Bloomberg Quant (BBQ) Seminar Series – April 2022
In this virtual event chaired by Bruno Dupire, Paul Glasserman of Columbia University will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wide variety of topics.
Keynote Paul Glasserman
Professor of Business
Columbia University
W-shaped smiles
What does the shape of an implied volatility curve say about the shape of the risk-neutral density (RND)? "Smile tomography" uses level crossings of the implied volatility curve to infer the shape of the RND by bounding the number of times the RND crosses a lognormal density. We introduce this approach to examine the emergence of W-shaped smiles in equity markets and their connection with bimodal RNDs. We also study related properties of Gaussian mixture models and a novel convexity property of Black-Scholes prices. This is joint work with Dan Pirjol.
Agenda 5:30 pm - Keynote: Paul Glasserman | Professor of Business, Columbia University
6:10 pm - Lightning talks: Gary Kazantsev | Bloomberg An introduction to BQuant Enterprise
Arturo Cifuentes | Clapes UC, Catholic University of Chile
The influence of weather on the quality and price of wine
Revant Nayar | FMI Technologies
Can financial bubble crashes be anticipated using physics?
Speakers
Bruno Dupire
Head of Quantitative Research
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.
Paul Glasserman
Professor of Business
Columbia University
Paul Glasserman is the Jack R. Anderson Professor of Business at Columbia Business School, and he chairs the Financial Analytics Center at Columbia University's Data Science Institute. His publications include the book Monte Carlo Methods in Financial Engineering. He is a past recipient of Risk magazine's Quant of the Year Award (2007) and the IAQF/Northfield Financial Engineer of the Year Award (2020).