.

Greg was a finalist for the 2011 Gerald Loeb award for investigative news coverage of the insider trading scandal and a finalist for the 2008 Gerald Loeb award, for coverage of the mortgage meltdown.

He appears regularly on CNBC, Fox Business, Yahoo Finance and various television networks, and he makes regular appearances on National Public Radio, BBC, ABC Radio, Bloomberg Radio and radio stations around the globe.

Greg gives speeches to business groups on a variety of topics. Over the past year, he has spoken to groups in New York, Los Angeles, Las Vegas, San Diego, Phoenix, London, Hong Kong and Tel Aviv.

Greg joined the Journal in 1996 after writing about media companies for the New York Post. Previously, he was the managing editor of Mergers & Acquisitions Report, a newsletter published by Investment Dealers' Digest. He graduated from Brandeis University in 1988, Magna Cum Laude.

He lives with his wife and two sons in West Orange, N.J., where they enjoy the Yankees in the summer, the Giants in the fall, and reminisce about Linsanity in the winter.

Disclaimer

This is not an instructional program of the New York Public Library.

Video

Slides

To be published here

Resources


Thalesian Seminar (London) — Saeed Amen — US employment report and its impact on intraday FX markets

SaeedAmen

Date and Time

7:30 p.m. on Wednesday, 13th July, 2011.

Venue

Upstairs at City Pride, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/22636491/

Abstract

We discuss how the US employment report impacts major FX crosses from both a volatility and directional spot perspective on an intraday basis. In particular, we examine the impact of surprises in the employment report on FX spot and how this sensitivity varies across different crosses. We also examine options strategies that can be used over the event.

Speaker

Saeed is the founder of Cuemacro and is a co-founder of the Thalesians. Over the past decade, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX, which has had a Sharpe ratio over 1.5 since 2013. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan).

Video

To be published here

Slides

To be published here


Thalesian Seminar (New York) — Rakesh Joshi — FPGAs for HFT

Rakesh Joshi

Date and Time

6:30 p.m. on Wednesday, 29th June, 2011.

Venue

Second floor at O'Lunneys, Theatre District, NYC.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/17438075/

Abstract

The talk discusses the application of reconfigurable devices in high frequency trading. Opening with an overview of HFT styles; application areas for FPGAs are introduced, followed by an FPGA primer covering:

- structure, organization and components of an FPGA

- device scale – how many functional units (logic blocks, memory)

- combinatorial and sequential logic and the notion of clock constraints

- common approaches to synchronization

- examples of available shrink-wrapped high level function modules (IP cores)

With that background, some key similarities and differences, advantages and disadvantages relative to GPU devices are reviewed; following which we return to specific HFT applications that exploit the capabilities of FPGAs. Various development tools that make FPGA development accessible are surveyed and, time permitting, a specific HFT related example will be reviewed.

Speaker

Rakesh is a founding partner of Eigen.Systems, a tools and consulting company focussed on parallel computing in computational finance. Prior to founding Eigen.Systems in 2006, Rakesh was CTO at Archeus Capital, and Citigroup since 1992 in various roles in fixed income derivatives, FX and emerging markets technology and trading. His current interests are irregular parallel problems and visualization of economic, risk and market data.

Slides

Thalesians_Joshi_20110629.pdf

Video

Click below for Flash streaming video.

Get the Flash Player to see this player.

Resources


Thalesian Seminar and Drinks (London) — Prof. Claudio Albanese — Funding strategies for counterparty credit risk: regulations, models and technology

Claudio Albanese

Date and Time

7:30 p.m. on Wednesday, 15th June, 2011.

Venue

Upstairs at City Pride, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/20992761/

Abstract

Basel III and the Dodd-Frank Act are inducing a shift in counterparty credit risk management and trading practices. To address the multiple challenges, we developed a high performance single node engine for global market simulations and for the modeling of global portfolios of netting sets.

Our engine's performance as a CVA calculator proved to be vastly superior to that of traditional grid farm implementations. Moreover, we found several other more advanced applications which are nearly out of reach of grid computing, including

  • Fully calibrated, arbitrage free, dynamic modeling of all credit and market factors under the risk neutral measure;
  • Efficient valuation of CVA volatility, as required under the advanced Basel III framework;
  • Pricing of margin revolvers, i.e. revolving lines of credit attached to cross-product netting sets for cleared portfolios; and
  • Securitization of portfolios of margin revolvers.

In the talk we elaborate on the changing regulatory environment, the software architecture we implemented and the specialist hardware configurations we use and contributed to design.

Speaker

Claudio Albanese is a Visiting Professor at the Financial Mathematics Group at King's College and an independent consultant at Global Valuation Ltd. 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

Slides

Resources


Thalesian Seminar (New York) — Jim Gatheral — Optimal Order Execution

Jim Gatheral

Date and Time

6:30 p.m. on Tuesday, 14th June, 2011.

Venue

Third floor at the Playwright Tavern, Theatre District, NYC.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/18472071/

Abstract

In this talk, we review various models of market impact. We use variational calculus to derive optimal execution strategies, and show that in many conventional models, static strategies are dynamically optimal. We then present a model in which the optimal strategy does depend on the stock price and derive an explicit closed-form solution for this strategy by solving the HJB equation. We conclude by exploring the sensitivity of expected cost in this model to the execution strategy. This is joint work with Alexander Schied.


Speaker

Jim Gatheral is professor of mathematics at Baruch College, CUNY teaching mostly courses in the Masters of Financial Engineering (MFE) program. Prior to joining the faculty of Baruch College, Jim was a Managing Director at Bank of America Merrill Lynch, and also an adjunct professor at the Courant Institute of the Mathematical Sciences, New York, where for many years he co-taught popular classes in the Masters Program of Mathematics in Finance. Prior to 2005 he headed the Equity Quantitative Analytics groups at Merrill Lynch. Over his long career in the financial markets, he has been involved at one time or other in all of the major derivative product areas as bookrunner, risk manager and quantitative analyst. Jim has a BSc in mathematics and natural philosophy from Glasgow University and a PhD in theoretical physics from Cambridge University. His current research focus is on volatility modelling and modelling equity market microstructure for algorithmic trading. His best-selling book, The Volatility Surface: A Practitioner's Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling.

Slides

Thalesians_Gatheral_20110614.pdf

Resources


Thalesian Seminar and Drinks (New York) — Prof. Claudio Albanese — Funding strategies for counterparty credit risk: regulations, models and technology

Claudio Albanese

Date and Time

6:30 p.m. on Tuesday, 7th June, 2011.

Venue

Third floor at the Playwright Tavern, Theatre District, NYC.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/20001401/

Abstract

Basel III and the Dodd-Frank Act are inducing a shift in counterparty credit risk management and trading practices. To address the multiple challenges, we developed a high performance single node engine for global market simulations and for the modeling of global portfolios of netting sets.

Our engine's performance as a CVA calculator proved to be vastly superior to that of traditional grid farm implementations. Moreover, we found several other more advanced applications which are nearly out of reach of grid computing, including

  • Fully calibrated, arbitrage free, dynamic modeling of all credit and market factors under the risk neutral measure;
  • Efficient valuation of CVA volatility, as required under the advanced Basel III framework;
  • Pricing of margin revolvers, i.e. revolving lines of credit attached to cross-product netting sets for cleared portfolios; and
  • Securitization of portfolios of margin revolvers.

In the talk we elaborate on the changing regulatory environment, the software architecture we implemented and the specialist hardware configurations we use and contributed to design.

Speaker

Claudio Albanese is a Visiting Professor at the Financial Mathematics Group at King's College and an independent consultant at Global Valuation Ltd. 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

Slides

Thalesians_Albanese_20110607.pdf

Resources


Thalesian Seminar (London) — Gregory Zuckerman — Lessons from The Greatest Trade Ever

Gregory Zuckerman

Date and Time

7:30 p.m. on Wednesday, 25th May, 2011.

Venue

Upstairs at City Pride, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/17195849/

Abstract

How a band of unlikely investors pulled off the greatest financial coup in history, why the experts didn’t see the global real-estate collapse coming, and why we’re in an era of financial bubbles.

Speaker

Gregory Zuckerman is a Special Writer at The Wall Street Journal and the author of “The Frackers: The Outrageous Inside Story of the New Billionaire Wildcatters,” a national bestseller published November 2013 by Portfolio/Penguin Press about the nation’s move toward energy independence and the drama behind it. He also is the author of “The Greatest Trade Ever: The Behind-the-Scenes Story of How John Paulson Defied Wall Street and Made Financial History,” a New York Times and Wall Street Journal best-seller published in December 2010 by Crown Business, a division of Random House. The book has been translated in nine languages and was awarded book-of-the-year honors by the National Association of Real Estate Editors.

At the Journal, Greg writes about big financial trades, hedge funds, private-equity firms, the energy revolution and other investing and business topics. In the past, Greg wrote the widely read "Heard on the Street" column and covered the credit markets for the Journal. In 2012, Greg broke the story about the huge, disastrous trades by J.P. Morgan’s “London Whale.” In 2007, he was part of a team that won the Gerald Loeb award -- the highest honor in business journalism -- for breaking news coverage of the collapse of hedge fund Amaranth Advisors. He also was part of a team that won the 2003 Gerald Loeb award for breaking news coverage of the demise of telecom provider WorldCom. Greg was part of a team that won the New York Press Club Journalism award in 2008.

Greg was a finalist for the 2011 Gerald Loeb award for investigative news coverage of the insider trading scandal and a finalist for the 2008 Gerald Loeb award, for coverage of the mortgage meltdown.

He appears regularly on CNBC, Fox Business, Yahoo Finance and various television networks, and he makes regular appearances on National Public Radio, BBC, ABC Radio, Bloomberg Radio and radio stations around the globe.

Greg gives speeches to business groups on a variety of topics. Over the past year, he has spoken to groups in New York, Los Angeles, Las Vegas, San Diego, Phoenix, London, Hong Kong and Tel Aviv.

Greg joined the Journal in 1996 after writing about media companies for the New York Post. Previously, he was the managing editor of Mergers & Acquisitions Report, a newsletter published by Investment Dealers' Digest. He graduated from Brandeis University in 1988, Magna Cum Laude.

He lives with his wife and two sons in West Orange, N.J., where they enjoy the Yankees in the summer, the Giants in the fall, and reminisce about Linsanity in the winter.

Video

Click below for Flash streaming video. Alternatively download QuickTime video.

Get the Flash Player to see this player.

Slides

To be published here

Resources


Thalesian Seminar (London) — Chia Chiang Tan — Structured Products and the Economic Environment

Date and Time

7:30 p.m. on Wednesday, 4th May, 2011.

Venue

Upstairs at City Pride, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/17079583/

Abstract

Complex derivatives are not obscure constructs of a twisted mind, but have developed due to client interest under certain economic environments. Derivatives are not homogenous and whilst they have not always been put to proper use, a better understanding will help identify suitable opportunities to harness them. This talk will present some common themes behind the construction of various derivatives in equities, foreign exchange and interest rates. This will be discussed in the context of the economic environment, which is crucial to understanding the impetus for their development. Whilst times may have changed and so may the flavours of derivatives, the considerations behind various derivatives features will always remain relevant.

Speaker

Chia Chiang Tan is currently a Director within DB Analytics at Deutsche Bank, and an Honorary Lecturer with the Mathematics Department at University College London. He has previously held positions at Dresdner Kleinwort, Barclays Capital and CIBC. His work has spanned equities, foreign exchange and interest rates, giving him a bird's eye view of their common themes and individual peculiarities. Chia has an undergraduate degree in Mathematics from University College London and a Master of Mathematical Finance from University of Toronto.

Video

To be published here

Slides

To be published here

Resources


Thalesian Seminar (London) — A Wolfram/Supermicro Session — Dr Tom Wickham-Jones — High Performance Computing Using Mathematica

Tom Wickham-Jones

Date and Time

7:30 p.m. on Wednesday, 20th April, 2011.

Venue

Upstairs at City Pride, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/17196060/

Abstract

Mathematica's modelling and simulation capabilities for finance have been consistantly extended for ever higher performance computation using technologies such as GPU execution, and automatic parallel CPU code generation. The presentation will introduce Mathematica, its HPC technologies and the their integration into the computational finance workflow.

Speaker

Tom Wickham-Jones is currently the Director of Kernel technology at Wolfram Research. He has worked on the implementation of Wolfram technologies such as Mathematica since 1990. His areas of work have included details of its programming language, as well as other aspects such as graphics. In addition, he is the architect of webMathematica http://www.wolfram.com/products/webmathematica/ and Wolfram Workbench http://www.wolfram.com/products/workbench/. In 1992 he published the book Mathematica Graphics: Techniques and Applications. His most recent work has focused on cloud applications.

Video

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Slides

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Resources


Thalesian Seminar (London) — Prof. Henrik Jensen — How Complexity Science Offers an Approach to Understanding an Evermore Inter-tangled World of Finance

Henrik Jensen

Date and Time

7:30 p.m. on Wednesday, 6th April, 2011.

Venue

Upstairs at City Pride, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/16455742/

Abstract

Complexity Science and Statistical Mechanics are powerful transdisciplinary methodologies that allow a precise mathematical study of systems level emergent phenomena, which are caused by the multitude of interactions taking place at the component level. Inspired by more than a decades experience in modeling evolutionary ecology (including intermittent mass extinctions) I’ll discuss how a holistic network approach can be applied to market and finance and how this may inform our understanding of why and how major upheavals occur.

The relevance of such an approach was recently stress by Andrew G Haldane, Executive Director, Financial Stability, Bank of England who said: "...considers the financial system as a complex adaptive system. It applies some of the lessons from other network disciplines – such as ecology, epidemiology, biology and engineering – to the financial sphere. Peering through the network lens, it provides a rather different account of the structural vulnerabilities that built-up in the financial system over the past decade and suggests ways of improving its robustness in the period ahead."

I’ll discuss the specific framework our research group has developed and how fairly simple models, with an emphasis on the essential collective network effects and emergent behaviour, can be constructed and what kind of questions this approach may be able to address.

Speaker

Henrik Jeldtoft Jensen is a Professor of Mathematical Physics in the Department of Mathematics at Imperial College London. He leads the research programme in Complexity and Networks in the Institute for Mathematical Sciences at Imperial. His research on complex systems revolves around how statistical mechanics can describe and explain emergent phenomena. His research activities include long-time macroevolution, EEG signatures of musical creativity and complexity measures of the strongly correlated activity spanning the brain as extracted from fMRI data.

He has a long time interest in the relation between mathematics and scientific enquiry on one side and the deliberation of the arts and philosophy on the other.

Video

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Slides

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Resources

Prof. Henrik Jensen's academic home page: http://www2.imperial.ac.uk/~hjjens/


Thalesian Seminar (San Francisco) — Saeed Amen — US employment report and its impact on intraday FX markets

SaeedAmen

Date and Time

7:30 p.m. on Wednesday, 30th March, 2011.

Venue

L'Olivier French Restaurant, 465 Davis Ct, San Francisco, CA

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/16879949

Abstract

We discuss how the US employment report impacts major FX crosses from both a volatility and directional spot perspective on an intraday basis. In particular, we examine the impact of surprises in the employment report on FX spot and how this sensitivity varies across different crosses.

Speaker

Saeed is the founder of Cuemacro and is a co-founder of the Thalesians. Over the past decade, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX, which has had a Sharpe ratio over 1.5 since 2013. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan).


Video

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Slides

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Thalesian Seminar (London) — Maxeler Technologies — Vertical Acceleration of Financial Algorithms

Mike Flynn

Date and Time

7:30 p.m. on Wednesday, 16th March, 2011.

Venue

Upstairs at City Pride, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/16466034/

Abstract

Although the explosive growth in the trading and complexity of credit derivative instruments was checked by the credit crunch, and the credit default swap spreads have only just returned to their pre-2007 levels, the post-crunch drive for more accurate and robust models has further increased the computational overhead. This has in turn led to massive growth in data center compute capacity, and consequently power and cooling requirements. Maxeler applies a vertical acceleration process which optimizes across levels of abstraction by restructuring the software and building the computer system (rack, node, card and gate level) based on the source code rather than creating the program based on the available hardware. Our results with JP Morgan show that valueing bespoke tranches of collateralized default obligations (CDOs) and interest rate derivatives on Maxeler accelerated systems is over 30 times faster per cubic foot and per Watt than solutions using standard multi-core Intel Xeon processors.

Speaker

Michael J. Flynn, Chairman of Maxeler Technologies, Professor of Electrical Engineering at Stanford University, is best-known for the [SIMD, SISD, MISD, MIMD] classification and the first detailed discussion of super scalar design. He was founder and senior consultant to Palyn Associates, a leading computer design company; founder and Vice President of American Supercomputers; and a partner at Paragon Partners, a venture capital partnership. Prof. Flynn received the IEEE/ACM Eckert-Mauchley and Harry Goode Memorial Awards in 1992 and 1995, respectively.

James Spooner, Head of Acceleration (Finance) at Maxeler Technologies, is responsible for project delivery for Maxeler's financial customers. He works with Tier 1 investment banks and private equity funds on solutions including Credit Risk and Interest Rate hybrid analytics, as well as Ultra Low-Latency High Frequency trading. Before Maxeler, James was a technologist at Endace, a network measurement and analysis company headquartered in New Zealand. He worked on technical product development and definition for 10Gbit+ networks with customers across in US, Europe and Asia. He has a proven track record for solution design and electronic engineering with FPGAs and holds an honours degree in computing from The University of Waikato in New Zealand.

Video

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Slides

To be published here

Resources

Maxeler Technologies website: http://www.maxeler.com/content/frontpage/


Thalesian Seminar (New York) — Peter Decrem — Interest Rate and Credit Modeling on GPUs

Peter Decrem

Date and Time

6:30 p.m. on Wednesday, 9th March, 2011.

Venue

Third floor at the Playwright Tavern, Theatre District, NYC.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/16551679/

Abstract

This talk will discuss the application of Monte Carlo methods to a GPU implementation of the LIBOR Market/BGM Model. In the process we will discuss random number generation and inverse normal distribution functions designed for execution on the GPU. We will demonstrate how some level of abstraction can be implemented to obtain hardware agnostic code. We will also briefly discuss the limitations of the GPU for the BGM model and point at opportunities for the use of GPUs in the credit analytics space. Resources, including open source code focused on BGM implementation in CUDA, will be identified and used for illustration purposes to help jumpstart the GPU development work.


Speaker

Peter heads the Rates Group at Quantifi. As Director, Peter is responsible for managing the product development process of all Rates and Hybrid Solutions within the Quantifi product suite. Peter started in Research and Technology at Bear Stearns and Deutsche Bank. He traded fixed income derivatives, government bonds and agencies for Lehman Brothers and Salomon Brothers. He was responsible for fixed income derivatives trading desk for a number of European banks. Most recently he refocused on technology and specifically concentrated on machine learning and high frequency trading on parallel systems prior to joining Quantifi in 2009.

Slides

Thalesians_Decrem_20110309.pdf

Video

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Resources

Peter Decrem's LinkedIn page: http://www.linkedin.com/pub/peter-decrem/6/19/b60


Thalesian Seminar (New York) — Dr. Gerald Hanweck, Jr. — Monte Carlo Methods in CUDA

Gerald Hanweck Jr.

Date and Time

6:30 p.m. on Wednesday, 23rd February, 2011.

Venue

Third floor at the Playwright Tavern, Theatre District, NYC.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/16139760/

Abstract

This talk will address general Monte Carlo methods and how they can be efficiently implemented in CUDA. Topics covered include GPU-parallel implementation of random-number generators, path generators and payoff functions.

Speaker

Gerald Hanweck, Jr., is founder and CEO of Hanweck Associates. He has previously served as JPMorgan's Chief Equity Derivatives Strategist from 2000 to 2003, and led the bank's U.S. Fixed-Income Derivatives Strategy team. He has taught master's-level business courses at Northwestern University's Kellogg Graduate School of Management and the Graduate School of Business at the University of Chicago, in addition to dozens of seminars on financial derivatives. Before joining JPMorgan in 1993, he worked as a derivatives researcher at Discount Corporation of New York Futures, and as a software developer at Microsoft. Mr. Hanweck holds a Ph.D. in Managerial Economics and Decision Science from the Kellogg Graduate School of Management, Northwestern University and a AB in Mathematics from Princeton University.

Slides

Thalesians_Hanweck_20110223.pdf

Video

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Resources

Hanweck Associates LLC webpage: http://www.hanweckassoc.com

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