Special Seminars

  • A Stylized History of Quantitative Finance

    Date: Thursday, 04 October 2018 at 14:00

    Venue: Leslie Commerce Building, Information Systems Seminar Room LC3.12 on Level 3, University of Cape Town

    Presenter/s: Professor Emanuel Derman (Columbia University)

    Quantitative finance has evolved through many small but significant steps and some large breakthroughs. This talk outlines how, over the past 70 years, the field has quantified the concepts of diffusion, risk, volatility, the riskless rate, diversification, hedging, replication, and the principle of no riskless arbitrage, and explores their consequences for valuing financial securities.
  • Tough Volatility

    Date: Tuesday, 13 February 2018 at 11:00

    Venue: Leslie Commerce Building - LC2A, Upper Campus, University of Cape Town

    Presenter/s: Dr Jesper Andreasen (Danske Bank, Copenhagen)

    Dr Andreasen considered a stochastic volatility model where the stochastic volatility is driven by a fractional Brownian motion. This type of model received considerable attention recently, primarily among academics. He motivated the model with empirical findings, analysed short-term behaviour for skew and minimum-variance delta, investigated intriguing links with market micro-structure models driven by Hawkes processes, and discussed numerical implementation.
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