Run Time: 52.02 minutes In this video Patrick S. Hagan provides the framework for incorporating realistic probability distributions into one's pricing, hedging, and risk analysis:
- Learn how to extend Black/Scholes/Merton arbitrage free theory to realistic depictions of the market
- Learn how realistic models explain the observed volatility surfaces of European options
- Learn how the fat tails of realistic models affect the hedging and risk analysis of European options
This video, one of six from the Wiley WILMOTT Summit on Risk and Quantitative Modeling in Finance, held on the 11th December 2012 at Columbia University, New York feature the presentations from thought leaders and industry experts aiming to draw together some of the lessons of the last decade in order to restate the discipline's fundamental role in driving the future success of the global market economy.
This is the time to define what quantitative finance really means beyond the fallout of the global financial crisis and to identify the technology and techniques that will power innovation and growth.
Videos in this series include:
Paul Wilmott - Recent Advances in Stupid Ideas in Quant Finance
Kent Osband - Fooled by Rational Turbulence
Aaron Brown - And The Cows That Were Ugly and Gaunt Ate Up The Seven Sleek, Fat Cows
Patrick S. Hagan - On Beyond Black: Volatility Surfaces and Dark Noise
Edward O. Thorp - What Finance Has Taught Me
Chaired by Jack Schwager - Wiley Wilmott Summit Debate, Is Finance the sickness or the cure? Joined by Paul Wilmott, Kent Osband, Aaron Brown and Patrick S. Hagan
About the Author: Patrick S. Hagan, Managing Director Quantitative Research, Chief Investment Office, JP Morgan. Patrick S. Hagan is the Head of Quantitative Analytics for JP Morgan's Chief Investment Office and a world renowned figure in the quantitative finance community.
Pat received his BS and Ph.D. in Applied Mathematics from the California Institute of Technology. Before joining JP Morgan he worked for several banks and third party software providers designing trading systems, as well as developing the component models, calibration methods and numerical algorithms for pricing, structuring and managing derivatives. Before entering finance, Pat helped design chemical reactors for Exxon, was a scientist for Los Alamos's Theory and Computer Research & Applications groups and was the Deputy Director for the Los Alamos Center for Nonlinear Science. He is a former Director of the US Industrial Study Group, has taught at Stanford University, the California Institute of Technology and the Courant Institute (NYU) and is an Adjunct Professor at several other institutions.
