IAQF Endorsed Event
IAQF Endorsed Event
Global Head of Quantitative Analytics, Bloomberg LP
Please join us for the next installment of the Bloomberg Quant Seminar Series. The seminar takes place every month and covers a wide range of topics in quantitative finance.
In this session, chaired by Bruno Dupire, Fabio Mercurio will present his current research, followed by several "lightning talks" of 5 min. each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics
5:00pm - Check-in, Bloomberg, 731 Lexington Avenue, New York, NY 10022
The Present of Futures: Calculating Convexity Adjustments in the New Multi-Curve World
Fabio Mercurio, Global Head of Quantitative Analytics, Bloomberg LP
Futures convexity adjustments in the multi-curve world depend on: i) the distribution of forward LIBORs, ii) the distribution of OIS rates, and iii) the correlation between LIBORs and OIS rates. In this talk, we introduce a new multi-curve framework for pricing futures convexity adjustments. We assume that forward LIBORs follow a one-factor shifted-lognormal LMM, and that OIS rates evolve according to a general one-factor Cheyette (1992) model. We will consider two particular cases: 1) OIS rates follow a one-factor Hull-White (1990) model; 2) the LIBOR-OIS basis volatility is minimal, which includes the sub-case of deterministic basis when LIBOR and OIS curves are perfectly correlated. We will derive explicit convexity adjustments in both cases, and analyze the impact of the cap skew in their valuation. We will show that the extent a cap smile affects futures pricing depends on the chosen OIS dynamics, or equivalently on the assumed behavior of the LIBOR-OIS basis.
6:15pm - Lightning Talks
A lightning talk is a very short presentation lasting only 5 minutes. Several ones will be delivered in a single session by different speakers in quick succession.
Peter Carr, How to get returns that you can only imagine
Kelsey Letang, Combining alpha
Bani Arora, Horse racing: betting the odds
Serge Resnik, An infinite-dimensional Gaussian integral in closed form
Daniel Preotiuc-Pietro, Political ideology prediction of Twitter users
Daniel Lam, Tightening correlations
7:00pm - Cocktail Reception
Register and secure your spot for this next session of the BBQ Seminar.