Tag: Conference

Video Description

A Talk from Volatility and Risk  Conference 2025

Professor Emanuel Derman, Professor Emeritus of Financial Engineering, Columbia University presents the history of quantitative finance and financial models over the past several decades. Professor Derman outlines key innovations and developments in finance, starting with derivatives and the ideas of Spinoza in the 17th century. He then discusses later advancements like the concepts of risk, volatility, diversification, hedging, and no-arbitrage pricing. Much of the talk focuses on the evolution of models like CAPM, APT, and Black-Scholes for valuing securities and options. Emanuel Derman describes how these models quantify relationships between risk and return. Towards the end of the talk, Derman touches on more recent innovations like machine learning in finance as well as continued challenges with modeling volatility and risk. He speculates briefly on potential future directions like AI and quantum finance. Throughout the talk, the Derman aims to show how modern finance has built upon major conceptual breakthroughs over the past 70+ years. He uses stock examples and diagrams to illustrate key points.

Speaker Bio

Professor Emanuel Derman

Emanuel Derman is professor emeritus at Columbia University, where he directed their program in financial engineering from 2003-2023. He was born in South Africa but has lived most of his professional life in Manhattan. He started out as a theoretical physicist, doing research on unified theories of elementary particle interactions. At AT&T Bell Laboratories in the 1980s he developed programming languages for business modeling. From 1985 to 2002 he worked on Wall Street where he co-developed the Black-Derman-Toy interest rate model and the local volatility model. He is the author of ‘The Volatility Smile’ (Wiley, 2017), ‘Models.Behaving.Badly’ (Free Press 2011) one of Business Week’s top ten books of 2011. He is also the author of ‘My Life As A Quant’ (Wiley 2004), also one of Business Week’s top ten of 2004, in which he introduced the quant world to a wide audience. His latest book, a memoir of youth in an immigrant community in South Africa, is ‘Brief Hours and Weeks: My Life as a Capetonian,’ (LML Press 2025).

 

Video Description

A Talk from Volatility and Risk  Conference 2025

The presenter, Professor Laura Ballotta, Professor of Mathematical Finance, Bayes Business School introduces this talk about their joint research paper with Giovanni Amici and Patrizia Semeraro, which is part of Giovanni’s PhD thesis. – The goal of the research is to develop a multivariate model that can reproduce market implied volatility surfaces and give information about the implied correlation between assets. – Professor Laura Ballotta introduces the concept of additive and multivariate processes, specifically self-similar additive processes with stationary increments (SATO) processes. – They use these SATO processes to construct a multivariate model called the CSB model, where each asset has an idiosyncratic component driven by a time-changed Brownian motion, and a systematic component driven by a common time-changed Brownian motion. – Ballotta analyzes the CSB model’s ability to capture implied volatility surfaces, time-varying correlation, and other properties. They compare it to benchmark Lévy and other additive models. – As an application, they show calibration of the CSB model to FX (foreign exchange) market data, jointly calibrating multiple currency triangles while satisfying no-arbitrage constraints. – Professor Laura Ballotta concludes that the CSB model outperforms benchmarks in calibrating to market prices and provides references to the published paper.

Speaker Bio

Professor Laura Ballotta

Laura Ballotta is a Professor of Mathematical Finance at Bayes Business School (formerly Cass). Prof. Ballotta works in the areas of quantitative finance and risk management. She has written on topics including stochastic modelling for financial valuation and risk management, numerical methods aimed at supporting financial applications, and the interplay between finance and insurance.

Recent major contributions have appeared in Journal of Financial and Quantitative Analysis, European Journal of Operational Research and Quantitative Finance among others. She serves as associate editor and referee for several international journals in the field.

Prof. Ballotta holds a BSc in Economics from Universita’ Cattolica del Sacro Cuore, a MSc in Financial Mathematics from the University of Edinburgh, and a PhD in Mathematical and computational methods for economics and finance, from Universita’ degli Studi Bergamo. She is the course director of the Quants cluster of MSc programmes at Bayes Business School.

 

Video Description

A Talk from Volatility and Risk  Conference 2025

This video is from the quant insights conference where Dr. Gueorgui S. Konstantinov, Senior Portfolio Managerv gives a talk on the topic of “Causal Inference and Factor Network Interference and the Treatment Effect.” – The presentation is focused on causal inference and network interference when there are treatment effects applied to assets/factors in a financial network. This contrasts with traditional methods that assume no interference between treatment and control groups. – Constructing financial networks between assets and factors using the Wasserstein distance metric. The networks have properties like sparsity and power law degree distribution. – Modeling potential outcomes under different exposure conditions – direct, indirect, combined, null – for assets when certain nodes receive “treatment” (e.g. a policy change). This allows them to estimate causal effects. – Konstantinov selects treatment nodes either randomly or based on an economic reason and measure the resulting impact on a “dilation” effect such as overall portfolio returns. – Key findings are that more treatment nodes means less portfolio impact, and that factors become more diversified. Also, portfolios of less connected assets are more robust. The video also shows simulations and visualizations of the networks and treatment effects and concludes with a discussion of using this methodology to stress test portfolios.

Speaker Bio

Dr. Gueorgui S. Konstantinov

Gueorgui S. Konstantinov, Ph.D, CAIA, FDP is a senior portfolio manager and has over 18+ years of experience. He managed global bond portfolios and currencies for institutional investors and pension funds. He is an editorial board member of The Journal of Portfolio Management, The Journal of Alternative Investments, and The Journal of Financial Data Science. He earned the designations of Chartered Alternative Investments Analyst (CAIA) and Financial Data Professional (FDP). He received his MA in economics in 2005 and received a doctoral degree in 2008 from Vienna University of Economics and Business Administration (WU).

 

Video Description

A Talk from Volatility and Risk  Conference 2025

We derive an exact relationship between the profit-and-loss (P&L) of a trend-following system with exponentially moving average (EWMA) filter and the auto-correlation function of returns generating stochastic process. This generic result appears to be new. Using this formula, we analyse the impact of the lookback span of EWMA filter on the P&L of the trend-following system when returns dynamics are driven by auto-regressive fractal processes with long memory. We show that the trend-following system is expected to perform well when autocorrelation of returns is positive over longer time scales, even if returns may exhibit mean-reversion over shorter time scales.

In the empirical part, we examine the autocorrelation observed in major futures markets and the performance of different trend-following systems applied to futures markets. We discuss and contrast the so-called American and European specifications of trend-following systems. Finally, we demonstrate the defensive profile of trend-following systems which provides diversification benefits to long-only portfolios.

Speaker Bio

Dr. Artur Sepp

Artur Sepp is the Global Head of Investment Services Quant Group at LGT bank in Zurich focusing on quantitative asset allocation and systematic investment strategies. Artur has almost 20 years of experience in financial markets, including heading quant research and portfolio management at a systematic hedge fund and a family office, as well as leading development of front-office quant strategies and derivatives at private (Julius Baer) and investment banks (Merrill Lynch/BofA). Artur has a PhD in Mathematical Statistics from the University of Tartu, an MSc in Industrial Engineering and Management Sciences from Northwestern University, and a BA cum laude in Mathematical Economics from Tallinn University of Technology. His expertise covers quantitative investing and asset allocation, quantitative modelling of derivative securities, machine learning and data science, and blockchain applications within decentralised finance. He is the author and coauthor of several research articles on quantitative finance published in key journals. Artur won the Quant of the Year Award from Risk Magazine (2024). He is an active martial arts practitioner in his free time.

Video Description

A Talk from Volatility and Risk  Conference 2025

This Quant Insights talk is a discussion between Dr. Paul Wilmott, Founder, Certificate in Quantitative Finance (CQF) and Dan Tudball, Editor, Wilmott Magazine, They discuss various topics related to volatility and risk modeling in finance, including: – Uncertainty in markets and economy, factors affecting volatility – Evolution of volatility modeling over time, from simplicity to complexity – Whether complex volatility models provide false sense of security – Role of machine learning and AI in finance now – Regime switching models – Making money from volatility trading – David Orrell’s quantum variance (Q variance) model and unusual empirical relationship he found – Possibilities of non-classical, quantum based approaches in finance – Speculation on what topics will replace volatility modeling as a focus area in future – Replacement of human jobs by AI, including in finance

Speaker Bio

Dr. Paul Wilmott

Dr. Paul Wilmott is internationally renowned as a leading expert on quantitative finance. His research work is extensive, with more than 100 articles in leading mathematical and finance journals, as well as several internationally acclaimed books on mathematical modeling and derivatives, including the best-selling Paul Wilmott On Quantitative Finance, published by John Wiley & Sons.

Paul has extensive consulting experience in quantitative finance with leading US and European financial institutions. He has founded a volatility arbitrage hedge fund and a university degree course. Paul has lectured at all levels, to students and to practitioners.

Dan Tudball

Dan Tudball is the Editor of Wilmott Magazine, the respected publication serving quantitative finance practitioners in finance, industry, and academia. The magazine publishes new work from leading authors in the field alongside columns from industry greats, and editorial reflecting the lifestyles and interests of a qualitatively demanding readership.

The brand-new Volatility and Risk in Quant Finance Conference takes place on 4th June 2025. Hear from industry leaders and expert practitioners as they explore the latest innovations and groundbreaking research in the field.