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Events / Upcoming

  • IAQF & Thalesians Seminar Series: Capturing Path Dependence in Finance with Occupation Times. A Seminar By Valentin Tissot-Daguette.

    • 10 Sep 2024
    • 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 unified framework for path dependence where past information is captured by the occupation flow. The latter records the "time" spent by the underlying path at arbitrary levels. We show the omnipresence of the occupation flow in finance, notably in the context of exotic options. Examples include corridor variance swaps, where the "time" corresponds to the cumulative variance of the asset, and Parisian, Asian, or lookback options using calendar time. The proposed framework leads to a tractable calculus striking a middle ground between the classical Ito calculus and the fully path-dependent setting introduced by Dupire. We discuss applications in financial modeling where the occupation flow dictates the asset price dynamics. The diffusion coefficient, termed occupied volatility, leads to a subclass of path-dependent volatility models that can be effectively simulated. We also show numerical advantages of the associated pricing partial differential equations (PDEs) in comparison with path-dependent PDEs.


    Bio:

    Valentin Tissot-Daguette is a quantitative researcher at Bloomberg. He recently obtained his PhD degree from the Operations Research and Financial Engineering department at Princeton University. Prior to his PhD, Valentin studied at EPFL and ETH Zurich in Switzerland where he completed a Bachelor's degree in Mathematics and a Master's degree in Financial Engineering. His research interests include exotic derivatives, free boundary problems for American options, and volatility modeling.

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  • How I Became a Quant - Boston

    • 18 Sep 2024
    • 5:00 PM
    • Boston University Questrom School of Business 595 Commonwealth Ave Boston, MA 02215
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    How I Became a Quant: Boston

    This annual event is a Panel Discussion on Careers in Quantitative Finance, as industry veterans will discuss their experiences, the current economic climate, and career paths in finance and data science.

    Wednesday September 18, 2024

    5:00 PM Program Begins: Panel Discussion

    7:00 PM Reception


    Location:

    Boston University Questrom School of Business

    595 Commonwealth Ave

    Boston, MA 02215


    Moderator: 

    Christopher Kelliher, Lecturer in Financial Engineering Questrom School of Business and Quantitative Analyst at Fidelity


    Panelists:

    Dan diBartolomeo, President of Northfield Information Services INC


    Anish Shah, Quantitative Analyst at Fidelity

    Max Golts, Chief Investment Officer, 4x4invest, LLC


    Panelist Biographies


    Moderator - Chris Kelliher is the Executive Director of the Master’s in Mathematical Finance and Financial Technology program, where he is also a lecturer. In addition, Mr. Kelliher is a Senior Quantitative Research and Portfolio Manager at Fidelity Investments. He is also the author of “Quantitative Finance with Python: A Practical Guide to Investment Management, Trading and Financial Engineering”. Prior to joining Fidelity in 2019, he served as a portfolio manager for RDC Capital Partners. Before joining RDC, he served as a principal and quantitative portfolio manager at a leading quantitative investment management firm, FDO Partners. Prior to FDO, Mr. Kelliher was a senior quantitative portfolio analyst and trader at Convexity Capital Management and a senior quantitative researcher at Bracebridge Capital. Mr. Kelliher earned a BA in economics from Gordon College, where he graduated Cum Laude with departmental honours and an MS in Mathematical Finance from New York University’s Courant Institute.

    Anish Shah PhD, CFA -- Quantitative Analyst, Systematic Equity Strategies, Fidelity Investments. Anish Shah's more than two decades of working in research in algorithmic finance include stops at the quant research firm Northfield, the pioneering crossing network ITG, a ship-tracking hedge fund, and an entrepreneurial endeavor of his uncertainty modeling research. He holds an MS in operations research from the University of California at Berkeley and MS and PhD degrees in applied math from Brown University, where he has taught a course on deep learning. He is a CFA charterholder.

    Max Golts, PhD, is the chief investment officer at 4x4invest. Previously, he was a portfolio manager at Acadian Asset Management, a strategist at SSGA and Fidelity Investments, and a senior research analyst at GMO. He holds a PhD in mathematics from Yale University.


    Sponsored By:


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