In this talk Andrew Papanicolaou gives insight into markets for derivatives on the VIX. The VIX is an implied volatility on the S&P500 index (SPX) with a history of spiking when the market encounters turbulence. Futures on the VIX are liquid instruments that are useful in hedging volatility, which in turn has lead to a demand for VIX call/put options and exchange traded notes (ETNs). Some interesting questions to ask are: How are the VIX and SPX markets related? How to effectively manage the futures term structure? His aim is to address both questions.
Biography
Andrew Papanicolaou is an assistant Professor in NYU Tandon's Department of Finance and Risk Engineering. He holds a B.S. from University of California at Santa Barbara (2003), an M.S. from University of Southern California (2007), and a Ph.D. in Applied Mathematics from Brown University (2010). His research focuses on filtering theory, parameter estimation, stochastic control, and financial mathematics. Specific problems he’s studied include model selection and calibration for pricing of volatility derivatives, statistical inference for hidden economic indicators, and optimal strategies for investment in markets with unobserved factors. His work provides detailed mathematical analysis while emphasizing a deeper understanding of financial economics. His interdisciplinary interests allow him to engage in new research directions in financial mathematics, as well finding new applications of arbitrage theory, portfolio theory, and financial data analysis. His past appointments were as a postdoctoral fellow and lecturer at Princeton in the department of Operations Research and Financial Engineering from 2010 to 2013, and as a lecturer at the University of Sydney in the School of Mathematics & Statistics from 2013 to 2015. In Spring 2015 he was awarded a fellowship at the Institute of Pure and Applied Mathematics at UCLA, and participated in the workshop series on “Broad Perspectives and New Directions in Financial Mathematics.”
