Bloomberg Quant (BBQ) February

Please register to join us virtually from 5:30 - 7:00 pm for the Bloomberg Quant (BBQ) Seminar Series, streamed live from our Bloomberg 120 Park Avenue office. A link to the webcast will be emailed to you immediately upon registration. ** Register here - https://events.bloombergevents.com/lqGe7N In this seminar chaired by Bruno Dupire, Eduardo Abi Jaber, Professor in Applied Mathematics at Ecole Polytechnique, will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession. 5:30 PM Keynote: Eduardo Abi Jaber Professor of Applied Mathematics, Ecole Polytechnique Path-Signatures: Memory and Stationarity We explore the interplay between path-signatures, memory, and stationarity, highlighting their implications for machine learning, representation of stochastic processes and applications in mathematical finance. In a first part, we provide explicit series expansions to certain stochastic path-dependent integral equations in terms of the path signature of the time augmented driving Brownian motion. Our framework encompasses a large class of stochastic linear Volterra and delay equations and in particular the fractional Brownian motion with a Hurst index H in (0, 1). Our expressions allow to disentangle an infinite dimensional Markovian structure. In addition they open the door to: (i) straightforward and simple approximation schemes that we illustrate numerically, (ii) representations of certain Fourier-Laplace transforms in terms of a non-standard infinite dimensional Riccati equation with important applications for pricing and hedging in quantitative finance. In a second part, we introduce a time-invariant version of the signature: the fading-memory signature, and establish powerful algebraic, analytic and probabilistic properties with applications to learning stationary relationships in time series. This is based on joint works with Paul Gassiat, Louis-Amand Gérard, Yuxing Huang, Dimitri Sotnikov. 6:30PM Lightning Talks Rudy Morel | Flatiron Institute Can AI Predict Solar Activity? Aakriti Mittal | Bloomberg Delphyne: A Pre-Trained Model for Financial Time Series Ilia Bouchouev | Pentathlon Investments A Stylized Model of a Commodity Squeeze Francesco Tonin | Bloomberg Poirot and the Case of the Missing “One”