Bloomberg Quant (BBQ) Seminar – November 2023
In this seminar chaired by Bruno Dupire, Professor Jim Gatheral, Presidential Professor of Mathematics at Baruch College, CUNY's Master of Financial Engineering (MFE) Program, will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession.
5:30 PM
Keynote: Professor Jim Gatheral
Presidential Professor of Mathematics, Baruch College, CUNY, Master of Financial Engineering (MFE) Program
Computing Skew-Stickiness
Empirically, implied volatility moves proportionally to the implied volatility skew; the constant of proportionality, the skew-stickiness ratio (SSR) is roughly independent of time to expiry. We express the value of the SSR in terms of diamond trees (related to Bergomi-Guyon spot volatility autocorrelation functionals). We provide a general formula valid for very expirations and plot the SSR for longer expirations. The empirical behavior of the SSR seems to be inconsistent with (classical or rough) stochastic volatility.
6:30 PM
Lightning Talks
- Laetitia Garriott de Cayeux | CEO of Global Space Ventures
Conquering cosmic hazards : from space debris to asteroids and comets
- Krishnan Mody | New York University
What is a Wishart matrix?
- Jaehyuk Choi | Peking University and Baruch College
Recent advances in the SABR model for practitioners
- Cindy Liu | Bloomberg
Pairs trading with Kalman filter
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.
Jim Gatheral
Presidential Professor of Mathematics
Baruch College, CUNY
Jim Gatheral is Presidential Professor of Mathematics at Baruch College, CUNY teaching in the Master of Financial Engineering (MFE) Program Prior to joining the faculty of Baruch College, Jim was a Managing Director at Bank of America Merrill Lynch, and also an adjunct professor at the Courant Institute, NYU. His current research focus is on volatility modeling. Jim (along with Mathieu Rosenbaum) was awarded 2021 ‘Quant of the Year’ by RISK Magazine for his work on ‘rough volatility’ modeling. His best-selling book, The Volatility Surface: A Practitioner’s Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling.