Dear All,

You are cordially invited to attend the FRE Lecture Series on Thursday, October 31st, 6 MetroTech Center),at 6:00PM.

Dr. Pasquale Cirillo will present a talk on the following topic:

Title:

The Distortions of Finance

Abstract:

Finance is a world of distortions. Many tools we use, many findings we know are actually the result of a distortion. Take the well-known Black-Scholes model: the probability to be in the money at maturity under P and Q is a distortion. And the price of a European call? Another distortion. Consider risk management, think about the expected shortfall, and—guess what—a distortion. And if you think that copulas are immune, you are wrong, plenty of distortions there. Model risk is often represented in terms of distortions. So, let’s talk about distortions, and in particular about the special class of Lorenz transforms.

Bio:

Pasquale Cirillo is associate professor of applied probability at Delft University of Technology, The Netherlands, where he also coordinates the Financial Engineering Specialization of the Master in Applied Mathematics. His research interests include quantitative risk management (in particular credit and operational risk), extreme value theory and combinatorial stochastic processes. Besides the academic career, as a statistical consultant, he has collaborated with international institutions, like the World Bank and the European Food Safety Authority, and many private companies and banks.
His MOOCs in risk management have been attended by more than 110’000 students from all over the world. He is a proud amateur cook.

We look forward to having you join us for the talk and refreshments. Please mark your calendars.