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Events / Thalesians Series

About The Series

The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com).  The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance.  This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion.

Call For Speakers

If you are interested in speaking at one of the upcoming seminars, please email info@iaqf.org

Past Seminars

About The Organizer

Harvey Stein is a senior VP in the Labs group at Two Sigma. From 1993 to 2022, Dr. Stein was at Bloomberg, where he served as the head of several departments including Quantitative Risk Analytics, Counterparty and Credit Risk, Interest Rates Derivatives, and Quantitative Finance R&D. Harvey is well known in the industry, having published and lectured on credit risk modeling, financial regulation, interest rate and FX modeling, CVA calculations, mortgage backed security valuation, COVID-19 data analysis, and other subjects.

Dr. Stein is on the board of directors of the IAQF, a board member of the Rutgers University Mathematical Finance program, an adjunct professor at Columbia University, and organizer of the IAQF/Thalesians financial seminar series. He's also worked as a quant researcher on the Bloomberg for President campaign.

Dr. Stein holds a Ph.D. in Mathematics from the University of California, Berkeley (1991) and a B.S. in Mathematics from Worcester Polytechnic Institute (1982).

 



Upcoming Seminars

    • 10 Feb 2026
    • 6:00 PM
    • Fordham University McNally Amphitheater 140 West 62nd Street New York, NY 10023
    Register


    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:

    We introduce a dynamic model for forward curves within the Heath–Jarrow–Morton framework, inspired by the local volatility paradigm in equity markets. Forward curves are modeled as taking values in a function space, and their evolution is governed by a stochastic partial differential equation with state-dependent coefficients. These coefficients are defined via simple pointwise operations, giving rise to a locally state-dependent structure. Despite describing the dynamics of the entire forward curve through a single equation, the model remains remarkably parsimonious. We propose a calibration procedure to fit the model to observed option prices and illustrate its performance using option data listed on the EEX. 

    Joint work with Silvia Lavagnini (BI Norwegian Business School)


    Bio:

    Nils Detering is a full professor of financial mathematics at Heinrich Heine University Düsseldorf. His work spans a broad range of topics in financial mathematics, with a particular focus on systemic risk in financial systems, as well as pricing and risk management in energy markets. In recent years, machine learning has become a central component of his research in financial mathematics. He has published over 20 scientific articles in leading journals, including Finance & Stochastics, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics, and Stochastic Processes and Their Applications.

    Before joining Heinrich Heine University in 2023, he was a tenured Associate Professor at the University of California, Santa Barbara, and a researcher at the University of Munich. Earlier in his career, he worked as an equity derivatives trader and structurer at Dresdner Kleinwort and Sal. Oppenheim for years. He received his doctoral degree from Frankfurt School of Finance & Management and his undergraduate degree in mathematics from the University of Göttingen.

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