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Practitioners’ Seminar 2018

The seminar takes place in the Spring of 2018, Tuesdays and Thursdays 7:40pm — 8:55 pm.

Location: 312 Mathematics Building. For directions please see Directions to Campus and Morningside Campus Map

Organizer: Lars Tyge Nielsen

Click here for the Schedule of Presentations.

Click here for the Schedule of Past Presentations.

To subscribe to (or to unsubscribe from) the announcement email list, send an email to lrb@math.columbia.edu from the relevant email address with “Subscribe” or “Unsubscribe” in the subject line or the first line of the message..

Rules

  • The seminar is open to the public (no registration necessary).
  • The speaker often will not make copies of the presentation available — to protect intellectual property or comply with company rules.
  • No photos or video of the speaker or presentation allowed except with express permission.
  • Only to document the attendance of MAFN students, the audience may be photographed at the beginning of the seminar, and sign-up sheets may be circulated


 

Schedule of Presentations

Click here for the Schedule of Past Presentations.

Tuesday January 23, 2018

Title: Risk Management in the real world

Speaker: Jonathan Schachter; Delta Vega, Inc.

Abstract
Thursday January 25, 2018

Title: Short-term Statistiical Properties of S&P 500 Index Futures

Speaker: Alexei Chekhlov, Systematic Alpha Management, LLC. and Columbia University

Abstract
Do the Research, Let the Data Speak to You. The only source of information for the results in this presentation is file, which contains 1,717,547 lines of the S&P 500 E-Mini futures minute price data, all recorded price history for the market. Theoretical Concepts Used. Non-axiomatic understanding a Random Walk process, understanding how its discrete version converges to a continuous version. Various basic statistical concepts developed in Statistical Hydrodynamics and Statistical Physics. Basic results from Real and Complex analysis. Phenomenological Approach. Hard science approach to finance (theoretical math, theoretical finance & economics) has been disproportionally over-focused on creation of theoretical models rather then on verification of any model against the actual experiment, i.e. financial data. Our approach is not to impose our model on the financial reality, but rather to listen to what the data is “telling” us. Careful Use of Simple Statistical Measurements. We would like to focus on the question of robust existence of a certain price behavior rather than on the existence (or non-existence) of a profitable trading strategy based on it under some transaction cost (and other) assumptions.
Tuesday January 30, 2018

Title: Stochastic Time, Rough Volatility, and Jump Diffusion

Speaker: Gregory Pelts, Wells Fargo

Abstract
Thursday February 1, 2018

Title: Leveraged ETFs and Dynamic Portfolio Management

Speaker: Mikhail Smirnov, Columbia University

Abstract
Tuesday February 6, 2018

Title: Trends in Quantitative Investment Strategies

Speaker: Susan Palmer, CIBC
Sue Palmer, Executive Director at CIBC, has over 16 years of Structuring, Sales, Asset Management and Risk management experience. She currently focuses on systematic strategies for real-money institutional clients (pensions, asset managers, endowments) through custom, bespoke and benchmark indices. In the past 10 years her primary focus has been in Commodities. Sue previously worked at Gresham Investment Management and at Société Générale. She holds an MA in Mathematical Finance from Columbia University and BS in Mathematics from Villanova University.

Abstract
Systematic investing in commodities and beyond. A discussion about investing in commodity futures and how the asset management industry is using systematic strategies for market exposure.
Thursday February 8, 2018

Title: Ioannis Karatzas, Columbia University

Speaker: Arbitrage Theory via Numeraires

Abstract
We develop a mathematical theory for finance based on the “viability” principle that it should not be possible to hedge, starting with arbitrarily small initial capital, a nonnegative European contingent claim which is strictly positive with positive probability. In the context of continuous asset prices modeled by semimartingales, we show that proscribing such egregious forms of arbitrage (but allowing for the possibility that one portfolio might outperform another) turns out to be equivalent to any one of the following conditions:

(i) a portfolio with the local martingale numeraire property exists,
(ii) a growth-optimal portfolio exists,
(iii) a portfolio with the log-optimality property exists,
(iv) a strictly positive local martingale deflator exists,
(v) the market has locally finite maximal growth.

We give precise meaning to all these terms, and show that the above five equivalent conditions are descriptive — in that they can be formulated entirely, in fact very simply, in terms of the local characteristics (the drifts and covariations) of the underlying asset prices.Full-fledged theories for hedging and for portfolio/consumption optimization can be developed in such a setting, as can the important notion of “market completeness”. The semimartingale property of asset prices is necessary for viability when investment is constrained to be “long-only” — i.e., to avoid negative (“short”) positions in stocks, and never to borrow from the money market.When a strictly positive martingale (as opposed to local martingale) deflator exists, so does an equivalent martingale measure on each time-horizon of fine length. We show that this notion is highly normative: two markets may have the exact same local characteristics, while one of them admits such an equivalent martingale measure and the other does not.

[Joint work — book of the same title—with Constantinos Kardaras.]

Tuesday February 13, 2018

Title: Market Risk Regulatory Modeling Framework

Speaker: Wei Lu, Risk Analytics Manager, Federal Reserve Bank of New York

Abstract
Thursday February 15, 2018

Title: Introduction to MBS

Speaker: Ilya Zhokhov

Abstract
Tuesday February 20, 2018

Title: Overview of renewable energy markets in the US, and the Financial Transmission Rights (FTR) market

Speaker: Rajan Iyer, NextEra Energy Resources

Abstract
Thursday February 22, 2018

Title:

Speaker:

Abstract
Tuesday February 27, 2018

Title:

Speaker: Andres Jaime Martinez, Morgan Stanley

Abstract
Thursday March 1, 2018

Title: Submodular Risk Allocation

Speaker: Samim Ghamami
Samim Ghamami is an acting associate director and senior economist at the U.S. Treasury, Office of Financial Research. He is also a senior researcher at the Center for Risk Management Research at the University of California, Berkeley, and an adjunct professor at New York University. Samim has been an economist at the Federal Reserve Board, an advisor to the Basel Committee on Banking Supervision and the Financial Stability Board. His work on banking and derivatives central clearing has been presented and discussed at central banks and supervisory agencies. He has also been a visiting scholar at UC Berkeley, Economics Department, a quantitative researcher at Barclays Capital, a senior quantitative researcher at MSCI, and a post-doctoral researcher at CREATE Homeland Security Center. His publications have appeared in journals including the Journal of Financial Intermediation, Journal of Applied Probability, Journal of Derivatives, and Mathematics of Operations Research. He has a doctorate in mathematical finance and operations research from the University of Southern California and a master’s in operations research from the University of Tehran.

Abstract
[Joint work with Paul Glasserman] We analyze the optimal allocation of trades to portfolios when the cost associated with an allocation is proportional to each portfolio’s risk. Our investigation is motivated by changes in the over-the-counter derivatives markets, under which some contracts may be traded bilaterally or through central counterparties, splitting a set of trades into two or more portfolios. A derivatives dealer faces risk-based collateral and capital costs for each portfolio, and it seeks to minimize total margin requirements through its allocation of trades to portfolios. When margin requirements are submodular, the problem becomes a submodular intersection problem. Its dual provides per-trade margin attributions, and assigning trades to portfolios based on the lowest attributed costs yields an optimal allocation. As part of this investigation, we derive conditions under which standard deviation and other risk measures are submodular functions of sets of trades. We compare systemwide optimality with individually optimal allocations in a market with multiple dealers.
Tuesday March 6, 2018

Title: Trading Illiquid Goods.

Speaker: Peter D. Cotton, JP Morgan
Peter Cotton is Executive Director at J.P. Morgan and creator of Roar Data, the bank’s data science crowd-sourcing platform. He is also a senior member of the Data Science team. Previously, Peter founded Benchmark Solutions, an enterprise data firm providing real-time bond pricing that was sold to Bloomberg. He received his Ph.D. in Mathematics from Stanford University, and began his career at Morgan Stanley where he was one of several independent inventors of closed form Copula pricing for synthetic CDOs.

Abstract
[Joint work with Andrew Papanicolaou, NYU Tandon] We provide analytic results for the optimal control problem faced by a market maker who can only obtain and dispose of inventory via a sequence of sealed-bid auctions. Under the assumption that the best competing response is exponentially distributed around a commonly discerned fair market price we examine properties of the market maker’s optimal behavior. We show that simple adjustments to skew and width accommodate customer arrival imbalance. We derive a straightforward relationship between the market marker’s fill probability and direct holding costs. A simple formula for optimal bidding in terms of (non-myopic) inventory cost is presented. We present the results as a perturbation of an improvement to a “linear skew, constant width” (CWLS) market making heuristic.
Thursday March 8, 2018

Title:

Speaker:

Abstract
Tuesday March 13, 2018

SPRING BREAK – No Seminar
Thursday March 15, 2018

SPRING BREAK – No Seminar
Tuesday March 20, 2018

Title:

Speaker:

Abstract
Thursday March 22, 2018

Title:

Speaker: Steven Umlauf, Citi

Abstract
Tuesday March 27, 2018

Title:

Speaker:

Abstract
Thursday March 29, 2018

Title:

Speaker:

Abstract
Tuesday April 3, 2018

Title: Corridor Variance Swap Spread

Speaker: Bryan Liang, Bloomberg L.P. and Columbia University

Abstract
Thursday April 5, 2018

Title:

Speaker:

Abstract
Tuesday April 10, 2018

Title: Factor-Based Investing

Speaker: Natalia Zvereva, J.P. Morgan Asset Management
Natalia Zvereva is a Vice President in the Investment Risk team at JP Morgan Asset Management. Natalia and her team focus on risk management and oversight of the Alternatives funds and Beta strategies. Natalia has been working in risk management since 2009, and held a number of roles in JP Morgan within market risk and credit risk space. Prior to her current position, she covered counterparty risk, credit and funding pricing of cross-asset derivatives portfolios across Rates, FX, Equities, Credit and Commodities. Before joining JP Morgan is 2011, Natalia was a market risk manager at MF Global. Natalia holds a Master’s Degree in Financial Mathematics from Columbia University (2014) and BBA in Finance & Investments from Baruch College (2009).

Abstract
The concept of factors, identified in the ‘60s by W. Sharpe, became increasingly popular in recent years as systematic approaches have been developed to capture factors with Exchange Traded Funds (ETFs) using rules-based transparent strategies. In this lecture, we will cover an introduction to factor-based investing including factors modeling, practical considerations and limitations, and how factor-based approach can be implemented with ETFs.
Thursday April 12, 2018

Title:

Speaker: Hui Shao

Abstract
Tuesday April 17, 2018

Title:

Speaker: Vladimir Sankovich, TD Securities

Abstract

Thursday April 19, 2018

Title: Outage insurance contracts for Power Markets

Speaker: Rajan Iyer, NextEra Energy Resources [Tentative]

Abstract
Tuesday April 24, 2018

Title:

Speaker: Daniel Nehren

Abstract
Thursday April 26, 2018

Title:

Speaker: Arturo Cifuentes, Columbia Business School & CLAPES UC

Abstract


 

Past Presentations

Tuesday January 16, 2018

Title: Probabilistic Interpretation of an Implied Volatility Smile

Speaker: Peter Carr, NYU Tandon School of Engineering, Finance and Risk Engineering
Dr. Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. He has headed various quant groups in the financial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his Ph.D. from UCLA in 1989. He has over 85 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor’s Tech 50, an annual listing of the 50 most influential people in financial technology.

Abstract
When the variance rates implied from option prices differ across strike prices, at most one of them can be interpreted as the variance rate of the underlying security price. We develop an arbitrage-free option pricing model with four stochastic state variables, one of which is the underlying security price. We show how to successively explicitly determine the other three state variables from three given co-terminal arbitrage-free implied variance rates. The resulting calibrated implied variance rate smile is given a simple probabilistic representation. To our knowledge, this is the first non-flat implied variance rate smile enjoying any probabilistic interpretation
Thursday January 18, 2018

Title: Practical Big Data Applications to Portfolio Management — An Empirical Comparison of Analytic Techniques

Speaker: Irene Aldridge, ABLE Alpha Trading and AbleMarkets.com
Irene Aldridge is President and Managing Director, Research, of AbleMarkets, a Big Data for Capital Markets company. She was named to the Forbes’ Top 40-Over-40 Women’s List in 2017. Prior to AbleMarkets, Aldridge designed and ran high-frequency trading strategies in a $20-million cross-asset portfolio. Still previously, Aldridge was, in reverse order, a quant on a trading floor; in charge of risk quantification of commercial loans; Basel regulation team lead; technology equities researcher; lead systems architect on large integration projects, including web security and trading floor globalization. Aldridge started her career as software engineer in financial services. Aldridge is the author of multiple academic papers and several books. Most notable titles include “Real-Time Risk: What Investors Should Know About Fintech, High-Frequency Trading, Flash Crashes” (Wiley, 2017) and “High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems” (2nd edition, translated into Chinese, Wiley 2013).

Abstract
While a fair share of academic research to date has been devoted to spectral analysis as a tool in the portfolio management toolkit, most of the research has been highly theoretical in nature and the industry adoption of the methodology has been scarce. In this paper, we show a step-by-step approach, advantages and results of spectral decomposition in portfolio reallocation. Specifically, we show how spectral decomposition solves two most pressing large-scale portfolio reallocation problems: extreme weights and transaction costs. We further show the empirical results of portfolio reallocation under different common portfolio composition scenarios, and how spectral decomposition helps speed up and outperform traditional portfolio allocation techniques.
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