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Thalesian Seminar & Festive Dinner 2012 (London) — Saeed Amen — Trading the Impact of Events on FX Implied Volatility

Saeed Amen

Date and Time

7:30 p.m. on Wednesday, 19th December, 2012.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/93075232/

Abstract & Dinner

We are delighted to invite all of you to our Annual Festive Dinner at Dockmaster's House. This is a unique opportunity to meet a wide cross-section of our group, with diverse interests, to network with senior practitioners and academics, to learn something new, while enjoying fine Indian food. We have invited our alumni and the distinguished members of our academic advisory board. We look forward to introducing you to them, unless you have already met them

Saeed will deliver a talk on Trading the Impact of Events on FX Implied Volatility. We'll discuss add-ons in FX implied volatility and ascertain what the values of events are in this context. We also investigate how implied compares to realised volatility when there are large implied add-ons. We look at more generalised day of the week behaviour associated with FX implied volatility. Furthermore, we look at the relationship between moves in broader FX implied volatility and specific FX cross implieds.

Help us say goodbye 2012 and meet the New Year 2013 in style, looking forward to new horizons, new insights, new knowledge, and new challenges.

Looking forward to seeing you all!

Thales of Miletus

P.S. Festive Buffer Menu:

TANDOORI CARDAMOM CHICKEN TIKKA, POPPADUMS WITH CHUTNEYS AND RAITA, ... GINGER LAMB ROGANJOSH, LEG OF LAMB SLOW COOKED WITH GINGER AND YOGHURT, CUMIN POTATOES WITH MINT, INDIAN COTTAGE CHEESE WITH SPINACH, BLACK URAD LENTILS, STEAMED BASMATI RICE, ASSORTED BREADS.

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

Resources

  • N/A

Thalesian Seminar (London) — Isabel Ehrlich — Basket Options with Smile

Isabel Ehrlich

Date and Time

7:30 p.m. on Wednesday, 21st November, 2012.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com:

Abstract

Due to the distinct lack of models for basket options that remain consistent with the market smile we look at approximations that are able to accurately replicate the volatility smile. Notably we turn to the use of an Edgeworth series expansion to match the kurtosis and skewness of the underlying distribution and a GPU implementation of Monte Carlo simulation with a local volatility model.

Speaker

Isabel is an MSc in Mathematics and Finance student at Imperial College London where she worked in collaboration with UniCredit Bank on a project modelling basket options with smile. She is currently working on exploring the possible benefits that programming onto the GPU can offer to financial mathematics in collaboration with the Numerical Algorithms Group.

Video

To be published here

Slides

To be published here

Resources

  • N/A

IAFE-Thalesians Seminar (New York) — Prof. Fabio Mercurio — New Challenges in Interest Rate Modeling

FabioMercurio

Agenda

November 19th, 2012:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

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

Abstract

The recent financial crisis has had a strong impact on fixed income markets. Various market rates that used to tack each other closely, such as LIBOR and OIS rates, suddenly diverged during the 2007 liquidity crisis, introducing significant "basis spreads" which cannot be neglected in models. Market practice has thereafter forsaken the traditional concept of a single zero-coupon curve, and moved to a multi-curve set up by constructing and using different forward and discount curves. In this talk, we review the new modeling issues which arise from the use of multiple yield curves for pricing interest rate derivatives for a given currency.

Speaker

Fabio is head of Derivatives Research at Bloomberg LP, New York. Previously, he was head of Financial Engineering at Banca IMI, Milan. He is also adjunct professor at NYU. Fabio has jointly authored the book ‘Interest rate models: theory and practice’ and published extensively in books and international journals, including 13 cutting-edge articles in Risk Magazine.

Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.

IAFE-Thalesians Seminars

The IAFE-Thalesians Seminar Series is a joint effort on the part of the 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 IAFE and Thalesians members only.


Thalesian Seminar (London) — Gary Wong — Addressing emerging Collateral issues and CVA Trading issues through a new construct: Margin Lending

Gary Wong

Date and Time

7:30 p.m. on Wednesday, 7th November, 2012.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/89149652/

Abstract

While Dodd Frank and Basel III pushes OTC derivatives market towards full collateralization and central clearing, there are many structural reasons where a significant number of counterparty are still rooted in unsecured trades, incurring CVA and regulatory charges, and necessitate large CVA exposure. Problematic issues are emerging on both collateral requirements and CVA Trading, creating new weak links in the financial system. A new construct or new financial intermediary called margin lender, whose function is to lend collateral to portfolio of unsecured counterparty through credit risk securitization and maturity transformation, can link up vast amount of untapped eligible collateral holding by investors into the financial system, completing the picture of full collateralization envisaged by regulators.

This new process will alleviate both collateral/credit/liquidity issues and CVA trading issues, lower the OTC transaction cost, and significantly reduces banks' credit exposure and capital requirement. At the heart of it is the securitization process, which is based on new technology, providing transparent quantitative credit and market risk analysis for all the market participants.

Speaker

Dr. Gary Wong is the CEO of Ipotecs, providing advisory service focusing on collateralization of derivatives trades with unsecured counterparty through margin/collateral lending operation. The process reduces banks’ counterparty risk exposure and capital requirements, and lowers the cost of OTC derivatives business for both banks and counterparty, and creates investment opportunity for a whole spectrum of investors through securitization of counterparty credit risk.

Prior to starting Ipotecs, he spent many years trading complex structured derivatives and developing risk management techniques and infrastructure to control risks. His latest role was Managing Director and Business Head of Structured Trading Group in Mitsubishi UFJ Securities International (MUSI), responsible for the P&L and business development of all structured derivatives.

His responsibilities included trading and structuring desk, risk management desk, quantitative modelling team and technology infrastructure team; he also has close working relationships with risk and operational groups, ranging from Model Validation, Risk Control, Product Control to Operations. He and his groups developed sophisticated models and high-end technology as a platform for financial trading and risk reporting, and for many years was the most profitable group in MUSI.

Prior to this, he was a swap trader, and developed the exotic derivatives trading capability in Mizuho International. Before that, he was in JP Morgan Asset Management, working on asset allocation models, and IT infrastructure including real-time derivatives and options pricing system.

He has both BSc (1st class) and PhD in Physics from Imperial College, London University.

Video

To be published here

Slides

To be published here

Resources

  • N/A

IAFE-Thalesians Seminar (New York) — Prof. Philip Maymin — Any Regulation of Risk Increases Risk

PhilipMaymin

Agenda

October 8th, 2012:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

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

Abstract

We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken on by those financial entities than would otherwise be the case. Furthermore, the risks taken on by the regulated financial entities are far more systemically concentrated than they would have been otherwise, making the entire financial system more fragile. This result leaves three directions for the future of financial regulation: continue regulating by enforcing risk measurement algorithms at the cost of occasional severe crises, regulate more severely and subjectively by fully nationalizing all financial entities, or abolish all central banking regulations including deposit insurance to let risk be determined by the entities themselves and, ultimately, by their depositors through voluntary market transactions rather than by the taxpayers through enforced government participation.


Speaker

Dr. Philip Z. Maymin is Assistant Professor of Finance and Risk Engineering at NYU-Polytechnic Institute. He is also the founding managing editor of Algorithmic Finance. He holds a Ph.D. in Finance from the University of Chicago, a Master's in Applied Mathematics from Harvard University, and a Bachelor's in Computer Science from Harvard University. He also holds a J.D. and is an attorney-at-law admitted to practice in California.


He has been a portfolio manager at Long-Term Capital Management, Ellington Management Group, and his own hedge fund, Maymin Capital Management. He has also been a policy scholar for a free market think tank, a Justice of the Peace, a Congressional candidate, and a columnist for American Banker, the Fairfield County Weekly and LewRockwell.com. He is also an award-winning journalist and the author of Yankee Wake Up, Free Your Inner Yankee, and Yankee Go Home. He was a finalist for the 2010 Bastiat Prize for Online Journalism. His popular writings have been published in dozens of media outlets ranging from Bloomberg to Forbes to the New York Post to American Banker to regional newspapers, and his research has been profiled in dozens more, including The New York Times, Wall Street Journal, USA Today, Financial Times, Boston Globe, NPR, BBC, Guardian (UK), CNBC, Newsweek Poland, Financial Times Deutschland, and others.


His research on behavioral and algorithmic finance has appeared in Quantitative Finance, North American Journal of Economics and Finance, Journal of Wealth Management, Journal of Applied Finance, and Risk and Decision Analysis, among others, and his textbook Financial Hacking is due to be released by World Scientific in 2012.

IAFE-Thalesians Seminars

The IAFE-Thalesians Seminar Series is a joint effort on the part of the 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 IAFE and Thalesians members only.


Thalesian Seminar (London) — Lars Schouw — Managing curve risks in collateral

US Treasury Bonds

Date and Time

7:30 p.m. on Wednesday, 24th October, 2012.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/86960622/

Abstract

We see why the global economic crisis has brought issues such as collateral, credit, liquidity and foreign exchange on the forefront of the agenda for market participants. Interest rate forward and discount curve construction for major and EM markets. Collateral risks when trading though a central clearing, CSA or SCSA agreements.

Speaker

Lars Schouw has more than 14 years of experience in finance, and is currently a Quant Developer in the Chief Investment Office at JP Morgan, where he is responsible for trade analytics and relative value trading. His research focuses on credit and interest rate modeling. Prior to his current position, Lars worked at Dresdner Kleinwort on long dated foreign exchange analytics. He starting his career at UBS and has also worked at Merrill Lynch.

Video

To be published here

Slides

To be published here

Resources

  • N/A

Thalesian Seminar (London) — Geoffrey Kendrick — Introduction to FX and beta in FX

Geoffrey Kendrick

Date and Time

7:30 p.m. on Wednesday, 10th October, 2012.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/84678172/

Abstract

In this talk, we discuss a brief introduction, understanding the relative volumes traded and also defining trading regimes. The main part of the talk is devoted to the concept of beta within FX. In other asset classes, the notion of beta and what constitutes the broader market, for example in equities or bonds, is more obvious, whilst in FX it can be more difficult to define. We look at multiple strategies that can together be seen as candidates for beta within FX.

Speaker

Geoffrey Kendrick is European Head of FX Strategy. He joined Nomura in October 2010 from UBS London, where he worked as London Head of FX Strategy. Prior to that he worked as a Senior FX Strategist at Westpac (London), Economist at Westpac (Sydney) an Economist at the Australian Commonwealth Treasury. Geoffrey also teaches a course in Global Macro Strategy at Cass Business School in London. He holds a first class Honours Degree in Economics (Monash University Australia) and a Masters in Business Administration (Australian Graduate School of Management).

Video

To be published here

Slides

To be published here

Resources

  • N/A

Thalesian Seminar (London) — Rajiv Sesodia — Incorporating Wrong Way Risk in CVA calculations

Rajiv Sesodia

Date and Time

7:30 p.m. on Wednesday, 26th September, 2012.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: TBA

Abstract

Wrong Way Risk remains one of the most challenging areas of Counterparty Risk Calculations. Not only a requirement of Basel III, it is also important to capture its effect on Trading Book CVA calculations. In this talk, we revisit models that are used for Counterparty Credit Risk calculations, and examine how they can be improved to include WWR. Practical examples are also given, showing the impact of co-dependence between the underlying and default events.

Speaker

Rajiv has 12 years experience as a Front Office Quant focusing on Interest Rate, Long Dated FX, Inflation and CVA modeling projects. He started at RiskCare in 1997, working on models for Equity and Interest Rate derivatives. After two years, he moved to Citigroup, where he focused on Interest Rate and Long Dated FX Exotics, before joining ABN AMRO in 2005 to concentrate on Multi-Index Rates Exotics. In 2008, he moved to UniCredit to lead the London Rates Quant team, developing analytics and modeling frameworks for Vanilla and Exotic Rates derivatives, Long Dated FX, Inflation and CVA. He recently moved to Standard Chartered Bank where he runs Quantitative Model Risk in London.

Video

To be published here

Slides

To be published here

Resources

  • N/A

Thalesian Seminar (NY) — Saeed Amen — Be surprised: understanding growth surprises and FX trading

Saeed Amen

Date and Time

6:00 p.m. on Tuesday, 18th September, 2012.

Venue

New York Public Library - Science, Industry, and Business, 188 Madison Ave, New York, NY. Please enter and leave the building at 188 Madison Avenue. Signs will direct you to the conference room on the lower level.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/81783632/

Abstract

Data surprises are important factors for influencing price action within the market. In this talk we shall be trying to quantify the relationship between growth surprises and FX, and also compared to other assets. We shall be examining the general pattern of growth surprises, discussing their properties and if there is certain behaviour that persists over time. In addition, we shall be discussing whether it is more important to understand the direction of growth surprises or trying to quantify them more precisely.

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

Resources

  • N/A

Thalesian Seminar (London) — Chia Tan — Practical Financial Modelling

Chia Tan

Date and Time

7:30 p.m. on Wednesday, 12th September, 2012.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/79444142/

Abstract

Financial modelling is not a competition in the mastery of complexity. Rather, the aim is to come up with the simplest models adequate to capture salient market features of traded products. There exists a wide gulf between material covered by traditional books and market practice. Of course, it is possible to search through a sea of papers to gain the required knowledge. In this talk, I propose to bring home some key considerations in financial modelling in equities, interest rates and foreign exchange, to give the audience an anchor when considering the relevant topics. And I will endeavour to stick to the concept of introducing no more complexity than necessary.

Speaker

Chia Chiang Tan is currently a Director within DBAnalytics 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. He is also the author of Demystifying Exotic Products (Wiley 2009) and Market Practice in Financial Modelling (World Scientific 2012).

Video

To be published here

Slides

To be published here

Resources

  • N/A

IAFE-Thalesians Seminar (New York) — Prof. Michael Kearns — Reinforcement Learning Approaches to Algorithmic Trading

MichealKearns

Agenda

September 4th, 2012:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

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

Abstract

Michael Kearns will discuss the use of reinforcement learning methods from machine learning for problems in algorithmic trading. Reinforcement learning takes a state-based, control-theoretic approach that explicitly considers the trade-off between exploration and exploitation during the learning process.

Prof. Kearns will present two case studies along these lines. The first is a large-scale empirical study of the application of reinforcement learning to the problem of optimized trade execution. The second is an algorithmic and theoretical examination of the problem of smart order routing in dark pools.


Speaker

Michael Kearns is a professor in the Computer and Information Science department at the University of Pennsylvania, where he holds the National Center Chair and has joint appointments in the Wharton School. He is founding director of Penn's new Market and Social Systems Engineering (MKSE) program. His research interests include topics in machine learning, computational finance, social networks, and algorithmic game theory. He has consulted extensively in the technology and finance industries, and is currently a co-PM in the MultiQuant division of SAC Capital in New York. Further information is available here.

IAFE-Thalesians Seminars

The IAFE-Thalesians Seminar Series is a joint effort on the part of the 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 IAFE and Thalesians members only.


Thalesian Seminar (San Francisco) — Dr. Richard Libby — Liquidity Driven Volatility

Richard Libby

Date and Time

6:30 p.m. on Wednesday, 18th July, 2012.

Venue

Rm 5205, Golden Gate University, 536 Mission Street, San Francisco.

Meetup.com

You can register for this quantitative finance talk of the Thalesian SF seminar on Meetup.com: http://events.thalesians.com/events/71441832/

Abstract

Traditional measures of financial volatility have struggled with issues of time dependence of the measure, both in terms of the length of the history used and the fact that the measures change when old histories are replaced with new. The weakness of historical volatility measures has been a long standing problem for the calculation of margin haircuts and for Value-at-Risk measurement, in general. This talk will focus on the dimensionality of the problem, in particular the added structure historical price volatility acquires when considered in light of daily trading volumes. This structure is suggested by simple macroeconomic considerations as well as by knowledge of market making operations. In addition to presenting evidence of the relationship between price and volume variability, the talk will conclude with suggested uses in collateral management and improved risk measurement.

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.


Thalesian Seminar (London) — Saeed Amen — Be surprised: understanding growth surprises and FX trading

Saeed Amen

Date and Time

7:30 p.m. on Wednesday, 4th July, 2012.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/70407762/

Abstract

Data surprises are important factors for influencing price action within the market. In this talk we shall be trying to quantify the relationship between growth surprises and FX, and also compared to other assets. We shall be examining the general pattern of growth surprises, discussing their properties and if there is certain behaviour that persists over time. In addition, we shall be discussing whether it is more important to understand the direction of growth surprises or trying to quantify them more precisely.

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

Resources

  • N/A

Thalesian Seminar (London) — Prof. Claudio Albanese — Multi-currency derivative portfolios

Claudio Albanese

Date and Time

7:30 p.m. on Wednesday, 13th June, 2012.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/68022392

Abstract

Truly consistent multi-currency option models are difficult to engineer but highly rewarding.

One needs to respect triangular and polygonal relations between crosses. Figure out how to express correlations so that they can be estimated historically and appear stable through time. Reproduce volatility skews and the price of barrier options. Understand how to model pegged currencies in an arbitrage free fashion. Account for stochastic interest rates. Possibly extend to other asset classes such as credit and commodity derivatives.

Model consistency is essential to mitigate model risk in the design of hedging strategies. It is also needed for long run portfolio simulations.

Applications areas are vast and range from active risk management of global bank portfolios to macro volatility trading and optimal positioning.

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

To be published here

Slides

To be published here

Resources

  • N/A

Thalesian Seminar (London) — Saeed Amen — An introduction to momentum and breakout trading in FX

Saeed Amen

Date and Time

7:30 p.m. on Wednesday, 30th May, 2012.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/66220662/

Abstract

In this talk, we look at technicals within FX space. Our primary focus is on a few technicals used for either momentum or breakout style rules. We shall look in detail at basic building blocks, such as simple moving averages, but later also at Bollinger bands and less used rules such as Ichimoku clouds. As well as describing the rules, we shall also give historical results to understand how successful these rules have been in the past. We shall also try to more generally understand how trend models have more broadly performed.

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

Resources

  • N/A

Thalesian Seminar (San Francisco) — Dr. Jeremy Evnine — The "Accidental Quant"

Jeremy Evnine

Hosting

The Thalesians gratefully acknowledge the support of the Golden Gate University Finance Club as a sponsor.

Date and Time

7:00 p.m. on Wednesday, 30th May, 2012.

Venue

5310 GGU, 536 Mission St, San Francisco

Meetup.com

Members can register for this event on Meetup.com: http://events.thalesians.com/events/61933512/

Abstract

I became a “quant” in September of 1980, purely by accident. This led me to a 30-year career in quantitative asset management, from the days when “high frequency” meant daily data and all screens were green, to the days when time is measured in milliseconds and many institutional investors are left wondering what to do in the wake of the worst financial crisis in three generations.

In this talk, I will reflect on some of the lessons I have learned in my career as a quant, and try to draw some useful conclusions from them. Some of these lessons are idiosyncratic to quantitative investing and risk management, while others are more general lessons about being in the asset management business…indeed, about being in business at all.


Speaker

Jeremy Evnine is currently CEO of Evnine & Associates, Inc., an Investment Advisory firm engaged in quantitative strategies since 1992. From 1991 to 2003, Jeremy was also a partner in Iris Financial Engineering and Systems, a financial software firm specializing in providing high-end trading and risk systems to top-tier investment banks. He sold his interest in Iris in 2003.

From 1984-1990, Jeremy was SVP in charge of research at WFIA (now Barclays Global Investors). In this capacity, he worked with such people as Fischer Black and Myron Scholes, Bill Sharpe, and Michael Brennan and Eduardo Schwartz. From 1980-1984, Jeremy was a consultant at Barra, where he developed the firm’s option products.

Jeremy earned his B.Sc. in Mathematics at Manchester University in England, his M.Sc. in Pure Mathematics at the Hebrew University of Jerusalem, and his Ph.D. in Operations Research and Finance at U.C. Berkeley. He has taught courses in finance at U.C. Berkeley, published articles in the financial literature on option pricing and tactical asset allocation, and lectured in the United States and abroad.


Thalesian Seminar (New York) — Dr. Attilio Meucci — Liquidity-, Funding- and Market-Risk

Attilio Meucci

Date and Time

6:00 p.m. on Thursday,17th May, 2012.

Venue

New York Public Library - Science, Industry, and Business, 188 Madison Ave, New York, NY. Please enter and leave the building at 188 Madison Avenue. Signs will direct you to the conference room on the lower level.

Meetup.com

Members can register for this event on Meetup.com: http://events.thalesians.com/events/61929382/

Abstract

We introduce a new framework to compute and stress-test liquidity risk, funding risk and market risk in fully general multi-asset class portfolios. Our approach, which goes beyond the simple bid-ask spread overlay to a VaR number, relies on three pillars: first, the Fully Flexible Probabilities approach, to model and stress-test market risk even in highly non-normal markets with complex derivatives; second, the literature on optimal execution, to model liquidity risk as a function of the actual trading involved; third, an analytical conditional convolution, to model funding risk, whereby different trading decisions are made in different market scenarios. As a side product of our approach we introduce a definition of liquidity score, a monetary measure of portfolio liquidity based on the additional tail risk added by lack of liquidity.

Speaker

Attilio Meucci is a pioneer in advanced risk and portfolio management. His innovations include Entropy Pooling (technique for fully flexible portfolio construction), Factors on Demand (on-the-fly factor model for optimal hedging), Effective Number of Bets (entropy-eigenvalue statistic for diversification management), Fully Flexible Probabilities (technique for on-the-fly stress-test and estimation without re-pricing), Copula-Marginal Algorithm (algorithm to generate panic copulas), and Liquidity Conditional Convolution (technique to generate liquidity- and funding-risk adjusted portfolio distribution).

Attilio Meucci is the Chief Risk Officer and Director of Portfolio Construction at Kepos Capital LP. He is the founder of SYMMYS, under whose umbrella he designed and teaches the six-day ARPM Bootcamp, and manages the charity One More Reason. Previously, Attilio was the head of research at ALPHA, Bloomberg LP's portfolio analytics and risk platform; a researcher at POINT, Lehman Brothers' portfolio analytics and risk platform; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co, a strategic consulting firm.

Concurrently, he taught at Columbia-IEOR, NYU-Courant, Baruch College-CUNY, and Bocconi University. Attilio is the author of Risk and Asset Allocation - Springer and numerous other publications in practitioner and academic journals. He holds a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA charterholder.

Slides

To be published here

Disclaimer

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


Thalesian Seminar (London) — Dr. Matthew Dixon — A Bayesian Approach to Discovering Private Companies for Private Equity Investments

Matthew Dixon

Date and Time

7:30 p.m. on Wednesday, 16th May, 2012.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/58583992/

Abstract

Silicon Valley is currently host to company growth rates and exit valuations of unprecedented levels. Take, for example, the recent purchase of Instagram by Facebook for $1 Billion, representing a 20x return on total investment in only two years. In the absence of any formulaic approach to pick the best companies to invest in, investors base investment decisions on their prior experiences and fundamental analysis of companies within an industry sector. Growth stage private companies, however, often have investment transaction histories from which characteristics associated with successful and failed companies (labelled companies) may be discerned using machine learning methods. One of the primary challenges in pursuing this approach is the sparsity of the historical data. This talk describes a three step approach based on (i) extracting features; (ii) training Support Vector Machines (SVMs) from labelled companies and then evaluating the model performance based on out-of-sample labelled data and (iii) applying a novel Bayesian approach to rank companies within a cohort which combines models trained on lower dimensional feature sets. Focussing on particular industry sectors, we demonstrate how this approach can be used to identify likely winners and losers based on a number of key investment history characteristics.

Speaker

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

He is also an Assistant Professor of Finance in the Stuart Business School at the Illinois Institute of Technology. His research focuses on the application of advanced computational techniques to financial modeling and data analysis especially where high performance and scalability are critical for practical application. Matthew's research is currently funded by Intel Corporation. He has contributed to the R package repository and published around twenty peer-reviewed technical articles. He has taught financial econometrics, derivatives, machine learning and text mining at the University of San Francisco and held visiting appointments in CS/Math at Stanford University and UC Davis.

Prior to joining academia, he has held industry appointments as a quant at banks such as Lehman Brothers, the Bank for International Settlements and Barclays Capital. He chairs the workshop on computational finance at the annual SuperComputing conference and serves on the program committee of HPC and on the editorial board of the Journal of Financial Innovation. Matthew holds a MEng in Civil Engineering from Imperial College London, a MSc in Parallel and Scientific Computation (with distinction) from the University of Reading, and a PhD in Applied Math from Imperial College London. He became a chartered financial risk manager in 2014.

Video

To be published here

Slides

To be published here

Resources

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Thalesian Seminar (London) — Dr. Max A. Little — A functional minimization approach to level shift detection

Max Little

Date and Time

7:30 p.m. on Wednesday, 11th April, 2012.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/58583992/

Abstract

Level shifts are ubiquitous in financial datasets: examples include abrupt changes in macroeconomic outlook (growth versus recession) and changes in trends in security prices. Knowing when the level of a time series has changed and the value of the levels, is critical to accurate decision-making under uncertainty. For this, and other reasons, the problem of detecting level shifts, first studied in the 1940's in process control, is of enduring interest. In this talk I will detail a set of simple, novel, generalized, nonlinear algorithms for this problem. These algorithms are based on a global functional which, when minimized, finds the maximum a-posteriori location of the shifts and values of the levels. The global functional subsumes some well-known algorithms for this problem that have been developed in digital image processing contexts, and also folds in several algorithms from statistical machine learning that have hitherto been seen as distinct. The algorithms are computationally simple, and many are convex optimization problems for which standard, fast implementations are available.

Speaker

Max Little began his career writing software, signal processing algorithms and music for video games, and then moved on by way of a degree in mathematics to the University of Oxford. After postdoc positions in Oxford and co-founding a web-based image search business, he won a joint MIT-Wellcome Trust fellowship to follow up on his doctoral research work in biomedical signal processing. His research focuses on applied models and statistical signal processing for a range of problems across the sciences, including biomedicine, econometrics, biology, hydrology and meteorology.

Video

To be published here

Slides

To be published here

Resources


Thalesian Seminar (London) — Dr. Oleg Ruban — Designing Scenarios for Sovereign Stress in the Eurozone

Oleg Ruban

Date and Time

7:30 p.m. on Wednesday, 28th March, 2012.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/57165632/

Abstract

The evolution of the financial crisis in Europe has lead to a broad re-assessment of credit risk. Sovereign bonds previously considered virtually risk free turned into assets with non-negligible default risk. Due to the linkages between financial markets, sovereign risk in one country may have important knock-on effects for the corporate and banking sectors at home and abroad, as well as other sovereign issuers.

In this presentation, we will show how stress tests can be used to analyze the risk to portfolios due to sovereign distress. Forward looking hypothetical scenarios are a core part of the suite of stress tests that institutional investors should include in their stress testing programs. Hypothetical scenarios help identify portfolio vulnerabilities by allowing the simulation of a wide range of outcomes, including shocks that result in the breakdown of statistical patterns. We can systematize the scenario construction process through a set of decisions about the factors, horizon and risk climate that characterize the stress event.

Speaker

Oleg Ruban is Vice President in the EMEA Applied Research Team at MSCI Inc, a publicly traded company (NYSE: MSCI) and a leading global provider of investment decision support tools, including indices and portfolio risk and performance analytics. MSCI has clients in over 60 countries, and more than 2,000 employees located around the world.

Mr. Ruban focuses on portfolio management and risk related research for asset owners and investment managers. He started his professional career as a graduate trainee in derivative sales at the Royal Bank of Scotland and later worked as an emerging market economist and a quantitative strategist at Dresdner Kleinwort in London.

Mr. Ruban has an undergraduate degree in Economics and Management from the University of Oxford and MSc degrees in Economics and Finance from the University of Warwick and Manchester Business School respectively.

He also has a PhD in Finance from Manchester Business School, where his dissertation topic was the pricing of financial instruments in incomplete markets. His paper entitled GDP Linked Bonds: Contract Design and Pricing won the Best Paper In Fixed Income Award at the Financial Management Association Annual Meeting in Texas in 2008.

Video

To be published here

Slides

To be published here

Resources


Thalesian Seminar (New York) — Prof. Mike Lipkin — Event Driven Finance

Mike Lipkin

Date and Time

6:30 p.m. on Thursday, 29th March, 2012.

Venue

Location: Baruch MFE Conference Room 6-215, Baruch College/CUNY One Bernard Baruch Way (55 Lexington Avenue at 24th Street) New York NY 10010

Meetup.com

Members can register for this event on Meetup.com: http://events.thalesians.com/events/53576882/

Abstract

The economy is a driven dynamical system. The fundamental equations of finance are thermodynamic; they describe static, equilibrium, properties. This means that the following paradoxical statement is true: When our models work there is nothing to trade. We look at the time scales suitable for real trading, and what we should expect to see.

Speaker

Michael Lipkin has worked as an option trader and market maker at Katama Trading, LLC since 1991. During this time, he has developed a number of strategies in equity derivatives and mixed strategies in equity/derivatives -all based at intermediate times around events such as earnings, take-overs, hard-to-borrows, etc.

Michael is also an adjunct professor in financial engineering at Columbia University where he teaches a course on “Experimental Finance”. He has made several important literary contributions in the fields of quantitative finance, physical chemistry and bridge. Michael is a Ph.D. graduate from the University of Chicago and majored in Mathematics and Chemistry at MIT

Sponsorship

The Thalesians are very pleased to gratefully acknowledge the support of the MFE program at Baruch College/CUNY. Please visit http://mfe.baruch.cuny.edu/ for further details of the Baruch MFE program.


Thalesian Seminar (San Francisco) — Prof. Lisa Goldberg — Contractual Tail Risk Hedging and Minimizing Shortfall

Lisa Goldberg

Hosting

The Thalesians are pleased to host this talk in conjunction with a GARP San Francisco Chapter meeting. GARP does not in anyway endorse or support the Thalesians. The Thalesians gratefully acknowledge the support of the Golden Gate University Finance Club as a sponsor.

Date and Time

7:00 p.m. on Wednesday, 7th March, 2012.

Venue

5311-5312 GGU, 536 Mission St, San Francisco

Meetup.com

Members can register free-of-charge for this event on Meetup.com: http://events.thalesians.com/events/43711552/

Abstract

Can Tail Risk Be Hedged?

Tail risk hedge is a catchall for strategies that are contractual (derivative-based), macroeconomic or statistical. It also applies to a wide range of structured products and funds that are available for purchase. We discuss the principles underlying contractual tail risk hedges and we provide an empirical assessment of the value they offer.

Speaker

Lisa Goldberg is Executive Director of Applied Research at MSCI with oversight of the Asset Owner Client Segment. Her research interests include long horizon risk forecasting, liability driven investing, stress testing and simulation, statistical model evaluation, credit, and green investing. Dr Goldberg was instrumental in the early development of MSCI’s global bond product and integrated risk models, and she is the primary architect of Barra Default Probabilities and Barra Extreme Risk. She has been awarded four patents.


Prior to joining MSCI in 1993, Dr Goldberg was a Professor of Mathematics at UC Berkeley and City University of New York, and she has held positions at The Institute for Advanced Study, Institut des Hautes Études Scientifiques and The Mathematical Sciences Research Institute. Dr Goldberg received a PhD in Mathematics from Brandeis University in 1984 and has received numerous academic awards including the Sloan Fellowship.


An Adjunct Professor of Statistics at UC Berkeley, Dr. Goldberg publishes and lectures extensively in both financial economics and mathematics. She is Book Review Editor for Quantitative Finance and Associate Editor of The Journal of Investment Strategies. She serves on the Board of the Journal of Investment Management conference series, on the Editorial Board of two Springer book series, and as Moderator for arXiv Quantitative Finance. Dr. Goldberg is co-author of Portfolio Risk Analysis, published in 2010 by Princeton University Press.

Video

To be published here

Slides

To be published here

Resources


Thalesian Seminar (London) — Dr. Attila Vrabecz — kdb+/q in practice

Attila Vrabecz

Date and Time

7:30 p.m. on Wednesday, 14th March, 2012.

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/40330252/

Abstract

This talk is going to be a follow up on last year's introduction into kdb+/q. The focus will be on efficient usage of kdb+/q with a set of selected examples ranging from NAV of a portfolio, common timeseries queries to debugging.

Speaker

Attila Vrabecz has been working with kdb+ for over seven years and is a leading figure in the kdb community. He has worked at multiple different sized firms on both the buy side: Millenium Capital, Sun Trading, Marshall Wace; and sell side: Citigroup, Dresdner Kleinwort, Nomura. Equipped with his vast experience and passion for the technology he is now running his own KDB consulting firm, QuantumKDB Ltd.

Video

To be published here

Slides

To be published here

Resources


Thalesian Seminar (London) — Dr. Sergey Nadtochiy — Static Hedging of Barrier Options: Exact Solutions and Semi-robust Extensions

SergeyNadtochiy

Date and Time

7:30 p.m. on Wednesday, 22nd February, 2012.

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/52187352/

Abstract

We solve the problem of static hedging of standard (call, put and digital) barrier options in models where the underlying is given by a time-homogeneous diffusion process with, possibly, independent stochastic time-change. Our results include an analytic expression for the payoff of a (single) European-type contingent claim (which pays a certain function of the underlying value at maturity, without any path-dependence), such that it has the same price as the barrier option at all times up until hitting the barrier. We then address the practical issues associated with the above static hedge; in particular, we investigate the performance of the approximate static hedge consisting of vanilla (call and put) options of two strikes only. Finally, we show how the above results allow to construct static sub- and super-replicating strategies which are semi-robust with respect to implied volatility. More precisely, for a given range of the implied volatility values, we construct the static sub- and super-replicating strategies which work in any continuous model for the underlying, as long as the corresponding implied volatility stays within the prescribed range.

This seminar is based on joint work with Peter Carr and Jan Obloj.

Speaker

Dr. Sergey Nadtochiy was born and grew up in Moscow.

He earned his BA and MS degrees at Moscow State University, Mathematical Department, specialising in Probability Theory. His adviser was Albert Shiryaev.

He graduated from Moscow State University in 2005 and move to Princeton University, where he got a PhD degree in financial engineering in 2009, under the supervision of Rene Carmona.

While at Princeton, he did several internships on Wall Street: at Bloomberg L.P., doing quantitative research in finance (here he met Peter Carr and started collaborating with him), and at J.P. Morgan in quantitative research-driven trading (doing proprietary trading).

Video

To be published here

Slides

To be published here


Thalesian Seminar (San Francisco) — Prof. Alper Atamturk — Implications of Conic Optimization for Portfolios and Risk

Alper Atamturk

Date and Time

7:00 p.m. on Wednesday, 8th February, 2012.

Venue

Rms 5312 GGU, 536 Mission St, San Francisco

Meetup.com

Members can register for this event on Meetup.com: http://events.thalesians.com/events/46755972/

Abstract

Portfolio optimization is going through a revolution with the recent algorithmic advances in conic optimization. By generalizing quadratic optimization, conic optimization allows new ways of modeling and solving a broader class of risk optimization problems efficiently. In this talk, we will give a brief introduction to conic optimization and describe applications in factor modeling, portfolio optimization, transaction cost modeling, value-at-risk minimization. We will go over new techniques for solving hard mixed-integer conic optimization problems. Finally, we will introduce the recently launched Bloomberg Portfolio Optimizer built on top of this new technology.

Speaker

Alper Atamturk is a chancellor's professor in the Department of Industrial Engineering & Operations Research at the University of California-Berkeley and head of optimization research at Bloomberg LP. He received his Ph.D. from the Georgia Institute of Technology in 1998 with a major in Operations Research and minor in Computer Science. His research interests are in the broad area of optimization, including conic optimization, mixed-integer programming, and robust optimization with applications to finance and operations.

He serves on the editorial boards of Journal of Risk, Discrete Optimization, Operations Research, and Networks. He regularly serves on the organizing committees of optimization conferences. He served as elected vice chair-integer programming of INFORMS Optimization Society. Professor Atamturk was appointed a national security fellow by the US Department of Defense in 2010.

Sponsorship

The Thalesians gratefully acknowledge the support of the Golden Gate University Finance Club as a sponsor.


Resources


Thalesian Seminar (New York) — Dr. Harvey Stein — Counterparty Risk, CDS & CCDS

Harvey Stein

Date and Time

6:00 p.m. on Tuesday, 31st January, 2012.

Venue

New York Public Library - Science, Industry, and Business, 188 Madison Ave, New York, NY. Please enter and leave the building at 188 Madison Avenue. Signs will direct you to the conference room on the lower level.

Meetup.com

Members can register for this event on Meetup.com: http://events.thalesians.com/events/46670242/

Abstract

Despite the recent market upheavals, the OTC derivatives markets continue to comprise one of the largest components of the financial markets, with an overall outstanding notional of $547 trillion in December 2008, 70% of which are in interest rate derivatives. As of June 2009, this grew to $605 trillion. And in spite of market contractions, gross values in the OTC markets are up. From June 2008 to December 2008, OTC gross market value increased 60%, from $20 trillion to $32 trillion (Bank for International Settlements, June 2009). Interest rate derivatives’ gross market value doubled from $9 trillion to $18 trillion.

Prompted by the desire to weather or even reduce market turmoil, regulations, accounting practices and investment practices have been under reevaluation. In particular, approaches for analyzing and mitigating counterparty risk have garnered renewed interest. Regulators have been advocating greater usage of clearing houses. Accounting boards have been refining and codifying fair market valuation, placing additional emphasis on careful consideration of counterparty risk. The IASB has even issued a request for comment on counterparty risk calculation methodologies. And investors and traders have been trying to better factor some notion of counterparty risk into their trading and risk management practices.

Here we will investigate the notion of counterparty risk and the associated counterparty valuation adjustment (CVA) in the fixed income markets. We will outline the CVA calculation, detail the underlying model assumptions, give examples of the calculation and discuss the impact the CVA has in the value of these instruments, relating CVA calculations to CDS & CCDS (contingent CDS).

Speaker

Harvey J. Stein is Head of the Quantitative Risk Analytics Group at Bloomberg, responsible for all quantitative aspects of Bloomberg's risk analysis products. Dr. Stein graduated from Worcester Polytechnic Institute in 1982 with a Bachelor's degree in mathematics. After working at Bolt, Beranek and Newman for three years on developing and designing the precursor to the Internet, Dr. Stein went to graduate school at the University of California, Berkeley, where he studied arithmetical geometry while working at Wells Fargo Investment Advisors. He received his PhD in mathematics from Berkeley in 1991.

For the last twenty-three years, Dr. Stein has worked at Bloomberg LP. He built one of the top quantitative finance research and development groups in the industry. His group supplied derivative valuation models for interest rate derivatives, mortgage backed securities, foreign exchange, credit, equities, and commodities, and built Linux clusters to supply these valuations to Bloomberg's customers.

Dr. Stein is well known in the industry, having published and lectured on mortgage backed security valuation mortgage backed security valuation, CVA calculations, interest rate modeling, credit exposure calculations, and other subjects. Dr. Stein built Bloomberg's business in the area of counterparty credit risk modeling and is currently focusing on regulation and risk modeling. He is also a member of the advisory board of the IAQF, an adjunct professor at Columbia University, and a board member of the Rutgers University Mathematical Finance program and of the NYU Enterprise Learning program.

Slides

To be published here

Disclaimer

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


Thalesian Seminar (London) — Dr. Iain Clark — Foreign Currency Options: Deltas, Market Conventions and Volatility Smiles

Iain Clark

Date and Time

7:30 p.m. on Wednesday, 25th January, 2012.

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/48672562/

Abstract

Foreign currency as an asset class is noted by the presence of not one but two possible numeraires: the so-called domestic and foreign currencies. Since market participants can regard the risk free money market account in either of these currencies as their natural numeraire, the risk-neutral option pricing technique can proceed in one of two ways: either we price options on the foreign currency from the domestic investor’s point of view, or we price options on the domestic currency from the foreign investor’s point of view.

In this talk we show using the standard Black-Scholes model that the two approaches are mathematically equivalent in price terms, which is reassuring. It means that investors in both domestic and foreign economies will naturally agree on the model price. However, unless volatilities are negligible they will absolutely not agree on the risk numbers, in particular the delta (which can be either spot delta or forward delta). This is of particular importance in foreign currency options, which naturally have volatility surfaces described using strangles and risk reversals expressed in terms of deltas -- most commonly 25- and 10-delta. It turns out that the discrepancy is directly related to which currency the premium for the option is paid in, a cashflow which will naturally be regarded as risky for one investor but riskless for the other.

We conclude by giving an overview of the way in which FX volatility surfaces are constructed, taking into account the ATM backbone, single-vol broker strangles and risk reversals – where we see the surprising feature that a convex smile can have a small and even negative broker strangle if the skew is large enough.

Speaker

Iain J. Clark (MIMA CMath, MInstP CPhys, CStat, FRAS) has over 14 years experience as a front office quant. He has worked as Head of FX and Commodities Quantitative Analysis at Standard Bank, as Head of FX Quantitative Analysis at Unicredit and at Dresdner Kleinwort, and at Lehman Brothers, BNP Paribas and JP Morgan. Iain has a PhD in applied mathematics from Queensland University and a MSc in financial mathematics from Edinburgh and Heriot-Watt Universities. His main research interests are on exotic options, stochastic models for FX and commodities, and numerical methods for option pricing. He is a frequent contributor to industry conferences, training courses and invited speaker at various universities.

His first book Foreign Exchange Option Pricing: A Practitioner's Guide was published in November 2010 by Wiley Finance and his second book Commodity Option Pricing: A Practitioner's Guide is due to appear in early 2014 (also with Wiley Finance).

Video

To be published here

Slides

To be published here


Thalesian Seminar (San Francisco) — Dr. Jose Menchero — Eigenfactor risk adjustments

Jose Menchero

Date and Time

7:00 p.m. on Wednesday, 25th January, 2012.

Venue

rm TBC GGU, 536 Mission St, San Francisco

Meetup.com

You can register and pay for this event on Meetup.com: http://events.thalesians.com/events/43895632/

Abstract

The Markowitz mean-variance framework provides the foundation for modern portfolio theory. One problem with this approach, however, is that sample covariance matrices tend to underestimate the true risk of optimized portfolios. In this presentation, we show that the biases of optimized portfolios are closely related to biases in eigenfactor portfolios. We present a methodology for estimating the biases in eigenfactor volatilities, and for adjusting the covariance matrix to remove such biases. We show that by removing the biases of the eigenfactors, we effectively remove the biases of optimized portfolios as well. We also examine the out-of-sample performance of optimized portfolios. Relative to the conventional sample covariance matrices, we find that the eigen-adjusted covariance matrices produce portfolios with lower out-of-sample volatilities.

Speaker

Jose Menchero is Executive Director and Head of Equity Factor Model Research at MSCI. Mr Menchero manages a global team of researchers and is responsible for the continuous development and improvement of equity factor risk models. He and his team also develop portfolio analytics for return and risk attribution.

Before joining MSCI, Mr Menchero was Head of Quantitative Research at Thomson Financial, where he worked on performance attribution, risk attribution, and factor risk modeling. Mr Menchero has several publications in these areas. Prior to entering finance, Mr Menchero was a Professor of Physics at the University of Rio de Janeiro, Brazil. His area of research was in the Quantum Theory of Solids, and he also has several publications in this field.

Mr Menchero serves on the Advisory Board of the Journal of Performance Measurement. He holds a BSc degree in Aerospace Engineering from the University of Colorado at Boulder, and a PhD degree in Theoretical Physics from the University of California at Berkeley. Mr Menchero is also a CFA charterholder.

MSCI Inc. is a publicly traded company (NYSE: MSCI) and a leading global provider of investment decision support tools, including indices and portfolio risk and performance analytics. MSCI has clients in over 60 countries, and more than 2,000 employees located around the world.

Video

To be published here

Slides

To be published here

Resources

Jose Menchero, Jun Wang and D.J. Orr, Eigen-Adjusted Covariance Matrices [1], MSCI Barra Research Paper No. 2011-14
Jose Menchero, Andrei Morozov and Peter Shepard, Global Equity Risk Modeling, book chapter in the Handbook of Portfolio Construction [2], Part II, pp. 439-480, 2010


Thalesian Seminar (London) — Saeed Amen — Discussing currency hedging for bonds and equities

SaeedAmen

Date and Time

7:30 p.m. on Wednesday, 11th January, 2012.

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/47054682/

Abstract

We look at the impact of currency hedging on bond and equity portfolios, comparing with unhedged returns. We also look at the concept of using short exposure in high beta G10 FX as a beta hedge for long equities positions, and we discuss the rationale for this.

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

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