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From The Thalesians
STOP PRESS: Announcing the Thalesian Masterclasses
We have already wished you very happy holidays and a very Happy New Year 2010. (May it, first and foremost, be healthy and happy, then productive, so we can continue to make exciting discoveries in the field of quantitative and computational finance!)
We thought we wouldn't send you another email this year. But then we must: what we are about to announce is extremely exciting and every Thalesian should be informed.
You may already be familiar with the highly successful Thalesian seminar series and may have attended one of our workshops. These events serve to bring members of the quantitative and computational finance community together to exchange ideas, learn from each other, and perhaps even create something new.
We are delighted to announce the Thalesian masterclasses. These events are fundamentally different from both the workshops and seminars. Their purpose is to bring together a small class of students — typically experienced practitioners or postgraduates, but we shall also offer introductory courses — and a world-class expert in a particular field. Hence the name: master-classes.
These classes will consist of (very intensive!) lectures and tutorials. The students are expected to work very hard. This is a small price to pay for an unparalleled learning experience and an opportunity to ask a master of the subject your most challenging questions.
As always we are committed to making quantitative finance affordable for all. You excel through your intellectual curiosity, your ability, and hard work; not by paying a lot of money! This commitment is reflected in the surprisingly low prices.
Because we aim to keep our classes reasonably small, places will be strictly limited. Please reserve your place early to avoid disappointment. You can register online. If you have any questions, please send them to info, which is at thalesians dot com.
Our first masterclass has already been scheduled. Its purpose it to teach stochastic calculus. Properly. This is why we invited a true expert to teach it. Dr. Dan Crisan has taught stochastic calculus at Cambridge University and Imperial College. We are delighted to tell you that now he is also teaching the Thalesians.
We look forward to seeing you at one of our masterclasses!
STOP PRESS: Our Official Blog
For the latest news, please visit the official blog of the Thalesians: http://blogs.thalesians.com/thalesians/
The Thalesians
The Thalesians are a think tank of dedicated professionals with an interest in quantitative finance, economics, mathematics, physics, computer science, and synergetics, not necessarily in that order.
The group was founded in September, 2008, by Paul Bilokon (then a quantitative analyst at Lehman Brothers specialising in foreign exchange, and a part-time researcher at Imperial College), and two of his friends and colleagues: Matthew Dixon (then a quantitative analyst at Deutsche Bank) and Saeed Amen (then a quantitative strategist at Lehman Brothers). They were joined by the first Thalesians: John Aston, Thomas Barker, Jeremy Cohen, Paul Davis, Nikolai Iordanov, Jayshan Raghunandan, Rene Reinbacher, and Steve Zymler.
Among the first presenters in the Thalesian seminar series — a social convergence point for the group — were Prof. Claudio Albanese and Prof. Berc Rustem. Dominic Connor continues to help our group and is a regular guest at our seminars. In our turn, we often appear on his Quant Finance group on LinkedIn.
We are also affiliated with the Open Finance Club (London) run by Thomas Barker.
The Thalesians were originally based in London, UK. In April, 2009, the organisation became truly global when Matthew Dixon brought it to the United States where he continues to lead the American branch of the Thalesians.
Our Philosophy
We are named after Thales of Miletus (Θαλῆς ὁ Μιλήσιος), a pre-Socratic Greek philosopher who lived in ca. 625 BC-ca. 546 BC. Thales was a mathematician and is familiar to many secondary school students for one of his theorems in geometry.
But more relevantly to us, he was one of the first users of options:
"Thales, so the story goes, because of his poverty was taunted with the uselessness of philosophy; but from his knowledge of astronomy he had observed while it was still winter that there was going to be a large crop of olives, so he raised a small sum of money and paid round deposits for the whole of the olive-presses in Miletus and Chios, which he hired at a low rent as nobody was running him up; and when the season arrived, there was a sudden demand for a number of presses at the same time, and by letting them out on what terms he liked he realised a large sum of money, so proving that it is easy for philosophers to be rich if they choose, but this is not what they care about." — Aristotle, Politics, 1259a.
The morale of this anecdote is that it is easy for philosophers to be rich if they choose; the famous Milesian went ahead and proved it.
We, the Thalesians, admire him for that. But we also share many of his values, for example his core belief that a happy man is defined as one "ὁ τὸ μὲν σῶμα ὑγιής, τὴν δὲ ψυχὴν εὔπορος, τὴν δὲ φύσιν εὐπαίδευτος" (who is healthy in body, resourceful in soul and of a readily teachable nature).
This wiki was created to serve as a source of information on quantitative finance, to collate references to various related resources, and to serve as a convergence point for the Thalesians, our colleagues and collaborators. It grew out of Paul Bilokon's finance wiki, which he started in February, 2007.
We believe that secrecy and fidelity are important in the world of finance. But we also acknowledge the power of information sharing in open societies. Let your business logic remain a closely guarded secret. But release everything else into the public domain. What goes around, comes around; this will ultimately spare you reinventing the wheel.
Announcements
- 2009-12-30: We are delighted to announce the Thalesian Masterclasses.
- 2009-12-01: We are now officially the world's largest Math Meetup with over 300 members.
- 2009-08-20: 18:03, London time: the Thalesians have overtaken the New York R Statistical Programming Meetup becoming the third largest Math Meetup in the world with 197 members (versus 196). We need at least 248 members to become the second largest and overtake Reading Physics in LA.
- 2009-08-06: Register now for Aly Kassam's (MathWorks Ltd) eagerly awaited talk on Implementing High Frequency Trading Algorithms Ten Times Faster. See Seminars for further details.
- 2009-07-12: There are currently 128 Thalesians and 160 R Hackers. We need 32 more members to become the third largest math meetup in the world: http://math.meetup.com/
- 2009-07-08: On behalf of all Thalesians we would like to thank Rene Reinbacher for an excellent talk on Markovian projection and Heston model.
- 2009-07-08: We are now the fourth largest math meetup in the world: http://math.meetup.com/ — please invite your quant friends and colleagues to join us so we can beat New York R Statistical Programming Meetup and become the third largest! :-)
- 2009-06-18: Out thanks go to Adrian Zymolka for a great talk on optimisation and constraint attribution.
- 2009-05-26: We would like to thank David Bellot for an excellent seminar and those of you who attended. The video and slides will soon be published on the Seminars page. We look forward to a talk by Patrick Burns!
- 2009-05-12: We apologise for the current state of the Guestbook. Unfortunately, spammers have made it unusable. We are currently considering alternative solutions.
- 2009-04-29: We would like to thank all of you who attended the excellent talk by Gernot and Thomas. Look forward to seeing you at our next seminar — by David Bellot!
- 2009-04-27: The talk by Gernot Ziegler and Thomas Bradley (NVIDIA) is due to take place tomorrow. Learn more about pricing exotic derivatives efficiently on GPUs. You can still register. Please see Seminars for details.
- 2009-04-24: We have three exciting new talks scheduled over the next few weeks by Gernot Ziegler and Thomas Bradley, David Bellot, and Patrick Burns. Please see our Seminars page for details!
- 2009-04-16: We are now on Meetup.com: http://www.meetup.com/thalesians/ and you can use PayPal to pay for your attendance of the seminars and workshops.
- 2009-03-31: The streaming videos of the Thalesian seminars are now online, thanks to the mastery of Saeed Amen!
- 2009-01-01: We are currently working on an open encyclopaedia of mathematical and computational finance and electronic trading. We are also working on an open source suite of libraries for quantitative trading. If you are an experienced quant, developer or trader, and would like to contribute to these projects, please contact paul, who is at thalesians.com.
Puzzles
Masses and Buckets
You have masses,
which you want to distribute across
buckets "as uniformly as possible". By this I mean that you are trying to minimise
, where
is the sum of the masses in the
-th bucket. How would you achieve this?
To make this a little bit more concrete, suppose that I give you 20 masses, e.g. 23, 43, 12, 54, 7, 3, 5, 10, 54, 55, 26, 9, 9, 43, 54, 1, 8, 6, 38, 33. There are 4 buckets. How would you distribute the masses?
Please send your answers to paul, who happens to be at thalesians.com.
[ Solution ]
Forthcoming Events
The following is only a brief snapshot of the recent and forthcoming seminars. For more information, videos, and slides, please see our dedicated Seminars page.
Thalesian Seminar — Saeed Amen — Examining the intraday impact of rates decisions on G10 FX
Date and Time
7:30 p.m. on Wednesday, 10th February, 2010.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/12408352/
Abstract
We look at the impact of rates decisions on major G10 FX crosses. We shall look at how surprises in rates decisions by major central banks impact both the direction and volatility of spot on an intraday basis. We shall also examine the impact of Fed rates decisions on non-USD crosses which is less well understood within the market.
Speaker
Saeed Amen started his career at Lehman Brothers. He worked on the FX desk developing systematic trading models for both G10 and EM and was part of the team who developed the MarQCuS suite of models. He was also responsible for a systematic prop trading book and conducted research around high frequency FX. He currently works at Nomura as a quantitative strategist also in FX developing their model infrastructure and recently published a major piece on trading technicals in FX. He graduated from Imperial College with a first class master's degree in Mathematics and Computer Science.
Video
To be published here.
Slides
To be published here.
Resources
To be published here.
Thalesian Seminar — Dr. Iain J. Clark — Local and Stochastic volatility: Between 
and the Deep Blue Sea
Date and Time
7:30 p.m. on Wednesday, 10th March, 2010.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/12546276/
Abstract
The Black-Scholes model, due to the assumption of constant volatility, fails to described observed smiles and skews in the market. Two common methods to incorporate smiles and skews into asset price models are state dependent volatility (also known as local volatility) and stochastic volatility (jump-diffusions and Levy processes are also used, but perhaps not quite so ubiquitously in the market).
In this talk, I will give an introduction to the mathematics behind local and stochastic volatility models. The construction of local volatility, first noted by Dupire (1993), relies upon an earlier result from Gyongy (1996) where it was asked: "is it possible to construct a diffusion which matches the marginal distributions at all known time points in the future?". If we know the implied volatilities and thereby the prices of all traded options at a time t, we know the marginal distribution from the Breeden-Litzenberg (1978) result, and can work with that.
Stochastic volatility, e.g. Heston (1993) et al., models a second untradeable factor which feeds into the diffusion for the tradeable asset. While requiring two factors, this is easily numerically tractable. Furthermore, there are numerical techniques which enable European options to be priced using characteristic functions and Fourier integration, which are useful for fast calibration to Europeans. Path dependent options can be priced using 2D Monte Carlo or PDE techiques, where the diffusion of the traded asset depends on the level of the untradeable factor.
For local and stochastic volatility models, the rate of diffusion of the traded asset depends on (a) the level of the traded asset price, and (b) the level of the untradeable factor, respectively. Mixed local-stochastic volatility models such as in Jex, Henderson and Wang (1999) and Ren Madan and Qian (2007) allow the diffusion of the tradeable asset to depend on both factors. A full discussion of mixed local-stochastic volatility models is beyond the scope of this talk but a brief introduction is given, with particular reference to the mathematics described in this talk.
Speaker
Iain has over 11 years experience as a front office quant and has recently taken up the role of head of FX and commodities quantitative analysis in the London office of Standard Bank, a South African bank. He has previously worked at Dresdner Kleinwort, Lehman Brothers, BNP Paribas and JP Morgan.
The material in this talk is taken from Chapters 5 and 6 of his forthcoming book, "FX Option Pricing: A Practitioner's Guide," currently in preparation for Wiley Finance. He has a PhD in applied mathematics from Queensland University and a MSc in financial mathematics from Edinburgh and Heriot-Watt Universities. He still writes his own code.
Video
To be published here.
Slides
To be published here.
Resources
- Dr. Iain J. Clark's home page: http://www.iainjclark.co.uk/
Thalesian Masterclass — Dr. Dan Crisan — Introduction to Stochastic Calculus
Format
A lecture and a tutorial, six hours over two days.
Schedule
Although we strongly recommend you to register for both days, you can register for them individually. The two days are complementary: the first is a Lecture, covering the theory, the second is a Tutorial, allowing you to practice and ask questions. If you intend to attend both, you should register for both individually on Meetup.com.
Day 1: Lecture
Date and Time
6:00 p.m. — 9:00 p.m. on Monday, 15th March, 2010.
Venue
MWB Canary Wharf, Level 33, 25 Canada Square, E14 5LQ, London, UK.
Cost
£199 only, all-inclusive
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/12174631/
Day 2: Tutorial
Date and Time
6:00 p.m. — 9:00 p.m. on Tuesday, 16th March, 2010.
Venue
MWB Canary Wharf, Level 33, 25 Canada Square, E14 5LQ, London, UK.
Cost
£99 only, all-inclusive
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/12174649/
Abstract
As Baxter and Rennie put in in their celebrated book (see [1]), the rewards and dangers of speculating in the modern financial markets have come to the fore in recent times with the collapse of banks and bankruptcies of public corporations as a direct result of ill-judged investment. At the same time, individuals are paid huge sums to use their mathematical skills to make well-judged investment decisions. This statement was true in the early nineties and it is even more so at the end of the noughties. It is the aim of this course to provide a rigorous and accessible account of the advanced mathematics required for making such decisions. More precisely, the course will cover the fundamentals of stochastic calculus with financial applications in mind. The focal point of the course is the introduction of the Itō integral with Brownian motion as an integrator and its many consequences, including the martingale representation theorem and the fundamental theorem of Cameron, Martin and Girsanov and its applications to finance.
Lecturer
Dan Crisan is a Reader in Mathematics at Imperial College London. His expertise lies in the area of Stochastic Analysis with applications in Engineering and Finance. His current research is on developing high-order numerical algorithms for solving stochastic differential equations, approximating schemes for backward SDEs and particle methods for nonlinear filtering. His book, Fundamentals of Stochastic Filtering appeared at Springer Verlag at the begining of the year and he is currently involved in editing an advanced handbook on Nonlinear Filtering to be published by the Oxford University Press. Dr. Crisan is a member of the editorial board of the Journal of Mathematics and Computation. He is also actively involved in teaching. Among numerous other courses, he has taught stochastic filtering, numerical stochastics, and measure-valued processes at Imperial College; applied probability, and stochastic calculus and applications at Cambridge University.
Prerequisites
We will assume that the audience is familiar with basic probability theory, measure theory and calculus.
Syllabus
We aim to cover the following:
- Continuous processes
- General properties
- Martingales in continuous time
- Doob-Meyer decomposition
- Brownian motion
- Definition and construction from discrete time processes.
- Properties of the Brownian paths.
- Brownian motion as a model for stock price evolution.
- Stochastic calculus
- Construction of the Itō integral
- Change of Variable formula (Itō’s rule)
- Integration by parts formula
- The martingale representation theorem
- Stochastic differential equations (SDEs)
- Formulation
- Existence and uniqueness results
- Elementary properties of solutions
- Examples
Bibliography
- Baxter, Martin; Rennie, Andrew. Financial Calculus : An Introduction to Derivative Pricing. Cambridge University Press, Cambridge, 1996.
- Lamberton, Damien; Lapeyre, Bernard. Introduction to stochastic calculus applied to finance. Second edition. CRC Financial Mathematics Series. Chapman and Hall, 2008.
- Karatzas, Ioannis; Shreve, Steven E. Brownian motion and stochastic calculus. Second edition. Graduate Texts in Mathematics, 113. Springer-Verlag, New York, 1991.
- Øksendal, Bernt. Stochastic differential equations. An introduction with applications. Sixth edition. Universitext. Springer-Verlag, Berlin, 2003. xxiv+360 pp.
- Williams, David. Probability with martingales. Cambridge Mathematical Textbooks. Cambridge University Press, Cambridge, 1991.
- Kloeden Peter, Platen Ekhart, Numerical solution of stochastic differential equations. Springer-Verlag, Berlin, 1999.
Resources
- Dr. Dan Crisan's home page: http://www.ma.ic.ac.uk/~dcrisan/
- Dr. Dan Crisan in Imperial College Directory: http://www3.imperial.ac.uk/people/d.crisan
- Venue details: http://meetingvenues.mwbex.com/meeting-room/CanaryWharf.html
Thalesian Seminar — Dr. David Barrie Thomas — FPGAs for Financial Computing?
Date and Time
7:30 p.m. on Wednesday, 24th March, 2010.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: To be announced
Abstract
Many developers of financial software have now used (or at least heard of) GPUs, but fewer have heard of FPGAs, let alone tried to use one. Despite having been on the scene for longer, FPGAs have been replaced by GPUs as the acceleration technology of choice, mainly due to ease-of-use provided by CUDA and a coherent marketing plan. However, FPGAs are still a competitive technology, providing similar acceleration levels to GPUs, with only a tenth the power and cooling requirements.
This talk will outline recent research directions in FPGAs for financial computing, and give some insight into the things that FPGAs are really good at, as well as identifying situations where they are probably not the best choice and GPUs or CPUs are more appropriate.
Speaker
David Thomas is a post-doctoral research associate in the Department of Computing in Imperial College, working mainly with FPGAs, as part of the Custom Computing group.
His two main research interests are random number generators for FPGAs, and also financial computing using FPGAs.
He has published some 25 articles on computational aspects of Monte Carlo simulations for finance applications, random number generators and applications of reconfigurable computing.
Video
To be published here.
Slides
To be published here.
Resources
- Dr. David Thomas's academic home page: http://www.doc.ic.ac.uk/~dt10/
Thalesian Seminar — Dr. Lynda White — Collaborative Games with 
Players
Date and Time
7:30 p.m. on Wednesday, 5th May, 2010.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/12331078/
Abstract
After a short introduction to two-person zero-sum (i.e. strictly competitive) games I will talk about some two-person non zero-sum games. These are broadly of two types: those where the players select their strategies independently (as happens in Prisoners' Dilemema) and those where they collaborate for mutual benefit. When we increase the number of players in a collaborative game there is the possibility of coalitions forming and I will discuss various solution concepts for such games together with some examples.
Speaker
Lynda White is a Senior Lecturer and the Senior Tutor in the Department of Mathematics at Imperial College London. Her research interests are in statistics, experimental design, and randomisation. She has designed numerous experiments for the industry and the academe. Dr. White also designs and analyses the College's TOAST surveys of academic staff time. In November 2003 she appeared in the BBC Horizon programme on "The Bible Code" which presented an experiment to examine a claim that the book of Genesis contains hidden messages for mankind. In 2006 Dr. White was named Lecturer of the Year in the 2006 Science, Engineering and Technology Awards. Supported by the industry, the awards recognise educational excellence and exceptional achievement by lecturers and students.
Video
To be published here.
Slides
To be published here.
Resources
- Dr. Lynda White's Imperial College staff home page: http://www3.imperial.ac.uk/people/l.white
- Dr. Lynda White's academic home page: http://www2.imperial.ac.uk/~lvw/
Recent Events
Thalesian Seminar — Numerical Algorithms Group — Monte Carlo Simulation and its Efficient Implementation
Date and Time
7:30 p.m. on Tuesday, 15th December, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/11994542/
Abstract
Monte Carlo simulation is one of the most important numerical methods in financial derivative pricing and risk management. Due to the increasing sophistication of exotic derivative models, Monte Carlo becomes the method of choice for numerical implementations because of its flexibility in high-dimensional problems. However, the method of discretization of the underlying stochastic differential equation (SDE) has a significant effect on convergence. In addition the choice of computing platform and the exploitation of parallelism offer further efficiency gains. We consider here the effect of higher order discretization methods together with the possibilities opened up by the advent of programmable graphics processing units (GPUs) on the overall performance of Monte Carlo and quasi-Monte Carlo methods.
Speaker
Robert Tong received a PhD from the University of Bristol (UK) in the area of applied mathematics and scientific computing, following a first degree in mathematics. His research project was prompted by the need to improve the modeling and design of coastal structures after a major failure.
He followed this with the post of Research Fellow in Applied Mathematics at the University of Birmingham, where his focus was on the role of numerical software and mathematical modeling in the context of the failure of structures due to extreme events.
His interest in numerical software led naturally to his joining NAG to work on the development of their libraries. While there he has worked on data approximation methods, including wavelets and radial basis functions, in addition to applications in finance.
Kai Zhang is pursuing a PhD in mathematical finance with Dr. Nick Webber from Warwick Business School. His research focuses on novel derivative pricing methods and efficient model implementations.
He joined NAG as an intern at the end the second year of his study. His duties are supplying Monte Carlo simulation components, developing example financial applications, writing technical reports for clients and collaborating with leading researchers and practitioners to incorporate new methods in the library.
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
Resources
- NAG's home page: http://www.nag.co.uk/
- Robert Tong's biography on NAG's website: http://www.nag.co.uk/about/rtong.asp
Thalesian Seminar — Prof. Svetlozar (Zari) T. Rachev — Market Crashes and Modeling Volatile Markets
Date and Time
7:30 p.m. on Wednesday, 2nd December, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/11622834/
Abstract
We discuss:
- econometric models for volatile markets in large dimension, exhibiting volatility clustering and heavy-tails — ARMA-GARCH models with stable and tempered stable innovations;
- copula dependencies and factor models;
- forecasting market downturns;
- tail risk and performance measures;
- large scale portfolio optimization.
This is a joint work with my co-authors Aaron Kim, Stoyan Stoyanov, Boryana Racheva-Iotova, Michele-Leonardo Bianchi and Frank Fabozzi.
Speaker
Zari Rachev is a co-founder and President of BRAVO Risk Management Group — originator of the Cognity methodology, which was acquired by FinAnalytica where he serves as Chief Scientist. Rachev holds Chair-Professorship in Statistics, Econometrics and Mathematical Finance at University of Karlsruhe, and is the author of 12 books and over 300 published articles on finance, econometrics, statistics and actuarial science. At University of California at Santa Barbara, he founded the Ph.D.program in mathematical and empirical finance. Rachev holds PhD (1979) and Doctor of Science (1986) degrees from Moscow University and Russian Academy of Sciences. Rachev's scientific work lies at the core of Cognity's newer and more accurate methodologies in risk management and portfolio analysis.
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
Thalesians_Rachev_20091202.ppt
Resources
- Prof. Zari Rachev's academic home page (University of California at Santa Barbara): http://www.pstat.ucsb.edu/faculty/rachev/
Thalesian Seminar — Dr. Peter P. Carr — Local Variance Gamma
Date and Time
7:30 p.m. on Monday, 30th November, 2009.
Venue
Upstairs at City Pride, Canary Wharf, London, UK.
Meetup.com
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/11893766/
Abstract
Suppose that one can observe European option prices at discrete strikes and at one or more maturities. Here we assume that the risk-neutral process for the underlying futures price is a pure jump Markov martingale operating in continuous time with a continuous state space. When the given option prices are arbitrage free and on a regular grid, we show how to construct a piecewise time and space-homogeneous process that meets them. Our construction leads to partial differential difference equations (PDDE's), which permit both explicit calibration and fast numerical valuation. The construction marries ideas from local volatility and variance gamma and is christened the local variance gamma model.
Speaker
Dr. Peter Carr is the Head of Quantitative Financial Research at Bloomberg LP, where his group is responsible for all facets of the business operation relating to modeling and analytics. He is also the Director of the Masters in Math Finance program at NYU's Courant Institute. Prior to his current positions, he headed equity derivative research groups for six years at Banc of America Securities and at Morgan Stanley. His prior academic positions include 4 years as an adjunct professor at Columbia University and 8 years as a finance professor at Cornell University. Since receiving his PhD. in Finance from UCLA in 1989, he has published extensively in both academic and industry-oriented journals. He is currently the treasurer of the Bachelier Finance Society and a practitioner director for the Financial Management Association. Peter is also an associate editor for 8 academic journals related to mathematical finance and derivatives. He has given numerous talks at both practitioner and academic conferences. He is also credited with numerous contributions to quantitative finance including: co-inventing the variance gamma model, inventing static and semi-static hedging of exotic options, and popularizing variance swaps and corridor variance swaps. Peter has recently won awards from Wilmott Magazine for "Cutting Edge Research" and from Risk Magazine for "Quant of the Year".
Video
Click below for Flash streaming video. Alternatively download QuickTime video.
Slides
Resources
- Dr. Peter Carr's home page: http://www.math.nyu.edu/research/carrp/
Discussions
Global Financial Crisis: Are the Quants to Blame?
- 2009-07-20: Paris Derivatives Jobs Burn as Market Rues BNP, SocGen Exotics. Bloomberg.
- 2009-04-24: Steven E. Shreve. Did Faulty Mathematical Models Cause The Financial Fiasco? Blame It On Gaussian Copula. Pages 6, 7. Analytics, Spring 2009.
- 2009-01-30: Nassim Taleb. Save capitalism from the banks.
- 2009-01-25: Julia Finch, Andrew Clark, David Teather. Twenty-five people at the heart of the metdown... Guardian.
- Abstract: The worst economic turmoil since the Great Depression is not a natural phenomenon but a man-made disaster in which we all played a part. In the second part of a week-long series looking behind the slump, Guardian City editor Julia Finch picks out the individuals who have led us into the current crisis.
- Note: These individuals, according to Finch, are Alan Greenspan, Mervyn King, Bill Clinton, Gordon Brown, George W. Bush, Phil Gramm, Abby Cohen, Kathleen Corbet, "Hank" Greenberg, Andy Hornby, Sir Fred Goodwin, Steve Crawshaw, Adam Applegarth, Dick Fuld, Ralph Cioffi and Matthew Tannin, Lewis Ranieri, Joseph Cassano, Chuck Prince, Angelo Mozilo, Stan O'Neal, Jimmy Cayne, Christopher Dodd, Geir Haarde, The American Public, John Tiner. She also mentions six more who "saw it coming": Andrew Lahde, John Paulson, Prof. Nouriel Roubini, Warren Buffett, George Soros, Stephen Eisman, Meredith Whitney.
- 2009-01-22: A special report on the future of finance: In Plato's cave. The Economist.
- Abstract: Mathematical models are a powerful way of predicting financial markets. But they are fallible.
- 2009-01-20: Dominic Lawson. Dominic Lawson: I blame computers for this crisis: Electronic calculation is not the same as wisdom. Confusing them is dangerous. The Independent.
- 2008-12-15: Cristina McEachern. As Market Volatility Continues, the Blame Game Heats Up: Regulation, the loss of specialists and electronic trading are all on the list when it comes to placing blame for recent market volatility. Advanced Trading.
- 2008-12-08: Pablo Triana Portela. Do Blame The Quants: Unlimited irreverence toward mathematical market models. Forbes.
- 2008-10-07: Steven Shreve. Don't Blame The Quants: It's the executives who didn't listen. Forbes.
- 2007-08-29: Tim Bennett. Are ‘quant funds’ to blame for volatility? MoneyWeek.
- 2007-08-22: What's Ahead for the Stock Market — and Quant Funds. Knowledge@Wharton.
Global Financial Crisis: Progress So Far
- 2009-08-17 Board of Governors of the Federal Reserve System: Press Release. Federal Reserve.
- Quote: To promote the restoration of orderly conditions in financial markets, the Federal Reserve Board approved temporary changes to its primary credit discount window facility. The Board approved a 50 basis point reduction in the primary credit rate to 5-3/4 percent, to narrow the spread between the primary credit rate and the Federal Open Market Committee's target federal funds rate to 50 basis points.
- Comment: This was an emergency, inter-meeting cut.
- 2009-03-15 Ben Bernanke's Greatest Challenge: Fed Chairman Discusses Recession, Financial Rescues And Recovery In Wide-Ranging 60 Minutes Interview. 60 Minutes, CBS News.
- Quote: And I think as those green shoots begin to appear in different markets and as some confidence begins to come back that will begin the positive dynamic that brings our economy back.
- 2009-05-27 World economy stabilising says Krugman. Reuters.
- 2009-06-04 PIMCO Secular Outlook, May 2009: A New Normal. PIMCO.
- Summary: For the next 3–5 years, we expect a world of muted growth, in the context of a continuing shift away from the G-3 and toward the systemically important emerging economies, led by China.
- 2009-06-21 Soros says worst of global crisis is behind us. Reuters.
- 2009-06-29 Google CEO says worst of crisis is over. Reuters.
- 2009-07-07 To catch a rogue quant. Reuters.
- 2009-07-09 Warren Buffett says second stimulus might be needed. Reuters.
- 2009-07-20 U.S. recession easing but likely not over. Reuters.
- 2009-08-17 No New Normal JPMorgan Sees V-Shaped Recovery in U.S. Bloomberg.
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