Monthly Archives: September 2020

Seminar

Brooklyn Quant Experience Lecture Series: Pasquale Cirillo

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Brooklyn Quant Experience Lecture Series, NYU TandonDear All,

You are cordially invited to the Brooklyn Quant Experience Lecture Series (BQE) on Thursday, October 1st at 6 p.m. on Zoom.

Attend Virtually >>

*Please note a meeting password is required for this event.
Meeting ID: 925 3238 8440
Password: BQEPC

Pasquale Cirillo, Professor of Risk Management at the University of Nicosia, Cyprus, and NYU FRE Boot Camp Instructor, will give the following talk:

Title

From P to Q and Beyond, a Tale of Inequality

Abstract

We use tools from inequality studies, like the Lorenz curve and the Gini index, to study the relation between the market measure P and the risk-neutral measure Q, but we also deal with the share measure and the T-forward measure. This alternative approach to the change of measure operation is extremely useful to understand some profound and non-trivial connections among measures, and—in some cases— it can also simplify pricing problems. No preliminary knowledge of inequality measures will be assumed.

Bio

Pasquale Cirillo is a Professor of Risk Management at the University of Nicosia, Cyprus, where he is also a member of the Institute For the Future. He previously held positions at the Delft University of Technology (NL) and the University of Bern (CH). He has been a visiting scholar of NYU FRE, and one of the instructors of the FRE Summer boot camp. His research interests include quantitative risk management, extreme value theory, and urn models. He has published in top international journals and is currently writing a book on fat tails. Besides his academic career, Pasquale has also collaborated with international institutions and many top private companies and banks as a statistical consultant. His MOOCs in risk management have been attended by more than a hundred thousand students from all over the world. He is a proud amateur cook.

Seminar, Uncategorized

Brooklyn Quant Experience Lecture Series: Steve Heston

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Brooklyn Quant Experience Lecture Series, NYU TandonDear All,

You are cordially invited to the Brooklyn Quant Experience Lecture Series (BQE) on Thursday, September 24th at 6 p.m. on Zoom.

Attend Virtually >>

*Please note a meeting password is required for this event.
Meeting ID:971 5155 1289
Password: BQESH

Dr. Steve Heston, Professor of Finance at the University of Maryland, College Park, will give the following talk:

Title:

Option Momentum

Abstract

This paper computes exact returns on equity-V IX option portfolios to investigate momentum in options across different S&P 500 stocks. Stock options with high historical returns continue to outperform options with low returns. This predictability has a quarterly pattern, resembling the pattern of stock momentum found by Heston and Sadka (2008). In contrast to stock momentum, option momentum lasts for up to five years and does not reverse.

The profitability of option momentum is distinct from the profitability of option value, as measured by historical variance divided by current equity-V IX price. It is also not explained by systematic risk, stock characteristics, nor bid-ask spreads.

Bio:

Steve Heston graduated with a BS double major in Mathematics and Economics from the University of Maryland, College Park in 1983. He attended the Graduate School of Industrial Administration and earned an MBA in 1985 followed by a Ph.D. in Finance in 1990. He has held previous faculty positions at Yale, Columbia, Washington University, and the University of Auckland in New Zealand. He has worked in the private sector with Goldman Sachs in Fixed Income Arbitrage and in Asset Management Quantitative Equities. He is known for analyzing options with stochastic volatility and international stock risk.

Seminar

Brooklyn Quant Experience Lecture Series: Jon Hill

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Brooklyn Quant Experience Lecture Series, NYU TandonDear All,

You are cordially invited to the Brooklyn Quant Experience Lecture Series (BQE) on Thursday, September 17th at 6 p.m.  on Zoom.

Attend Virtually >>

*Please note a meeting password is required for this event.
Meeting ID:958 8116 1956
Password: BQEJH

Dr. Jon Hill, NYU Tandon Adjunct Professor, will give the following talk:

Title:

A Smarter Model Risk Management Discipline Will Follow From Making Smarter Models

Abstract

What if a financial firm decided to delete its entire set of models and redevelop them from scratch. What might it do differently in the process of rebuilding its entire model eco-system in order to avoid and leverage from some of its previous mistakes? How could such a firm make the Model Risk Management (MRM) platform smarter and less resource intensive than it was before?

This article describes one forward-looking possibility for making the manually intensive practice of MRM smarter by building models that are smarter in the sense of having a rudimentary level of ‘self-awareness’. Similar to the ways that tech firms have tracked the usage of their smartphones, cars, laptop computers and printers for many years, active intelligent agents embedded in model source code can support the creation of a dynamic model inventory to serve as a repository of historical data that accurately describes how, when and where a firm’s models are used and to diagram firm-wide inter-dependencies between data and models.

Keywords: model risk management, governance, validation, dynamic model inventory, model usage, transponder function, model-embedded, active intelligent agents, machine learning, big data, SR11-7, OCC2011-16.

Bio:

Jon leads the New York Chapter of the Model Risk Managers International Association. With over twenty years of experience in diverse areas of quantitative finance, Jon is recognized as a subject matter expert in model risk management, governance and validation and is the author of numerous publications on these topics. Jon is also an adjunct professor in NYU’s Financial Risk Engineering Dept. where he teaches a graduate course in Advanced Model Risk Management, Governance and Validation.

Jon holds a Ph.D. in Biophysics from the University of Utah. He is a frequent speaker and chairperson at model risk conferences throughout the US and Europe.