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The IAQF is a not-for-profit, professional society dedicated to fostering the profession of quantitative finance by providing platforms to discuss cutting-edge and pivotal issues in the field.


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Upcoming Events

    • 04 Feb 2025
    • 6:00 PM
    • Fordham University McNally Amphitheater 140 West 62nd Street New York, NY 10023
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    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:

    Option prices in the Black-Scholes model have a little-known determinant property: the determinants of out-of-the-money option prices with ordered strikes and maturities are positive. This property is called Total Positivity (TP) and implies additional constraints on option prices beyond those required by absence of arbitrage. Total positivity of order 2 (TP2) corresponds to 2 x 2 determinants and plays a special role. It holds for options with all strikes in the Black-Scholes model. It turns out to hold also for many (but not all) models beyond the Black-Scholes model, such as the Heston model, certain time-changed exponential Levy models and Gaussian mixture models. The talk presents the application of total positivity theory to option markets and discusses some of its implications. Empirical study on exchange-traded SP500 options shows that TP2 violations are infrequent, correct rapidly and can be used to construct profitable trading strategies.


    Bio:

    Dan Pirjol is an Associate Professor with the School of Business at Stevens Institute of Technology, where he teaches courses on financial engineering and risk management. Prior to joining Stevens he worked for more than 12 years in industry positions on Wall Street. His last position was with the model risk group at JP. Morgan, where he worked on models for counterparty credit risk and commodity derivatives. He received a PhD in theoretical physics from Mainz University, Germany.

Latest News

September 3, 2024

The IAQF Announces the Winners of the Thirteenth Annual IAQF Academic Affiliate Membership Student Competition

New York, NY, September 3, 2024 -- The International Association for Quantitative Finance (http://www.iaqf.org) is pleased to announce the winners of the Thirteenth Annual Academic Affiliate Membership Student Competition. Twenty-seven teams representing twelve academic programs submitted papers in response to this year's competition problem which focused on risk-neutral probabilities.

Read the full press release here.

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IAQF Senior Fellow Spotlight

                                                                   


James H. Simons

Dr. James H. Simons is Chairman of the Simons Foundation, an organization dedicated to advancing the frontiers of research in mathematics and the basic sciences. The Foundation’s philanthropic activities include a major research initiative on the causes of autism, and the establishment of an institute for research in mathematics and theoretical physics. The Foundation is particularly interested in the growing interface between the physical and life sciences and has established and endowed several such research programs at universities and institutions both in the US and abroad.

Dr. Simons is Board Chair of Renaissance Technologies LLC, a highly quantitative investment firm, from which he retired in 2009 having founded the company and serving as its CEO for over thirty years. Previously he was chairman of the Mathematics Department at the State University of New York at Stony Brook. Earlier in his career he was a cryptanalyst at the Institute of Defense Analyses in Princeton, and taught mathematics at the Massachusetts Institute of Technology and Harvard University.

Dr. Simons holds a B.S. in mathematics from the Massachusetts Institute of Technology and a Ph.D. in mathematics from the University of California at Berkeley. His scientific research was in the area of geometry and topology. He received the American Mathematical Society Veblen Prize in Geometry in 1975 for work that involved a recasting of the subject of area minimizing multi-dimensional surfaces. Dr. Simons' most influential research involved the discovery and application of certain geometric measurements, now called the Chern-Simons Invariants, which have wide use, particularly in theoretical physics.

Dr. Simons is the founder and Chairman of Math for America, a nonprofit organization with a mission to significantly improve math education in our nation’s public schools. He serves as Trustee of Brookhaven National Laboratory, the Institute for Advanced Study, Rockefeller University, the New York Genome Center, Institut des Hautes Études Scientifiques and the Mathematical Sciences Research Institute in Berkeley. He also serves as Board Chair of the Science Philanthropy Alliance. He is a member of the Board of the MIT Corporation and Chair Emeritus of the Stony Brook Foundation. Dr. Simons is a member of the American Academy of Arts and Sciences, the American Philosophical Society and the National Academy of Sciences.

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