Bloomberg Quant (BBQ) Seminar Series – November 2024
In this seminar chaired by Bruno Dupire, Christa Cuchiero, Professor, Department of Statistics and Operations Research, University of Vienna, will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession.
5:30 PM
Keynote Speaker: Christa Cuchiero
Professor, Department of Statistics and Operations Research, University of Vienna Signature Methods in Finance
Signature methods represent a non-parametric way for extracting characteristic features from time series data which is essential in machine learning tasks, mathematical finance and risk assessment. Indeed, signature based approaches allow for data-driven and thus more robust model selection mechanisms, while first principles like no arbitrage can still be easily guaranteed.
One focus of this talk lies on the use of signature as universal linear regression basis of certain continuous paths functionals in financial applications. In these applications key quantities that have to be computed efficiently are the expected signature or the characteristic function of the signature of some underlying stochastic process. Surprisingly this can be achieved for generic classes of diffusion processes, called signature SDEs, via techniques from affine and polynomial processes.
In terms of concrete applications we present several recent contributions ranging from signature based asset price models for joint VIX and SPX calibration, over control problems in stochastic portfolio theory to functional Taylor expansions of path-dependent options.
The talk is based on several joint works with Guido Gazzani, Xin Guo, Janka Möller, Francesca Primavera, Sara-Svaluto Ferro and Josef Teichmann.
6:30 PM
Lightning Talks
- Amal Moussa | Goldman Sachs
When The Micro World Became Macro
- Frédéric Siboulet | New York University
LLMs, Myth And Reality, Building The AI World
- ShengQuan Zhou | Bloomberg
Optimal Discrete Hedge
- Paul D. Miller (aka DJ Spooky) | Yale University
Digital Fictions: All Consuming Algorithms And The Future Of Digital Storytelling
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.
Christa Cuchiero
Professor, Department of Statistics and Operations Research
University of Vienna
Christa Cuchiero is a full professor at the University of Vienna. She earned her doctorate in Mathematics from ETH Zurich in 2011. Her research centers around mathematical finance, stochastic analysis, quantitative risk management and machine learning. She is particularly interested in classes of universal stochastic processes with applications in volatility modeling and portfolio theory, approximation theory in dynamic situations, data-driven risk inference and machine learning in finance. Christa Cuchiero has received several prizes and fellowships, including the prestigious START award of the Austrian Science Fund (FWF). She has given a number of keynote speeches and serves on the editorial board of several academic journals. She has also co-organized international conferences and a world online seminar series on machine learning in finance.