Financial Mathematics Practitioners Seminar Spring 2019

This seminar series, which is hosted by the academic members of staff who are involved with the MSc in Financial Mathematics, presents applied research in financial mathematics and related topics.

It aims to bring together mathematicians working in the financial industry and researchers in Mathematical Finance. Attendance is open to the public.

All seminars (unless otherwise stated) will take place on Wednesday from 4.00pm to 5.00pm in Harrie Massey LT, 25 Gordon Street. There will be tea and coffee afterwards in either room 502 or room 606 in the Mathematics Department. If you require any more information on the Financial Mathematics Practitioners Seminars please contact Dr Camilo Garcia Trillos (e-mail: camilo.garcia AT ucl.ac.uk) or Miss Justine Walker (e-mail: justine.walker AT ucl.ac.uk).

09 January 2019

Speaker: Alexandre Antonov (Standard Chartered)

Title: QUANTIFYING MODEL PERFORMANCE

Abstract:
Based on a recent working paper听听this talk proposes an alternative to P&L explained as a model/hedging performance measure. 听We address the problem under a new angle of the payoff replication along the whole portfolio life and come up with a metric which can classify different hedging strategies, in both relative and absolute ways. We confirm our theoretical results with numerical experiments for a world generated by the Heston model: the obtained numerical classification of different hedging strategies naturally agrees with a common sense. Moreover, this classification remains valid for all the Heston evolution scenarios (Monte Carlo paths) with tiny exceptions.

Bio: Alexandre Antonov received his PhD degree from the Landau Institute for Theoretical Physics in 1997. He worked for Numerix during 1998-2017 and recently he has joined Standard Chartered bank in London as a director.听 His activity is concentrated on modeling and numerical methods for interest rates, cross currency, hybrid, credit and CVA/FVA/MVA. AA is a published author for multiple publications in听mathematical finance and a frequent speaker at financial conferences. He has received a Quant of Year Award of Risk magazine in 2016.

23 January 2019

This seminar has now been cancelled

听

06 February 2019

Speaker: Pedro Gurrola-Perez (Bank of England)

Title: SECURITIES SETTLEMENT FAILS NETWORK AND BUY-IN STRATEGIES

Abstract: In the context of securities settlement, a trade is said to fail if on the settlement date either the seller does not deliver the securities or the buyer does not deliver funds. Settlement fails may have consequences for the parties directly involved and for the system as a whole. Chains of fails, for example, could lead to gridlock situations and large volume of fails can affect the liquidity and smooth functioning of 听financial markets. In this paper, we consider UK government bonds (gilts) and UK equities settlement data to examine the determinants of settlement fails and to explore the network characteristics of chains of settlement fails with the aim of identifying an optimal strategy to conduct a buy-in process that could resolve cascades of fails.

Bio: Pedro holds a PhD in Mathematics from the University of Montpellier (France) and a Master in Financial Mathematics from the Universidad Autonoma de Barcelona. He has held academic positions at the University of Barcelona, European Business School (London) and at ITAM (Mexico). His recent research focuses on financial market infrastructures and, in particular, on model validation and model risk. He has published in various academic journals, including the Journal of Futures Markets, International Finance, Journal of Financial Market Infrastructures and the Journal of Risk. Pedro worked as a technical specialist at the UK FSA before moving to the Bank of England, where he currently leads a research project on the demand for central bank reserves. He is a member of the CPMI-IOSCO Working Group on Digital Innovations.

果冻影院