6:00 PM Seminar Begins

7:30 PM Reception

Hybrid Event:

Fordham University

McNally Amphitheater

140 West 62nd Street

New York, NY 10023

Free Registration!

For Virtual Attendees: Please select virtual instead of member type upon registration.

Abstract:

Functional Data Analysis (FDA) plays an undeniably central role in studying various statistical inference problems, allowing consideration of functional datasets on potentially complex domains, with trajectories observed discretely or continuously. Regarding discrete observations, this approach essentially imposes some smoothness conditions on the sample paths and/or their covariance function to apply well-developed approximating methods. However, the usual regularity assumptions seriously limit the applicability of FDA in many commonly encountered settings, most notably stochastic differential equations (SDEs). In this talk, we introduce a careful modification of existing methods, dubbed the "reflected triangle estimator," and make inferences about the global behavior of diffusion processes. We show that this allows for the FDA of processes with nowhere differentiable sample paths, even when these are discretely and noisily observed, including under irregular and sparse designs. We then proceed to relate the global behavior of the processes to their local behavior by means of an apparently novel PDE. We establish almost sure uniform asymptotic convergence rates of the proposed estimators as the number of observed curves grows to infinity. Our rates are non-asymptotic in the number of measurements per path, explicitly reflecting how different sampling frequencies might affect the speed of convergence.

This talk builds on two papers: Functional Data Analysis with Rough Sample Paths? (Mohammadi and Panaretos, 2024) and Nonparametric Estimation for SDEs with Sparsely Sampled Paths: An FDA Perspective (Mohammadi et al., 2024).

Bio:

Dr. Neda Mohammadi is a tenure-track assistant professor in the Department of Mathematics and Statistics at North Carolina A&T State University (NCAT), USA. Her research focuses on Functional Data Analysis (FDA), Stochastic Processes, and Time Series Analysis, particularly in the spectral domain. She works at the intersection of FDA, frequency domain time series analysis, and statistical inference for (Itô) diffusion-modeled random processes. More recently, she has been developing deep learning methods for FDA in the spectral domain. Prior to her current position, Dr. Mohammadi held postdoctoral fellowships at Colorado State University (CSU), USA, and École Polytechnique Fédérale de Lausanne (EPFL), Switzerland. She earned her PhD in Statistics from Isfahan University of Technology (IUT), Iran, where her research focused on periodically correlated functional time series.

Financial Engineer of the Year:

Robert Whaley

Award Dinner Information

Thursday, May 22, 2025

The Yale Club

New York City

6:30pm Cocktails 7:30pm Dinner

Corporate sponsorships including tables of ten are available

Individual seats are available for $600

For more information please contact the

IAQF office at 646-736-0705 or info@iaqf.org

About This Year's Award Recipient:

A frequent contributor to Wall Street Journal, New York Times, Marketplace and other news organizations on topics of market volatility, Bob Whaley is renowned as the “father of the fear index”-- the VIX, created for the CBOE in 1993. Professor Whaley has received a number of grants and awards including the 1989 Richard and Hinda Rosenthal Foundation Award for innovation in finance research, the 1993 Earl M. Combs, Jr. Award for contributions to the futures industry, a Chicago Board Options Exchange 40th Anniversary Award for contributions to listed options markets in 2013, the 2015 Joseph W. Sullivan Options Industry Achievement Award, and the 2015 William F. Sharpe Lifetime Achievement Award. Many of his research papers have received awards, including Graham and Dodd Scrolls for Excellence in Financial Writing from the Financial Analysts Journal in 1986 and 1987, the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in Journal of Portfolio Management during the volume year 1999-2000, the E. Yetton Award for Best Paper in Australian Journal of Management, 1997 for his work on program trading and futures option valuation, the CBOT Award for Best Paper on Futures at the Western Finance Association meetings in 1993 for his work on dual trading, the Canadian Securities Institute Award for Best Paper in Investments at the Northern Finance Association meetings in 1989 for his work on market volatility prediction, and an EOE Prize from the Institute for Quantitative Investment Research—Europe in 1995 for his work on deterministic volatility functions, and the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in Journal of Portfolio Management during the volume year 2008-2009.

Expertise. Professor Whaley is an established expert in derivative contract valuation and risk management, and market operation. He has been a consultant for many major investment houses, security (futures, option and stock) exchanges, governmental agencies, and accounting and law firms. Whaley developed the CBOE Market Volatility Index (i.e., the “VIX”) for the Chicago Board Options Exchange in 1993, the NASDAQ Market Volatility Index (i.e., the “VXN”) in 2000, and the BuyWrite Monthly Index (i.e., the “BXM”) in 2001. He also co-developed the NASDAQ OMX Alpha Indexes.

Publications. As an established expert in derivative contract valuation and risk management, and market operation, Professor Whaley has served as a consultant for many major investment houses and has published seven books, including the recent Derivatives: Markets, Valuation, and Risk Management by John Wiley & Sons, Inc. His current research interests focus on bitcoin products, volatility products, high-frequency trading and market volatility, market microstructure and relative performance options. His research has been published in the top academic and practitioner journals, and he is a frequent presenter at major conferences and seminars. Whaley holds a PhD and an MBA from the University of Toronto, and his BComm from University of Alberta.

The annual IAQF/Northfield FEOY Award, established in 1993, recognizes individual contributions to the advancement of quantitative finance. A nominating committee of approximately 60 people consisting of all the IAQF governing boards submits nominations, which are reviewed in a two-step process by a selection committee of 25 members. The selection committee includes the IAQF board of directors and senior fellows and was chaired by Dilip Madan IAQF senior fellow and 2021 FEOY award winner.