Menu
Log in


Dedicated to fostering the profession of quantitative finance

The IAQF is a not-for-profit, professional society dedicated to fostering the profession of quantitative finance by providing platforms to discuss cutting-edge and pivotal issues in the field.


  JOIN IAQF        CONTACT US

Upcoming Events

    • 07 Oct 2024
    • 6:00 PM
    • Fordham University McNally Amphitheater 140 West 62nd Street New York, NY 10023
    Register


    6:00 PM Seminar Begins

    7:30 PM Reception


    Hybrid Event:

    Fordham University

    McNally Amphitheater

    140 West 62nd Street

    New York, NY 10023


    Free Registration!


    For Virtual Attendees: Please select Virtual instead of member type upon registration.

    Abstract:

    Using the path-integral formalism we develop an accurate and easy-to-compute semi-analytical approximation to transition probabilities and Arrow-Debreu densities for arbitrary diffusions. We illustrate the accuracy of the method by presenting results for the Black-Karasinski model for which the proposed approximation provides remarkably accurate results, even in regimes of high volatility and for multi-year time horizons. The accuracy and the computational efficiency of the proposed approximation makes it a viable alternative to fully numerical schemes for a variety of applications, ranging from maximum-likelihood estimation in econometrics to derivatives pricing.


    Bio:

    Luca runs Quantitative Strategies (QS) at UBS for the Non-Core and Legacy division. Previously to this role, Luca ran QS Credit at Credit Suisse. Luca’s best-known contribution is his work on Adjoint Algorithmic Differentiation (AAD), for which he holds a US Patent. Luca is an adjunct professor at Columbia University and Baruch College, and an assistant editor of the journal Quantitative Finance. Prior to working in Finance, Luca was a researcher at the Kavli Institute for Theoretical Physics, Santa Barbara, California, working in the field of high-temperature superconductivity. Luca holds an M.Sc. and Ph.D (honors) in Theoretical Physics.

Latest News

September 3, 2024

The IAQF Announces the Winners of the Thirteenth Annual IAQF Academic Affiliate Membership Student Competition

New York, NY, September 3, 2024 -- The International Association for Quantitative Finance (http://www.iaqf.org) is pleased to announce the winners of the Thirteenth Annual Academic Affiliate Membership Student Competition. Twenty-seven teams representing twelve academic programs submitted papers in response to this year's competition problem which focused on risk-neutral probabilities.

Read the full press release here.

Become An IAQF Member


Free Attendance At Monthly Forums


Discounts and invitations to Industry Events


Events


Access To Our Online Portal of Videos

   join iaqf

IAQF Senior Fellow Spotlight

                                                                   


James H. Simons

Dr. James H. Simons is Chairman of the Simons Foundation, an organization dedicated to advancing the frontiers of research in mathematics and the basic sciences. The Foundation’s philanthropic activities include a major research initiative on the causes of autism, and the establishment of an institute for research in mathematics and theoretical physics. The Foundation is particularly interested in the growing interface between the physical and life sciences and has established and endowed several such research programs at universities and institutions both in the US and abroad.

Dr. Simons is Board Chair of Renaissance Technologies LLC, a highly quantitative investment firm, from which he retired in 2009 having founded the company and serving as its CEO for over thirty years. Previously he was chairman of the Mathematics Department at the State University of New York at Stony Brook. Earlier in his career he was a cryptanalyst at the Institute of Defense Analyses in Princeton, and taught mathematics at the Massachusetts Institute of Technology and Harvard University.

Dr. Simons holds a B.S. in mathematics from the Massachusetts Institute of Technology and a Ph.D. in mathematics from the University of California at Berkeley. His scientific research was in the area of geometry and topology. He received the American Mathematical Society Veblen Prize in Geometry in 1975 for work that involved a recasting of the subject of area minimizing multi-dimensional surfaces. Dr. Simons' most influential research involved the discovery and application of certain geometric measurements, now called the Chern-Simons Invariants, which have wide use, particularly in theoretical physics.

Dr. Simons is the founder and Chairman of Math for America, a nonprofit organization with a mission to significantly improve math education in our nation’s public schools. He serves as Trustee of Brookhaven National Laboratory, the Institute for Advanced Study, Rockefeller University, the New York Genome Center, Institut des Hautes Études Scientifiques and the Mathematical Sciences Research Institute in Berkeley. He also serves as Board Chair of the Science Philanthropy Alliance. He is a member of the Board of the MIT Corporation and Chair Emeritus of the Stony Brook Foundation. Dr. Simons is a member of the American Academy of Arts and Sciences, the American Philosophical Society and the National Academy of Sciences.

© Copyright 2020 International Association for Quantitative Finance