Advancing the Field of Quantitative Finance
formerly the IAFE

EVENTS / THALESIAN SERIES / PAST SEMINARS

The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com).  The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance.  This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion.
 

2018 SEMINARS

January 9, 2018: A Jump on Default Approach to Modeling Multiple Default Contingent Payoffs
A Talk by Alexander Veygman
 

2017 SEMINARS

December 5, 2017: Generalized Recovery
A Talk by Lasse Heje Pedersen
Slides from the presentation

November 15, 2017: Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
A Talk by Andrey Itkin

October 10, 2017: Model House Price Volatility, Application to a Countercyclical Economic Risk Capital Framework
A Talk by David Zhang

September 12, 2017: Total Risk and Project Valuation
A Talk by David Shimko
Slides from the presentation

June 14, 2017: Climate Risks and Market Efficiency
A Talk by Harrison Hong

May 15, 2017: Trading Algorithms with Learning in Latent Alpha Models
A Talk by Sebastian Jaimungal
Slides from the presentation

April 25, 2017: Trading in VIX Derivatives
A Talk by Andrew Papanicolaou
Slides from the presentation

March 16, 2017: A Reduced-Form Model for Level-I Limit Order Books
A Talk by Lingjiong Zhu

February 15, 2017: Volatility Managed Portfolios
A Talk by Alan Moreira

January 24, 2017: Probability density of lognormal fractional SABR model
A Talk by Tai-Ho Wang  


2016 SEMINARS

December 14, 2016: Intraday Market Making with Overnight Inventory Costs
A Talk by Hongzhong Zhang

November 17, 2016: Insights from a Data-Driven Analysis of the Volatility Risk Premium
A Talk by Michael Imerman

October 20, 2016: Global Variance Term Premia and Intermediary Risk Appetite
A Talk by Erik Vogt

September 15, 2016: Statistical arbitrage using news and social sentiment based quant trading strategies
A Talk by Arun Verma

June 16, 2016: Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds
A Talk by Tobias Adrian

May 12, 2016: Hedge Funds: Are Negative Fees in the Horizon?
A Talk by Luis Seco

April 14, 2016: Strategic Foundation for the Tail Expectation in Limit Order Book Markets
A Talk by Lawrence R. Glosten

March 15, 2016: Modern Monetary Circuit Theory
A Talk by Alexander Lipton

February 16, 2016: Does Unusual News Forecast Market Stress?
A Talk by Dr. Harry Mamaysky

January 12, 2016: Pricing and Hedging Recovery Risk with Structural and Reduced Form Models
A Talk by Dr. Nick Costanzino


2015 SEMINARS

December 14, 2015: The Pricing of the Illiquidity Factor's Systematic Risk
A Talk by Yakov Amihud

November 12, 2015: Efficient solution of structural default models with correlated jumps and mutual obligations
A Talk by Dr. Andrey Itkin

October 14, 2015: Can one price Eurodollar futures in the Black-Derman-Toy Model?
A Talk by Dr. Dan Pirjol

September 21, 2015: Arbitrage-Free Pricing of XVA
A Talk by Agostino Capponi

Click here to access the slides from the presentation. 

June 18, 2015: Exchange-Traded Funds and Related Trading Strategies
A Talk by Professor Tim Leung

May 14, 2015: Tax-Efficient Trading of Municipal Bonds
A Talk by Dr. Andrew Kalotay (New York, NY)

April 22, 2015: Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined
A Talk by Dr. Lasse Heje Pedersen (New York, NY)

March 16, 2015: A Numeraire-Independent Version of the Fundamental Theorem of Asset Pricing
A Talk by Dr. Travis Fisher (New York, NY)

February 23, 2015: Transformations of Volatility Skews into Leveraged Volatility Skews
A Talk by Roger Lee (New York, NY)

January 12, 2015: Forced Liquidations, Fire Sales, and The Cost of Illiquidity
A Talk by Andrew Weisman (New York, NY)
Access the slides from the presentation
Read the paper from the presentation


 

2014 SEMINARS

December 15, 2014: Can we Measure Extreme Risk? Should we Measure It?
A Talk by Raphael Douady (New York, NY)

Click here to access the slides from the presentation

November 24, 2014: The Curious Case of Non-Equilibrium Finance
A Talk by Mike Lipkin (New York, NY)

October 22, 2014: Drawdowns as Insurance and as Measures of Risk
A Talk by Olympia Hadjiliadis (New York, NY)

September 8, 2014: Understanding Mortgage Spreads
A Talk by Nina Boyarchenko (New York, NY)

May 20, 2014: Variable Volatility and Financial Failure
A Talk by Peter Carr (New York, NY)

April 28, 2014: Risk-Neutral Systemic Risk Indicators
A Talk by Allan Malz (New York, NY)

March 20, 2014: High-Frequency Trading and Modern Market Microstructure
A Talk by Ciamac Moallemi (New York, NY)

January 13, 2014: Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-Of-Sample Performance
A Talk by Marcos López de Prado (New York, NY)


2013 SEMINARS

December 9, 2013: Computational Issues in the Near Future for Traders to Ponder
A Talk by Jay Muthuswamy (New York, NY)

November 13, 2013: Real Time Counterparty Credit Risk Management with Adjoint Algorithmic Differentiation (AAD)
A Talk by Luca Capriotti (New York, NY)

October 14, 2013: The Price of Fixed Income Market Volatility
A Talk by Antonio Mele (New York, NY)
Read the book The Price of Fixed Income Market Volatility

September 24, 2013: The Particle Method: A Powerful Tool to Solve Your Smile Calibration Problem
A Talk by Julien Guyon (New York, NY)

August 19, 2013: The Liquidity and Value of the Exchange Traded Funds
A Talk by Alex Gurvich (New York, NY)

July 15, 2013: Betting Against Beta
A Talk by Andrea Frazzini (New York, NY)

June 19, 2013: A Structural Model of Sovereign Credit and Bank Risk
A Talk by Emilian Belev (New York, NY)

May 15, 2013: Can One Detect a Bubble in Real Time?
A Talk by Philip Protter (New York, NY)

April 23, 2013: How Likely is Contagion in Financial Networks?
A Talk by Paul Glasserman (New York, NY)

March 20, 2013: Concealing the Trading Footpring by Determining the Optimal Execution Horizon
A Talk by Marcos López de Prado (New York, NY)

February 12, 2013: Models in Commodity Markets
A Talk by Alexander Eydeland (New York, NY)

January 14, 2013: Option Hedging with Market Impact
A Talk by Robert Almgren (New York, NY)

 

2012 SEMINARS
November 19, 2012: New Challenges on Interest Rate Modeling
A Talk by Fabio Mercurio (New York, NY)

September 4, 2012: Reinforcement Learning Approaches to Algorithmic Trading
A Talk by Michael Kearns (New York, NY)

October 8, 2012: Any Regulation of Risk Increases Risk
A Talk by Philip Maymin (New York, NY)