Events



Upcoming events

    • 25 Apr 2017
    • 5:45 PM (EDT)
    • NYU Kimmel Center, Room 914, 60 Washington Square South, New York, NY

    Trading in VIX Derivatives



                  
    A Talk by Dr. Andrew Papanicolaou


    Tuesday, April 25th 
    5:45 PM Registration

    6:00 PM Seminar Begins
    7:30 PM Reception

        
    Abstract

    In this talk I will give insight into markets for derivatives on the VIX. The VIX is an implied volatility on the S&P500 index (SPX) with a history of spiking when the market encounters turbulence. Futures on the VIX are liquid instruments that are useful in hedging volatility, which in turn has lead to a demand for VIX call/put options and exchange traded notes (ETNs). Some interesting questions to ask are: How are the VIX and SPX markets related? How to effectively manage the futures term structure? My aim is to address both questions.

     

    Biography

    Andrew Papanicolaou is an assistant Professor in the Department of Finance and Risk Engineering. He holds a B.S. from University of California at Santa Barbara (2003), an M.S. from University of Southern California (2007), and a Ph.D. in Applied Mathematics from Brown University (2010).

    His research focuses on filtering theory, parameter estimation, stochastic control, and financial mathematics. Specific problems he’s studied include model selection and calibration for pricing of volatility derivatives, statistical inference for hidden economic indicators, and optimal strategies for investment in markets with unobserved factors. His work provides detailed mathematical analysis while emphasizing a deeper understanding of financial economics. His interdisciplinary interests allow him to engage in new research directions in financial mathematics, as well finding new applications of arbitrage theory, portfolio theory, and financial data analysis.


    His past appointments were as a postdoctoral fellow and lecturer at Princeton in the department of Operations Research and Financial Engineering from 2010 to 2013, and as a lecturer at the University of Sydney in the School of Mathematics & Statistics from 2013 to 2015. In Spring 2015 he was awarded a fellowship at the Institute of Pure and Applied Mathematics at UCLA, and participated in the workshop series on “Broad Perspectives and New Directions in Financial Mathematics.”


             

    About the Series

    The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. 

     

    Registration Fees:
    Complimentary for IAQF members through this site
    Thalesians Members can register here for $25
    Non-Members: $25.00 by registering through this site
    • 15 May 2017
    • 5:45 PM (EDT)
    • NYU Kimmel Center, Room 914, 60 Washington Square South, New York, NY
    Trading algorithms with learning in latent alpha models


                  
    A Talk by Dr. Sebastian Jaimungal 


    Monday, May 15th

    5:45 PM Registration
    6:00 PM Seminar Begins
    7:30 PM Reception

        
    Abstract

    Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and diffuse. Moreover, we account for the effect of the trader's actions on quoted prices and the prices they receive from trading. Under fairly general assumptions, we demonstrate how the trader can learn the posterior distribution over the latent states, and explicitly solve the latent optimal trading problem in an online fashion. Furthermore, we develop a forward-backward algorithm based on expectation-maximization to calibrate a pure-jump model to historical data, illustrate the efficacy of the optimal strategy through simulations, and compare to strategies which ignore learning in the latent factors.

    (Joint work with Philippe Casgrain, U. Toronto)

     

    Biography

    Dr. Sebastian Jaimungal is a Full Professor in the Department of Statistical Sciences at the University of Toronto, where he is the director of the Masters of Financial Insurance program, teaches in the Masters of Mathematical Finance program, and the PhD program. Sebastian is the current Chair (and former Vice Chair; Program Director) for SIAM Financial Mathematics and Engineering (SIAG/FM&E), he is a co-author of the book titled “High-Frequency and Algorithmic Trading” published by Cambridge University Press (2015), and acts on the editorial board for a number of academic and industry journals including: SIAM Journal on Financial Mathematics (SIFIN), The International Journal of Theoretical and Applied Finance (IJTAF), High FrequencyJournal of Risks and Argo. Sebastian is also a founding board member of the Commodities and Energy Markets Association.


             

    About the Series

    The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. 

     

    Registration Fees:
    Complimentary for IAQF members through this site
    Thalesians Members can register here for $25
    Non-Members: $25.00 by registering through this site

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