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Thalesians Festive Dinner (London) — Matthew Dixon and Mohammad Zubair — Scalable Computations in Python & R

Matthew Dixon
Mohammad Zubair


Date and Time

7:30 p.m. on Tuesday, 17th December, 2013.

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://www.meetup.com/thalesians/events/153709762/

Abstract

Python and R combine ease of implementation with depth and breadth of statistical and numerical implementation support infrastructure provided by a growing and open eco-system of library developers. The ease of usage makes it a high productivity tool for modeling and statistical analysis without necessarily having a background in software engineering. However, the semiconductor industry is banking its future on parallel microprocessors due to the inability to deliver steadily increasing processor frequency gains without pushing power dissipation to unsustainable levels. Various vendors provide parallel platform optimized kernels but, at some point, there exists a trade-off between flexibility, performance, portability and dependency on third-party solutions.

Software design patterns grew in popularity amongst quant finance developers in the 90's, partly because they enabled the less experienced programmer to stand on the shoulders of software veterans. However, these patterns give little consideration to the computational building-blocks of financial modeling nor are they particularly suited to supporting rapid development and deployment of financial computations in Python or R on a parallel platform. Following Kurt Keutzer (UC Berkeley Parlab) and Tim Mattson (Intel) and the recent developments by E. Gonina et al. (UC Berkeley Parlab), this talks looks to Our Pattern Language (OPL), a pattern orientated methodology, to distill the primary computations and structural patterns common to financial models and analysis. Through detailed examples of how to effectively map financial computations on multicore CPUs, multicore CPU clusters, GPUs or FPGAs, we demonstrate how OPL can be used to guide the evolution of a software framework for scalable financial computations in Python or R.

Speakers

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.

Mohammad Zubair is a Professor in the Computer Science Department at Old Dominion University. Prof. Zubair has more than twenty years of research experience in the area of experimental computer science and engineering both at the university as well as in industry. His primary area of interest is high performance computing and management of large information.

His major industrial assignment was at the IBM T.J. Watson Research center for three years, where his research focus was in high performance computing and some of his work was integrated into IBM products. His current interests are in developing high performance algorithms for multi-core architectures such as GPUs and Intel Multi-core systems. He has been successful in obtaining funds to support his research work from NASA, NSF, DTIC, ARPA, Jefferson Laboratory, Los Alamos, AFRL, NRL, JTASC, Sun Microsystems, and IBM Corporation.

Festive Dinner Buffet (included in ticket price)

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

Slides

To be published here

Resources


Thalesian Seminar (London) — Gregory Zuckerman — The Frackers: The Outrageous Inside Story of the New Billionaire Wildcatters

Gregory Zuckerman

Date and Time

7:30 p.m. on Tuesday, 3rd December, 2013.

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://www.meetup.com/thalesians/events/152631942/

Abstract

The riveting, untold story of the men who are transforming global energy. In five years, the United States has seen a historic burst of oil and natural gas production, easing our insatiable hunger for energy. A new drilling process called fracking has made us the world’s fastest growing energy power, on track to pass Saudi Arabia by 2020. But despite headlines and controversy, no previous book has shown how the revolution really happened.

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

Slides

To be published here

Resources


Thalesians-IAQF Seminar (New York) — Jay Muthuswarmy — Computational Issues in the Near Future for Traders to Ponder

Jay Muthuswarmy

Date and Time

5:45 p.m. on Monday, 9th December, 2013.

Agenda

5:45-6pm, Registration

6-7pm, Talk

7-7:30pm, Q/A

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/152099452/

Abstract

In recent years, high precision computational issues has loomed large on the radar -- both for Practitioner Trader and Academic clienteles. The main issue for Traders is whether the arrival of computerized trading methods as exemplified by High Frequency Algorithmic Trading (HFAT) has impacted trading style. For academics, the issue is really whether algorithms are "good enough" given the state of the art in computer software and hardware.

In this talk I will focus on the more tangible issue of Options related Smiles -- a highly popular topic with both academics as well as traders. Adopting an intensely academic focus, I will argue that the profession has not given enough attention to HOW the smile has been computed. Then using high precision methods, I will show how the Smile could be made an anomaly -- an artifact of computational errors. Then I explain how this aspect can be commercially exploited using HFAT techniques.

Speaker

Prof. Muthuswamy holds a PhD in Finance from the University of Chicago, an MS in Statistics from Stanford University, an MBA in Finance from Wharton, and a bachelor’s degree from the London School of Economics. His research interests are in the pricing of derivatives, asset price equilibrium, financial econometrics, and high-frequency hedge fund trading strategies. Prof. Muthuswamy is currently with Kent State University in Ohio (US). He has previously been with Singapore Management University, Griffith University, Duke University, University of Sydney, and National University of Singapore. Prof. Muthuswamy is Deputy Managing Editor of the Journal of Algorithmic Finance, and serves on the editorial board of the Journal of Futures Markets. Among his many research papers is one co-authored with the late Nobel Laureate Merton Miller on the regulation of stock index futures markets, which was published in the Journal of Finance.

IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). 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.


Thalesian Seminar (New York) — Saeed Amen — The Impact of Scheduled Events on FX Implied Vol

Saeed Amen

Date and Time

5:45 p.m. on Thursday, 14th November, 2013.

Agenda

5:45-6pm, Registration

6-7pm, Talk

7-7:30pm, Q/A

8pm, Dinner

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/149180232/

Abstract

In this talk we quantify the impact of major scheduled events, such as the US employment report and major rates meetings on FX implied vol. We also look at the distribution of implied vs. realised volatility. We examine other patterns in FX vol, such as as intraweek patterns.

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).


IAFE-Thalesians Seminar (New York) — Luca Capriotti — Real Time Counterparty Credit Risk Management with Adjoint Algorithmic Differentiation

Luca Capriotti

Agenda

November 13th, 2013:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/148170232/

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

Abstract

Adjoint algorithmic differentiation can be used to implement efficiently the calculation of counterparty credit risk. We demonstrate how this powerful technique can be used to reduce the computational cost by hundreds of times, thus opening the way to real time risk management in Monte Carlo.

Speaker

Luca works in Quantitative Strategies (QS, formerly GMAG) in the London where is head for Global Credit Products EMEA. He is currently focusing on modeling in the areas of Flow and Structured Credit, Algo trading, Risk Management of a Bank's own credit, and Counterparty Credit Risk Management. He is also working on developing efficient and general multi-asset pricing engines supporting fast calculation of the Greeks for which he has a Patent pending. Previous to this role, he was US head of Quantitative Strategies Global Credit Products, he worked in Credit and Commodities in New York and London, and was part of the cross-asset modeling R&D group of GMAG in the London office.

Prior to working in Finance, Luca was a researcher at the Kavli Institute for Theoretical Physics, Santa Barbara, California, working in the field of High Temperature Superconductivity and Quantum Monte Carlo methods for Condensed Matter systems. He has been awarded the Director's fellowship at Los Alamos National Laboratory, the Wigner Fellowship at Oak Ridge National Laboratory, and he has published over 50 scientific papers, with the top 3 papers collecting to date over 500 citations.

Luca holds a M.S. cum laude in General Physics from University of Florence (1996), and a M.Phil. and Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste (2000).

Resources

http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=573862


Thalesian Seminar (London) — Paul Ward and MSCI — Manager Crowding and Portfolio Construction

MSCI
Paul Ward

Date and Time

7:30 p.m. on Wednesday, 16th October, 2013.

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://www.meetup.com/thalesians/events/144763622/

Abstract

Following the "quant meltdown" of August 2007, market observers became concerned that quant strategies were leading to crowded trades. This paper analyzes the impact that a risk model used in portfolio construction has on manager crowding by identifying the drivers of crowding and by illustrating their impact. A risk model’s effect on manager crowding depends, in part, on how alphas used by different managers are related to each other, and to the risk model factors. We explain how this works with some simple, intuitive examples, and with the aid of a well established analytical framework.

Speaker

Paul Ward is a Vice President in the Equity Model Research team in the London office, where he is responsible for developing regional stochastic and fundamental factor models.

Since joining MSCI in 2007, Paul has been a principal architect in the development of the Barra Europe and Asia Pacific Equity Models, and the Europe and North America Stochastic Models.

Paul’s research interests include portfolio construction, risk and return attribution, and machine learning. Prior to joining MSCI, Paul worked as a statistical consultant. He holds MEng and Ph.D. degrees in Mechanical Engineering, and has recently completed the certificate in quantitative finance (CQF).

Video

To be published here

Slides

To be published here

Resources


IAFE-Thalesians Seminar (New York) — Antonio Mele — The Price of Fixed Income Volatility

Antonio Mele

Agenda

October 14th, 2013:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/144421992/

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

Abstract

Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based “model-free” pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naive superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities. Some of the interest rate volatility indexes in this book are currently being implemented by the Chicago Board Options Exchange as the interest rate volatility counterparts to the widely known VIX index of equity market volatility.

Speaker

Antonio Mele holds a Senior Chair at the Swiss Finance Institute, and a full professorship in Finance at the University of Lugano sponsored by the Ticino Bankers Association, after having been a tenured faculty at the London School of Economics & Political Science for a decade. He is also a Research Fellow for the Financial Economics program at the Centre for Economic Policy Research (CEPR) in London. He holds a PhD in Economics from the University of Paris.

Professor Mele’s academic expertise spans a variety of fields in financial economics, pertaining to capital market volatility, interest rates and credit markets, macro-finance, capital markets and business cycles, and information in securities markets. His research has been published by top journals in Finance and Economics such as the Journal of Financial Economics, the Review of Economic Studies, the Review of Financial Studies, and the Journal of Monetary Economics.

Professor Mele’s research and expertise have spillovers outside academia. He is the founder of QUASaR, a Swiss-based firm specialized in security design and support to investment decision making, and he is the co-inventor of the CBOE Interest Rate Swap Volatility Index (CBOE-SRVXSM), the first standardized volatility measure in the interest rate swap market, designed to standardize and simplify swap rate volatility trading, much in the spirit of the CBOE-VIXÒ index in the equity market.


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) — Tiziana Di Matteo — Financial markets as complex systems: an econophysics perspective

Tiziana Di Matteo

Date and Time

7:30 p.m. on Wednesday, 2nd October, 2013.

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://www.meetup.com/thalesians/events/142222202/

Abstract

In this talk I will briefly give a broad overview of the state of the art in Econophysics: a discipline that has already a rich history and even controversial trends. In this seminar, I will show results concerning the characterization and visualization of dependencies in financial systems by means of networks and I will introduce tools to filter relevant information in these systems extracting the hierarchical structure of the market [1,2]. In complex financial datasets information is often hidden by a large degree of redundancy and grouping the data into clusters of elements with similar features is essential in order to reduce complexity. However, the reduction of the system into a set of separated local communities may hide properties associated with the global organization. To fully capture the market-states it is therefore essential to detect clusters together with the different hierarchical gatherings above and below the cluster levels. I will introduce a graph-theoretic approach to extract clusters and hierarchies in an unsupervised and deterministic manner, without the use of any prior information [3]. I will show that applications to financial data-sets can meaningfully identify industrial activities and structural market changes. I will also show how financial filtered networks can be used to hedge risk and build a well-diversified portfolio that effectively reduces investment risk [4].

[1] T. Aste, T. Di Matteo, S. T. Hyde, Physica A 346 (2005) 20.

[2] M. Tumminello, T. Aste, T. Di Matteo, R. N. Mantegna, PNAS 102, n. 30 (2005) 10421.

[3] Won-Min Song, T. Di Matteo, T. Aste, PLoS One 7(3) (2012) e31929.

[4] F. Pozzi, T. Di Matteo and T. Aste, "Spread of risk across financial markets: better to invest in the peripheries", Scientific Reports 3 (2013) 1665.

Speaker

Tiziana Di Matteo is Professor of Econophysics. A trained physicist, she took her degree and PhD from the University of Salerno in Italy before assuming research roles at universities in Australia and Britain. She works in the Department of Mathematics at King’s College London in Econophysics, complex networks and Data science. She has authored over 80 papers and gave invited and keynote talks at major international conferences in the US, across Europe and Asia, making her one of the world’s leaders in this field.

Video

To be published here

Slides

To be published here

Resources


Thalesian Seminar (London) — Cassio Neri — Overview of C++14

Cassio Neri

Date and Time

7:30 p.m. on Wednesday, 18th September, 2013.

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://www.meetup.com/thalesians/events/139253982/

Abstract

The next ISO C++ Standard, a.k.a. C++14, is expected to be published next year. The current draft was issued after the last committee meeting in Bristol (April 2013) and is already feature completed. In this talk I will give an overview of the new features in both the core language and standard library.

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

To be published here


IAFE-Thalesians Seminar (New York) — Julien Guyon — On the Particle Method: A Powerful Tool to Solve Your Smile Calibration Problem

Julien Guyon

Agenda

September 24th, 2013:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

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

Abstract

In this talk we will introduce the particle method and show how it solves a wide variety of smile calibration problems: - calibration of the local volatility model with stochastic interest rates - calibration of stochastic local volatility models, possibly with stochastic interest rates and stochastic dividend yield - calibration to the smile of a basket of multi-asset local volatility -local correlation models, possibly with stochastic volatility, stochastic interest rates, and stochastic dividend yields - calibration of path-dependent volatility models and path-dependent correlation models.

The particle method is a Monte Carlo method where the simulated paths interact with each other to ensure that a given market smile is fitted. PDE methods typically do not work for these high-dimensional models. The particle method is not only the first available exact simulation-based method. It is also robust, easy to implement, and fast (it is as fast as a standard Monte Carlo algorithm), as many numerical examples will show. As of today, it is the most powerful tool for solving smile calibration problems. Icing on the cake for those who like maths: there are nice mathematics behind the scenes, namely the theory of McKean stochastic differential equations and the propagation of chaos.


Speaker

Julien Guyon is a senior quantitative analyst in the Quantitative Research group at Bloomberg LP, New York. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris (2006-2012). He holds a Ph.D. in Probability Theory and Statistics from Ecole des ponts (Paris). He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des ponts. Julien was also a visiting professor at Universite Paris 7 and at Ecole des ponts where he taught mathematics of finance in Master programs. His main research interests include nonlinear option pricing, numerical probabilistic methods, and volatility and correlation modeling.

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) — Paul Bilokon — A brief introduction to stochastic filtering

Paul Bilokon

Date and Time

7:30 p.m. on Wednesday, 4th September, 2013.

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://www.meetup.com/thalesians/events/137391592/

Abstract

The filtering problem is ubiquitous in quantitative finance, especially in algorithmic trading. We face it whenever the need arises to estimate or forecast some time-varying process. In this brief tutorial we shall go through the basic ways of approaching the filtering problem, including the Kalman and particle filters.

Speaker

Paul A. Bilokon is CEO and Founder of Thalesians Ltd. He has previously served as Director at Deutsche Bank, where he ran the global credit and core quant teams, part of Markets Electronic Trading (MET) group. He is one of the pioneers of electronic trading in credit, including indices, single names, and cash, and has worked in e-trading, derivatives pricing, and quantitative finance at bulge bracket institutions, including Morgan Stanley, Lehman Brothers, Nomura, and Citigroup. His more than a decade-long career spans many asset classes: equities, FX spot and options, rates and credit.

Paul has graduated from Christ Church, Oxford, with a distinction, and twice from Imperial College London. The domain-theoretic framework for continuous-time stochastic processes, developed with Prof. Abbas Edalat, earned him a PhD degree and a prestigious LICS paper. Paul's other academic interests include stochastic filtering and machine learning. He is an expert developer in C++, Java, Python, and kdb+/q, with a special interest in high performance scientific computing.

His interests in philosophy and finance led him to formulate the vision for and found Thalesians, a consultancy and think tank of dedicated professionals working in quant finance, economics, mathematics, physics and computer science, the focal point of a community with over 2,500 members worldwide. Thalesians was co-founded with two of Paul's friends and colleagues, Saeed Amen and Matthew Dixon.

Dr. Bilokon is a joint winner of the Donald Davis Prize (2005), winner of the British Computing Society Award for the Student Making the Best Use of IT (World Leadership Forum's SET award, 2005), Ward Foley Memorial Scholarship (2001), two University of London High Achiever Awards (in mathematics and physics, 1999); a Member of the British Computer Society, Institution of Engineering and Technology, and European Complex Systems Society; Associate of the Securities and Investment Institute, and Royal College of Science; and a frequent speaker at premier conferences such as Global Derivatives, alphascope, LICS, and Domains.

Video

To be published here

Slides

To be published here

Resources

To be published here


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

SaeedAmen

Date and Time

6.00 p.m. on Wednesday, 11th July, 2013.

Venue

Atos, Hahnstr. 25, 60528 Frankfurt, Germany

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/126083002/

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. Thanks to Dr. Holger von Jouanne-Diedrich at Atos for hosting.

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) — Ellie Dobson — Searching for new physics at the Large Hadron Collider (LHC): Making a mountain into a molehill

Ellie Dobson

Date and Time

7:30 p.m. on Wednesday, 10th July, 2013.

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://www.meetup.com/thalesians/events/127734532/

Abstract

Analysis of Big Data has hit the headlines in recent years. The LHC experiment, based at CERN in Geneva, produces about a petabyte of data per second, but the front end of the Higgs discovery analysis was performed on a dataset that could fit on most laptops. In this talk I shall walk through the strategy employed by the ATLAS experiment to search for patterns in an initial dataset too big to fit in any data warehouse.

The first barrier of defense consists of a hardware-based trigger, backed up by a farm of software triggers running in real time. After the trigger reduces the initial input rate, the recorded data is replicated to a world wide computing cluster, where automatic software processing is performed to aggregate the binary data into fewer elements. The next stage is to run algorithms, trained on Monte Carlo simulation, to mine the data for promising looking signatures. Only after these steps are statistical analyses performed, which qualify whether the signatures seen can indeed be attributed to a new physics signal.

Speaker

Eleanor Dobson is a particle physicist and applications engineer at The MathWorks. She worked on the ATLAS experiment as Marie Curie Fellow at the University of London and has participated in the LHC project at CERN. Ellie holds a DPhil and MPhys from the University of Oxford.

Video

To be published here

Slides

To be published here

Resources

The ATLAS Experiment: http://atlas.ch/

CERN: http://home.web.cern.ch/


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

Attila Vrabecz

Date and Time

5:45 p.m. on Tuesday, 16th July, 2013.

Agenda

5:45-6pm, Registration

6-7pm, Talk

7-7:30pm, Q/A

8pm, Dinner

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/126818982/

Abstract

In this talk a broad and personal overview of the history, most common usage and unique advantages of Kx Systems' kdb+ technology is given outlining the main ideas behind the product that has proved to be the market leader for large datasets. We will then proceed to demonstrate the analytical and computational power of the q language through various more advanced examples from the financial industry e.g. Exponential Moving Average calculation, Net Asset Value of a portfolio, pricing a Market Order etc.

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.


Thalesian Seminar (London) — Prof. Uwe Wystup — Overview of Product and Model Trends in FX Options

Uwe Wystup

Date and Time

7:30 p.m. on Wednesday, 26th June, 2013.

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://www.meetup.com/thalesians/events/125113102/

Abstract

In Foreign Exchange Options markets first generation exotics like barrier and touch options have become vanilla-like commoditized derivatives traded in a liquid market. We review some of the traditional vanna-volga models frequently used by practitioners and software vendors, demonstrate their pros and cons, determine consistency and design requirements as well as limitations.

We show how recent trends try to overcome the inconsistencies with stochastic-local volatility hybrid models (SLV). We provide an overview of such models used in the market and show by case studies how they relate to vanna-volga based approaches.

And by the way, are target forward structures still allowed?

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

http://de.slideshare.net/wystup/fxmodels-slidesthalesians

Resources


IAFE-Thalesians Seminar (New York) — Emilian Belev — A Structural Model of Sovereign Credit and Bank Risk

Emilian Belev

Agenda

June 19th, 2013:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

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

Abstract

In the recent past, sovereign credit took center stage in the market's perception of risk. This occurred not only because certain countries emerged as potential debtors in default, but also because some major economies showed signs of fundamental strain in their public finances. The financial market effects of potential sovereign default and ensuing bank weakness and contagion, and the undermined capability of governments to sustain the Keynesian support for their vulnerable economies demonstrate the paramount importance of accurate and rigorous risk measurement of sovereign entities and financial institutions.


In this presentation we make an overview of a model designed for this task. It builds on established credit risk methodology for corporate entities known from the seminal work of Merton, and takes a new direction to adapt the default option argument to a sovereign debt setting. The proposed model caters to economic intuition and resorts to explicit measures of macro economic activity as its buildings blocks. We differentiate sovereign entities into three distinct categories, and adapt our general arguments to each of these groups. Furthermore, we pursue the connection between the viability of sovereign entities and the viability of the jurisdictional financial institution. Finally, we juxtapose the model results with metrics of credit risk from the financial markets, as a reality check of the success of approach.


Speaker

Emilian heads the development of Northfield's Enterprise Risk analytics for the last 12 years. His domain of responsibilities include modeling equity and fixed income, currency, equity, interest rate, and credit derivatives, structured products, directly owned real estate, private equity, and infrastructure, and developing an integrated framework for these asset classes to be analyzed side-by-side in a coherent, accurate, and economically logical fashion. He has introduced various innovative methodologies in the areas of convertible bonds modeling, MBS path dependency, efficiency of numerical derivative pricing algorithms, credit risk among tranches of seniority, infrastructure investments, and directly owned real estate. Emilian has presented on some of these topics at various industry events in North America and Europe. Prior to joining Northfield, Emilian has been with State Street Global Advisors. Emilian is an actively involved CFA charter holder, holder of the Certificate in Advanced Risk and Portfolio Management, a member and founding member of respectively QWAFAFEW Boston and QWAFAFEW Toronto, a member of the PRMIA expert advisory group for Market Risk, and a winner of the 2013 PRMIA award for New Frontiers in Risk Management.

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) — Dr. Lajos Gergely Gyurko — Modelling and measuring slippage using the signature of order book data

Lajos Gergely Gyurko

Date and Time

7:30 p.m. on Wednesday, 12th June, 2013.

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://www.meetup.com/thalesians/events/121482242/

Abstract

We aim to explore how multiple features observed in real market data can be characterised quantitatively via a property of sample paths known as the signature of the path.

At an abstract mathematical level, the notion of a signature as an informative transform of a multidimensional time series was established by Ben Hambly and Terry Lyons [1], meanwhile Ni Hao et al [2] have introduced the possibility of its use to understand financial data and pointed to the power this approach has for machine learning and prediction.

We evaluate and refine these theoretical suggestions against some real world data and practical examples. Moreover, the paper identifies a low dimensional part of the signature that preserves essential information for understanding and measuring various market features in order to improve the efficient choice of trade execution algorithms.


References:

[1] Ben Hambly, Terry Lyons, "Uniqueness for the signature of a path of bounded variation and the reduced path group", Annals of Mathematics, Pages 109-167 from Volume 171 (2010), Issue 1

[2] Ni Hao, Daniel Levin and Terry Lyons - "Learning from the past, predicting the statistics for the future, learning an evolving system", preprint, 2012

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 Dinner Event (San Francisco) — Jesse Davis — Risk Model Imposed Manager-to-Manager Correlation

Jesse Davis

Date

Wednesday, June the 5th, 2013

Agenda

4:15-4:30: Registration

4:30-5:30: Talk

5:45-7:30: Thalesian Dinner with the speaker

Venue

Rm 527, 101 Howard Street, University of San Francisco

Meetup.com

You can register for the dinner event on Meetup.com: http://events.thalesians.com/events/114818282/

Abstract

Do risk models create correlations between investment managers? There is a great deal of concern among investment managers and their investors regarding the correlation between different investment manager's strategies. The concern arises due to investor's needs to create a diversified portfolio of strategies as well as additional stability issues that come with "crowded trades". The focus of these concerns is invariably on the alpha signals developed by different managers with no worry spent on the other pieces of the investment process, however. Correspondingly, the majority of research time spent by investment managers is in the alpha signal generation process with risk modeling and portfolio construction often left to either off-the-shelf techniques or even outsourced to third-party providers. This talk demonstrates that the usage of common risk models itself creates correlation between manager's portfolios, identifies the reason for this correlation and its limiting case, offers an intuitive mathematical interpretation of the problem, and analyzes the results of employing some proposed solutions.

Speaker

Jesse Davis is a Director in the Global Macro Research group at First Quadrant, a $17B systematic institutional investment manager. His primary responsibility there is in leading and performing alpha research for First Quadrant's global macro portfolios, and he previously also served as Director of the Risk Office overseeing risk across all First Quadrant products. He has previously been an alpha researcher in a US equity market neutral hedge fund as well as founder of a software company dedicated to delivering quantitative tools to discretionary investors. Mr. Davis earned Math, Electrical Engineering, and Computer Science degrees from MIT in 2002 and became a CFA Charterholder in 2010.


Thalesian Seminar (London) — Patrick S. Hagan — Arbitrage Free SABR

Date and Time

7:30 p.m. on Wednesday, 22nd May, 2013.

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://www.meetup.com/thalesians/events/119389682/

Abstract

Smile risk is often managed using the explicit implied volatility formulas developed for the SABR model. These asymptotic formulas are not exact, and this can lead to arbitrage for low strike options. Here we provide an alternative method for pricing options under the SABR model: We use asymptotic techniques to reduce the SABR model from two dimensions to one dimension. This leads to an effective one dimensional forward equaltion for the probability density which has the same asymptotic order of accuracy as the explicit implied volatility formulas. We obtain arbitrage free option prices by numerically solving this PDE. The implied volatilities obtained from the numerical solutions closely match the explicit implied volatility curves, apart from a boundary layer at very low rates. For very low rate environments, or for very low strikes, the implied absolute (normal) volatility dips downwards, closely matching market observations. We also show how negative rates can be accommodated by replacing the Fβ factor with (F + a)β.

Speaker

Patrick Hagan has made several fundamental contributions to mathematical finance, particularly in the area of interest rate derivatives modelling, where he pioneered the SABR volatility model - now the de-facto approach for including stochastic volatility within the LIBOR market model. Patrick Hagan received his Ph.D and B.S in Applied Mathematics from Caltech. Over the years he has worked at Bloomberg and several banks designing trading systems for fixed income, credit, and foreign exchange derivatives, as well as developing the component models, calibration methods, and numerical algorithms. He served at Head of Quantitative Analytics and Chief Investment Officer at JP Morgan. Before entering finance he was Deputy Director of the CNLS and a member of the Computer Research and Applications group at Los Alamos National Laboratory. He has also worked at Exxon Science Laboratories, and has taught at Caltech, Stanford, the Institute for Mathematics and its Applications, and NYU.

Video

To be published here

Slides

To be published here

Resources

  • N/A

IAFE-Thalesians Seminar (New York) — Prof. Philip Protter — Can one detect a bubble in real time?

Philip Protter

Agenda

May 15th, 2013:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

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

Abstract

Recent advances in the mathematical modeling of financial bubbles has led to the observation that bubble detection often boils down to determining if, under the risk neutral measure, a process is a strict local martingale or a true martingale. Bubbles are fairly easily recognizable after the fact, once they have run their course, but it is often difficult to detect their presence in real time. There are few tools available to distinguish a martingale from a strict local martingale, and it seems that determining which is the case from data is a delicate procedure. Indeed, one can argue that in principle it is impossible. Nevertheless in this talk we will explain how, in a special case, there is hope that one can determine when a bubble is present, and when it is not, in real time. The talk is based on joint work with Robert Jarrow and Younes Kchia.

Speaker

Philip Protter works in probability theory, with specialties in stochastic calculus, weak convergence and limit theorems, stochastic differential equations and Markov processes, stochastic numerics, and mathematical finance. He is the author of one book and the co-author of three more, and he has published more than 100 research papers. He was a visiting member of the Institute for Advanced Study in 1978, a National Science Foundation/Centre National de la Recherche Scientifique (NSF/CNRS) Exchange Scientist (to France) in 1980, and a Fulbright - Tocqueville Distinguished Chaired Professor in Paris in 2007. He gave the inaugural R. Von Mises Lecture at Humboldt Universität, Berlin, in 2007 and the Bullitt Lecture at the University of Louisville in 2009. This Spring he will give the Karl Menger Lecture at IIT in Chicago. He is a Fellow of the Institute of Mathematical Studies (IMS). Currently he is a Professor of Statistics at Columbia University. Before Columbia, he held positions at Cornell University, Purdue University, and Duke University.

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) — Claudio Albanese — The FVA-DVA puzzle: Completing Markets with Collateral Trading Strategies

Claudio Albanese

Date and Time

7:30 p.m. on Wednesday, 8th May, 2013.

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

In the aftermath of the crisis, valuations of fixed income derivatives have significantly diverged from the principles of arbitrage-free pricing. Discrepancies arise because of the incompleteness of collateral trading markets which lack of reverse REPO contracts for cash upgrades accepting OTC derivatives as general collateral. This circumstance forces banks to implement sub-optimal super-replication strategies generating wealth transfers across the bank capital structure from shareholders to senior debt holders. The present value of the wealth transfer is the FVA.

To avoid losses to shareholders, the bank cannot realistically carry out a Modigliani-Miller arbitrage which would involve buying back all its debt liabilities using equity capital or shorting its own credit. Transferring FVA costs to clients is a suboptimal solution which engenders systemic arbitrage opportunities and drives the financial system away from Pareto optimality.

In this talk, we discuss market-completing collateral trading strategies which solve the problem at the root. They reduce or eliminate the FVA and DVA. They also exploit the form of bank capital structure arbitrage revealed in current derivative valuations. Similar strategies also mitigate counterparty credit risk for banks and reduce or eliminate CVA capital charges.

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

IAFE-Thalesians Seminar (New York) — Prof. Paul Glasserman — How Likely is Contagion in Financial Networks?

Paul Glasserman

Agenda

April 23rd, 2013:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

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

Abstract

Interconnections among financial institutions create potential channels for contagion and amplification of shocks to the financial system. We estimate the extent to which interconnections increase expected losses, under a wide range of shock distributions. An essential and novel feature of our analysis is that it assumes only minimal information about network topology. This is important because financial networks are opaque. We find that expected losses from network effects are surprisingly small without substantial heterogeneity in bank sizes and a high degree of reliance on interbank funding. They are also small unless shocks are magnified by some mechanism beyond simple spillover effects; these include bankruptcy costs, fire sales, and mark-to-market revaluations of assets. We illustrate the results with data on the European banking system. This is joint work with Peyton Young of Oxford.

Speaker

Paul Glasserman is the Jack. R Anderson Professor of Business at Columbia Business School, where he serves as research director of the Program for Financial Studies. His research focuses on risk management, derivative securities, and portfolio selection. In 2011-2012, he was on leave from Columbia and working with the Office of Financial Research in Washington, which led to the research presented in this talk. He has previously held visiting positions at Princeton University, NYU, and the Federal Reserve Bank of New York, and he worked at Bell Labs before joining Columbia in 1991. He earned an A.B. from Princeton in 1984 and Ph.D. from Harvard in 1988.

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) — Daniel Kuhn — Scenario-Free Stochastic Programming: Methodology and Applications

Daniel Kuhn

Date and Time

7:30 p.m. on Wednesday, 24th April, 2013.

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/114762492/

Abstract

Traditional optimization models only involve deterministic parameters whose values are assumed to be known precisely. However, many practical decision problems involve uncertain parameters such as future prices and resource availabilities. It has been shown that treating these parameters as deterministic quantities can lead to severely suboptimal or even infeasible decisions. Stochastic programming overcomes this deficiency by faithfully treating the uncertain parameters as random variables. Stochastic programs are usually solved by approximating the random variables with a finite number of scenarios. Such scenario-based approaches suffer from a curse of dimensionality, that is, the optimization models scale exponentially with the number of uncertain parameters. In this talk, we present a scenario-free approximation to stochastic programming. Instead of discretizing the random variables, we employ a low-dimensional representation of the problem's decision variables. The optimization model scales polynomially with the number of uncertain parameters and is computationally tractable. We illustrate how this technique can be used to solve large-scale problems in operations management and energy economics.

Speaker

Daniel Kuhn is a Senior Lecturer in the Department of Computing at Imperial College London. His current research interests are focused on the development of efficient computational methods for the solution of stochastic and robust optimization problems and the design of approximation schemes which ensure their computational tractability. This theoretical work is primarily application-driven, the main application areas being energy systems, finance and engineering.

Video

To be published here

Slides

To be published here

Resources

  • N/A

Thalesian Seminar (London) — Gary Wong — Addressing emerging collateral issues and CVA Trading issues through counterparty party credit risk transfer: a more in-depth look at securitization schemes and Margin Lending

Gary Wong

Date and Time

7:30 p.m. on Wednesday, 10th April, 2013.

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/111518332/

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, FVA and regulatory capital charges. A host of problematic business and operational issues are emerging, including swap pricing (CVA + FVA charge), extending credit line for new business counterparties, CSA and collateral requirements, calculating collateral funding costs and their allocation, CVA risk and hedging, and finally capital ratio and RoC. A number of banks tried different securitization schemes to transfer these counterparty credit risk to outside investors, to very limited success. I will explore some promising variation on these securitization schemes, which can be viewed as intermediate step leading towards Margin Lending. Margin lending is a new construct or new financial intermediary function, which lend collateral to portfolio of unsecured counterparties, transforming unsecured trades to fully collateralised trades to the banks, thus avoiding all the problematic issues mentioned before. At the heart of margin lending is a securitization process, which is based on new technology, providing transparent quantitative credit and market risk analysis for all the market participants. Although a number of investors already express interests in participating in the scheme, there are a number of conceptual and practical issues raised. I will examine these issues and suggest practical implementation strategy to address them.

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

Thalesian Seminar (London) — Iain Clark — Commodity Option Pricing: Energy Derivatives — Oil, Gas and Coal

Iain Clark

Date and Time

7:30 p.m. on Wednesday, 27th March, 2013.

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/110138722/

Abstract

Commodities as an asset class have experienced somewhat of a surge in interest over the past ten years, driven largely by an increase in demand from newly industrialising countries, but also by investor appetite for investment opportunities that are weakly correlated with more liquid financial markets. Commodities can be very broadly categorised into three major areas - metals, energy and agricultural. In this talk, I shall introduce the typical financial instruments encountered by energy quants (quantitative analysts), such as futures, options on futures, swaps and Asians. It will be seen that market quotes exist which can be used to calibrate implied volatility surfaces, which are used for option pricing.

Examples will be given to show how futures curves and volatility surfaces typically evolve, using the benchmark WTI crude oil as an example (we discuss natural gas and gasoline also).

While I shall discuss some aspects of pricing and theory, the talk will be primarily descriptive and will be accessible to anyone with an interest in resource markets. The talk is the first in a small series of sneak previews of the material in my new book Commodity Option Pricing: A Practitioner's Guide, due to appear in print with Wiley Finance later in 2013.

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

Resources

  • N/A

Thalesian Seminar (London) — Attila Vrabecz — Financial data mining with kdb+/q

Attila Vrabecz

Date and Time

7:30 p.m. on Wednesday, 13th March, 2013.

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/107619162/

Abstract

This talk is going to showcase kdb+'s data mining and analytical capabalities on large scale financial data.

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

  • N/A

IAFE-Thalesians Seminar (New York) — Dr. Marcos López de Prado — Concealing the trading footprint by determining the Optimal Execution Horizon (OEH)

MarcosLopezdePrado

Agenda

March 20th, 2013:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

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

Abstract

Market Makers adjust their trading range to avoid being adversely selected by Informed Traders. Informed Traders reveal their future trading intentions when they alter the Order Flow. Consequently, Market Makers’ trading range is a function of the Order Flow imbalance. The Optimal Execution Horizon (OEH) algorithm takes into account order imbalance to determine the optimal participation rate, i.e. how much volume a trader needs to conceal his trading intentions. Paper: http://ssrn.com/abstract=2038387.

Speaker

Marcos López de Prado is Head of Quantitative Trading & Research at Hess Energy Trading Company, the trading arm of Hess Corporation, a Fortune 100 company.

Before that, Marcos was Head of Global Quantitative Research at Tudor Investment Corporation, where he also led High Frequency Futures Trading and several strategic initiatives. Marcos joined Tudor from PEAK6 Investments, where he was a Partner and ran the Statistical Arbitrage group at the Futures division. Prior to that, he was Head of Quantitative Equity Research at UBS Wealth Management, and a Portfolio Manager at Citadel Investment Group. In addition to his 15+ years of investment management experience, Marcos has received several academic appointments, including Postdoctoral Research Fellow of RCC at Harvard University, Visiting Scholar at Cornell University, and Research Affiliate at Lawrence Berkeley National Laboratory (U.S. Department of Energy’s Office of Science). He holds a Ph.D. in Financial Economics (2003), a second Ph.D. in Mathematical Finance (2011) from Complutense University, is a recipient of the National Award for Excellence in Academic Performance by the Government of Spain (National Valedictorian, 1998) among other awards, and was admitted into American Mensa with a perfect test score.

Marcos is a scientific advisor to Enthought's Python projects (NumPy, SciPy), to quantum computing firm 1QBit, and a member of the editorial board of several academic publications. His research has resulted in three international patent applications, multiple papers listed among the most read in Finance (SSRN), three textbooks, publications in the leading Mathematical Finance journals, etc. Marcos has an Erdös #3 and an Einstein #4 according to the American Mathematical Society.

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) — Saeed Amen — FX trading using market positioning in FX

Saeed Amen

Date and Time

7:30 p.m. on Wednesday, 27th February, 2013.

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/105370522/

Abstract

In this talk, we introduce the concept of market positioning within FX. Understanding market positioning is a very important part of trading. It is often something that market participants talk about, but less often do investors analyse it in a more quantitative manner which is our aim. We discuss ways of determining market positioning within FX. We examine the relationship between positioning and price action. Furthermore, we look at methods of assessing speculators P&L, and see what impact it has on price action within FX.

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

IAFE-Thalesians Seminar (New York) — Dr. Alexander Eydeland — Models in Commodity Markets

AlexEydeland

Agenda

February 12th, 2013:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

NYU Kimmel Center, Room 802, 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

In this presentation we will focus on unique properties of commodity markets and prices, and describe approaches to modeling physical assets such as storage and power plants.

Speaker

Dr. Alexander Eydeland is Managing Director at Morgan Stanley in charge of global commodities strategies. His previous positions include Head of Research at Mirant Corp., vice president with Lehman Brothers and Fuji Capital Markets, and associate professor of mathematics at the University of Massachusetts. Eydeland holds a Ph.D. degree in Mathematics from Courant Institute of Mathematical Sciences. His papers on risk management, scientific computing, optimization and mathematical economics have appeared in a number of major publications and he has lectured extensively on these subjects throughout the United States, Europe, and Japan. Eydeland is a co-author (with K. Wolyniec) of the book "Energy and Power Risk Management" published in 2002 by Wiley and Co.

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.


IAFE-Thalesians Seminar (New York) — Prof. Robert Almgren — Option Hedging with Market Impact

RobertAlmgren

Agenda

January 14th, 2013:

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 consider the problem of a trader hedging a large options position. We use a realistic proportional market impact cost model, as is commonly used in optimal execution problems, rather than the bid-ask spread model which has been previously used. We also include overnight risk, which is important for an intraday hedge position. Our solutions solve a "pursuit problem", in which the actual hedge position moves smoothly in the direction of the perfect Black-Scholes hedge. We also obtain an expression for the modified volatility of the underlying caused by the hedge activity: if the hedger is long the option then volatility decreases and conversely if he is short. (Joint work with Michael Li, Princeton University.)

Speaker

Robert Almgren, co-founder of Quantitative Brokers, providing agency algorithmic execution and cost measurement in interest rate markets, and Fellow in the Mathematics in Finance Program at New York University. Until 2008, Dr Almgren was a Managing Director and Head of Quantitative Strategies in the Electronic Trading Services group of Bank of America Securities. From 2000-2005, he was a tenured Associate Professor of Mathematics and Computer Science at the University of Toronto, and Director of its Master of Mathematical Finance program. Before that, he was an Assistant Professor of Mathematics at the University of Chicago and Associate Director of the Program on Financial Mathematics. Dr. Almgren holds a B.S. in Physics and Mathematics from the Massachusetts Institute of Technology, an M.S. in Applied Mathematics from Harvard University and a Ph.D. in Applied and Computational Mathematics from Princeton University. He has an extensive research record in applied mathematics, including papers on optimal trading, transaction cost measurement, and portfolio construction.

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.

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