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Events / Thalesians Series

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.

Call For Speakers

If you are interested in speaking at one of the upcoming seminars, please email info@iaqf.org

Past Seminars

About The Organizer

Harvey Stein is a senior VP in the Labs group at Two Sigma. From 1993 to 2022, Dr. Stein was at Bloomberg, where he served as the head of several departments including Quantitative Risk Analytics, Counterparty and Credit Risk, Interest Rates Derivatives, and Quantitative Finance R&D. Harvey is well known in the industry, having published and lectured on credit risk modeling, financial regulation, interest rate and FX modeling, CVA calculations, mortgage backed security valuation, COVID-19 data analysis, and other subjects.

Dr. Stein is on the board of directors of the IAQF, a board member of the Rutgers University Mathematical Finance program, an adjunct professor at Columbia University, and organizer of the IAQF/Thalesians financial seminar series. He's also worked as a quant researcher on the Bloomberg for President campaign.

Dr. Stein holds a Ph.D. in Mathematics from the University of California, Berkeley (1991) and a B.S. in Mathematics from Worcester Polytechnic Institute (1982).

 



Upcoming Seminars

    • 09 Sep 2025
    • 6:00 PM
    • Fordham University, Pope Auditorium 113 W 60th St #7, New York, NY 10023
    Register


    6:00 PM Seminar Begins

    7:30 PM Reception


    Hybrid Event


    Room Change:

    Fordham University

    Pope Auditorium 113 W 60th St #7

    New York, NY 10023


    Free Registration!


    For Virtual Attendees: Please select virtual instead of member type upon registration.

    Abstract:

    Signature methods have successfully been used as a tool for feature extraction in statistical learning methods, notably in mathematical finance. The specific reason for their success is often much less clear, besides a general hand-waving to path-dependence. This presentation highlights the potential of signatures for data pooling and options strategies in the commodities space. We further aim to explain the success of signatures in the foundational task: classifying commodity futures markets according to storability. We provide a regular perturbation of the signature of the futures term structure in terms of the convenience yield and identify the volatility of the convenience yield as major discriminant. This is joint work with Hari P. Krishnan.


    Bio:

    Stephan Sturm is Associate Professor of Mathematical Sciences at Worcester Polytechnic Institute (WPI) in Massachusetts. After obtaining his PhD in Mathematics from TU Berlin (Germany), he became a Postdoctoral Research Associate and Lecturer at ORFE in Princeton before joining WPI as a faculty member. Sturm's research covers mainly different areas of financial mathematics, but he is interested in stochastic modeling in general, such as applications to climate science. In finance, his recent work has been focused in particular on portfolio selection and incentives, indifference pricing and the use of signature-based models.

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