Tag Archives: finance and risk engineering

Seminar

Brooklyn Quant Experience Lecture Series: Roza Galeeva

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Brooklyn Quant Experience Lecture Series, NYU Tandon

Roza Galeeva, Adjunct Professor, NYU Tandon FRE, will give the following talk on Thursday, March 11th at 9:30 AM EST. 
*Kindly note that we have changed the time to 9:30 AM on Thursdays. The new time change allows our invited international guests to join these important virtual talks.

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Meeting ID: 928 3123 9504
Password: FREBQERG

Title

In Pursuit of Samuelson: Studies of Commodity Volatilities and Correlations

Abstract

Empirical analysis of price returns is an essential component in the valuation methods in any asset class. Energy commodities present unique challenges: seasonality and inventory are crucial for covariance structure; forward price volatility increases dramatically while approaching contract’s expiration: the famous Samuelson effect; liquidity in commodity futures and options liquidity is concentrated at short tenors.

This fact makes the term structure of volatility and correlations very important in pricing and hedging decisions. In this presentation, I give the results of my work with NYU students devoted to this subject. We will follow three goals:

  • Parameterization of Samuelson effect and the calibration procedures for commodities futures, including seasonal commodities as gas and power.
  • Samuelson effect for commodity correlations, parameterizing calendar correlations.
  • Contrast between the traditional Black and its long-ago predecessor Bachelier model in view of recent dramatic events in oil markets in Spring 2020.

Bio

Roza Galeeva has extensive experience of over 18 years with commodity derivatives – modelling, pricing, and risk management. She has been employed at senior levels as a quant at Williams Energy, Northeast Utilities, and most recently, for 13 years, 2005-2018 at Morgan Stanley. She worked at MS in different roles and departments, including the Valuation Group, and later the MS strats and modelling group. Prior to the industry, Roza was teaching courses in mathematics in different countries. She has a PhD from Moscow State University in Mathematical Physics. She published papers in geometry, PDE, dynamical systems, and financial engineering. She made her come back to academia in 2017 at NYU with teaching courses in financial engineering and working with NYU students on research projects on Commodity Derivatives.

Seminar

Brooklyn Quant Experience Lecture Series: J. Doyne Farmer

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Brooklyn Quant Experience Lecture Series, NYU Tandon

J. Doyne Farmer, Director of Complexity Economics at the Institute for New Economic Thinking at the Oxford Martin School, and Baillie Gifford Professor of Mathematics at the University of Oxford, will give the following talk on Thursday, February 25th at 9:30 AM EST. 
*Kindly note that we have changed the time to 9:30 AM on Thursdays. The new time change allows our invited international guests to join these important virtual talks.

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Meeting ID: 994 9055 8266
Password: FREBQEDF

Title

How Market Ecology Explains Market Malfunction

Abstract

Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists, in which the wealth invested in a financial strategy is like the abundance of a species. We study a toy model of a market consisting of value investors, trend followers, and noise traders. We show that the average returns of strategies are strongly density-dependent, i.e. they depend on the wealth invested in each strategy at any given time. In the absence of noise, the market would slowly evolve toward an efficient equilibrium, but the statistical uncertainty in profitability (which is adjusted to match real markets) makes this noisy and uncertain. Even in the long term, the market spends extended periods of time away from perfect efficiency. We show how core concepts from ecology, such as the community matrix and food webs, give insight into market behavior. The wealth dynamics of the market ecology explain how market inefficiencies spontaneously occur and give insight into the origins of excess price volatility and deviations of prices from fundamental values.

Bio

J. Doyne Farmer is Director of Complexity Economics at the Institute for New Economic Thinking at the Oxford Martin School, and Baillie Gifford Professor of Mathematics at the University of Oxford. He is also an External Professor at the Santa Fe Institute. His current research is in economics, including financial stability, sustainability, technological change, and economic simulation. He was a founder of Prediction Company, a quantitative automated trading firm that was sold to the United Bank of Switzerland in 2006. His past research spans complex systems, dynamical systems, time series analysis, and theoretical biology. He founded the Complex Systems Group at Los Alamos National Laboratory, and while a graduate student in the 1970s he built the first wearable digital computer, which was successfully used to predict the game of roulette.

Seminar

Brooklyn Quant Experience Lecture Series: Ting-Kam Leonard Wong

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Brooklyn Quant Experience Lecture Series, NYU Tandon

The Department of Finance and Risk Engineering welcomes Ting-Kam Leonard Wong, Assistant Professor, Department of Statistical Sciences at the University of Toronto, to the BQE Lecture Series on Thursday, December 3, 2020, at 6 p.m. on Zoom.

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Meeting ID: 916 8329 0348
Password: BQETKLW

Title

Statistical Modeling of Capital Distribution and Portfolio Optimization

Abstract

Capitalization-weighted market indexes such as S&P500 summarize the performance of equity markets and serve as benchmarks of many individual and institutional investors. The ranked weights of a market index are called the capital distribution. In stochastic portfolio theory, it was shown that market diversity, a measure of the concentration of capital distribution, is significantly correlated with the relative performance of active portfolio managers. Statistical modeling of the capital distribution, however, is lacking in the literature. In this talk, we present an ongoing study on capital distribution from the viewpoint of high dimensional time series analysis. Using dynamic factor models, we show that the notion of market diversity can be justified statistically in terms of the most efficient dimension reduction of capital distribution. We also introduce a nonparametric portfolio optimization in the framework of stochastic portfolio theory to exploit the stability of the capital distribution.

Bio

Leonard Wong is an assistant professor in the Departments of Statistical Sciences at the University of Toronto and Computer and Mathematical Sciences at the University of Toronto Scarborough. He completed his Ph.D. in Mathematics at the University of Washington, after which he was a non-tenure track assistant professor at the University of Southern California. His current research interests include probability, mathematical finance, and optimal transport.

Seminar

Brooklyn Quant Experience Lecture Series: Sanjay Nawalkha

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Brooklyn Quant Experience Lecture Series, NYU Tandon

The Department of Finance and Risk Engineering at NYU Tandon School of Engineering, welcomes Sanjay K. Nawalkha, Professor of Finance, University of Massachusetts, to the BQE Lecture Series on Thursday, November 5, 2020, at 6 p.m. on Zoom.

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Meeting ID: 945 2031 9822
Password: BQESN

Title

A Theory of Equivalent Expectations Measures for Expected Prices of Contingent Claims

Abstract

This paper introduces a theory of equivalent expectation measures, such as the R measure and the R1T measure, generalizing the martingale pricing theory of Harrison and Kreps (1979) for deriving analytical solutions of expected prices (both the expected current price and the expected future price) of contingent claims. We also present new R-transforms which extend the Q-transforms of Bakshi and Madan (2000) and Duffie et al. (2000), for computing the expected prices of a variety of standard and exotic claims under a broad range of stochastic processes. Finally, as a generalization of Breeden and Litzenberger (1978), we propose a new concept of the expected future state price density which allows the estimation of the expected future prices of complex European contingent claims as well as the physical density of the underlying asset’s future price, using the current prices and only the first return moment of standard European OTM call and put options.

Bio

Sanjay Nawalkha is a Professor of Finance at the Isenberg School of Management. His areas of research are fixed income valuation, derivative pricing, and asset pricing. Professor Nawalkha chaired the Finance Department at the Isenberg School of Management from Sept. 2011 until August 2018. He has co-authored four books, Dynamic Term Structure Modeling: The Fixed Income Valuation Course (Wiley & Sons, 2007), Interest Rate Risk Modeling: The Fixed Income Valuation Course (Wiley & Sons, 2005), Interest Rate Risk Measurement and Management (Institutional Investors, 1999) and Closed-Form Duration Measures and Strategy Applications (The Research Foundation of the Institute of Chartered Financial Analysts, 1990). He has published over 35 scholarly articles in the areas of term structure modeling, risk management, and arbitrage pricing theory.