Cornell-Citi Financial Data Science Webinar with Peter Carr (NYU) feat. Lorenzo Torricelli




In this special presentation, the Cornell-Citi Financial Data Science Webinar Series hosts Peter Carr of NYU as he presents his talk, "Stoptions," on Tuesday, 4/13. Lorenzo Torricelli of the University of Parma will join us via a pre-recorded video for our "Lightning Talk" segment. This webinar be held live via Zoom from 5:00pm to 6:00pm EDT. This webinar is free and open to all guests. Registration is required (please RSVP here). You will receive the webinar link and dial-in info upon registration (the confirmation email will come from Abstract: We introduce a new derivative security called a stoption. After paying an upfront premium, the owner of a stoption accrues realized price changes in some underlying security until the flow is stopped by the owner. Upon stopping, the reward is the sum of all of the previous price changes plus a deterministic amount which can vary with the stopping time. Stoptions are finite-lived and hence must be stopped at or before a fixed maturity date. We propose dynamics under which we can determine the optimal stopping strategy and value the stoption premium in closed-form. We also present an application to DVA (debit valuation adjustment) under full collateralization. Program Agenda: 1) Peter Carr’s Presentation 2) Q&A 3) “Lightning Talk” – featuring Lorenzo Torricelli 4) Discussion Speaker Bio: Dr. Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. Prior to his academic appointment as professor, he headed various quant groups in the financial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his Ph.D. from UCLA in 1989. He has over 85 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor's Tech 50, an annual listing of the 50 most influential people in financial technology. “Lightning Talk” Info: In this pre-recorded video, Lorenzo Torricelli will briefly introduce the logistic and Dagum additive martingale option pricing models and visually illustrate some of their probabilistic aspects: probability density functions, cumulant term structures and implied volatility surfaces. Bio: Lorenzo Torricelli is assistant professor at the Department of Economics and Management of the University of Parma. His main research interests are the financial applications of stochastic time changes, tempered processes and subdiffusive processes. He previously worked at LMU Munich as a research fellow and at the Italian pension fund regulatory authority (COVIP).