{"id":525,"date":"2023-10-15T01:46:46","date_gmt":"2023-10-15T01:46:46","guid":{"rendered":"https:\/\/pages.charlotte.edu\/probability-seminar\/?p=525"},"modified":"2023-10-15T01:46:46","modified_gmt":"2023-10-15T01:46:46","slug":"wed-oct-18-2023-at-400pm-in-fretwell-315","status":"publish","type":"post","link":"https:\/\/pages.charlotte.edu\/probability-seminar\/blog\/2023\/10\/15\/wed-oct-18-2023-at-400pm-in-fretwell-315\/","title":{"rendered":"Wed Oct 18, 2023 at 4:00PM in Fretwell 315"},"content":{"rendered":"\n<p><a href=\"https:\/\/math.charlotte.edu\/directory\/sebastien-bossu\">S\u00e9bastien Bossu<\/a>, UNC Charlotte<\/p>\n\n\n\n<p>Title: Spanning multi-asset option payoffs with ReLUs and Radon transforms<\/p>\n\n\n\n<p>Abstract: The Carr-Madan spanning formula which underlies the calculation of the VIX gives a decomposition of an arbitrary payoff function as a sum of calls and puts. This formula can be generalized to multi-asset option using Radon transforms, and the corresponding inverse problem can be approximated numerically using one hidden-layer feedforward ReLU neural networks (NN). In the first part of this talk, the NN approach is used to identify static hedges (&#8220;spanning portfolios&#8221;) for a selection of multi-asset options, such as best-of calls or dispersion puts, using basket payoffs that are easier to trade and price. In the second part of this talk, perfect static hedges based on (suitably regularized) Radon transform solutions are discussed. (Joint work with St\u00e9phane Cr\u00e9pey, Univ. Paris-Cit\u00e9, and his PhD students Nisrine Madhar and Hoang-Dung Nguyen, Univ. Paris-Cit\u00e9 and Natixis)<\/p>\n\n\n\n<p>Bio: S\u00e9bastien Bossu received his Ph.D. in quantitative finance from Universit\u00e9 Paris-Saclay in 2022 under the guidance of Peter Carr, St\u00e9phane Cr\u00e9pey and Andrew Papanicolaou. He has published 3 articles in top academic journals as well as two textbooks and several industry papers in mathematical finance, including the popular read &#8220;Just What You Need to Know About Variance Swaps&#8221; which circulated widely. S\u00e9bastien previously served as part-time faculty at Fordham University, Pace University, Johns Hopkins Carey Business School, NYU Courant and Boston University Questrom School of Business, and most recently as full-time Visiting Professor of Finance at WPI Business School. He is a regular speaker at regional, national and international conferences in his field. S\u00e9bastien is also a graduate from The University of Chicago, HEC Paris, Columbia University and Sorbonne Universit\u00e9 (fmr. Pierre-et-Marie-Curie).<\/p>\n\n\n\n<p>Prior to his Ph.D., S\u00e9bastien was principal at his startup investment and consulting company in New York City since 2011, and worked at JPMorgan and Dresdner Kleinwort (now Commerzbank) in London between 2003 and 2008. As a young Analyst at JPMorgan, he discovered the correlation proxy formula and was the first author to establish the connection between dispersion trading and correlation swaps.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>S\u00e9bastien Bossu, UNC Charlotte Title: Spanning multi-asset option payoffs with ReLUs and Radon transforms Abstract: The Carr-Madan spanning formula which underlies the calculation of the VIX gives a decomposition of an arbitrary payoff function as a sum of calls and puts. This formula can be generalized to multi-asset option using Radon transforms, and the corresponding [&hellip;]<\/p>\n","protected":false},"author":16,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[7],"tags":[],"class_list":["post-525","post","type-post","status-publish","format-standard","hentry","category-probability_seminar"],"_links":{"self":[{"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/posts\/525","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/users\/16"}],"replies":[{"embeddable":true,"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/comments?post=525"}],"version-history":[{"count":1,"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/posts\/525\/revisions"}],"predecessor-version":[{"id":526,"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/posts\/525\/revisions\/526"}],"wp:attachment":[{"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/media?parent=525"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/categories?post=525"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/tags?post=525"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}