Conference Program
Conference Program
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Thursday
Friday
Saturday
Thursday, June 2, 2022
370 Jay St.
12th Floor, Room 1201
| 5:30 pm – 7:30 pm | The Peter Carr Memorial Welcome Reception |
| Dean Jelena Kovačević, NYU Tandon School of Engineering | |
| Barry Blecherman, NYU Tandon School of Engineering | |
| Dilip Madan, University of Maryland (via Zoom) | |
| Bruno Dupire, Bloomberg (via Zoom) |
Friday, June 3, 2022
5 MetroTech Center
NYU Bern Dibner Library of Science and Technology
Pfizer Auditorium (1st Floor)
Directions to 5 MetroTech Center
| 9:00 am | Breakfast and Registration |
| 9:30 am | Opening Remarks: Dean Jelena Kovačević |
| 9:45 am | Plenary Speaker (via Zoom) – Robert Jarrow, Cornell University
The No-arbitrage Pricing of Non-Traded Assets |
| 10:30 am | Pavel Levin, St. John’s University
Instantaneous and Averaged Volatility in Two-Side Filtration Model of Financial Asset Pricing |
| 11:00 am | Federico Maglione, Scuola Normale Superiore
Elementary Compound Derivatives |
| 11:30 am | David Shimko, NYU Tandon School of Engineering
Simplified Option Price Derivations |
| 12:00 pm | LUNCH |
| 1:15 pm | Plenary Speaker: Liuren Wu (via Zoom), Baruch College
Option Pricing Bottom Up and Top Down |
| 2:00 pm | Roza Galeeva, NYU Tandon School of Engineering
Deriving Better Derivatives |
| 2:30 pm | Dan Pirjol, Stevens Institute of Technology
W-Shaped Implied Volatility Curves and the Gaussian Mixture Model |
| 3:00 pm | Prithvi Ramesh, UBS Investment Bank
Generalized Power Gaussian Copula & CMS Spread Option Smiles |
| 3:30 pm | BREAK |
| 4:00 pm | Plenary Speaker: Hélyette Geman, Johns Hopkins University
How we came up with the CGMY model |
| 4:45 pm | Julien Guyon, Bloomberg LP.
Volatility is (Mostly) Path-Dependent |
| 5:15 pm | Claudio Tebaldi, Bocconi University
Financial Interpretation of Feller’s Factorization |
| 5:45 pm | Pasquale Cirillo, ZHAW School of Management and Law, Switzerland
Pseudo Sums, Contingent Claims and a Generalized Memoryless Property |
| 6:15 pm | Reception |
Saturday, June 4, 2022
5 MetroTech Center
NYU Bern Dibner Library of Science and Technology
Pfizer Auditorium (1st Floor)
Directions to 5 MetroTech Center
*NOTE: Registration will begin at 8:20 am ET.
| 8:50 am |
Bruno Dupire, Bloomberg |
| 9:45 am | Plenary Speaker – Jim Gatheral, Baruch College
Peter Carr and the variance contract |
| 10:30 am | Cody Hyndman, Concordia University
Convolution-FFT for Option Pricing in the Heston Model |
| 11:00 am | Kevin Atteson, NYU Tandon School of Engineering
Maximum Drawdown Derivatives at a Hitting Time |
| 11:30 am | Andrey Itkin (via Zoom), NYU Tandon School of Engineering
Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model |
| 12:00 pm | LUNCH |
| 1:00 pm | Plenary Speaker – Roger Lee, University of Chicago
EMA-type Trading Rules Maximize Expected Utility under Gaussian Partial Information |
| 1:45 pm | Stephan Sturm, Worcester Polytechnic Institute
When to Sell and Asset?-A Distribution Builder Approach |
| 2:15 pm | Douglas Costa (via Zoom), Susquehanna International Group, LLP
Optionality as a Binary Operation |
| 2:45 pm | Sébastien Bossu, WPI Business School and NYU Courant
Generalizations of Carr-Madan Formula for Option Decomposition |
| 3:15 pm | BREAK |
| 3:45 pm | Ségolène Dessertine-Panhard and Yash Shah, Amazon Web Services and ML Solutions Lab
Evolution of Forecasting to Tackle Business Problems: From Standard textbook Time Series Models to State of the Art Algorithms, Ensembling and Interpretability |
| 4:15 pm | Bruno Kamdem, NYU Tandon School of Engineering
Tradable Carbon Permit Auctions Under Regulation and Competition |
| 4:45 pm | Umberto Cherubini, University of Bologna
Generalizing Compounding and Growth Optimal Portfolios: Reconciling Kelly and Samuelson |
| 5:15 pm | Plenary Speaker – Nassim Nicholas Taleb, NYU Tandon School of Engineering (Closing Remarks)
Title: TBA |
Please note that the conference agenda is subject to change.