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IAQF-Thalesians Seminar (New York) — Dr. Hongzhong Zhang — Intraday Market Making with Overnight Inventory Costs

Hongzhong Zhang

Hongzhong Zhang


Agenda

Thursday, December 14, 2016:


Venue

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


Registration


Abstract

The share of market making conducted by high-frequency trading (HFT) firms has been rising steadily. A distinguishing feature of HFTs is that they trade intraday, ending the day flat. To shed light on the economics of HFTs, and in a departure from existing market making theories, we model an HFT that has access to unlimited leverage intraday but must fund any end-of-day inventory at an exogenously determined cost. Even though the inventory costs only occur at the end of the day, they impact intraday price and liquidity dynamics. This gives rise to an intraday endogenous price impact mechanism. As time approaches the end of the trading day, the sensitivity of prices to inventory levels intensifies, making price impact stronger and widening bid-ask spreads. Moreover, imbalance of buy and sell orders may catalyze hikes and drops of prices, even under fixed supply and demand functions. Empirically, we show that these predictions are borne out in the U.S. Treasury market, where bid-ask spreads and price impact tend to rise towards the end of the day. Furthermore, price movements are negatively correlated with changes in inventory levels as measured by the cumulative net trading volume.

(Joint work with Tobias Adrian, Agostino Capponi, and Erik Vogt)


Speaker

Hongzhong Zhang is an assistant professor at Columbia University. His research focuses on the broad area of applied probability with applications in engineering, finance and insurance. In particular, some of his current research interests include asymptotics, drawdowns, optimal stopping, and detection of regime changes.


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Thalesians Xmas Party (London) — Iain Clark — Implied Distributions from FX Risk-Reversals and Predictions for the Effect of the Brexit Vote and the Trump election

Iain Clark

Iain Clark

We would like to invite you to our Thalesians Christmas seminar in London, where Iain Clark will be presenting! This will be followed by our Christmas party at the G&Tea Bar in the Marriott Hotel, Canary Wharf, where we will be serving drinks and canapes. The ticket price includes both the talk and the party (first drinks + canapes).

The canape selection will include some of the following:

Aubergine and haloumi wrap / Brie and parma ham finger brioche / Crudités and hummus shot glasses / Open face smoked salmon bagel / Mini burgers / Lamb samosa / Spring rolls / Prawn potato shells

Date and Time

7:30 p.m. on Monday 12th December 2016

Venue

Ginger Room, followed by drinks & canapes at G&Tea Bar, Marriott Hotel, Canary Wharf, London, UK,

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/235932311/

Abstract

In May 2016 it was noted, in the audience Q&A after a presentation by the speaker, that GBPUSD risk reversals were exhibiting very unusual behaviour - namely, extreme skew in short dated tenors but relatively flat smiles thereafter. This is a most unusual volatility signature and the connection with the upcoming Brexit referendum vote was immediately made. The speaker, as a matter of urgency given the topical nature of the pre-Brexit market, performed an analysis with his co-author on implied distributions for the market expectations for GBPUSD around the referendum date (23 June 2016), with predictions for spot thereafter. The paper was uploaded to SSRN (http://www.ssrn.com/abstract=2794888) on 13 June, in which we identified empirical evidence in the volatility skew for a fall in GBPUSD from 1.4390 to the range 1.10 to 1.30 in the event of a Leave vote - a downward move of 0.14 to 0.34. The analysis, unusually for quant research, received coverage in the FT and the Sunday Telegraph and indeed our predictions were borne out when the referendum result was announced and sterling fell from 1.50 to 1.33 - a downward move of 0.17 - in a matter of hours. Subsequent to this analysis, we applied similar methods to the Mexican peso quoted versus the US dollar (USDMXN) immediately before the 2016 US election and we were able to predict peso devaluation into a range of 20-24 pesos per dollar in the event of a Trump victory, which was borne out by subsequent events. In this talk I will go through our analysis of the information embedded in the volatility skew and the basis for our predictive analysis.

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).


Thalesians Seminar (London) — Vlasios Voudouris — Flexible machine learning for finance

Vlasios Voudouris

Vlasios Voudouris

Date and Time

7:30 p.m. on Wednesday 23rd November 2016

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/235347811/

Abstract

With rapid changes in computing technology and the big data age, the field of data science is constantly challenged. Data scientist’s job is to make sense of the vast amounts of data: to extract important patterns and trends, and understand “what the data says”. The challenges in learning from data have led to a revolution in machine learning techniques. The GAMLSS suite of tools in our attempt to learn from financial data. GAMLSS is now widely used for predictive analytics and risk quantification (e.g., loss given default). Because of the flexibility of GAMLSS models, we can capture the following data characteristics:

  • The heavy-tailed or light-tailed characteristics of the distribution of the data. This means that the probability of rare events (e.g. an outlier value) occurs with higher or lower probability compared with the normal distribution. Furthermore, the probability of occurrence of an outlier value might change as a function of the explanatory values.
  • The skewness of the response variable, which might change as a function of the explanatory variables.
  • The nonlinear or smooth relationship between the target variable and the explanatory/predictor variables.

Based on our book “Flexible Regression and Smoothing: Using GAMLSS in R”, the talk includes a large number of practical examples (e.g., predictions and risk quantification) which reflect the range of problems addressed by GAMLSS models. This also means that the examples provide a practical illustration of the process of using GAMLSS models for machine learning.

Speaker

Vlasios Voudouris is a Data Scientist with expertise in data-driven predictive analytics and risk quantification of financial markets. His primary research focus is on i) semi-parametric machine learning models; ii) innovative model selection processes and iii) robust diagnostics for systematic trading and risk quantification. He is the co-author of the book “Flexible Regression and Smoothing: Using GAMLSS in R” [and the associated software in R and Java]. GAMLSS (Generalized Additive Models for Location Scale and Shape) is about learning from data using semi-parametric supervised machine learning algorithms. Furthermore, Vlasios developed data-driven agent-based models for stress testing scenarios (with an emphasis on commodity markets). His models and tools are used by a range of organisations. By way of two specific examples: 1) the IMF used GAMLSS for stress testing the U.S. financial System; 2) Vlasios and his colleagues demonstrated a suite of GAMLSS models for the Bank of England (BoE). Using GAMLSS, Vlasios developed a systematic trading model for WTI Crude Oil (NYMEX). Vlasios holds a Ph.D. from City, University of London.


IAQF-Thalesians Seminar (New York) — Dr. Michael Imerman — Insights from a Data-Driven Analysis of the Volatility Risk Premium

Michael Imerman

Michael Imerman


Agenda

Thursday, November 17, 2016:


Venue

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


Registration


Abstract

Much of this talk will come from joint work I did with Jianqing Fan at Princeton and Wei Dai now at Dimensional Fund Advisors. We set out to provide a purely data-driven analysis of the volatility risk premium, using tools from high-frequency finance and Big Data analytics. We argue that the volatility risk premium, loosely defined as the difference between realized and implied volatility, can best be understood when viewed as a systematically priced bias. We first use ultra-high-frequency transaction data on SPDRs and a novel approach for estimating integrated volatility on the frequency domain to compute realized volatility. From that we subtract the daily VIX, our measure of implied volatility, to construct a time series of the volatility risk premium. To identify the factors behind the volatility risk premium as a priced bias we decompose it into magnitude and direction. We find compelling evidence that the magnitude of the deviation of the realized volatility from implied volatility represents supply and demand imbalances in the market for hedging tail risk. It is difficult to conclusively accept the hypothesis that the direction or sign of the volatility risk premium reflects expectations about future levels of volatility. However, evidence supports the hypothesis that the sign of the volatility risk premium is indicative of gains or losses on a delta-hedged portfolio consistent with Bakshi and Kapadia (2003).

As someone who has come from a background in financial modeling but has developed a penchant for data science and analytics, I will spend some time at the end of my talk on my thoughts about how data science is being embraced (in some ways, and eschewed in others) by the quantitative finance community.



Speaker

Michael B. Imerman is the Theodore A. Lauer Distinguished Professor of Investments and Assistant Professor in the Perella Department of Finance at Lehigh University. Dr. Imerman’s previous appointments were at Princeton in the ORFE Department and Rutgers Business School from where he received his Ph.D. Before coming to academia, Imerman worked as an analyst at Lehman Brothers supporting the high grade credit and credit derivative trading desks.

At Lehigh, Professor Imerman teaches Derivatives and Risk Management both at the undergraduate and graduate levels. His primary research area is in credit risk modeling with applications to banking, risk management, and financial regulation. Most recently he has been actively involved in integrating data science techniques into the evaluation of risk in the securitized mortgage market.


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Thalesians Seminar (London) — Prof David Hand — The Improbability Principle: Why Coincidences, Miracles, and Rare Events Happen Every Day

David Hand

David Hand

Date and Time

7:30 p.m. on Monday 24th October 2016

Venue

Barbados Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/234691475/

Abstract

Coincidences happen, incredibly unlikely things occur, and the apparently miraculous comes about. The improbability principle says that such extraordinarily improbable events are commonplace. It shows that this is not a contradiction, but that we should expect identical lottery numbers to come up, lightning to strike twice, to meet strangers with our own name, financial crashes to occur, and ESP experiments to produce positive results. All of these and more are straightforward consequences of the five solid mathematical laws constituting the improbability principle.

Speaker

David Hand, a former president of the Royal Statistical Society, is Emeritus Professor of Mathematics at Imperial College, and Chief Scientific Advisor to Winton Capital Management. He has received various awards for his work, including the Guy Medal of the Royal Statistical Society and the George Box Medal. His books include Information Generation: How Data Rule Our World, Statistics: A Very Short Introduction, The Wellbeing of Nations, and, of course, The Improbability Principle.


IAQF-Thalesians Seminar (New York) — Dr. Erik Vogt — Global Variance Term Premia and Intermediary Risk Appetite

Erik Vogt

Erik Vogt


Agenda

Thursday, October 20, 2016:


Venue

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


Registration


Abstract

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure the variance term premium, we estimate a dynamic term-structure model that prices variance swaps across the US, UK, Europe, and Japan. The model decomposes the variance swap curve into term-structures of risk premia and expected quantities of risk. Empirically, we document a strong factor structure in global variance swap rates and find that variance term premia are negatively correlated with the wealth of the financial intermediary sector. Our results support the hypothesis that financial intermediaries are the marginal investor in the variance swap market.


Speaker

Erik Vogt is a financial economist in the Capital Markets Function of the Federal Reserve Bank of New York. His main research interests are in asset pricing, financial econometrics, volatility and liquidity risk, and high-frequency data across a variety of asset classes, including equities, Treasuries, derivatives, and corporate bonds. His research on market liquidity and broker-dealers has received media coverage in Bloomberg, Reuters, and Yahoo Finance, among others, and was also cited in U.S. Senate testimony before the Subcommittee on Securities, Insurance, and Investment, and the Subcommittee on Economic Policy, Committee on Banking, Housing, and Urban Affairs. Erik actively serves as a referee for several peer-reviewed journals, including the Review of Financial Studies, the Journal of Econometrics, the Journal of Empirical Finance, the Journal of Financial Econometrics, and Quantitative Finance. Erik joined the New York Fed in July 2014 and holds a Ph.D. and M.A. in Economics from Duke University and a B.Sc. in Mathematics and Economics from the London School of Economics. Prior to graduate school, he worked as an Associate Economist at the Federal Reserve Bank of Chicago.


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Thalesians Seminar (London) — Nick Baltas — Multi-Asset Carry Strategies

Nick Baltas

Nick Baltas

Date and Time

7:30 p.m. on Wednesday 28th September 2016

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/232946584/

Abstract

Carry strategies have been primarily studied and explored within currency markets, where, contrary to the uncovered interest rate parity, borrowing from a low interest rate country and investing in a high interest rate country has historically delivered positive and statistically significant returns. This presentation extends the notion of carry to different asset classes by looking at the futures markets of commodities, equity indices and government bonds. We explore the profitability of cross-sectional and time-series variants of the carry strategy within each asset class but most importantly we investigate the benefits of constructing a multi-asset carry strategy after properly accounting for the covariance structure of the entire universe.

Speaker

Nick Baltas is an Executive Director within the Global Quantitative Research group at UBS. His research interests include systematic multi-asset strategies, portfolio construction, risk analysis and performance evaluation. Nick joined UBS in February 2013 and since then he additionally maintains visiting academic positions at Imperial College Business School and Queen Mary University of London. His research has been awarded with numerous grants and prizes and quoted by the financial press. Prior to his current role, Nick spent two years as Lecturer in Finance at Imperial College Business School, when he was awarded the Star Teacher of the Year award for both years in recognition of his teaching, and almost a year as risk manager in a London-based equity hedge fund. He holds a DEng in electrical and computer engineering from the National Technical University of Athens, an MSc in communications & signal processing from Imperial College London and a PhD in finance from Imperial College Business School.


IAQF-Thalesians Seminar (New York) — Dr. Arun Verma — Statistical arbitrage using news and social sentiment based quant trading strategies

Arun Verma

Arun Verma


Agenda

Thursday, September 15, 2016:


Venue

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


Registration


Abstract

To explore the value embedded in News & Social Sentiment data, we build three types of equity trading strategies based on sentiment data and show that strategies based on sentiment outperform the corresponding benchmark indexes significantly.


Speaker

Arun Verma joined the Bloomberg Quantitative Research group in 2003. Prior to that, he earned his Ph.D from Cornell University in the computer science & applied mathematics.

At Bloomberg, Dr. Verma's work initially focused on Stochastic Volatility Models for Equity/FX Derivatives and Exotics pricing, e.g. Arbitrage free Volatility interpolation, Variance Swaps and VIX Futures/Options pricing and Cross Currency Volatility Surface construction. More recently, he has enjoyed working at the intersection of such areas as data science, innovative quantitative techniques and interactive visualizations for help reveal embedded signals in financial data, e.g., building quant trading strategies for statistical arbitrage.


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Thalesians Seminar (London) — Scott Cogswell — Initial Margin Model and Regulation for Uncleared Derivatives

Scott Cogswell

Scott Cogswell

Date and Time

7:30 p.m. on Wednesday 20th July 2016

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/232081608/

Abstract

New margin requirements are enforced by Regulators starting on September this year. These requirements will have big impact on the trade decisions faced by large institutions, in particular, regulators expect an increase of Central Clearing while market participants fear of market illiquidity.The talk will describe the new regulation as well as the models used by the Industry to calculate and forecast this bilateral margin as well as the potential implications of the new rules.

Speaker

Scott Cogswell is a Manager at HSBC with more than 10 years of experience in the Industry. Scott has lead HSBC's implementation of the Initial Margin model for uncleared derivatives and is an active member of the industry working group on the topic.


APRM Bootcamp - Advanced Risk and Portfolio Management Bootcamp (NYC - External Event) — Speakers including Attilio Meucci

ARPM Bootcamp

ARPM Bootcamp

Date and Time

15th - 20th Aug, 2016

Venue

New York University

To sign up

Registration is open here. Thalesians members can also obtain a discounted rate, contact saeed@thalesians.com for the discount code!

Abstract

Topics include portfolio construction, factor modeling, liquidity and execution, estimation risk/data mining, risk modeling, optimization, and much more. The program is delivered as theory, live simulations, review sessions and exercises. Plus...

  • Gala dinner and other networking opportunities
  • Renowned guest speakers. Past speakers included Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Jim Gatheral, Alex Lipton, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve, and more
  • Internships
  • Access to the ARPM Lab, with code and theory
  • Certifications: 40 GARP CPD, 40 CFA Institute CE credits, academic credit, ARPM Certificate®
  • 2-day Python and MATLAB conferences

Program | Registration | Video


Thalesians Seminar (London) — Steve Hutt — Recent Advances in Deep Learning and Applications to Market Data

SteveHutt

Steve Hutt

Date and Time

7:30 p.m. on Wednesday 29th June 2016

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/231290861/

Abstract

Deep Learning has experienced explosive growth over the last few years with applications in diverse areas such as biomedicine, language processing and self-driving cars. The goal of this talk is to give an introduction to Deep Learning from the perspective of learning patterns in sequences, with an emphasis on understanding the core principles behind the algorithms. We will review the latest advances in Recurrent Neural Networks and discuss applications of RNNs to learning patterns in market data.

Speaker

Steve Hutt is a consultant in Deep Learning and Financial Risk, currently working for CME Group. He has previously been head quant for credit at UBS and Morgan Stanley, and before that a mathematician doing stuff in an obscure branch of topology.


IAQF-Thalesians Seminar (New York) — Dr. Tobias Adrian — Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds

Tobias Adrian

Tobias Adrian


Agenda

Thursday, June 16, 2015:


Venue

NYU Kimmel Center, Room 905/907, Kimmel Center, 60 Washington Square South, NY 10012, NY


Registration


Abstract

We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits additional variation in the cross section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while they decline for Treasuries. We further demonstrate that these findings are evidence of dynamic asset pricing theories where the time variation of the price of risk is a function of the level of the VIX.


Speaker

Tobias Adrian is a Senior Vice President of the Federal Reserve Bank of New York and the Associate Director of Research and Statistics Group. His research covers asset pricing, financial intermediation, and macroeconomics, with a focus on the aggregate implications of capital market developments. He has contributed to the NY Fed's financial stability policy and to its monetary policy briefings. Tobias Adrian holds a Ph.D. from MIT and a MSc from LSE. He has taught at MIT, Princeton University, and NYU.


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Thalesians Seminar (Zurich) — Felix Zumstein - Python in Quantitative Finance

Felix Zumstein

Felix Zumstein

Date and Time

7:00 p.m. on Thursday, 9 June, 2016

Venue

Room: PLM - 103/105, Plattenstrasse 14, University of Zurich, Zurich, 8092 Zurich

Meetup.com

You can register for this FREE event on Meetup.com: http://www.meetup.com/thalesians/events/231187380

Abstract

This will be a free Zurich event - special thanks to Prof. Markus Leippold and University of Zurich for providing us with the venue and for Swati Mital for organising. The talk will be at 7.00pm Zurich time. Students, academics and professionals are all welcome to attend.

Felix will demonstrate how to use Python and Excel to develop applications related to Quantitative Finance, for example, portfolio optimisation and derivative pricing. Some prior knowledge of scripting languages is assumed.

Selected Bios

Felix Zumstein is CEO of Zoomer Analytics. Zoomer Analytics provides customized solutions for quant finance and other scientific areas. Our speciality is the connection of Microsoft Excel with Python, a powerful yet easy to use programming language that is very well suited for numerical analysis. We also provide professional support for our open-source solution http://xlwings.org


Thalesians Seminar (London) — Paul Bilokon — How to run electronic market making business?

Paul Bilokon

Paul Bilokon

Date and Time

7:30 p.m. on Wednesday 25th May 2016

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/230629291/

Abstract

Examining the electronic trading business from a practitioner’s perspective. This business has undergone many changes in recent years due to the emergence of new hardware and software products, the development of new quantitative and computational techniques, and changes in market structure and regulations. A market maker needs to be agile in order to remain competitive. This synoptic talk briefly considers the various factors that come into a market maker’s business calculus.

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.


IAQF-Thalesians Seminar (New York) — Dr. Luis Seco — Hedge funds: are negative fee’s in the horizon? An option pricing perspective

Luis Seco

Luis Seco


Agenda

Thursday, May 12, 2015:


Venue

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


Registration


Abstract

The growth of the hedge fund sector is creating a difficult environment for start-ups, which is creating a climate that favors innovative fee structures. In this talk we will review some of them, and will propose a cost/benefit analysis using Black-Scholes option pricing which will show that in some situations, the manager will pay the investor.


Speaker

Luis Seco is a Professor of Mathematics at the University of Toronto, where he also directs the Mathematical Finance Program and the RiskLab, a research laboratory that specializes in risk management research. He is the President and CEO of Sigma Analysis & Management, an asset management firm that provides hedge fund investment products that employ managed account structures to obtain unique transparency, analytics and liquidity services. He holds a PhD in Mathematics from Princeton and was a Bateman Instructor at the California Institute of Technology.


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Thalesians/Quant Finance Group Germany (Frankfurt) — Thomas Wiecki — Predicting out-of-sample performance and building multi-strategy portfolios using Random Forests

d-fine

Thomas Wiecki

Date and Time

7:30 p.m. on Wednesday 11th May 2016

Venue

PPI AG Office, Wilhelm-Leuschner-Straße 79, Frankfurt Am Main

Meetup.com

You can register for this FREE event on Meetup.com: http://www.meetup.com/thalesians/events/229753964/

Abstract

FREE event, kindly hosted by PPI

Thanks for Jochen Papenbrock and Adrian Zymolka for organising and for PPI for hosting.

The question of how predictive a backtest is of out-of-sample performance is at the heart of algorithmic trading. Using a unique dataset of 888 algorithmic trading strategies developed and backtested on the Quantopian platform with at least 6 months of out-of-sample performance, we study the prevalence and impact of backtest overfitting. Specifically, we find that commonly reported backtest evaluation metrics like the Sharpe ratio offer little value in predicting out of sample performance (R² < 0.025). However, we show that by training a Random Forest regressor on a variety of features that describe backtest behavior, out-of-sample performance can be predicted at a much higher accuracy (R² = 0.17) on hold-out data compared to using linear, univariate features. We then show that we can construct a multi-strategy portfolio based on predictions by the Random Forest which performed significantly better out-of-sample than other alternatives.

Speaker

Thomas Wiecki is the Data Science Lead at Quantopian focusing Bayesian models to evaluate trading algorithms. Previously, he was a Quantitative Researcher at Quantopian developing an open-source trading simulator as well as optimization methods for trading algorithms. Thomas holds a PhD from Brown University.


Global Derivatives (Budapest - External Event) — Speakers including Carr & Hull — Trading and risk management / Thalesians Workshop

Peter Carr

Peter Carr

Date and Time

9th - 13th May, 2016

Venue

Hotel Intercontinental, Budapest, Hungary

To sign up

You can register for this event and pay online at the Global Derivatives Europe website: http://www.icbi-derivatives.com/FKN2466TH - Members of the Thalesians receive a 15% discount (click on the link to activate)

Abstract

The World's Largest Quant Finance Conference

  • Join 500+ Quants & Traders From Around The World
  • Over 130+ Sessions Covering 5 Full Days Of Content
  • 120+ Expert Speakers
  • Buy-Side Summit: Quantitative Investment & Portfolio Strategies
  • Fintech & Disruptive Innovation Summit

Speakers

Unmissable speakers for 2016!

  • Peter Carr, Global Head of Market Modelling, Morgan Stanley
  • John Hull, Professor Of Derivatives & Risk Management, University of Toronto
  • Zoltan Eisler, Co-Head of Execution, Capital Fund Management
  • Fabrizio Anfuso, Head of Collateralized Exposure Modelling, Credit Suisse

Thalesians Workshop on Electronic/Systematic Trading at Global Derivatives

The Thalesians will be running a workshop at Global Derivatives, which will be led by Saeed Amen and Paul Bilokon, who have a combined experience of two decades in this field. Topics to be discussed include market microstructure and an interactive Python session on systematic trading strategies.

  • Introduction to algorithmic trading and market microstructure models
  • Foundations of linear filtering with applications
  • Foundations of nonlinear filtering with applications
  • How can we define beta in FX and how can we make it smarter?
  • Trading with Big Data: Creating systematic trading strategies in FX and fixed income, using new forms of data, with a focus on central bank communications, alpha capture & news analytics
  • Trading Strategy Focus: How to build a CTA/trend following fund?
  • Python & PyThalesians: Going from systematic trading ideas to backtesting in Python (with tutorial)
  • Author Talk: Trading Thalesians – What the ancient world can teach us about trading today (Palgrave Macmillan)

External: Emerging Quant Managers (Chicago) — Euan Sinclair — Systematic Vol Trading

Euan Sinclair

Euan Sinclair

Date and Time

3:30 p.m. on Friday 6th May 2016

Tickets

For more information on the event and RSVP/tickets visit Spreadhunter

Venue

BOX Options Exchange

Abstract

Euan will be giving a talk on systematic vol trading.


Thalesians Seminar (London) — Jacob Bartram — Can option trading strategies enhance CTA/trend following - an analysis

Jacob Bartram

Jacob Bartram

Date and Time

7:30 p.m. on Wednesday 20th April 2016

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/228722503/

Abstract

In this talk, we investigate whether we can improve the risk adjusted returns of a traditional, directional (CTA style) trend following strategy by employing systematic option trading strategies. We shall be looking at several markets including FX and equities.

Speaker

Jacob Bartram has extensive experience in trading at both banks and hedge funds. His background includes FX option and volatility trading, along with trading system design and development. He has presented at numerous industry conferences, including Global Derivatives and TradeTech FX.


IAQF-Thalesians Seminar (New York) — Dr. Lawrence R. Glosten — Strategic Foundation for the Tail Expectation in Limit Order Book Markets

Lawrence Glosten

Lawrence Glosten


Agenda

Thursday, April 14, 2015:


Venue

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


Registration


Abstract

We analyze the strategic interactions of liquidity suppliers quoting on a limit order book. In an environment with noise traders and informed traders trading on news we show that there is an equilibrium that feature quoters using mixed strategies; each offering the same quantity of shares at random prices (and, of course, random bid prices). These random prices with the associated quantities form the market quotes and the depth of book, or price schedule. There are equilibria with a smaller number of quoters quoting a larger number of shares and equilibria with a larger number of quoters quoting a smaller number of shares. Considering a sequence of equilibria with the number of quoters getting large, we establish that the stochastic equilibrium price schedule converges to the zero profit deterministic competitive price schedule. An offer (or bid) is characterized as the expectation of the future value conditional on the offer being picked off by a larger buy (or sell) order.


Speaker

Lawrence R. Glosten is the S. Sloan Colt Professor of Banking and International Finance at Columbia Business School. He is also co-director (with Merritt Fox and Ed Greene) of the Program in the Law and Economics of Capital Markets at Columbia Law School and Columbia Business School and is an adjunct faculty member at the Law School. He has been at Columbia since 1989, before which he taught at the Kellogg Graduate School of Management at Northwestern University, and has held visiting appointments at the University of Chicago and the University of Minnesota. He has published articles on the microstructure and industrial organization of securities markets; the relationship between venture capitalists and entrepreneurs; evaluating the performance of portfolio managers; asset pricing and more recently exploration of the law and economics of capital market regulation. His work on electronic exchanges in the Journal of Finance won a Smith Breeden Distinguished Paper Prize. He has served as an editor of the Review of Financial Studies, associate editor of the Journal of Finance and serves on several other editorial boards. He has been a consultant for the New York Stock Exchange, Justice Department, and SEC and has served on the NASDAQ Economic Advisory Board. He received his AB from Occidental College (1973) and his Ph.D. in managerial economics from Northwestern University (1980).


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Thalesians Seminar (London) — Robin Hanson — Economics when robots rule the Earth (Book)

Robin Hanson

Robin Hanson

Date and Time

7:30 p.m. on Monday, 21 March, 2016

Venue

Level39, One Canada Square, Canary Wharf, London, E14, UK

Meetup.com

You can register for this event which is free at Meetup.com: http://www.meetup.com/thalesians/events/227552188/

Abstract

FREE event - kindly sponsored by the Level39 - fintech accelerator - http://www.level39.co/

Full title: The Age of Em: Work, Love and Life when Robots Rule the Earth (Amazon pre-order book here)

Robots may one day rule the world, but what is a robot-ruled Earth like?

Many think the first truly smart robots will be brain emulations or ems. Scan a human brain, then run a model with the same connections on a fast computer, and you have a robot brain, but recognizably human.

Train an em to do some job and copy it a million times: an army of workers is at your disposal. When they can be made cheaply, within perhaps a century, ems will displace humans in most jobs. In this new economic era, the world economy may double in size every few weeks.

Some say we can't know the future, especially following such a disruptive new technology, but Professor Robin Hanson sets out to prove them wrong. Applying decades of expertise in physics, computer science, and economics, he uses standard theories to paint a detailed picture of a world dominated by ems.

While human lives don't change greatly in the em era, em lives are as different from ours as our lives are from those of our farmer and forager ancestors. Ems make us question common assumptions of moral progress, because they reject many of the values we hold dear.

Read about em mind speeds, body sizes, job training and career paths, energy use and cooling infrastructure, virtual reality, aging and retirement, death and immortality, security, wealth inequality, religion, teleportation, identity, cities, politics, law, war, status, friendship and love.

This book shows you just how strange your descendants may be, though ems are no stranger than we would appear to our ancestors. To most ems, it seems good to be an em.

Speaker

Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPA's FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling.


MathFinance 2016 (Frankfurt - External Event) — Speakers including Wystup & Dupire — Quant event

MathFinance

Date and Time

21-22st March 2016

Venue

Frankfurt School of Finance & Management

To sign up

You can find out more about this event and register and pay online at the MathFinance website: https://mathfinance.com/conference.html

Abstract

In the past 16 years the MathFinance Conference became to one of the top quant events tailored to the European Finance Community. The conference is intended for practitioners in the areas of trading, quantitative or derivative research, risk and asset management, insurance as well as for academics studying or researching in the field of financial mathematics or finance in general. The Conference talks are given by both industry experts and top academics. A wide range of subjects is covered, from state-of-the-art approaches to key issues faced in industry and academia to IT implementation and pricing software. There will be enough time for questions and discussions after each talk and additional breaks provide you the opportunity to build networks within the quantitative finance community.

Speaker

Many speakers who have also spoken at the Thalesians will be speaking, including Uwe Wystup and Attilio Meucci. Many other well known figures such as Bruno Dupire will also be addressing the conference.


IAQF-Thalesians Seminar (New York) — Dr. Alexander Lipton — Modern Monetary Circuit Theory

Alexander Lipton

Alexander Lipton


Agenda

Tuesday, March 15, 2015:


Venue

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


Registration


Abstract

A modern version of Monetary Circuit Theory with a particular emphasis on stochastic underpinning mechanisms is developed. It is explained how money is created by the banking system as a whole and by individual banks. The role of central banks as system stabilizers and liquidity providers is elucidated. Both the Chicago Plan and the Free Banking Proposal are discussed. It is shown how in the process of money creation, banks become naturally interconnected. A novel Extended Structural Default Model describing the stability of the Interconnected Banking Network is proposed. The purpose of bank capital and liquidity is explained. A multi-period constrained optimization problem for a bank’s balance sheet is formulated and solved in a simple case. Both theoretical and practical aspects are covered.

Speaker

Alexander Lipton is a Managing Director, Quantitative Solutions Executive at Bank of America, Visiting Professor of Quantitative Finance at University of Oxford and Advisory Board member at the Oxford-Man Institute.

Prior to his current role, he was a Managing Director, Co-head of the Global Quantitative Group at Bank of America Merrill Lynch and a Visiting Professor of Mathematics at Imperial College London. Earlier, he was a Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago; he has also worked for Credit Suisse, Deutsche Bank and Bankers Trust. Before switching to finance, Alex was a Full Professor of Mathematics at the University of Illinois and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees in pure mathematics from Moscow State University.

Lipton’s interests encompass all aspects of financial engineering, including large-scale bank balance sheet modeling and optimization, enterprise-wide holistic risk management and stress testing, CCPs, electronic trading, trading strategies, payment systems, theory of monetary circuit, as well as hydrodynamics, magnetohydrodynamics, and astrophysics. Lipton authored two books, and edited five books, including, most recently, Risk Quant of the Year Award, Risk Books, London, 2014, and The Oxford Handbook of Credit Derivatives, Oxford University Press, Oxford, 2011 (with Andrew Rennie). He published more than a hundred scientific papers on a variety of topics in applied mathematics and financial engineering.


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Thalesians Seminar (London) — Prof Jessica James — FX Option Trading (Book)

Jessica James

Jessica James

Date and Time

7:30 p.m. on Monday, 29 February, 2016

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/227621237/

Abstract

Full title: FX Option Performance - An Analysis of the Value Delivered by FX Options Since the Start of the Market (The Wiley Finance Series) (Amazon book order here)

Get the little known yet crucial facts about FX options

Daily turnover in FX options is an estimated U.S. $ 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance.

This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies.

  • Examine the historical payoffs to the most popular and liquidly traded options
  • Learn which options are overvalued and which are undervalued
  • Discover surprising, generally unpublished facts about emerging markets
  • Examine systemic option trading strategies to find what works and what doesn′t

On average, do options result in profit, loss, or breaking even? How can corporations more cost–effectively hedge their exposure to emerging markets? Are cheap out–of–the–money options worth it?

Speaker

Professor Jessica James is Senior Quantitative Researcher at Commerzbank in London. She joined Commerzbank from Citigroup where she held a number of FX roles, latterly as Global Head of the Quantitative Investor Solutions Group.

Prior to this she was the Head of Risk Advisory and Currency Overlay for Bank One. Before her career in finance, James lectured in physics at Trinity College, Oxford.

Her significant publications include the ‘Handbook of Foreign Exchange’ (Wiley), 'Interest Rate Modelling' (Wiley), and 'Currency Management' (Risk books). Her new book ‘FX Option Performance’ was published in May 2015.

She has been closely associated with the development of currency as an asset class, being one of the first to create overlay and currency alpha products.

Jessica is a Managing Editor for the Journal of Quantitative Finance, and is a Visiting Professor both at UCL and at Cass Business School.

Apart from her financial appointments, she is a Fellow of the Institute of Physics and has been a member of their governing body and of their Industry and Business Board.


IAQF-Thalesians Seminar (New York) — Dr. Harry Mamaysky — Does Unusual News Forecast Market Stress?

Harry Mamaysky

Harry Mamaysky


Agenda

Tuesday, February 16, 2016:


Venue

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


Registration


Abstract

We find that an increase in the "unusualness" of news with negative sentiment predicts an increase in stock market volatility. Our analysis is based on over 360,000 articles on 50 large financial companies, mostly banks and insurers, published in 1996--2014. We find that the interaction between measures of unusualness and sentiment forecasts volatility at both the company-specific and aggregate level. These effects persist for several months. The pattern of response of volatility in our aggregate analysis is consistent with a model of rational inattention among investors.

(Joint work with Paul Glasserman)

Speaker

Harry Mamaysky is the head of research and a founding partner at Osprey Bay Capital Management LLC. He is a visiting research scholar and adjunct professor at Columbia Business School. He was formerly head of the Systemic Risk Group at Citigroup, and a member of the firm's Risk Executive Committee. Previous to that, he was senior portfolio manager in Citi Principal Strategies, where he co-managed the relative value credit book. Before joining Citigroup, he held positions with Old Lane, Morgan Stanley, and Citicorp. He was also an assistant professor of finance at the Yale School of Management during the period 2000–02.


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Thalesians/Quantopian Seminar (London) — Saeed Amen/Delaney Granizo-Mackenzie — CTA/Pairs trading

Saeed Amen

Saeed Amen

This is a joint Thalesians/Quantopian event - Location Thomson Reuters and will be free as it has been kindly sponsored by Quantopian. Food and drinks will be available.

Date and Time

6:00 p.m. on Monday, 8 February, 2016

Venue

Thomson Reuters, Canary Wharf

Meetup.com

You can register for this free event on Meetup.com: http://www.meetup.com/thalesians/events/227338613/

Abstract

How to build a CTA - Creating a trend following fund (Saeed Amen) - In this talk we explain how to create trend following strategies which CTA-style funds typically follow. We shall also give a step by step demo of implementing an FX trend following strategy in PyThalesians - open source Python library for analysing markets - https://github.com/thalesians/pythalesians

Pair trading strategies (Delaney Granizo-Mackenzie)' - Pairs trading is a form of mean reversion that has a distinct advantage in always being hedged against market movements. It is generally a high alpha strategy when backed up by some rigorous statistics.

Delaney Granizo-Mackenzie will review some general principles for pairs trading, and then dive into the statistics behind the strategy during this talk.

• What is cointegration? • How to test for cointegration? • What is pairs trading? • How to find cointegrated pairs? • How to generate a tradeable signal?

This talk is part of The Quantopian Lecture Series. All lecture materials can be found at: www.quantopian.com/lectures.

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).

Delaney Granizo-Mackenzie is an engineer at Quantopian who focuses on how Quantopian can be used as a teaching tool.

After studying computer science at Princeton, Delaney joined Quantopian in 2014. Since then he has led successful course integrations at MIT Sloan and Stanford, and is working with over 20 courses for this fall. Delaney is using his experience and feedback from professors to build a quantitative finance curriculum focusing on best statistical practices to be offered for free. Delaney’s background includes 7 years of academic research at a bioinformatics lab, and a strong focus on statistics and machine learning.


Thalesians Séance (Budapest) — Robin Hanson & Panel — Economics when robots rule the Earth

Robin Hanson

Robin Hanson

A very special thanks to Attila Agod for organising this talk! Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events!

Date and Time

7:00 p.m. on Fri 29th January, 2016

7:00 p.m. - Welcome drinks, 8:00 p.m. - Robin Hanson presentation 9:00 p.m. - Discussion panel 12.00 a.m. - Next pub

Venue

Palack Borbár, Szent Gellért sqr 3, Budapest

Meetup.com

You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/227968575/

Abstract

At the 8th Thalesians Séance, Robin Hanson will present us a thought experiment about the life and economics of our society after the singularity. Robin is the author of the Age of Em - Work, Love and Life when Robots Rule the Earth (http://ageofem.com/).

Members of the panel: - Attila Agod - Mark Horvath (Causality) - Saeed Amen (The Thalesians)

Speaker

Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPA's FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling.

Video


Thalesians Seminar (London) — Nick Firoozye — Managing Uncertainty, Mitigating Risk (Book)

Nick Firooyze

Nick Firoozye

Date and Time

7:30 p.m. on Wednesday, 20 January, 2016

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/227338313/

Abstract

Financial risk management started in a period when academic finance was wedded to probability. Risk and its transferability was the focus and uncertainty was sidelined. After the recent financial crisis, uncertainty and its consequences have become a major concern for many prominent academics, yet practitioners are constrained by probability-based tools and regulatory mandates. Managing Uncertainty, Mitigating Risk offers a liberated perspective on uncertainty in banking and finance. The book stresses that uncertainty must be confronted by using a broader range of inputs, employing methods outside conventional probability. More often than not, systemic risks are not completely unforeseeable and a range of likely risk scenarios can be fleshed out, quantified and largely mitigated. We can accomplish this only if we widen our knowledgebase to include qualitative data and judgment. Probability and historical data alone cannot sufficiently model game-changing and catastrophic one-off situations such as Eurozone exit and breakup, US debt ceiling, and Brexit.

This book presents a robust foundation and a novel and practical method for incorporating uncertainty into existing risk frameworks. It takes the reader beyond the realms of probability in modern finance, into imprecise probability – the mathematics of uncertainty. We introduce uncertain value-at-risk (UVaR), a measure which takes the VaR engine and enhances it using credal nets, an imprecise extension of Bayesian nets. Unlike the unjustified precision of probability-based models, UVaR helps to assesses uncertainty by incorporating expert insight through priors, with more extensive datasets. By combining a solid quantitative method with an implementation framework and cases, this book allows the reader to not only understand the solution for managing uncertain one-offs, but also to see the end-product. This is a starting point for risk practitioners to go beyond regulatory-initiated tools in order to employ their own approaches towards recognizing and managing uncertainty.

Speaker

Nick Firoozye is a Managing Director at Nomura International and heads a global team in cross-product derivatives research. He has many years of experience in a variety of research and trading roles in both buy-side and sell-side firms including Goldman Sachs, Deutsche Bank, Citadel, Sanford Bernstein and Lehman Brothers. Known for his work in Quantitative Strategy, Nick's area of expertise ranges from asset allocation models and macro-financial forecasting to systematic and RV trading. Previously, he was Head of European Rates Strategy, and covered the Eurozone crisis, rescue packages and possible break-up, working closely with the risk management and legal teams. Dr Firoozye was an Assistant Professor at the University of Illinois, and holds a PhD in Applied Mathematics from Courant Institute, New York University. He speaks and writes frequently on financial markets and economics issues. His team was recently awarded Global Capital's Derivatives Research House of 2015, and he was co-author of one of five papers shortlisted for the 2012 Wolfson Economics Prize on the breakup of the Eurozone.


IAQF-Thalesians Seminar (New York) — Dr. Nick Costanzino — Pricing and Hedging Recovery Risk with Structural and Reduced Form Models

Nick Costanzino

NickCostanzino


Agenda

Tuesday, January 12, 2016:

Venue

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


Registration


Abstract

The fixed-income literature attempts to explain credit spreads though a decomposition into different risk premia. The most commonly analyzed risk premia are default and liquidity risk. Recovery risk has not received much attention most likely because of the pervasive practice of assuming constant recovery in most credit models. However, assuming a constant recovery has two major effects. The first is we have inconsistent pricing (if recovery is a known constant, what is the price of a recovery swap) and the second is over- or underpricing the default risk portion of the credit spread . In this talk I will present recent work on isolating the recovery risk premium in corporate bond and CDS spreads using both structural and hazard rate models. This allows us to isolate the recovery risk premium from the default risk premium, as well as provide a consistent pricing framework for all recovery linked products including bonds, CDS and recovery swaps. Finally, we discuss some trading opportunities that can be exploited using framework.


Speaker

Nick Costanzino received his PhD in Applied Mathematics in 2006 from Brown University in Providence R.I. His thesis combined tools from pseudodifferential operators and dynamical systems to prove multidimensional stability of certain nonlinear wave structures in fluids. He later moved to the Penn State University Math Department as a Chowla Assistant Professor where he was introduced to quantitative finance and helped developed their Mathematical Finance program. After a brief tenure at Wilfrid Laurier University in Canada he then moved to the finance industry working in various credit roles including risk manager for the CDS and corporate bond trading desk at Scotiabank. He is interested in all areas of quantitative finance, but particularly those which lead to improvements in understanding the credit and equity markets. 

Nick is currently in the Investment Analytics group at AIG in New York and is a member of RiskLab at the University of Toronto.


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.

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