External Events

From Hanlon Financial Systems Lab Web Encyclopedia
Jump to: navigation, search


2016-10-20: IAQF/Thalesians Seminar Series - A Talk By Dr. Erik Vogt
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve.

Read More

2016-11-17: Fifteenth Northeast Probability Seminar
The program was chosen by the seminar’s scientific committee: Yuri Bakhtin, Gerard Ben Arous, Nayantara Bhatnagar, Paul Bourgade, Ivan Corwin, Eyal Lubetzky, Carl Mueller, Daniel Ocone, Robin Pe...

Read More

2016-09-27: ORFE Colloquium Announcements
Using the definition of a bubble as a strict local martingale, we show how under certain special circumstances a martingale can transform into a strict local martingale via an expansion of a filtra...

Read More

2016-09-15: IAQF/Thalesians Seminar Series
To explore the value embedded in News & Social Sentiment data, we build three types of equity trading strategies based on sentiment data and show that strategies based on sentiment outperform t...

Read More

2016-09-07: Columbia Probability Seminar
We consider systems of diffusing particles, whose local characteristics are assigned in terms of their ranks. We construct the associated multidimensional diffusions, and discuss questions of stren...

Read More

2016-06-23: IAQF Event
This program will be run by David Schwartz, vice chairman of the IAQF. David's career in quantitative finance spans top investment banks, a hedge fund and asset manager, and advisory firms. He...

Read More

2016-06-16: IAQF/Thalesians Seminar Series
We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity-market volatility as measured by the VIX. We propose a new estimator for the shape of the no...

Read More

2016-05-11: CUNY Applied Probability Seminar: Fixing Risk Neutral Risk Measures
In line with regulations and common risk management practice, the credit risk of a portfolio is managed via its potential future exposures (PFEs), expected exposures (EEs), and related measures, th...

Read More

2016-05-12: IAQF/Thalesians Seminar Series: Hedge Funds: Are Negative Fees in the Horizon? An Option Pricing Perspective
The growth of the hedge fund sector is creating a difficult environment for start-ups, which is creating a climate that favors innovative fee structures. In this talk we will review some of them, a...

Read More

2016-04-14: CUNY Applied Probability and Statistics Seminar: Efficient tests to demonstrate the similarity of dose response curves
This talk investigates the problem whether the difference between two parametric models m1,m2 describing the relation between a response variable and several covariates in two different groups is p...

Read More