Bloomberg Quant (BBQ) Seminar Series – September 2024
Keynote Speaker: Nizar Touzi
Professor and Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering
Model Risk Sensitivity and Hedging
Distributionally robust optimization studies the worst deviation of an evaluation functional in the neighborhood of some given model of interest. We derive explicit sensitivity analysis under no arbitrage and calibration constraints. In particular, this provides an original first order hedge against model risk. 6:30 PM
Lightning Talks
-Aakriti Mittal | Bloomberg
LLMs for Time Series
-Fabrice Fiol | Blue Owl Capital
Residential MBS: A Closer Look
-Alex Roever | SOFR Academy
SOFRx: Measuring the Liquid Core of U.S. Corporate Credit
-Terry Benzschawel | Benzschawel Scientific, LLC
Constructing Conscious Machines
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.
Nizar Touzi
Professor and Chair of the Finance and Risk Engineering Department
NYU Tandon School of Engineering
Nizar Touzi is a Professor at New York University, Chair of the Department of Finance and Risk Engineering at the Tandon School of Engineering. He was previously Professor at Department of Applied Mathematics of École Polytechnique in France from 2006 to 2023. He was an invited session speaker at the International Congress of Mathematicians (Hyderabad 2010). He received the Louis Bachelier Natixis prize of the French Academy of Sciences in 2012, the Paris Europlace prize of Best Young Researcher in Finance in 2007, and he was awarded an Advanced ERC grant 2012-2017. He is co-editor and associate editor in various international journals in the fields of financial mathematics, applied probability, and control theory.