Mathematical Finance & Financial Data Science Seminar

Modeling Interest Rate and FX Derivatives with Division Algebras

Speaker: Gregory Pelts

Location: Warren Weaver Hall 1302

Date: Tuesday, March 31, 2020, 5:30 p.m.

Synopsis:

We present a versatile unspanned stochastic volatility framework, sufficient for joint modeling of interest rates, foreign exchange rates, and other market observables in a consistent, realistic, and parsimonious fashion.
 
Bio - Gregory Pelts
Dr. Gregory Pelts has been working in the financial industry for over a decade.  He completed his training in mathematics and physics at the St. Petersburg State University and the Steklov Mathematical Institute in Russia.  He received his second Ph.D. in Theoretical Physics from the Rockefeller University in New York.  Gregory has authored a number of publications and given presentations in theoretical physics and quantitative finance.  Gregory is currently employed by Wells Fargo.  Prior to that, he worked for BlackRock, Goldman Sachs, Bear Stearns and Dresdner-Kleinwort-Benson.  Gregory focuses on applications of group theoretical methods to problems in quantitative finance, in particular, stochastic interest rates, stochastic volatility, and credit risk.