Events/Seminars/Seminar42
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Thalesian Seminar (New York) — Jim Gatheral — Optimal Order Execution
Date and Time
6:30 p.m. on Tuesday, 14th June, 2011.
Venue
Third floor at the Playwright Tavern, Theatre District, NYC.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/18472071/
Abstract
In this talk, we review various models of market impact. We use variational calculus to derive optimal execution strategies, and show that in many conventional models, static strategies are dynamically optimal. We then present a model in which the optimal strategy does depend on the stock price and derive an explicit closed-form solution for this strategy by solving the HJB equation. We conclude by exploring the sensitivity of expected cost in this model to the execution strategy. This is joint work with Alexander Schied.
Speaker
Jim Gatheral is professor of mathematics at Baruch College, CUNY teaching mostly courses in the Masters of Financial Engineering (MFE) program. Prior to joining the faculty of Baruch College, Jim was a Managing Director at Bank of America Merrill Lynch, and also an adjunct professor at the Courant Institute of the Mathematical Sciences, New York, where for many years he co-taught popular classes in the Masters Program of Mathematics in Finance. Prior to 2005 he headed the Equity Quantitative Analytics groups at Merrill Lynch. Over his long career in the financial markets, he has been involved at one time or other in all of the major derivative product areas as bookrunner, risk manager and quantitative analyst. Jim has a BSc in mathematics and natural philosophy from Glasgow University and a PhD in theoretical physics from Cambridge University. His current research focus is on volatility modelling and modelling equity market microstructure for algorithmic trading. His best-selling book, The Volatility Surface: A Practitioner's Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling.
Slides
Thalesians_Gatheral_20110614.pdf
