Financial Modeling and Model Independence

主讲人：

Dr. Kevin Atteson（adjunct professor at NYU, former Managing Director at Morgan Stanley）

主持老师：

（北大经院）黎新平

时间：

2024年3月9日（周六）9:00-11:00

地点（线上）：

ZOOM会议线上链接：

https://us06web.zoom.us/j/84518944251?pwd=e2bn54TUhOjYattBXOrPtIxJM6lobJ.1
会议号: 845 1894 4251  密码: f3tN9r

主要内容：

In 1973, Black, Scholes and Merton developed the Black-Scholes model which demonstrates how to replicate an option by trading in the underlying stock, for which they later won the Nobel prize. The use of this formula grew in industry until the extreme market crash of 1987 when practitioners realized that the statistical model behind Black-Scholes is inaccurate . Agreement on which market model best fits the market has never been reached. A different approach is to investigate alternative assets such as derivatives, whose replication is independent of the underlying model. The use of this approach also grew but, alas, failed during the global financial crisis due to market frictions and practitioners unwillingness to follow the math precisely. We will talk about the history of this approach and some recent results.

主讲人简介：

Dr. Kevin Atteson is a quant with more than 20 years of experience and an adjunct professor at NYU Tandon School of Engineering. Dr. Atteson previously worked managing the quantitative asset management team at the large family office Summer Road and managing quantitative teams as a Managing Director at Morgan Stanley and as a Vice President at Goldman Sachs. Dr. Atteson had earlier founded the computer technology company Double Prime, which is presently part of the global computer services firm Cognizant. Dr. Atteson has a PhD in Computer Science from the University of Pennsylvania and post-doctoral experience at Penn, Yale and MSRI in Berkeley. Dr. Atteson serves on the Board of Directors of the National Museum of Mathematics of the United States.