Bloomberg Quant (BBQ) Seminar – May 2025
In this seminar chaired by Bruno Dupire, Blanka Horvath, Associate Professor in Mathematical and Computational Finance at the University of Oxford, will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession.
5:30 PM
Keynote:
Blanka Horvath
Associate Professor in Mathematical and Computational Finance at the University of Oxford
Market Generators: A Paradigm Shift towards Generative Networks in Financial Modeling
Market Generators are a rapidly evolving class of neural-network-based models to simulate financial market behaviour, offering a powerful alternative to classical stochastic models.
These deep learning models are trained to encode the underlying distribution of financial data and generate new synthetic market scenarios from the learned distribution.
Although the expressions “Market Generator” and its related form “Market Simulator” have only entered the vocabulary of financial modeling around 2019, today, the modeling techniques related to them have already grown into an area of its own right.
This growing interest is matched by an accelerating rate of innovation in the ambient technological arena, including large generative networks and in particular GPT-type language models, in which two dominant trends have been visible recently: (1) a trend towards ever larger generative networks, and (2) a trend towards smaller, specialist networks.
In this talk, we make a case for the latter, discussing mechanisms to mix specialist networks (dynamic mixtures of experts). In addition, we discuss how signature methods can provide effective tools to work with financial time series data streams in a way, that is future-proof for the directions where generative AI is headed.
6:30 PM
Lightning Talks:
Alex Romero | Alto Intelligence
Cybersecurity
Alisa Rusanoff | Eltech
Building Agents AI Making the Private Credit Market More Efficient
Mario Pardo | Ryse, Inc.
Risk Modeling of Nonlinear Assets
Ruslan Tepelyan | Bloomberg
Kelly Betting
Speakers
Bruno Dupire
Global Head of Quantitative Research, CTO Office
Bloomberg
Bruno Dupire is the Global Head of Quantitative Research, CTO Office at Bloomberg, which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008. He runs and organizes the Bloomberg Quant (BBQ) seminar, the largest monthly event of this kind.
Blanka Horvath
Associate Professor in Mathematical and Computational Finance
University of Oxford
Blanka Horvath is an associate professor in mathematical and computational finance at the University of Oxford, an associate member of the Oxford-Man Institute and the 2024-25 Emmy Noether Fellow of the London Mathematical Society. Her research is at the intersection of stochastic analysis and mathematical finance that includes option pricing, forecasting and simulation, with the use of asymptotic,- and numerical methods as well as machine learning techniques for these. In recent years, Blanka’s research focus has been on rough path theory and signature methods, rough volatility models, and generative models. She is a passionate advocate of a close collaboration between the financial sector’s industry quants and academics through multiple ongoing research collaborations with industry partners. Blanka is also the inaugural recipient of the Quant Rising Star Award 2020, and a member of the Rising Star Selection Panel ever since. She is editor-in-chief of the Journal of FinTech and a member of the Editorial Board of Quantitative Finance and author of the upcoming Springer volume “Signature Methods in Finance”.