The NYU Tandon Department of Finance and Risk Engineering welcomes Nassim Nicholas Taleb to the Peter Carr Brooklyn Quant Experience (BQE) Seminar Series on
Thursday, October 6th at 6 pm ET on Zoom*.
“Covid: A Lesson in Risk Management”
Nassim Nicholas Taleb
The Peter Carr Memorial Conference will honor the life and career of Peter Carr, our beloved teacher, scholar, and colleague.
Through the sharing of research that spans various domains and disciplines, this conference aims to memorialize Peter, his contributions to financial engineering, and the legacy he’s left behind for generations of professionals and academics to extend and follow.
This conference will be co-hosted at NYU’s Brooklyn Campus by the Tandon School of Engineering and the Society of Quantitative Analysts (SQA), where Peter served as chair and director, respectively.
For general conference inquiries, contact the conference planning committee at carr-memorial-conference@nyu.edu.
The deadline to register is Friday, May 20th. You must register by this date to guarantee access to the venue.
Dear All,
You are cordially invited to the Brooklyn Quant Experience Lecture Series (BQE) on Thursday, September 24th at 6 p.m. on Zoom.
*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:
Option Momentum
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.
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.
| Please join us for the next installment of the Bloomberg Quant (BBQ) Seminar Series. The seminar takes place every month and covers a wide range of topics in quantitative finance.
In this session, chaired by Bruno Dupire, Nobel Prize winner Robert F. Engle will present his current research, followed by several “lightning talks” of 5 minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics. NOTE: This event will take place at our 120 Park Avenue location. |
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| Keynote | ||
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| Financial Volatility and Geopolitical Risk
Geopolitical events may impact volatilities of all asset classes, sectors and countries. It is shown that innovations to volatilities are correlated across assets and asset classes and therefore can be used to forecast or hedge geopolitical risks. The paper develops a statistical model of a Geopolitical Volatility Factor or GPVF, based on the standardized residuals from a factor model with GARCH style residuals. A test for GPVF is developed with estimation algorithms. These are applied to 9 ETFs of sectors of the US and to 45 MSCI country ETFs. The model has asset pricing implications for hedging geopolitical risks. |
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| When & where | ||
| Wednesday, June 26, 2019 5:00pm – 8:00pm EDT Bloomberg L.P. |
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| About the business | ||
| The Bloomberg Terminal brings together real-time data, breaking news, in-depth research, powerful analytics, communications tools and world-class execution capabilities in one fully integrated solution – used by 325,000 of the world’s most influential decision makers. |
This page will be updated regularly with information on upcoming QFW Seminars.
This series is a collaborative effort co-organized by Bloomberg LP, Global Risk Institute, International Association of Quantitative Finance (IAQF), NYU’s Courant Institute of Mathematical Sciences, and NYU’s Tandon School of Engineering.
The seminars are held at a different location every week, five locations total, around New York City and Brooklyn–see the Seminar Locations page for details.
