Embora o gerenciamento de portfólio não tenha mudado muito durante os 40 anos após os trabalhos seminais de Markowitz e Sharpe, o desenvolvimento de técnicas de orçamentação de risco marcou um marco importante no aprofundamento da relação entre risco e gerenciamento de ativos. A paridade de risco tornou-se um modelo financeiro popular de investimento após a crise financeira global em 2008. Hoje, os fundos de pensão e os investidores institucionais estão usando essa abordagem no desenvolvimento da indexação inteligente e a redefinição das políticas de investimento de longo prazo. Introdução à Paridade de Risco e Orçamentação fornece um tratamento atualizado desse método alternativo para a otimização de Markowitz. Ele constrói exposição financeira em ações e commodities, considera o risco de crédito na gestão de carteiras de títulos e projeta políticas de investimento de longo prazo. A primeira parte do livro fornece uma conta teórica sobre otimização de portfólio e paridade de risco. O autor discute a teoria da carteira moderna e oferece um guia abrangente para orçamentação de riscos. Cada capítulo da segunda parte apresenta uma aplicação de paridade de risco para uma classe de ativos específica. O texto abrange a indexação de equidade baseada no risco (também chamado de beta inteligente) e mostra como usar técnicas de orçamentação de risco para gerenciar portfólios de títulos. Ele também explora investimentos alternativos, como commodities e hedge funds, e aplica técnicas de paridade de risco para classes de vários ativos. O primeiro appendix dos livros fornece materiais técnicos sobre problemas de otimização, funções de copula e alocação dinâmica de ativos. O segundo apêndice contém 30 exercícios de tutorial. Soluções para exercícios, slides para instrutores e programas de computador Gauss para reproduzir os exemplos, tabelas e figuras de livros estão disponíveis no site dos livros. Chapman HallCRC Série de Matemática Financeira, 410 páginas Ir para o site dos livros La Gestion dActifs Quantitativo A convergência da gestão tradicional e da alternativa de gestão, parte da duna, lmergência da gestão quantitativa, dautre parte, refluxo da mutação profunda da gestão dactifs. Ce livre propõe daborder ces diffrents thmes, tous bass sur le contrle risque et les modles dallocation dactifs. Este trabalho oferece um panorama de difrances modalidades de gestão quantitativa, encaminhe a gestão indicielle la gestion hedge funds en passant pela estrutura gestions, diversifie, profile ou de performance absolue. Louvrage prsente galement les diffrentes stratgies quantitativas, que são as estratagens de replicação, deslocalização, doptions, volatilit, darbitrage ou encore as estratégias de acompanhamento e de retorno da média. Este é um questionário especial sobre loptimisation de portefeuille, lconomtrie financire et les stratgies de gestion semboitent pour ancien une stratgie quantitative. Este livro contém muitas ilustrações e exemplos importantes sobre as classes de escritórios (ações, taxas de diner, mudança e matizes). Ce livre sadresse aux tudiants de master, qui veut devenir des quants et travailler dans la finance quantitative, et aux professionnels qui cherchent mieux comprendre les modles mathmatiques et statistiques utiliss dans la gestion dactifs. Editions Economica, Collection Finance, 680 páginas Tlcharger la table des matires. Les extraits du livre. Exercícios de lannexe sur les. A correcção dos exercícios. (Consulte também os programas de correspondentes de Gauss) e as aplicações numriques do livre A gestão dos riscos financeiros (duime) Esta nova data no loccasion de revoir inteiro o texto, de remover o número certo de desenvolvimento que são mais dactualit e dapporter un clairage Nouveau par rapport la crise actuelle. Elle também contém novas ilustrações e novas aplicações para conceituar melhor alguns conceitos que podem aparecer em complexos. Diversos tópicos de lobos de novos desenvolvimentos, por exemplo, o risco de liquidez, os produtos exotiques, o risco de contraparte de mercado, os produtos estruturados, a gestão do risco de março na gestão de recursos, a dependência em Crdit et la contribution en risque. Finalmente, essa dupla é aprovada dexercices para permitir a obtenção de conhecimentos. Editions Economica, Collection Finance, 560 páginas Tlcharger les programs Gauss. Les errata du livre. A tabela de maustras e a correcção dos exercícios do livre A gestão dos riscos financeiros A gestão dos riscos financeiros está em plena plena vida sob a pressão da supervisão e do desenvolvimento de instrumentos de segurança para o melhor matrimónio. Le Comit de Ble a publi le Nouvel Accord sur le ratio international de solvabilit (Ble II) le 26 juin 2004, e a Comissão Europenne a dj adotar as diferentes propostas de acordo. Este acordo é um benefício favorável pela profissão bancária e os bancos de dados financeiros agora. As empresas não estão mais presentes no Novo Acordo para o modernizador de sua gestão de riscos. Nos últimos anos, no assiste en effet, a técnica de desenvolvimento de gerenciamento de riscos e os modelos para mesurer les risques sont de plus en plus sophistiqus. Le Nouvel Accord participe dailleurs cette volution, puisbil vise dfinir un capital rglementaire plus proche du capital conomique obtenu com les modules integrados. Leprsent ouvrage sinscrit in ces deux lignes guidelines. Rglementation du risque et modlisation du risque. Il sadresse aussi bien des tudiants de troisiem cycle, qui dsirent acqurir une culture financie du risque et de sa gestion, qu des professionnels qui cherchent mieux comprendre les fondements de la modulation mathmatique du risque. Editions Economica, Collection Gestion, 455 páginas Tlcharger os programas Gauss e as aplicações numéricas do livro TSM (Time Series e Wavelets for Finance) TSM é uma biblioteca GAUSS para modelagem de séries temporais em domínio de tempo e domínio de freqüência. É projetado principalmente para a análise e estimativa de processos ARMA, VARX, modelos espaciais estaduais, processos fracionários e modelos estruturais. Para estudar esses modelos, ferramentas especiais foram desenvolvidas como procedimentos para simulação, análise espectral, matrizes de Hankel, etc. A estimativa é baseada no princípio da máxima probabilidade ou no Método de Momentos gerados e as restrições lineares podem ser facilmente impostas. Ele também contém vários métodos de filtragem (Filtro Kalman, FLS e GFLS) e vários procedimentos para análise Time-Frequency do sinal 1-D (análise de wavelet e análise de pacotes wavelet). Código fonte: 300 Ko, código de exemplos: 390 Ko, Manual: 230 páginas. Descrição do TSM na página da Gauss Aptech Systems Baixar exemplos do TSM Introdução a programação sous Gauss 1995 Design Global, 660 páginas T. Roncalli e G. Weisang À medida que os reguladores em todo o mundo progridem para reformas prudenciais do sistema financeiro global para abordar a questão do risco sistêmico, O vasto alcance da tarefa atinge áreas e atores dos mercados financeiros que, tipicamente, não foram vistos como sistematicamente importantes antes. A idéia de que o setor de gerenciamento de ativos pode contribuir para o risco sistêmico é nova e garante um exame detalhado para moldar políticas adequadas. Neste artigo, depois de analisar a definição de risco sistêmico e como os bancos e seguros sistemicamente importantes são designados, analisamos as atividades do setor de gerenciamento de ativos e as formas como eles podem contribuir para a transmissão de risco sistêmico. Em seguida, examinamos detalhadamente a proposta de FSB-IOSCO de março de 2015 para uma metodologia de avaliação para a identificação de instituições financeiras não-bancárias não-segmentadas de importância sistêmica. Comparamos e discutimos com dados empíricos como as feiras de metodologia contra o que a literatura e o rescaldo da crise de 2007-2008 revelam sobre o papel do setor de gestão de ativos em contribuir para o risco sistêmico. Nós achamos que a proposta atual em parte não consegue identificar adequadamente os candidatos naturais para a designação sistemicamente importante e talvez confunde grandes instituições com instituições sistémicamente estratégicas que dão à perda de riqueza muita importância sobre o potencial de interrupção econômica real e deslocamento do mercado. Finalmente, pedimos uma abordagem mais robusta e sensível ao risco para identificar instituições financeiras de importância sistêmica. Risco sistêmico, SIFI, gerentes de ativos, proprietários de ativos, interconexão, risco de liquidez, risco de reputação, risco de negócios, risco de crédito de contraparte, risco de mercado, período de liquidação, fundos indexados, fundos do mercado monetário, fundos negociados em bolsa, hedge funds. Faça o download do arquivo PDF J-C. Richard e T. Roncalli Neste artigo, consideramos uma nova estrutura para entender as carteiras baseadas em risco (GMV, EW, ERC e MDP). Essa estrutura é semelhante ao modelo de variância mínima restrita de Jurczenko et al. (2013), mas com outra definição da restrição de diversificação. O problema de otimização correspondente pode então ser resolvido usando o algoritmo CCD. Isso nos permite ampliar os resultados de Cazalet et al. (2014) e para entender melhor as relações de trade-off entre redução de volatilidade, erro de rastreamento e diversificação de riscos. Em particular, mostramos que as carteiras beta inteligentes diferem porque eles implicitamente visam diferentes níveis de redução de volatilidade. Também desenvolvemos novas estratégias beta inteligentes ao gerenciar o nível de redução da volatilidade e mostrar que apresentam propriedades atraentes em comparação com as tradicionais carteiras com base em risco. Smart beta, alocação baseada em risco, portfólio de variância mínima, GMV, EW, ERC, MDP, otimização de portfólio, algoritmo CCD. Baixe o arquivo PDF Z. Cazalet e T. Roncalli O modelo de precificação de capital próprio (CAPM) desenvolvido por Sharpe (1964) é o ponto de partida para a teoria de preços de arbitragem (APT). Ele usa um único fator de risco para modelar o prêmio de risco de uma classe de ativos. No entanto, o CAPM tem sido objeto de pesquisas importantes, que evidenciaram numerosas contradições empíricas. Com base na teoria APT proposta por Ross (1976), Fama e French (1992) e Carhart (1997) introduzem outros modelos de fatores comuns para capturar novos prémios de risco. Por exemplo, eles definem fatores de risco patrimoniais, como mercado, valor, tamanho e impulso. Nos últimos anos, surgiu um novo quadro baseado nesta literatura para definir a alocação estratégica de ativos. Da mesma forma, os provedores de índice e os gerentes de ativos agora oferecem a oportunidade de investir nesses fatores de risco através de índices de fatores e fundos mútuos. Essas duas abordagens levaram a um novo paradigma chamado factor de investimento (Ang, 2014). O investimento por fatores parece resolver algumas das questões de gerenciamento de portfólio que surgiram no passado, em particular para os investidores de longo prazo. No entanto, surgem algumas questões, especialmente com o número de fatores de risco que crescem nos últimos anos (Cochrane, 2011). O que é um fator de risco São todos os fatores de risco bem recompensados Qual é o seu nível de estabilidade e robustez Como devemos alocar entre eles O principal objetivo deste trabalho é compreender e analisar a abordagem de investidores de fatores para responder a essas questões. Investimento por fatores, risco premium, CAPM, modelo de fatores de risco, anomalia, tamanho, valor, impulso, volatilidade, risco idiossincrático, liquidez, carry, qualidade, fundos mútuos, hedge funds, beta alternativa, alocação estratégica de ativos. Baixe o arquivo PDF A paridade do risco é um método de alocação utilizado para a construção de carteiras diversificadas que não dependem de qualquer hipótese de retornos esperados, colocando assim o gerenciamento de riscos no centro da estratégia. Isso explica por que a paridade do risco tornou-se um modelo de investimento popular após a crise financeira global em 2008. No entanto, a paridade do risco também foi criticada porque se concentra no gerenciamento da concentração de risco e não no desempenho do portfólio e, portanto, é visto como sendo mais próximo do gerenciamento passivo do que o ativo gestão. Neste artigo, mostramos como introduzir os pressupostos dos retornos esperados nas carteiras de paridade de risco. Para fazer isso, consideramos uma medida de risco generalizada que leva em consideração tanto o retorno quanto a volatilidade do portfólio. No entanto, o trade-off entre contribuições de desempenho e volatilidade cria alguma dificuldade, enquanto o problema de orçamentação de risco deve ser claramente definido. Depois de derivar as propriedades teóricas de tais carteiras de orçamento, aplicamos esse novo modelo à alocação de ativos. Em primeiro lugar, consideramos a política de investimento a longo prazo e a determinação da alocação estratégica de ativos. Consideramos a alocação dinâmica e mostramos como criar fundos de paridade de risco que dependem dos retornos esperados. Paridade de risco, orçamento de risco, retornos esperados, portfólio de ERC, valor em risco, déficit esperado, gerenciamento ativo, alocação de ativos táticos, alocação estratégica de ativos. Faça o download do arquivo PDF T. Roncalli e B. Zheng A liquidez dos fundos negociados em bolsa é de extrema importância para os reguladores, investidores e provedores. No entanto, o estudo da liquidez ainda está em sua infância. Neste trabalho, mostramos alguns fatos estilizados de estatísticas de liquidez (disseminação diária no mercado, volume comercial, etc.). Proponemos também uma nova medida de liquidez que combina estas estatísticas. Neste caso, a liquidez é uma função de poder do spread onde os parâmetros são determinados pelos volumes de negociação reais. Também estudamos a relação entre liquidez de ETF e liquidez do índice subjacente. Mostramos que estão correlacionados diariamente, mas não em termos de frequência intradia. Também definimos uma medida de melhoria de liquidez e aplicamos-na ao índice EURO STOXX 50. Fundo negociado em bolsa, liquidez, spread, volume de negócios, livro de encomendas, melhoria de liquidez. Faça o download do arquivo PDF T. Roncalli e G. Weisang T. Griveau-Billion, J-C. Richard e T. Roncalli Neste artigo, propomos um algoritmo cíclico de descendência de coordenadas (CCD) para resolver problemas de paridade de risco de alta dimensão. Mostramos que esse algoritmo converge e é muito rápido mesmo com grandes matrizes de covariância (n 500). A comparação com os algoritmos existentes também mostra que é um dos algoritmos mais eficientes. Paridade de risco, orçamento de risco, portfólio de ERC, algoritmo de descendência de coordenadas cíclicas, algoritmo de SQP, algoritmo de Jacobi, algoritmo de Newton, algoritmo de Nesterov. Baixe o arquivo PDF Z. Cazalet, P. Grison e T. Roncalli Neste artigo, consideramos a indexação beta inteligente, que é uma alternativa à indexação de capitalização (CW). Em particular, nos concentramos na indexação baseada em risco (RB), cujo objetivo é capturar o prêmio de risco de equidade de forma mais eficaz. Para conseguir isso, as carteiras são construídas, que são mais diversificadas e menos voláteis do que as carteiras de CW. No entanto, as carteiras de RB são menos líquidas do que as carteiras de CW por construção. Além disso, eles também apresentam dois riscos em termos de gerenciamento passivo: rastreamento de risco de diferença e risco de erro de rastreamento. Os investidores beta inteligentes têm que descobrir o trade-off entre diversificação, volatilidade, liquidez e erro de rastreamento. Este artigo examina os trade-off relationships. Ele também define os componentes de retorno dos índices beta inteligentes. Smart beta, indexação baseada em risco, portfólio de variância mínima, paridade de risco, carteira igualmente ponderada, portfólio de contribuição de risco igual, diversificação, baixa anomalia beta, baixa anomalia de volatilidade, erro de rastreamento, liquidez. Faça o download do arquivo PDF B. Bruder, N. Gaussel, J-C. Richard e T. Roncalli A teoria da otimização de variância média (MVO) de Markowitz (1952) para seleção de portfólio é um dos métodos mais importantes utilizados nas finanças quantitativas. Essa alocação de portfólio precisa de dois parâmetros de entrada, o vetor de retornos esperados e a matriz de covariância dos retornos de ativos. Esse processo leva a erros de estimativa, que podem ter um grande impacto nos pesos do portfólio. Neste artigo, revisamos diferentes métodos que visam estabilizar a alocação de variância média. Em particular, consideramos os resultados recentes da teoria da aprendizagem de máquinas para obter uma alocação mais robusta. Otimização de portfólio, gerenciamento ativo, erro de estimativa, estimador de encolhimento, métodos de reescalonamento, eigendecomposição, restrições de norma, regressão Lasso, regressão de cume, matriz de informações, portfólio de hedge, sparsity. Baixe o arquivo PDF M. Hassine e T. Roncalli A seleção do fundo é uma questão importante para os investidores. Este tópico gerou abundante literatura acadêmica. No entanto, na maioria das vezes, esses trabalhos dizem respeito apenas a uma gestão ativa, enquanto muitos investidores, como investidores institucionais, preferem investir em fundos indexados. As ferramentas desenvolvidas no caso de gerenciamento ativo também não são adequadas para avaliar o desempenho desses fundos indexados. Isso explica por que os índices de informação geralmente são usados para comparar o desempenho de fundos passivos. No entanto, mostramos que esta medida não é pertinente, especialmente quando a volatilidade do erro de rastreamento do fundo do índice é pequena. O objetivo de um fundo negociado em bolsa (ETF) é precisamente oferecer um veículo de investimento que apresenta um erro de rastreamento muito baixo em relação ao seu benchmark. Neste artigo, propomos uma medida de desempenho baseada no quadro de valor em risco, que está perfeitamente adaptado à gestão passiva e aos ETFs. Dependendo de três parâmetros (diferença de desempenho, volatilidade de erro de rastreamento e spread de liquidez), esta medida de eficiência é fácil de calcular e pode ajudar os investidores em seu processo de seleção de fundos. Nós fornecemos alguns exemplos e mostramos como a liquidez é mais uma questão para os investidores institucionais do que os investidores de varejo. Gestão passiva, fundo índice, ETF, índice de informação, erro de rastreamento, liquidez, spread, valor em risco. Baixe o arquivo PDF T. Roncalli e G. Weisang T. Roncalli e G. Weisang A construção da carteira e a orçamentação de riscos são o foco de muitos estudos realizados por acadêmicos e profissionais. Em particular, a diversificação tem muito interesse e foi definida de forma muito diferente. Neste artigo, analisamos um método para alcançar a diversificação de portfólio com base na decomposição do risco de carteiras em contribuições de fator de risco. Primeiro, expor o relacionamento entre fator de risco e contribuições de ativos. Em segundo lugar, formulamos o problema da diversificação em termos de fatores de risco como um programa de otimização. Finalmente, ilustramos nossa metodologia com alguns exemplos de vida real e backtests, que são: orçamentar o risco de fatores de equidade Fama-Franceses, maximizar a diversificação de uma carteira de hedge funds e construir uma alocação estratégica de ativos com base em fatores econômicos. Paridade de risco, orçamentação de risco, modelo de fator, portfólio de ERC, diversificação, concentração, modelo de Fama-French, alocação de hedge funds, alocação estratégica de ativos. Baixe o arquivo PDF B. Bruder, L. Culerier e T. Roncalli Vários anos atrás, surgiu o conceito de fundos de data-alvo para complementar os fundos tradicionais equilibrados em planos de pensão de contribuição definida. A principal idéia é delegar a alocação dinâmica em relação à data de aposentadoria de indivíduos para o gerente de portfólio. Devido ao seu horizonte de longo prazo, um fundo de data-alvo é único e não pode ser comparado a um fundo mútuo. Além disso, o objetivo do indivíduo é contribuir ao longo de sua vida profissional investindo parte de seus rendimentos para maximizar seus benefícios de pensão. O objetivo principal deste artigo é analisar e entender a alocação dinâmica em uma estrutura de fundo de data-alvo. Mostramos que a exposição ideal no portfólio de risco varia ao longo do tempo e é muito sensível aos parâmetros do mercado e dos investidores. Em seguida, deduzimos algumas diretrizes práticas para melhor designar fundos de data-alvo para o setor de gerenciamento de ativos. Fundo de data-alvo, fundo de ciclo de vida, sistema de aposentadoria, alocação dinâmica de ativos, controle ótimo estocástico, portfólio de mercado, aversão ao risco, política de mix de ativos estoque. Faça o download do arquivo PDF Basileia II, medição do risco de crédito, gerenciamento de portfólio de crédito, problemas de inconsistência no tempo. Faça o download do arquivo PDF N. Baud, A. Frachot e T. Roncalli 01 de dezembro de 2002 Intensas reflexões estão sendo realizadas no momento em relação à forma de reunir dados heterogêneos provenientes de sistemas internos dos bancos e bancos de dados agrupados na indústria. Propomos aqui uma metodologia sólida. Como se baseia no princípio da máxima verossimilhança, é, portanto, estatisticamente rigoroso e deve ser aceito pelos supervisores. Acreditamos que ele resolve a maior parte da heterogeneidade de dados e problemas de escala. Risco operacional, carga de capital, limiar, distribuição condicional, máxima verossimilhança. Faça o download do arquivo PDF N. Baud, A. Frachot e T. Roncalli É amplamente reconhecido que a calibração em dados internos pode não ser suficiente para calcular uma carga de capital precisa contra o risco operacional. No entanto, o agrupamento de dados externos e internos leva a taxas de capital inaceitáveis, pois os dados externos geralmente são distorcidos para grandes perdas. Em um artigo anterior, desenvolvemos uma metodologia estatística para assegurar que a fusão de dados internos e externos leva a estimativas imparciais da distribuição de perdas. Este artigo mostra que esta metodologia é aplicável no gerenciamento de risco da vida real e que permite reunir dados internos e externos de forma apropriada. O artigo está organizado da seguinte forma. Primeiro, discutimos como os bancos de dados externos são projetados e como seu design pode resultar em falhas estatísticas. Em seguida, desenvolvemos um modelo para o processo de geração de dados que está subjacente a dados externos. Neste modelo, o viés vem simplesmente do fato de que os dados externos são truncados acima de um limite específico, enquanto este limiar pode ser constante, mas conhecido, ou constante, mas desconhecido, ou finalmente estocástico. Nós descrevemos o raciocínio por trás desses três casos e nós fornecemos para cada um deles uma metodologia para contornar o viés relacionado. Em cada caso, são dadas simulações numéricas e evidências práticas. Risco operacional, dados internos, dados externos, dados do consórcio, limiar. Faça o download do arquivo PDF N. Baud, A. Frachot e T. Roncalli Slides da conferência Seminarios de Matemática Financeira, Instituto MEFF - Risklab. Madrid. Risco operacional, LDA, dados internos, dados externos, limiar implícito. Baixe o arquivo PDF J-F. Jouanin, G. Riboulet e T. Roncalli 31 de janeiro de 2002 Versão não técnica do documento Dependência de modelagem para derivativos de crédito com copulas. Copulas, modelos de intensidade, pontuação de diversidade de Moodys. Baixe o arquivo PDF A. Frachot e T. Roncalli Januray 29, 2002 A Abordagem de Distribuição de Perdas tem muitas características atraentes, uma vez que se espera que seja muito mais sensível ao risco do que qualquer outro método tomado em consideração pelas últimas propostas do Comitê de Basileia. Assim, espera-se que esta abordagem forneça taxas de capital significativamente mais baixas para os bancos cujos antecedentes são particularmente bons relativamente às suas exposições e comparados com os benchmarks da indústria. Infelizmente, a LDA quando calibrada apenas em dados internos está longe de ser satisfatória de uma perspectiva reguladora, pois provavelmente poderia subestimar a carga de capital necessária. Isso acontece por dois motivos. Primeiro, se um banco tiveram um número de eventos menor do que a média, ele se beneficiará de uma carga de capital inferior à média, embora seu bom histórico tenha ocorrido por acaso e não resulte de práticas de gerenciamento de risco melhores do que médias . Como conseqüência, a LDA é aceitável, desde que os dados de freqüência interna sejam temperados por referências em toda a indústria. Como tal, levanta imediatamente a questão de como lidar com dados de freqüência interna e benchmarks externos. Este artigo propõe uma solução baseada na teoria da credibilidade que é amplamente utilizada no setor de seguros para enfrentar problemas análogos. Como resultado, mostramos como fazer o ajuste estatístico para temperar a informação transmitida por dados de freqüência interna com o uso de referências externas. Da mesma forma, se a calibração dos parâmetros de gravidade ignora os dados externos, a distribuição da gravidade provavelmente será tendenciosa para perdas de baixa gravidade, uma vez que as perdas internas são tipicamente inferiores às registradas em bancos de dados industriais. Novamente, de uma perspectiva reguladora, a LDA não pode ser aceita, a menos que os dados internos e externos sejam mesclados e o banco de dados mesclado seja usado no processo de calibração. Aqui novamente, levanta a questão da melhor forma de mesclar esses dados. Obviamente, isso não pode ser feito sem qualquer cuidado, pois se as bases de dados internas são alimentadas diretamente com dados externos, as distribuições de severidade serão fortemente tendenciosas para perdas de alta gravidade. Este artigo propõe também um ajuste estatístico para tornar comparáveis bancos de dados internos e externos entre si, a fim de permitir uma fusão segura e imparcial. Risco operacional, LDA, dados internos, dados externos, teoria da credibilidade. Faça o download do arquivo PDF 26 de outubro de 2001 Apresentações da conferência Sminaire de Mathématiques e Finanças Louis Bachelier, Institut Henri Poincar. Copulas, derivativos de crédito, opções multi-ativos. Faça o download do arquivo PDF S. Coutant, V. Durrleman, G. Rapuch e T. Roncalli 5 de setembro de 2001 Neste artigo, usamos copulas para definir distribuições multivariadas de risco neutro. Podemos então derivar fórmulas de preços gerais para opções de ativos múltiplos e melhores limites possíveis com sorrisos de volatilidade dados. Finalmente, aplicamos o framework copula para definir indicadores prospectivos da função de dependência entre os retornos de ativos. Copulas, distribuição neutra ao risco, mudança de numerário, preço de opção, RND multivariada implícita. Baixe o arquivo PDF J-F. Jouanin, G. Rapuch, G. Riboulet e T. Roncalli Neste artigo, abordamos o problema de incorporar dependência padrão em modelos de risco de crédito baseados em intensidade. Seguindo os trabalhos de Li 2000, Giesecke 2001 e Schonbucher e Schubert 2001, usamos copulas para modelar a distribuição conjunta dos tempos padrão. São consideradas duas abordagens. O primeiro consiste em modelar a função de sobrevivência das articulações diretamente com as copulas de sobrevivência dos tempos padrão, enquanto que na segunda abordagem, as copulas são usadas para correlacionar as variáveis aleatórias exponenciais do limiar. Comparamos essas duas abordagens e damos alguns resultados sobre seus relacionamentos. Em seguida, tentamos algumas simulações de produtos simples, como primeiro a padrão. Finalmente, discutimos a questão da calibração de acordo com a nota de diversidade de Moodys. Copulas, modelos de intensidade, processos de Cox, processos de Bessel, pontuação de diversidade de Moodys. Baixe o arquivo PDF G. Rapuch e T. Roncalli Nesta breve nota, consideramos alguns problemas de preços de opções de dois ativos. Em particular, investigamos a relação entre preços de opções e o parâmetro de correlação no modelo Black-Scholes. Então, consideramos o caso geral no âmbito da construção de cópula de distribuições neutras em risco. Esta extensão envolve resultados na ordem supermodular aplicada à representação de Feynman-Kac. Mostramos que poderia ser visto como uma generalização de um princípio máximo para a PDE parabólica. Copulas, opções de dois ativos (Spread, Basket, Min, Max, BestOf, WorstOf), ordem supermodular, ordem de concordância, limites de Fritch, representação de Feynman-Kac, princípio máximo, PDE parabólica. Baixe o arquivo PDF Slides da conferência Statistics 2001, Concordia University, Montral, Canadá. Copulas, hipótese gaussiana, risco operacional, copula neutra em risco, modelo de Heston. Faça o download do arquivo PDF P. Georges, A-G. Lamy, E. Nicolas, G. Quibel e T. Roncalli Neste artigo, analisamos o uso de copulas para modelagem de sobrevivência multivariada. Em particular, estudamos as propriedades das copulas de sobrevivência e discutimos as medidas de dependência associadas a esta construção. Então, consideramos o problema dos riscos concorrentes. Derivamos a distribuição das estatísticas de tempo e ordem de falha. Depois de ter apresentado uma inferência estatística, nós finalmente fornecemos aplicações financeiras que dizem respeito ao valor do tempo de vida (modelos de atrito), a relação entre o padrão, pré-pagamento e vida credora, a medida de risco para uma carteira de crédito e o preço de derivativos de crédito. Copula de sobrevivência, modelo de fragilidade, conceitos de envelhecimento, riscos concorrentes, tempo de falha, estatísticas de pedidos, pagamento antecipado, medida de risco de crédito, modo padrão, inadimplência correlacionada, carga de capital de risco, entrega digital padrão, troca de crédito padrão, primeiro a padrão. Baixe o arquivo PDF Slides do seminário Modelos estocásticos em finanças, Ecole Polytechnique, Paris, 23042001. Copulas, regressão quantile, markov copulas, risco de crédito, convergência uniforme, operações em funções de distribuição. Faça o download do arquivo PDF A. Frachot, P. Georges e T. Roncalli Neste trabalho, exploramos a Abordagem de Distribuição de Perdas (LDA) para calcular a carga de capital de um banco para risco operacional, onde LDA se refere a métodos estatísticos atuais para modelar a distribuição de perdas . Nessa estrutura, a carga de capital é calculada usando uma medida de Valor em Risco. Na primeira parte do documento, damos uma descrição detalhada da implementação da LDA e explicamos como ela poderia ser usada para alocação de capital econômico. Em particular, mostramos como calcular a distribuição da perda agregada, combinando a distribuição da gravidade da perda e a distribuição da frequência das perdas, como calcular o Capital-em-Risco total usando copulas, como controlar a parte superior da distribuição da gravidade da perda com a ordem Estatisticas. Na segunda parte do trabalho, comparamos a LDA com a abordagem de medição interna (IMA) proposta pelo Comitê de Basileia sobre Supervisão Bancária para calcular o capital regulatório para o risco operacional. LDA e IMA são modelos de medição interna de baixo para cima que aparentemente são diferentes. No entanto, poderíamos mapear a LDA para o IMA e dar algumas justificativas sobre a escolha feita pelos reguladores para definir o IMA. Finalmente, fornecemos maneiras alternativas de mapear ambos os métodos juntos. Risco operacional, perda agregada, distribuição composta, severidade de perdas, freqüência de perda, algoritmo Panjer, Capital-em-Risco, alocação de capital econômico, estatísticas de pedidos, LDA, IMA, RPI, copulas. Baixe o arquivo PDF V. Durrleman, A. Nikeghbali e T. Roncalli Slides para a Conferência Internacional de Finanças, Hammam-Sousse, Tunísia, 03172001. Copulas, função de dependência de risco, copulas singulares, pontos extremos, agregação quantile, opção de propagação. Faça o download do arquivo PDF 26 de janeiro de 2001 Apresentações do seminário Métodos estatísticos em gestão integrada de riscos organizada pela Frontiers in Finance. Copulas, preço de opção 2D, processos markov, risco de crédito, CreditMetrics, CreditRisk, primeiro a padrão. Baixe o arquivo PDF J. Bodeau, G. Riboulet e T. Roncalli 15 de dezembro de 2000 Neste artigo, consideramos redes não uniformes para resolver PDE. Nós derivamos o algoritmo theta-scheme com base em métodos de diferenças finitas e mostra sua consistência. Em seguida, aplicamos isso a diferentes problemas de preços de opções. Theta-scheme, grades não-uniformes, grades temporais, interpolação de spline cúbica, opção europeia, opção americana, opção de barreira. Download the PDF file Download the corresponding GAUSS library November 16, 2000 Slides of the seminar Financial Applications of Copulas. Copulas, financial applications, risk management, statistical modelling, probabilistic metric spaces, markov operators, quasi-copulas. Download the PDF file V. Durrleman, A. Nikeghbali and T. Roncalli November 23, 2000 In this paper, we consider the open question on Spearmans rho and Kendalls tau of Nelsen 1991. Using a technical hypothesis, we can answer in the positive. One question remains open: how can we understand the technical hypothesis Because this hypothesis is not right in general, we could find some pathological cases which contradict Nelsens conjecture. Spearmans rho, Kendalls tau, cubic copula. Download the PDF file E. Bouy, V. Durrleman, A. Nikeghbali G. Riboulet and T. Roncalli March 23, 2001 (First version: November 10, 2000) In this paper, we show that copulas are a very powerful tool for risk management since it fulfills one of its main goals: the modelling of dependence between the individual risks. That is why this approach is an open field for risk. Copulas, market risk, credit risk, operational risk. Download the PDF file A. Costinot, T. Roncalli and J. Teiumlletche October 24, 2000 We consider the problem of modelling the dependence between financial markets. In financial economics, the classical tool is the Pearson (or linear correlation) coefficient to compare the dependence structure. We show that this coefficient does not give a precise information on the dependence structure. Instead, we propose a conceptual framework based on copulas. Two applications are proposed. The first one concerns the study of extreme dependence between international equity markets. The second one concerns the analysis of the East Asian crisis. Linear correlation, extreme value theory, quantile regression, concordance order, Deheuvels copula, contagion, Asian crisis. Download the PDF file A. Costinot, G. Riboulet et T. Roncalli September 15, 2000 Les banques ont aujourdhui la possibilit de mettre en place un modle interne de risque de march. Lune des composantes indispensables de ce modle est la cration dun programme de stress testing. Cet article prsente un outil potentiel pour la construction dun tel programme. la thorie des valeurs extrmes. Aprs avoir rappel la rglementation propre au stress testing et les principaux rsultats de cette thorie, nous montrons comment les utiliser pour construire des scnarios unidimensionnels, multidimensionnels et enfin pour quantifier des scnarios de crise labors partir de mthodologies diffrentes. Aux considrations mthodologiques sont adjoints les rsultats des simulations que nous avons ralises sur diffrentes sries financires. Copules, fonction de dpendance de queue stable, thorie des valeurs extrmes, stress testing. Tlcharger le fichier PDF V. Durrleman, A. Nikeghbali and T. Roncalli September 10, 2000 In this paper, we consider the problem of bounds for distribution convolutions and we present some applications to risk management. We show that the upper Frchet bound is not always the more risky dependence structure. It is in contradiction with the belief in finance that maximal risk corresponds to the case where the random variables are comonotonic. Triangle functions, dependency bounds, infimal, supremal and sigma-convolutions, Makarov inequalities, Value-at-Risk, square root rule, Dallaglio problem, Kantorovich distance. Download the PDF file V. Durrleman, A. Nikeghbali and T. Roncalli In this paper, we study the approximation procedures introduced by Li, Mikusinski, Sherwood and Taylor 1997. We show that there exists a bijection between the set of the discretized copulas and the set of the doubly stochastic matrices. For the Bernstein and checkerboard approximations, we then provide analytical formulas for the Kendalls tau and Spearmans rho concordance measures. Moreover, we demonstrate that these approximations do not exhibit tail dependences. Finally, we consider the general case of approximations induced by partitions of unity. Moreover, we show that the set of copulas induced by partition of unity is a Markov sub-algebra with respect to the - product of Darsow, Nguyen and Olsen 1992. Doubly stochastic matrices, Bernstein polynomials approximation, checkerboard copula, partitions of unity, Markov algebras, product of copulas. Download the PDF file V. Durrleman, A. Nikeghbali and T. Roncalli In this paper, we give a few methods for the choice of copulas in financial modelling. Maximum likelihood method, inference for margins, CML method, point estimator, non parametric estimation, Deheuvels copula, copula approximation, discrete L norm. Download the PDF file V. Durrleman, A. Nikeghbali and T. Roncalli We study how copulas properties are modified after some suitable transformations. In particular, we show that using appropriate transformations permits to fit the dependence structure in a better way. gamma-transformation, Kendalls tau, Spearmans rho, upper tail dependence. Download the PDF file V. Durrleman, A. Kurpiel, G. Riboulet and T. Roncalli In this paper, we consider 2D option pricing. Most of the problems come from the fact that only few closed-form formulas are available. Numerical algorithms are also necessary to compute option prices. This paper examines some topics on this subject. Numerical integration methods, Gauss quadratures, Monte Carlo, Quasi Monte Carlo, Sobol sequences, Faure sequences, two-dimensional PDE, Hopscotch, LOD, ADI, MOL, Stochastic volatility model, Malliavin calculus. Paper presented at the 17th International Conference in Finance organized by the French Finance Association, Paris (June 28, 2000). Download the PDF file E. Bouy, V. Durrleman, A. Nikeghbali, G. Riboulet and T. Roncalli Copulas are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be extensively used to solve many financial problems. Multivariate distribution, dependence structure, concordance measures, scoring, Markov processes, risk management, extreme value theory, stress testing, operational risk, market risk, credit risk. Paper presented at the 17th International Conference in Finance organized by the French Finance Association, Paris (June 27, 2000) and at First World Congress of the Bachelier Finance Society (June 29, 2000). Download the PDF file N. Baud, P. Demey, D. Jacomy, G. Riboulet et T. Roncalli Comme son nom lindique, le Plan Epargne Logement est un produit dpargne qui permet dacqurir des droits prts pour financer un ventuel achat immobilier. Pour que les tablissements financiers et les particuliers y trouvent un intrt commun, le lgislateur a mis en place un systme de prime pendant la phase dpargne. Celui-ci est peru comme un systme incitatif pour le particulier et doit permettre dassurer la rentabilit du produit pour la banque. Une note rdige par le Trsor en 1996 conclut la rentabilit du PEL pour les banques. Largument repose sur le fait que les pertes (ventuelles) supportes par la banque pendant la phase demprunt sont largement compenses par les revenus de la phase dpargne. En rponse cette note lAFB sest attache montrer le contraire en incluant les coucircts lis aux risques de taux (Note de lAFB du 16121996). Il nest donc pas du tout certain que le systme mis en place soit rentable pour ltablissement financier. Dautant plus que le Plan Epargne Logement est un produit financier relativement complexe et que celui-ci contient diffrentes options caches. Le calcul de sa rentabilit est donc beaucoup plus difficile que ceux prsents par le Trsor ou lAFB. Cest pourquoi le GRO a tent de modliser les options caches du PEL, de les valoriser et de calculer la rentabilit finale de ce produit. Plan dpargne logement, option cache de conversion, option amricaine, problme de contrle optimal. Tlcharger le fichier PDF N. Baud, A. Frachot, P. Igigabel, P. Martineu and T. Roncalli December 1, 1999 Capital allocation within a bank is getting more important as the regulatory requirements are moving towards economic-based measures of risk. Banks are urged to build sound internal measures of credit and market risks for all their activities. Internal models for credit, market and operational risks are fundamental for bank capital allocation in a bottom-up approach. But this approach has to be completed by a top-down approach in order to give to bank managers a more comprehensive (but less detailed) vision of the allocation efficiency. From a top-down viewpoint, we are considering the different business lines of a bank as assets. Then the capital has to be allocated in order to balance a portfolio in an optimal way. In this respect, a bank has to evaluate not only the expected return and the risk of every business line, but also the correlation matrix of these business lines returns. If a bank usually has a good knowledge of its expected returns and risks, the problem is more complex in the case of the correlation matrix: to cope with the lack of internal data and information, we develop an approach based on a Market Factor Model and estimate an implied correlation matrix using the returns of a panel of banks. The allocation problem is not exactly the problem a bank is confronted to. It more precisely deals with capital reallocation. Moving from an allocation to a new one generates costs that have to be taken into account to ensure that the new allocation is better than the former one. That is why reallocation signals are more interesting: they do not point out the optimal allocation but they allow the implementation of a dynamic policy that leads to an optimal situation. Capital allocation, top-down, bottom-up, factor model, optimisation problem, Lagrange multipliers. Paper presented at Les petits djeuners de la Finance, Paris (January 27, 2000). Download the PDF file January 13, 1999 In this paper, we consider the use of interest rate contingent claims as indicators for the monetary policy. We analyze two approches: one based on the term structure of zero bonds and another based on interest-rate option derivatives. We show how traditional tools based on the Black framework could be biased to build indicators for monetary policy. In fact, the second approach could not be viewed as an alternative approach, but as a complementary approach of the term structure approach. Yield curve, Hull-White trinomial model, monetary policy. Download the PDF file A. Kurpiel and T. Roncalli December 8, 1998 The purpose of this paper is to analyse different implications of the stochastic behavior of asset prices volatilities for option hedging purposes. We present a simple stochastic volatility model for option pricing and illustrate its consistency with financial stylized facts. Then, assuming a stochastic volatility environment, we study the accuracy of Black and Scholes implied volatility-based hedging. More precisely, we analyse the hedging ratios biases and investigate different hedging schemes in a dynamic setting. option hedging, stochastic volatility, Heston model, delta, gamma, vega. Download the PDF file A. Kurpiel and T. Roncalli November 17, 1998 In this paper, we consider Hopscotch methods for solving two-state financial models. We first derive a solution algorithm for two-dimensional partial differential equations with mixed boundary conditions. We then consider a number of financial applications including stochastic volatility option pricing, term structure modelling with two states and elliptic irreversible investment problems. Two-dimensional PDE, Hopscotch method, parabolic financial models, elliptic problems. Download the PDF file Download the corresponding GAUSS library Thse de lUniversit de Montesqieu-Bordeaux IV. Structure par terme, taux zro, taux forward, mthode de Nelson-Siegel, modles factoriels, processus de diffusion, modle de Black-Derman-Toy, modle de Hull-White. Tlcharger le fichier PDF Tlcharger la bibliothque Gauss J-S. Pentecte, T. Roncalli et M-A. Sngas 1998, LARE, Universit de Bordeaux IV J-S. Pentecte and T. Roncalli 1997, LARE, University of Bordeaux IVThe Thalesians Images from Thalesians events from around the world over the past 6 years The Thalesians are a think tank of dedicated professionals with an interest in quantitative finance, economics, mathematics, physics and computer science, not necessarily in that order. Blog See our new Thalesians blog Book Buy our new book. Trading Thalesians - What the ancient world can teach us about trading today (Palgrave Macmillan) by the Thalesians co-founder, Saeed Amen amp foreword by founder, Paul Bilokon Founding The group was founded in Sep 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). The opening of Level39 in 2013 by Mayor Boris Johnson The Thalesians are also now a member of Level39 - Europes largest technology accelerator for finance, retail, cyber-security and future cities technology companies Events Research Consulting Events The Thalesians were originally based in London, UK. In Jan 2011, the organisation became truly global when Matthew Dixon brought it to the United States where he runs the Thalesians NYC seminars with New York Leader Harvey Stein. Attila Agod is the Budapest Leader for our Thalesians Budapest seminars. We are currently in the process of expanding our seminars to Prague and running more workshops. Research In late 2013, we started published ground breaking quant strategy notes. Our effort is lead by Saeed Amen, using nearly a decade of his experience both creating and later trading systematic trading models in FX at major investment banks. Visit Research for more. Consulting In 2014, we started offering bespoke quant consulting services in markets, signing up our first client, a major US hedge fund and RavenPack, a major news data vendor. Our services includes the creation of bespoke systematic trading models and other quant analysis of financial markets, such as currency hedging and FX transaction cost analysis (TCA). Visit Consulting for more. Our Philosophy We are named after Thales of Miletus ( ), a pre-Socratic Greek philosopher who lived in ca. 624 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 , , (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 Bilokons 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. More of our speakers at Thalesians events over the past 6 years Forthcoming Events Thalesians Seminar (Frankfurt) 8212 Thalesians Frankfurt 1st Open Stage Seminar Registration Instantaneous volatility of logarithmic return in lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions, probability density for such models are less known in the literature. We present in this talk a bridge representation for the joint density of the lognormal fractional SABR model in a Fourier space. Evaluating the bridge representation along a properly chosen deterministic path yields an Edgeworth style of expansion of the probability density for the fractional SABR model. A direct generalization of the representation to joint density at multiple times leads to a heuristic derivation of the large deviations principle for the joint density in small time. Approximation of implied volatility is readily obtained by applying the Laplace asymptotic formula to the call or put prices and comparing coefficients. The presentation is based on a joint work with Jiro Akahori and Xiaoming Song. Tai-Ho Wang holds a professorship in mathematics at Baruch College, City University of New York since 2012. His research in quantitative finance includes implied volatility asymptotics in small time, static arbitrage free bounds on basket options, optimal liquidation and execution in market impact models, and recently information dynamics in financial 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. IAQF-Thalesians Seminar (New York) 8212 Dr. Alan Moreira 8212 Volatility Managed Portfolios Wednesday, February 15, 2017: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Managed portfolios that take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean-variance investors. We document this for the market, value, momentum, profitability, return on equity, and investment factors, as well as the currency carry trade. Volatility timing increases Sharpe ratios because changes in volatility are not offset by proportional changes in expected returns. Our strategy is contrary to conventional wisdom because it takes relatively less risk in recessions yet still earns high average returns. This rules out typical risk-based explanations and is a challenge to structural models of time-varying expected returns. Alan Moreira is an Assistant Professor of Finance at the Yale University School of Management. Originally from Rio de Janeiro, Brazil, he received his undergraduate degree from the Rio de Janeiro Federal University (UFRJ) and his PhD in Financial Economics from the University of Chicago. Dr. Moreiras research investigates how financial intermediation shapes the real economy and the causes and consequences of fluctuations in uncertainty. His research has been published in the top journals including the Journal of Financial Economics and Journal of Finance. In addition to teaching Risk Management in the MBA program at the Yale School of Management, Dr. Moreira teaches Asset Pricing at the PhD level. In his spare time, he enjoys biking, traveling, and hanging out the family. Alan Moreira, Assistant Professor of Finance, Yale School of Management 1 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. Recent Events IAQF-Thalesians Seminar (New York) 8212 Dr. Hongzhong Zhang 8212 Intraday Market Making with Overnight Inventory Costs Thursday, December 14, 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration 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) 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) 8212 Iain Clark 8212 Implied Distributions from FX Risk-Reversals and Predictions for the Effect of the Brexit Vote and the Trump election 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 GampTea 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 Crudits 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 Ginger Room, followed by drinks amp canapes at GampTea Bar, Marriott Hotel, Canary Wharf, London, UK, Meetup In May 2016 it was noted, in the audience QampA 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 (ssrnabstract2794888 ) 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. 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 Practitioners Guide was published in November 2010 by Wiley Finance and his second book Commodity Option Pricing: A Practitioners Guide is due to appear in early 2014 (also with Wiley Finance). Thalesians Seminar (London) 8212 Vlasios Voudouris 8212 Flexible machine learning for finance Date and Time 7:30 p. m. on Wednesday 23rd November 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup With rapid changes in computing technology and the big data age, the field of data science is constantly challenged. Data scientists 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 explanatorypredictor 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. 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) 8212 Dr. Michael Imerman 8212 Insights from a Data-Driven Analysis of the Volatility Risk Premium Thursday, November 17, 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration 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. 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. Imermans 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) 8212 Prof David Hand 8212 The Improbability Principle: Why Coincidences, Miracles, and Rare Events Happen Every Day Date and Time Registration 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. 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) 8212 Nick Baltas 8212 Multi-Asset Carry Strategies Date and Time 7:30 p. m. on Wednesday 28th September 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup 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. 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 amp signal processing from Imperial College London and a PhD in finance from Imperial College Business School. IAQF-Thalesians Seminar (New York) 8212 Dr. Arun Verma 8212 Statistical arbitrage using news and social sentiment based quant trading strategies Thursday, September 15, 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration To explore the value embedded in News amp 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. 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 amp applied mathematics. At Bloomberg, Dr. Vermas work initially focused on Stochastic Volatility Models for EquityFX Derivatives and Exotics pricing, e. g. Arbitrage free Volatility interpolation, Variance Swaps and VIX FuturesOptions 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) 8212 Scott Cogswell 8212 Initial Margin Model and Regulation for Uncleared Derivatives Date and Time 7:30 p. m. on Wednesday 20th July 2016 Meetup 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. 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) 8212 Dr. Tobias Adrian 8212 Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds Thursday, June 16, 2015: NYU Kimmel Center. Room 905907, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration 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. 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 Feds 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) 8212 Felix Zumstein - Python in Quantitative Finance Date and Time 7:00 p. m. on Thursday, 9 June, 2016 Examining the electronic trading business from a practitioners 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 makers business calculus. Paul A. Bilokon is Director at Deutsche Bank, where he runs 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 was educated at Christ Church, Oxford, and Imperial College. The domain-theoretic framework for continuous-time stochastic processes, developed with Prof. Abbas Edalat, earned him a PhD degree and a prestigious LICS paper. Pauls other academic interests include stochastic filtering and machine learning. He is an expert developer in C, Java, Python, and kdbq, 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 think tank of dedicated professionals working in quant finance, economics, mathematics, physics and computer science, the focal point of a community with over 1,500 members worldwide. He serves as its CEO, and runs it with two of his friends and colleagues, Saeed Amen and Matthew Dixon, as fellow Directors. 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 Forums 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) 8212 Dr. Luis Seco 8212 Hedge funds: are negative fees in the horizon An option pricing perspective Thursday, May 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration 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 costbenefit analysis using Black-Scholes option pricing which will show that in some situations, the manager will pay the investor. 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 amp 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. ThalesiansQuant Finance Group Germany (Frankfurt) 8212 Thomas Wiecki 8212 Predicting out-of-sample performance and building multi-strategy portfolios using Random Forests Date and Time 7:30 p. m. on Wednesday 11th May 2016 PPI AG Office, Wilhelm-Leuschner-Strae 79, Frankfurt Am Main Meetup 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 (R lt 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 (R 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. 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) 8212 Speakers including Carr amp Hull 8212 Trading and risk management Thalesians Workshop Date and Time 9th - 13th May, 2016 Hotel Intercontinental, Budapest, Hungary To sign up You can register for this event and pay online at the Global Derivatives Europe website: icbi-derivativesFKN2466TH - Members of the Thalesians receive a 15 discount (click on the link to activate) The Worlds Largest Quant Finance Conference Join 500 Quants amp Traders From Around The World Over 130 Sessions Covering 5 Full Days Of Content 120 Expert Speakers Buy-Side Summit: Quantitative Investment amp Portfolio Strategies Fintech amp Disruptive Innovation Summit Unmissable speakers for 2016 Peter Carr, Global Head of Market Modelling, Morgan Stanley John Hull, Professor Of Derivatives amp Risk Management, University of Toronto Zoltan Eisler, Co-Head of Execution, Capital Fund Management Fabrizio Anfuso, Head of Collateralized Exposure Modelling, Credit Suisse Th alesians Workshop on ElectronicSystematic 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 amp news analytics Trading Strategy Focus: How to build a CTAtrend following fund Python amp 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) 8212 Euan Sinclair 8212 Systematic Vol Trading Date and Time 3:30 p. m. on Friday 6th May 2016 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. 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) 8212 Dr. Lawrence R. Glosten 8212 Strategic Foundation for the Tail Expectation in Limit Order Book Markets Thursday, April 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration 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. 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) 8212 Robin Hanson 8212 Economics when robots rule the Earth (Book) Date and Time 7:30 p. m. on Monday, 21 March, 2016 Level39, One Canada Square, Canary Wharf, London, E14, UK Meetup FREE event - kindly sponsored by the Level39 - fintech accelerator - 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 cant 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 dont 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. 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 DARPAs 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) 8212 Speakers including Wystup amp Dupire 8212 Quant event Date and Time 21-22st March 2016 Frankfurt School of Finance amp Management To sign up You can find out more about this event and register and pay online at the MathFinance website: mathfinanceconference. html 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. 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) 8212 Dr. Alexander Lipton 8212 Modern Monetary Circuit Theory Tuesday, March 15, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration 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 banks balance sheet is formulated and solved in a simple case. Both theoretical and practical aspects are covered. 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. Liptons 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) 8212 Prof Jessica James 8212 FX Option Trading (Book) Date and Time 7:30 p. m. on Monday, 29 February, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup 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 doesnt On average, do options result in profit, loss, or breaking even How can corporations more costeffectively hedge their exposure to emerging markets Are cheap outofthemoney options worth it 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) 8212 Dr. Harry Mamaysky 8212 Does Unusual News Forecast Market Stress Meetup 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 - githubthalesianspythalesians 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: quantopianlectures. Saeed Amen 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). He is also the founder of Cuemacro. 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. Delaneys background includes 7 years of academic research at a bioinformatics lab, and a strong focus on statistics and machine learning. Thalesians Sance (Budapest) 8212 Robin Hanson amp Panel 8212 Economics when robots rule the Earth 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 Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 8th Thalesians Sance, 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 (ageofem ). Members of the panel: - Attila Agod - Mark Horvath (Causality) - Saeed Amen (The Thalesians) 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 DARPAs 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. Thalesians Seminar (London) 8212 Nick Firoozye 8212 Managing Uncertainty, Mitigating Risk (Book) Date and Time 7:30 p. m. on Wednesday, 20 January, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup 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. 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, Nicks 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 Capitals 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) 8212 Dr. Nick Costanzino 8212 Pricing and Hedging Recovery Risk with Structural and Reduced Form Models Tuesday, January 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration 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. 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. External (London) 8212 International Conference on Computational Finance (ICCF2015) University of Greenwich Date and Time Registration We present a liquidity factor IML, the return on illiquid-minus-liquid stock portfolios. The IML, adjusted for the common risk factors, measures the illiquidity premium whose annual alpha is about 4 over the period 1950-2012. I then test whether the systematic risk () of IML is priced in a multi-factor CAPM. The model allows for a conditional of IML that rises with observable funding illiquidity and adverse market conditions. The conditional IML is positively and significantly priced, and remains so after controlling for the beta of illiquidity shocks. Yakov Amihud is Ira Rennert Professor of Entrepreneurial Finance at the Stern School of Business, New York University. He is the coauthor of Market Liquidity: Asset Pricing, Risk and Crises (Cambridge University Press, 2013). His research focuses on the effects of asset liquidity on value and expected return, and on the design and evaluation of securities markets trading methods. On these topics, Amihud has done consulting work for the NYSE, AMEX, CBOE, CBOT, and other securities markets. He has published more than seventy research articles in professional journals and in books, and edited and co-edited five books on topics such as LBOs, bank MampAs, international finance, and securities market design. His research also includes the evaluation of corporate financial policies, mergers and acquisitions, initial public offerings, objectives of corporate managers, dividend policy, and law and finance. 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 SeminarXmas Dinner (London) 8212 Matthew Dixon 8212 Machine Learning in Trading: Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi Date and Time 6.30p. m. on Monday, 14 December, 2015 La Tasca, West India Quay, Canary Wharf, London E14 4AE Meetup Talk amp Dinner We invite you to our 2015 Thalesians LDN Xmas seminar amp dinner by Matthew Dixon on Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi followed by dinner at La Tasca in Canary Wharf. The presentation begins at 6.30pm, followed by dinner at 7.30pm (menu below). On Arrival - A Glass of Sangra Tradicional To Start - Tabla Espanola (to share) - Traditional Spanish cured meats with mixed olives, Manchego cheese, bread and oil. Christmas Albndigas (Madrid) - Turkey amp pork meatballs, in a rich, sherry and cranberry sauce. Pulpo Gratin Y Queso GF (Galicia) - A medley of potatoes and octopus baked in a creamy lobster sauce and gratinated with Manchego cheese. Pollo Marbella GF (Malaga) - Chicken breast, cooked with chorizo in a white wine amp cream sauce. La Tasca House Green Salad GF V (Navarra) Patatas Bravas con Alioli (Espaa) - Fried potato, with spicy tomato sauce and roasted garlic mayonnaise. Paella de Carne GF (Valencia) - With chicken breast and chorizo. Paella Verduras GF V (Valencia) - With seasonal vegetables. To Finish - Churros - Doughnut twists, served with fresh strawberries and marshmallows, plus a rich chocolate sauce Deep neural networks (DNN) have demonstrated their power in areas such as vision (think Google image search) and speech recognition (think Siri). Some financial firms are beginning to apply these techniques to market data and other information important for trading and investing. But training DNNs (that is, setting them to work to develop models) is extremely compute intensive. In this talk, Matthew will describe a DNN model for predicting price movements from time series data, then explain techniques that enable this model to exploit the parallel computing capacity of the Intel Xeon Phi processor in conjunction with multi-core CPUs. Matthew Dixon is a Managing Director and Head of Americas at Thalesians Ltd. He is also an Assistant Professor of Finance in the Stuart Business School at the Illinois Institute of Technology. His research focuses on the application of advanced computational techniques to financial modeling and data analysis especially where high performance and scalability are critical for practical application. Matthews research is currently funded by Intel Corporation. He has contributed to the R package repository and published around twenty peer-reviewed technical articles. He has taught financial econometrics, derivatives, machine learning and text mining at the University of San Francisco and held visiting appointments in CSMath at Stanford University and UC Davis. Prior to joining academia, he has held industry appointments as a quant at banks such as Lehman Brothers, the Bank for International Settlements and Barclays Capital. He chairs the workshop on computational finance at the annual SuperComputing conference and serves on the program committee of HPC and on the editorial board of the Journal of Financial Innovation. Matthew holds a MEng in Civil Engineering from Imperial College London, a MSc in Parallel and Scientific Computation (with distinction) from the University of Reading, and a PhD in Applied Math from Imperial College London. He became a chartered financial risk manager in 2014. Thalesians Panel (London) 8212 CudmoreBurroughs amp more 8212 Global macro panel Registration The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional problem is made tractable via a novel computational method, which generalizes the one-dimensional fractional partial differential equation method of Itkin, 2014 to the two - and three-dimensional cases. This method is unconditionally stable and of the second order of approximation in space and time in addition, for many popular Levy models it has linear complexity in each dimension. Marginal and joint survival probabilities for two and three banks with mutual liabilities are computed. The effects of mutual liabilities are discussed, and numerical examples are given to illustrate these effects. Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational molecular physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics. 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) 8212 Robert Carver 8212 Lessons from Systematic Trading Date and Time 7:30 p. m. on Wednesday, 21 October, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Its my belief that successful systematic trading is not about finding some deep hidden source of alpha, but about avoiding stupid mistakes. In this talk I share some of the mistakes Ive made, and seen others make, whilst designing and managing systematic trading systems for both a multi billion hedge fund and a retail trading account. This is a wide ranging talk which provocatively questions many commonly held beliefs about the business of managing money systematically. Robert Carver is an independent systematic trader, and writer. He trades his own capital with a fully automated system of 40 futures markets, using a proprietary system written in python. Robert is the author of Systematic Trading, a forthcoming book to be published by Harriman House in October 2015. He regularly blogs on the subject of trading, finance and investment. Robert, who has bachelors and masters degrees in Economics, began his city career trading exotic derivative products for Barclays Capital. He then worked as a portfolio manager for AHL. one of the worlds largest systematic hedge funds before, during and after the global financial meltdown of 2008. Robert was responsible for the creation of AHLs fundamental cross asset global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. He retired from the industry in 2013. IAQF-Thalesians Seminar (New York) 8212 Dr. Dan Pirjol 8212 Can one price Eurodollar futures in the Black-Derman-Toy model Wednesday, October 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Interest rates models with log-normally distributed rates in continuous time are known to display singular behavior. For example, Eurodollar futures prices are infinite in the Dothan and Black-Karasinski models, as shown in 1998 by Hogan and Weintraub. These singularities are usually assumed to disappear when the models are simulated in discrete time. Using a precise simulation of the BDT model, we demonstrate that this is true only for sufficiently low volatilities. Eurodollar futures prices explode for volatilities above a critical value. The explosion is due to contributions from a region in state space which corresponds to very large interest rates and is truncated off in usual simulation methods such as trees and finite difference methods. In the limit of a very small simulation time step the explosion appears for any volatility, and reproduces the Hogan-Weintraub singularity of the continuous time model. Dan Pirjol works in the Model Risk Group at JP Morgan, covering valuation models in commodities. Previously he was with Markit and Merrill Lynch in various roles in modeling and model risk, after doing research in theoretical high energy physics. He is interested in applications of methods from mathematical physics and probability to problems in mathematical finance. 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 Sance (Budapest) 8212 Taylor Spears amp Panel 8212 The Sociology of CVA 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 9th October, 2015 7:00 p. m. - Welcome drinks, 8:00 p. m. - Taylor Spears presentation 9:00 p. m. - Discussion panel 12.00 a. m. - Next pub Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 7th Thalesians Sance Taylor Spears from the Sociology Department of The University Edinburgh will introduce the evolution of Credit Valuation Adjustment (CVA) from a sociologists point of view. After Taylors talk a panel of practitioners will challenge his ideas. Members of the panel: - Andras Bohak (MSCI, Counterparty credit researcher) - Daniel Homolya (Mol Group, Financial risk management team lead) - Balazs Palosi-Nemeth (ING, Architect) - Gabor Salamon (Morgan Stanley, CVA team lead) Dr Taylor Spears is a research fellow in the Sociology of Financial Modelling at the School of Social and Political Science in the University of Edinburgh. Thalesians Seminar (New York) 8212 Creating trend following fund: How to build a CTA interactive Python PyThalesians demo Date and Time 6:00 p. m. on Thursday, 1 October, 2015 Shark Tank, Grind Broadway, 22nd Floor, 1412 Broadway, New York, NY Meetup In this talk, we shall be discussing CTAs and giving some background about the industry. We shall give a brief overview of the types of strategies CTAs use to trade markets, creating a generic proxy for a typical CTA fund. We shall also be discussing how CTA strategies can be used to improve the risk adjusted returns of long only equity and bond investors. Later, there will also be an interactive Python demo showing how to use the PyThalesians Python code library (partially open sourced on GitHub ). Amongst other things we shall investigate the properties of intraday FX volatility, where well be accessing live market data via Bloomberg and also creating customised plots using Matplotlib. Selected Bios Saeed Amen 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). He is also the founder of Cuemacro. Thalesians Seminar (London) 8212 Stephen Pulman 8212 Multi-Dimensional Sentiment Analysis Date and Time 7:30 p. m. on Wednesday, 23 September, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup All sentiment analysis systems can deliver positive negativeneutral classifications. But there are many other useful signals in text: emotion, intent, speculation, risk, etc. This talk will present a survey of the state of the art in recognising these other dimensions of sentiment in text and describe some practical applications in finance and elsewhere. Stephen Pulman is Professor of Computational Linguistics at the Department of Computer Science, Oxford University. He is a Professorial Fellow of Somerville College, Oxford, and a Fellow of the British Academy. He has also held visiting professorships at the Institut fr Maschinelle Sprachverarbeitung, University of Stuttgart and at Copenhagen Business School. He is a co-founder of TheySay Ltd. Previous positions include Professor of General Linguistics at Oxford University, Assistant Professor (Reader) at the University of Cambridge Computer Laboratory, and Director of SRI Internationals Cambridge. IAQF-Thalesians Seminar (New York) 8212 Dr. Agostino Capponi 8212 Arbitrage-Free Pricing of XVA Monday, September 21, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The recent financial crisis has highlighted the importance to account for counterparty risk and funding costs in the valuation of over-the-counter portfolios of derivatives. When managing their portfolios, traders face costs for maintaining the hedge of the position, posting collateral resources, and servicing their collateral requests. Due to the interdependencies between these operations, such costs cannot be separated and attributed to different business units (CVA, DVA and FVA desks). In this talk, we introduce a unified framework for computing the total costs, referred to as XVA, of an European style derivative transaction traded between two risky counterparties. We use no-arbitrage arguments to derive the nonlinear backward stochastic differential equations (BSDEs) associated with the portfolios which replicate long and short positions in the claim. This leads to defining buyers and sellers XVAs which in turn identify a no-arbitrage band. When borrowing and lending rates coincide, our framework recovers a generalized version of Piterbargs model. In this case, we provide a fully explicit expression for the uniquely determined price of XVA. When they differ, we derive the semi-linear partial differential equations (PDEs) associated with the non-linear BSDEs and show that they admit a unique classical solution. We use these solutions to conduct a numerical analysis showing high sensitivity of the no-arbitrage band and replicating strategies to funding spreads and collateral levels. Agostino Capponi is an assistant professor in the IEOR Department at Columbia University, where he is also a member of the Institute for Data Science and Engineering. Agostino received his Master and Ph. D. Degree in Computer Science and Applied and Computational Mathematics from the California Institute of Technology, respectively in 2006 and 2009. His main research interests are in the area of networks, with a special focus on systemic risk, contagion, and control. In the context of financial networks, the outcome of his research contributes to a better understanding of risk management practices, and to assess the impact of regulatory policies aimed at controlling financial markets. He has been awarded a grant from the Institute for New Economic Thinking for his research on dynamic contagion mechanisms. His work on systemic risk dynamics under central clearing done in collaboration with the Department of Treasury has obtained press coverage from major organizations such as Bloomberg and Reuters. His research has been published in top-tier journals of Financial Mathematics, Operations Research, and Engineering. His work has also been published in leading practitioner journals and invited book chapters. Agostino holds a world patent for a target tracking methodology in military networks. 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 (San Francisco) 8212 Steven Pav - Portfolio Inference and Portfolio Overfit Date and Time amp Schedule 6:00 p. m. on Thursday, 10 September, 2015 6pm: Reception in Julias Lounge 7pm: Talk in the Members Lounge 8pm: Networking
No comments:
Post a Comment