BBQ Lightning Talks
BBQ Lightning Talks Chaired by Bruno Dupire with Leif Andersen, Global Co-Head of the Quantitative Strategies Group, Bank of America Merrill Lynch, as guest.
Global Variance Term Premia and Intermediary Risk Apetite
Global Variance Term Premia and Intermediary Risk Apetite With Erik Vogt, financial economist in the Capital Markets Function of the Federal Reserve Bank of New York.
A Data Driven Analysis of the Vol Risk Premium
A Data Driven Analysis of the Vol Risk Premium With Michael Imerman.
Intraday Market Making with Overnight Inventory Costs
Intraday Market Making with Overnight Inventory Costs With Hongzhong Zhang.
Probability Density of Lognormal Fractional SABR Model
Probability Density of Lognormal Fractional SABR Model With Dr. Tai-Ho Wang.
Inverse Problems in Finance
Inverse Problems in Finance With Dr. Sergey Nadtochiy, Assistant Professor in the Department of Mathematics at the University of Michigan.
Volatility Managed Portfolios
Volatility Managed Portfolios With Dr. Alan Moreira, Assistant Professor of Finance at the Yale University School of Management.
Models for Fixed Income Quantitative Trading
Models for Fixed Income Quantitative Trading With Edith Mandel, Principal, Advisory Services at Greenwich Street Advisors, LLC.
BBQ Keynote Talk, Valgebra
BBQ Keynote Talk, Valgebra With Peter Carr, Dept. Chair and Professor, Finance and Risk Engineering, NYU Tandon School of Engineering.
Total Risk and Project Valuation
Total Risk and Project Valuation With David Shimko, CreditCircle, Founder, and FRE Adjunct Professor, NYU Tandon School of Engineering.