QUANT INSIGHTS CONFERENCE:

Black-Scholes 50th Anniversary

14th June 2023
09:00 - 16:30 EDT
Globally Live-Online

Brought to you by
CQF Institute, Fitch Learning, and Wilmott

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Days

1 Day

Speakers

9 Talks

Price

Free Tickets

Post Conference

Video

About the Conference

The Black-Scholes 50th Anniversary Conference took place on 14th June 2023. Attendees enjoyed talks from some of the biggest names in quantitative finance including Professor Myron Scholes, Dr. Paul Wilmott, Professor Laura Ballotta, and more.

Missed the conference? The conference recordings are available to watch now on the CQF Institute website.

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Conference Schedule

14th June 2023

09:00 - 09:30 EDT

Virtual conference doors open - Familiarize yourself with the event platform

09:30 - 09:35 EDT

Welcome Remarks
Dr. Randeep Gug, Managing Director, CQF Institute

09:35 - 10:10 EDT

Some Derivations of the Black--Scholes Equation and What They Tell Us
Dr. Paul Wilmott, Founder, Certificate in Quantitative Finance (CQF)

10:10 - 10:45 EDT

Beyond Convexity
Dr. Jessica James, Senior Quantitative Researcher, Commerzbank

10:45 - 11:20 EDT

Hedging in the Age of Statistical Learning
Dr. Jörg Kienitz, Partner, Acadia

11:20 - 11:40 EDT

Break and Networking

11:40 - 12:15 EDT

Volatility Trading in the Oil Market
Dr. Ilia Bouchouev, Managing Partner, Pentathlon Investments

12:15 - 12:50 EDT

Renewing Black-Scholes: interpreting renewal waiting times
Professor Laura Ballotta, Professor of Mathematical Finance, Bayes Business School

12:50 - 13:20 EDT

Break and Networking

13:20 - 13:55 EDT

Imaginary Oscillations: Quantum Uncertainty and the Black-Scholes Formula
Dr. David Orrell, Principal, Systems Forecasting

13:55 - 14:30 EDT

Time and Black-Scholes-Merton
Elie Ayache, CEO, ITO33

14:30 - 15:30 EDT

Panel Discussion: From Theory to Practice: The Evolution of Quantitative Finance through Fischer Black’s Contributions
Professor Laura Ballotta, Professor of Mathematical Finance, Bayes Business School
Dr. Robert Litterman, Founder, Kepos Capital
Professor Emanuel Derman, Professor of Financial Engineering, Columbia University

15:30 - 16:05 EDT

Reflections on the Black-Scholes Model and its Applications (keynote speech)
Professor Myron Scholes, Chief Investment Strategist, Janus Henderson

16:05 - 16:10 EDT

Closing Remarks
Dr. Randeep Gug, Managing Director, CQF Institute

Conference Speakers

Confirmed speakers and panelists. Click on the images below to explore abstracts and biographies.

Professor Myron Scholes (Keynote Speaker)
Chief Investment Strategist
Janus Henderson

Abstract Biography

Reflections on the Black Scholes Model and its Applications

Reflections on 50 years after publication of the Black-Scholes technology and model, the development of listed option markets, their efficiency and the use of options in dynamic risk management strategies will be my major focus. Most of finance has concentrated on linear relationships such as betas, factors, and anomalies using historical data. The future will direct more research to understand how to incorporate option pricing techniques into time and the effects of changing risks on compound returns, investor decision making and corporate finance.

Professor Myron Scholes, Chief Investment Strategist, Janus Henderson

Myron Scholes is the Chief Investment Strategist at Janus Henderson. He’s part of JanusHenderson newly formed Solutions Group, and he leads the evolving asset allocation product development efforts that we have that has the opportunity to apply to our investment teams, contributing to the macro insights quantitative specific views, hedging risks, disciplined portfolio construction, etc.

Among his myriad accomplishments, Myron is the Frank E. Buck Professor of Finance Emeritus at Stanford Graduate School of Business. He was elected to the American Academy of Sciences. He served as President of the American Finance Association. He has honorary doctorate degrees and professorships from myriad universities. And, of course, he’s well known for his seminal work in options pricing, capital market equilibrium, tax policies, financial service industry – and an all-round good guy.

He is a Nobel Laureate in economics, and core originator of the Black-Scholes options pricing model.

Dr. Paul Wilmott
Founder
Certificate in Quantitative Finance (CQF)

Abstract Biography

Some Derivations of the Black-Scholes Equation and What They Tell Us

There are many ways to derive the Black-Scholes partial differential equation, each one has its pros and cons.

Not in this lecture: This is not about deriving the BSM formulae. There are also many ways to do that, ask a second year undergrad mathematician.

Dr. Paul Wilmott, Founder, Certificate in Quantitative Finance (CQF)

Paul is the founder of the Certificate in Quantitative Finance and Wilmott.com and he is internationally renowned as a leading expert on quantitative finance. His research work is extensive, with more than 100 articles in leading mathematical and finance journals, as well as several internationally acclaimed books on mathematical modeling and derivatives, including the best-selling Paul Wilmott On Quantitative Finance, published by John Wiley & Sons.

Professor Laura Ballotta
Professor in Mathematical Finance
Bayes Business School

Abstract Panel Abstract Biography

Renewing Black-Scholes: Interpreting Renewal Waiting Times

Enhancing the Black-Scholes option pricing model (Black and Scholes, 1973) with richer and more realistic dynamics for the underlying asset has been one of the main research tasks since the publication of their seminal paper 50 years ago. One of the first extensions in this direction traces back to Merton (1976), in which a compound Poisson process is superimposed to the traditional arithmetic Brownian motion used to model log-returns. Generalizations of the Merton model mostly focus on the distribution of the jump sizes, e.g., Kou (2002), Cai and Kou (2011). In this work we move the attention on the choice of the distribution of the time between two subsequent jumps, and therefore the relevant counting process of the price changes. A natural generalization of the Poisson process used in the Merton model is a counting process for which the inter-arrival times are independent and identically distributed with an arbitrary distribution, i.e. a renewal process. Examples of distributions considered in this work are the Weibull distribution, the Mittag-Leer distribution, and their generalizations. Based on this general setup, we study the impact of different counting processes on the ability to correctly reproduce the market implied volatility smiles, moving outside the Lévy framework, i.e. the framework of processes with independent and stationary increments.

This is joint work with Gianluca Fusai (Università degli Studi del Piemonte Orientale, Novara, Italy, and Bayes Business School, London, UK) and Daniele Marazzina (Politecnico di Milano, Milano, Italy).

From Theory to Practice: The Evolution of Quantitative Finance through Fischer Black’s Contributions

The Black-Scholes option pricing model, introduced in 1973 by Fischer Black and Myron Scholes, revolutionized quantitative finance and remains one of the most widely used models in the industry.

Led by Dr. Laura Ballotta, Professor of Mathematical Finance at Bayes Business School, this panel will explore the remarkable evolution of quantitative finance, highlighting Fischer Black's profound impact. Joining Professor Ballotta are renowned experts in the field Dr. Robert Litterman and Professor Emanuel Derman, who worked directly with Fischer Black, offering unparalleled expertise and insights.

The panel will begin by examining the pre-Black-Scholes era and the model's transformative influence. The panelists will then assess the enduring spirit of those early years in today's quantitative finance and also delve into how the 1973 paper shaped contemporary finance, driving new models and approaches.

Drawing from personal experiences, Dr. Litterman and Professor Derman will provide insightful perspectives on interacting with Fischer Black and discuss his contributions to quantitative finance.

Professor Laura Ballotta, Professor of Mathematical Finance, Bayes Business School

Professor Laura Ballotta works in the areas of quantitative finance and risk management. She has written on topics including stochastic modelling for financial valuation and risk management, numerical methods aimed at supporting financial applications, and the interplay between finance and insurance.

Dr. Robert Litterman
Founder
Kepos Capital

Panel Abstract Biography

From Theory to Practice: The Evolution of Quantitative Finance through Fischer Black’s Contributions

Dr. Robert Litterman, Founder, Kepos Capital

Dr. Robert Litterman is a founding partner of Kepos Capital and the Chairman of its Risk Committee. Prior to founding Kepos Capital in 2010, he enjoyed a 23-year career at Goldman Sachs & Co., where he served in research, risk management, investment, and thought leadership roles. He researched and published groundbreaking papers in asset allocation and risk management during his tenure at Goldman Sachs. He is co-developer of the Black-Litterman Global Asset Allocation Model. He is serving or has served on the board of Commonfund, Niskanen Center, Options Clearing Corporation, Resources for the Future, Robert Wood Johnson Foundation, the Sloan Foundation, the CFTC Climate Related Market Risk Subcommittee, and others.

He has a PhD in Economics from the University of Minnesota and a B.S. in Human Biology from Stanford University.

Kepos Capital, founded in 2010, is a registered investment adviser based in New York City. They manage over $2 billion in assets for a global, institutional investor base. Their investment strategies span from systematic macro to carbon transition and carbon allowance markets. Their models seek to deliver returns that are lowly correlated to broad market indices and other investment programs, and they continually evaluate and improve their process in response to new findings, changes in market conditions, and industry competition.

Professor Emanuel Derman
Professor of Financial Engineering
Columbia University

Panel Abstract Biography

From Theory to Practice: The Evolution of Quantitative Finance through Fischer Black’s Contributions

Professor Emanuel Derman, Professor of Financial Engineering, Columbia University

Emanuel Derman is a professor at Columbia University, where he directs their program in financial engineering. He was born in South Africa but has lived most of his professional life in Manhattan. He started out as a theoretical physicist, doing research on unified theories of elementary particle interactions. At AT&T Bell Laboratories in the 1980s he developed programming languages for business modeling. From 1985 to 2002 he worked on Wall Street where he co-developed the Black-Derman-Toy interest rate model and the local volatility model. He is the author of The Volatility Smile (Wiley, 2017), Models.Behaving.Badly (Free Press 2011) one of Business Week’s top ten books of 2011. He is also the author of My Life As A Quant (Wiley 2004), also one of Business Week's top ten of 2004, in which he introduced the quant world to a wide audience.

Elie Ayache
CEO
ITO 33

Abstract Biography

Time and Black-Scholes-Merton

50 years have passed since the advent of this incredible model, and our contention, on its 50th birthday, is that time must be completely reinterpreted. Time in the BSM formalism has nothing to do with time in the BSM trading practice, according to us. Damiano Brigo has shown, for instance, that two underlying dynamics can exhibit the same historical volatility (computed on a fixed discrete time grid) yet imply totally different options prices, or totally different implied volatilities. This, he has shown in the formalism, or in formal time, where the notion of historical volatility exists indifferently in the past or in the future. We claim that in material time, or in the time of the market and actual trading, the situation is even worse and the notions of historical and implied volatility are even more separate. Simply, historical volatility can only exist in the past, and implied volatility is the only thing that exists in the future.

Elie Ayache, CEO, ITO33

Elie Ayache is a former option market-maker on MATIF (1987-1990) and LIFFE (1990-1995). He is the co-founder (1999) and currently the CEO of ITO 33, a software company specializing in convertible bond pricing, and more generally equity index and equity-to-credit single name derivative pricing. Elie is the author of The Blank Swan: The End of Probability (Wiley 2010) and The Medium of Contingency: An Inverse View of the Market (Palgrave 2015).

Dr. Jessica James
Senior Quantitative Researcher
Commerzbank

Abstract Biography

Beyond Convexity

The recent record low yield environment has meant that there has been appetite for issuance and purchase of super-long bonds of up to a century tenor, as these at least bear adequate coupons. However, for these long dated tenors, the variation of bond price as bond yield changes becomes unintuitive. Issuers and investors are familiar with the concepts of duration and convexity, but for super long dated bonds the price-yield sensitivity needs terms beyond convexity. We drive these terms and illustrate their impact on recent bond price changes.

Dr. Jessica James, Senior Quantitative Researcher, Commerzbank

Dr. Jessica James is a Senior Quantitative Researcher at Commerzbank in London. She joined Commerzbank from Citigroup where she held a number of FX roles, latterly as Global Head of the Quantitative Investor Solutions Group. Prior to this she was the Head of Risk Advisory and Currency Overlay Team for Bank One. Before her career in finance, James lectured in physics at Trinity College, Oxford. She holds a BSc in Physics from Manchester University and a D. Phil. in atomic and nuclear physics from Oxford University.

Her significant publications include the ‘Handbook of Foreign Exchange’ (Wiley), 'Interest Rate Modelling' (Wiley), and 'Currency Management' (Risk books). Her latest books include ‘FX Option Performance’ (Wiley, 2015), ‘Quantitative Finance’ (IoP, 2017) and ‘Random Walks in Fixed iNcome and Foreign Exchange’ (de Gruyter, to be published 2021). She has been closely associated with the development of currency as an asset class, being one of the first to create overlay and currency alpha products.

Jessica is a Visiting Professor both at UCL and at The Business School, University of London. She is a Managing Editor for the Journal of Quantitative Finance. Apart from her financial appointments, she is a Fellow of the Institute of Physics and has been a member of their governing body and of their Industry and Business Board.

Dr. Ilia Bouchouev
Managing Partner
Pentathlon Investments

Abstract Biography

Volatility Trading in the Oil Market

The market for oil options is one of the largest derivatives markets in the world but its quantitative dynamics remains largely undocumented. While traditional Black-Scholes framework still applies, it must be modified for storable commodities, such as oil. We discuss practical implementation of gamma and vega strategies in the oil market and present the novel quadratic normal pricing model that captures extreme tail events often observed in commodity markets.

Dr. Ilia Bouchouev, Managing Partner, Pentathlon Investments

Dr. Ilia Bouchouev is the former President of Koch Global Partners where he launched and managed global derivatives trading business for over 20 years. Over the years, he introduced several energy derivatives products and was recognized as one of the pioneers in energy options trading.

He is currently managing partner at Pentathlon Investments and adjunct Professor at New York University where he teaches energy trading at Courant Institute of Mathematical Sciences. He is also a research associate with Oxford Institute for Energy Studies.

He has Ph.D. in Applied Mathematics and published in recognized journals on derivatives pricing and energy markets. Dr. Bouchouev serves on the editorial board of Quantitative Finance. He is currently working on the book on quantitative oil trading.

Dr. Jörg Kienitz
Partner
Acadia

Abstract Biography

Hedging in the Age of Statistical Learning

A data driven and model free approach termed Proxy GMM Hedge for hedging is introduced. The method uses realizations of stochastic quantities on a discrete time-grid and combines fitted Gaussian Mixture Distributions (GMM), being an established method from statistical learning, with classic analytic techniques based on the properties of the Gaussian distribution. It leads to an analytic expression for a hedge with respect to a chosen proxy. Taking for instance the underlying as the proxy, it gives the time-discrete minimal variance delta hedge. For the classical setting of the Black-Scholes-Merton model, this hedge corresponds to discretely applied standard delta hedge. We give a detailed outline of the method and apply it for hedging vanilla, early exercise, and high-dimensional exotic options. For illustration, we generate data using challenging models including the rough Bergomi, or the Bates model in one and multiple dimensions, as well as generative methods based on (Variational) Autoencoders or Generative Adversarial Networks. It can also incorporate liquidity or transaction costs. The method is based on Kienitz, J. 2022. Semi-Analytic Conditional Expectations, RISK 7.

Dr. Jörg Kienitz, Partner, Acadia

Dr. Jörg Kienitz is a partner at Quaternion, Acadia’s Quant Services division. He owns the finciraptor.de website - an educational platform for Quantitative Finance and Machine Learning. Jörg consults on the development, implementation, and validation of quantitative models. He is an Assistant Professor at the University of Wuppertal and an Adjunct Associate Professor at AIFMRM at the University of Cape Town. He regularly addresses major conferences, including Quant Minds, RISK or the WBS Quant Conference series. Jörg has authored four books, Monte Carlo Frameworks (with Daniel J. Duffy), Financial Modelling (with Daniel Wetterau), and Interest Rate Derivatives Explained I and II (with Peter Caspers). He also co-authored many peer reviewed research articles that appeared in leading journals like Quantitative Finance, RISK or Mathematics in Industry.

Dr. David Orrell
Principal
Systems Forecasting

Abstract Biography

Imaginary Oscillations: Quantum Uncertainty and the Black-Scholes Formula

No equation has been more influential in finance than the Black-Scholes formula, which appeared to put option pricing for the first time on a rational basis. An interesting and counter-intuitive feature of its “dynamic hedging” proof was that it seemed to remove the need to make subjective and uncertain estimates of future growth, since all that mattered was the risk-free rate. Key to the argument was that the bid/ask spread between buy and sell prices can be ignored, and also that the volatility of the price can be treated as constant. From a quantum economics perspective, however, the bid/ask spread for an asset represents a fundamental level of uncertainty, which is the main driver of volatility, which is highly variable. This talk presents and tests a number of interrelated predictions from the quantum model, and shows how quantum uncertainty affects option pricing in surprising and significant ways.

Dr. David Orrell, Principal, Systems Forecasting

Dr. David Orrell is an Applied Mathematician and the author of many books, including 'Quantum Economics' (2018); 'Quantum Economics and Finance: An Applied Mathematics Introduction' (2020); and 'Money, Magic, and How to Dismantle a Financial Bomb' (2022). He lives in Toronto.

Dr. Randeep Gug
Managing Director
CQF Institute

Biography

Dr. Randeep Gug, CQF Institute, Managing Director

Dr. Randeep Gug is the Managing Director of the CQF Institute and a lecturer on the Certificate in Quantitative Finance (CQF). Prior to joining Fitch Learning, Randeep worked in a variety of roles. He spent five years working in the Equities division at Salomon Smith Barney and later traded futures and options on the Indian National Stock Exchange (NSE). More recently he has spent time teaching mathematics at all levels. He is a qualified teacher, holds a 1st class honours degree and a PhD for research in semiconductor physics. He is a CQF Alumnus, achieving a distinction on the programme and his current interests are based around improving and promoting the teaching and learning of Quant Finance.

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Conference Organizers

Quant Insights is presented by the CQF Institute, Fitch Learning, & Wilmott

Promoting the highest standard in practical financial engineering, the CQF Institute, part of Fitch Learning, is a global membership organization dedicated to educating and building the quantitative finance community. The CQF Institute is also the awarding body for the Certificate in Quantitative Finance (CQF) the world’s largest professional qualification in quantitative finance.

Part of the Fitch Group, Fitch Learning partners with businesses to help develop the future leaders of the financial services industry. Alongside centers in established financial hubs, Fitch Learning utilizes a best-in-class technology platform to deliver blended learning solutions that maintain the personal element of development.

Wilmott is the leading resource for the quant finance community, comprised a website and discussion forum and Wilmott magazine.

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QUANT INSIGHTS CONFERENCE:

Black-Scholes 50th Anniversary

About the Conference

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Conference Schedule

Conference Speakers

Reflections on the Black Scholes Model and its Applications

Professor Myron Scholes, Chief Investment Strategist, Janus Henderson

Some Derivations of the Black-Scholes Equation and What They Tell Us

Dr. Paul Wilmott, Founder, Certificate in Quantitative Finance (CQF)

Renewing Black-Scholes: Interpreting Renewal Waiting Times

From Theory to Practice: The Evolution of Quantitative Finance through Fischer Black’s Contributions

Professor Laura Ballotta, Professor of Mathematical Finance, Bayes Business School

From Theory to Practice: The Evolution of Quantitative Finance through Fischer Black’s Contributions

Dr. Robert Litterman, Founder, Kepos Capital

From Theory to Practice: The Evolution of Quantitative Finance through Fischer Black’s Contributions

Professor Emanuel Derman, Professor of Financial Engineering, Columbia University

Time and Black-Scholes-Merton

Elie Ayache, CEO, ITO33

Beyond Convexity

Dr. Jessica James, Senior Quantitative Researcher, Commerzbank

Volatility Trading in the Oil Market

Dr. Ilia Bouchouev, Managing Partner, Pentathlon Investments

Hedging in the Age of Statistical Learning

Dr. Jörg Kienitz, Partner, Acadia

Imaginary Oscillations: Quantum Uncertainty and the Black-Scholes Formula

Dr. David Orrell, Principal, Systems Forecasting

Dr. Randeep Gug, CQF Institute, Managing Director

Conference Recordings

Conference Organizers

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