Bloomberg Quant (BBQ) Seminar Series – May 2024
In this seminar chaired by Bruno Dupire, Paul Glasserman, Jack R. Anderson Professor of Business at Columbia Business School, will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession.
5:30 PM
Keynote Q&A: Paul Glasserman
Jack R. Anderson Professor of Business at Columbia Business School
Trading TP2 Option Violations: From Peacocks to Merlins
Call option prices in the Black-Scholes model, viewed as functions of strike and maturity, are totally positive of order two (TP2), meaning that the price ratio of a higher-strike call to a lower-strike call increases with maturity, with suitable adjustments for dividends and interest. We develop conditions for this property in other models, derive analogous conditions for puts, and discuss connections with the shape of the implied volatility surface. In market data for S&P 500 options, we find that violations of TP2 are infrequent and usually correct within a couple of days. Trading against TP2 violations can be highly profitable when properly implemented. This talk is based on joint work with Dan Pirjol and Mike Li. 6:30 PM
Lightning Talks
- Muhammad Abdullah Naeem | Duke University PhD Alumnus
Concentration of Measure
- Daniel Lam | Bloomberg
Black Swans in Black-Scholes
- Arturo Cifuentes | Clapes UC, Catholic University of Chile
Portfolio Optimization Based on Synthetic Data and Contextual Information
- Cindy Liu | Bloomberg
Neural Computation of Beta
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.
Paul Glasserman
Jack R. Anderson Professor of Business
Columbia Business School
Paul Glasserman is the Jack R. Anderson Professor of Business at Columbia Business School, and currently serves as chair of the Financial and Business Analytics Center within Columbia University’s Data Science Institute. He is a past recipient of the IAQF Financial Engineer of the Year Award, Risk magazine’s Quant of the Year Award, and the INFORMS Lanchester Prize.