Bloomberg Quant (BBQ) Seminar Series – February 2022
In this virtual event chaired by Bruno Dupire, Hans Buehler of JPMorgan Chase 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.
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Keynote Hans Buehler
Managing Director
JPMorgan Chase
Learning to trade: From regression to reinforcement learning
Hans Buehler will go through recent research about building machines which can trade autonomously, beyond the current generation of complete market models that usually require human intervention for pricing and risk.
Hans heads Analytics, Automation and Optimization in Equities at JPMorgan Chase and runs the Equities, Sales and Securities Services Data Analytics and Quantitative Research teams.
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Agenda
- 5:30 pm - Keynote
Hans Buehler | Managing Director, JPMorgan Chase - 6:10 pm - Lightning talks:
Nassim Nicholas Taleb | Universa Investments and New York University
Another mistake in calculating COVID risks
Aditi Dandapani | PhD from Columbia University
A flavor of quantum cybersecurity
Chakri Cherukuri | Bloomberg
Bayesian optimization
Speakers
Bruno Dupire
Head of Quantitative Research
Bloomberg
Bruno Dupire is head of Quantitative Research 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 is running the Bloomberg Quant (BBQ) seminar, the largest monthly event of this kind.
Hans Buehler
Managing Director
JPMorgan Chase
Hans Buehler heads Analytics, Automation and Optimization in Equities and runs the Equities, Sales and Securities Services Data Analytics and Quantitative Research teams. His mandate is data-driven business transformation across sales, derivatives, cash equity, electronic trading, prime, and securities services using both modern machine learning and classic analytical methods. Specific focus in the machine learning space is on AI-driven electronic execution and derivative risk management, and the use of modern machine learning techniques for engaging with clients. Hans is a Managing Director, having joined JPMorgan Chase in Hong Kong in 2008. Before that, he worked for seven years at Deutsche Bank, also in Equities. He has a PhD from Technical University in Berlin in Financial Mathematics, and a MSc from Humboldt University in Stochastic Analysis. Hans is based in London.