Bloomberg Quant (BBQ) Seminar Series – February 2025

Please register to join us virtually from 5:30 - 7:00 pm for the Bloomberg Quant (BBQ) Seminar Series, streamed live from our Bloomberg Lexington Avenue office. A link to the webcast will be emailed to you immediately upon registration. In this seminar chaired by Bruno Dupire, Timothy Klassen, CEO & Founder, Vola Dynamics, will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession. 5:30PM Keynote Speaker: Timothy Klassen CEO & Founder, Vola Dynamics Secrets of the Implied Volatility Surface: Inferring Rates, Dividends, Events, and Risk-Neutral Densities from Options Prices The implied volatility surface (together with rates and projected dividends) is the fundamental building block for the pricing and risk-management of vanilla and exotic options. We describe the steps in its calibration, and all the detailed information embedded in the options market one encounters along the way. Our examples span the dramatic market evolution of the past two decades – from the GFC to the Covid crash, to meme stocks and geopolitical events – showcasing how the options market has become an ever more sophisticated vehicle for expressing detailed forward-looking views. 6:30 PM Lightning Talks - Renyuan Xu | New York University Generative Diffusion Models and Finance - Antoine Savine | Hudson River Trading Differential Machine Learning - Claire Fu | Bank of China Integrating Behavioral Finance, NLP-Sentiment and Deep Learning - Bryan Liang | Bloomberg Break-Even Volatilities - Eric Liverance | Bank of America Linking SOFR Options and Swaptions