Greg Borovykh<\/span><\/p>\nAbstract:<\/b><\/p>\nThursday, APRIL 16, 2026<\/h6>\n
Title: Introduction to Quantitative Balance Sheet Strategy (QBSS) in Commercial Banks [Lecture Series: 4\/4]<\/p>\n
Speaker: Greg Borovykh<\/p>\n
Abstract:<\/p>\n
Thursday, APRIL 23, 2026<\/h6>\n
Title: Joint arbitrage-free smoothing of American call and put options surfaces<\/p>\n
Speaker: Zhenyu Cui, Professor at Stevens Institute of Technology<\/p>\n
Zhenyu Cui is an Associate Professor at the School of Business at the Stevens Institute of Technology. His research interests lie in financial engineering and stochastic simulation. He has published in Mathematical Finance, Finance and Stochastics, SIAM Journal on Financial Mathematics, INFORMS Journal on Computing, and Econometric Theory. He is currently the principal investigator of NSF-funded project, “Fast Quantum Method for Financial Risk Measurement.”<\/p>\n
Abstract:<\/p>\n
We propose a novel and computationally efficient methodology for joint arbitrage-free smoothing of American call and put option surfaces in the non-dividend case. Specifically, we formulate a joint cubic spline smoothing framework and recast it as a quadratic programming problem. Leveraging the joint smoothing technique, we further develop two efficient calibration schemes for parametric models. Simulation experiments demonstrate that the proposed joint smoothing method attains remarkably improved accuracy and robustness compared with natural cubic spline interpolation and the smoothing solely based on calls, particularly in the presence of added artificial noise. Furthermore, joint calibration based on smoothed American options prices is not only more accurate but also about three times faster than the state of the art neural network-based schemes in literature.<\/p>\n
Thursday, APRIL 30, 2026<\/h6>\n
Title:<\/b><\/span><\/p>\nSpeaker: <\/b>Ioannis Kyriakou, <\/span>Professor of Actuarial Finance, <\/span>Bayes Business School<\/span><\/p>\nAbstract:<\/b><\/p>\n<\/h2>\n<\/div><\/div><\/div><\/div><\/div>