Events



Upcoming events

    • 25 Apr 2019
    • 5:30 PM - 8:00 PM
    • UCLA Anderson School of Management, B208-B210/Gold Hall, 110 Westwood Plaza, Los Angeles, CA 90095
    Register
    How I Became a Quant - L.A.

    Financial Engineers Give a Personal View of their Careers in Quantitative Finance

    5:30 PM - 6:30 PM
    "How I Became a Quant" Panel

    6:30 PM - 8:00 PM
    Networking Reception



    Panelists:


    Fei He
    DoubleLine Group LP

     

    Udit Gupta

    MUFG Union Bank

     

    Karunya Ravindran

    Athene Asset Management

     

    Valerie (Qiuxue) Yang

    The Summa Group | Oppenheimer & Co. Inc.



    Moderator:

    Elisa Dunn

    Executive Director,
    UCLA Anderson 
    Master of Financial Engineering Program



    Hosted and Sponsored By:





    • 07 May 2019
    • 6:00 PM (EDT)
    • Fordham Gabelli School of Business, McNally Amphitheatre 140 West 62nd Street New York, NY 10023
    Register

    Options Portfolio Selection



    A Talk by 
     

    Paolo Guasoni


    Tuesday, May 7th

    5:45 PM Registration

    6:00 PM Seminar Begins
    7:30 PM Reception



        

    Abstract 

    We develop a new method to optimize portfolios of options in a market where European calls and puts are available with many exercise prices for each of several potentially correlated underlying assets. We identify the combination of asset-specific option payoffs that maximizes the Sharpe ratio of the overall portfolio: such payoffs are the unique solution to a system of integral equations, which reduce to a linear matrix equation under suitable representations of the underlying probabilities. Even when implied volatilities are all higher than historical volatilities, it can be optimal to sell options on some assets while buying options on others, as hedging demand outweighs demand for asset-specific returns.       


     

    Biography

    Paolo Guasoni holds the Stokes Chair in Financial Mathematics at Dublin City University since 2009 and specializes in Mathematical Finance. His research investigates the effects of market frictions, incentives, and preferences, in portfolio choice and asset pricing, and has appeared in the Journal of Financial Economics, Finance and Stochastics, Mathematical Finance, and Annals of Applied Probability. He has attracted funding by the European Research Council, the National Science Foundation, Science Foundation Ireland, and the European Commission. He serves as Associate Editor for Finance and Stochastics, Mathematical Finance, SIAM Journal in Financial Mathematics, Applied Mathematical Finance, and the European Journal of Finance.

    Acknowledgments

    Special thanks to the Fordham University Gabelli School of Business for hosting and sponsoring the seminar. 


    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
    • 11 Jun 2019
    • 6:00 PM (EDT)
    • Fordham Gabelli School of Business, McNally Amphitheatre 140 West 62nd Street New York, NY 10023
    Register

    Blockchain Analytics for

    Intraday Financial Risk Modeling




    A Talk by 
     

    Matthew Dixon


    Tuesday, June 11th

    5:45 PM Registration

    6:00 PM Seminar Begins
    7:30 PM Reception



        

    Abstract 

    Blockchain provides access to the entire transaction graph yet its properties are poorly understood. One key question in this direction is the extent which the transaction graph can serve as an early-warning indicator for large financial losses.  In this talk, we demonstrate the impact of extreme transaction graph activity on the intraday volatility of the Bitcoin prices series. Specifically, we introduce and characterize certain sub-graphs ('chainlets') that exhibit predictive influence on Bitcoin price and volatility and identify the types of chainlets that signify extreme losses. Using bars ranging from 15 minutes up to a day, we fit eGARCH models with and without the extreme chainlets and show that the former exhibit superior Value-at-Risk backtesting performance.

           


     

    Biography

    Matthew Dixon, FRM, is an Assistant Professor of Applied Math at the Illinois Institute of Technology. Matthew joined the Illinois Institute of Technology in 2015 and teaches in the Masters of Mathematical Finance and Finance programs. His research in machine learning and computational methods for fintech is funded by Intel and the NSF. Matthew began his career in structured credit trading at Lehman Brothers in London before pursuing academics and consulting for financial institutions in quantitative trading and risk modeling. He holds a Ph.D. in Applied Mathematics from Imperial College (2007) and has held postdoctoral and visiting professor appointments at Stanford University and UC Davis respectively.  He serves on the editorial board of the AIMS Journal of Dynamics and Games.



    Acknowledgments

    Special thanks to the Fordham University Gabelli School of Business for hosting and sponsoring the seminar. 


    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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