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Bloomberg Quant (BBQ) Seminar Series - November 2021

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Date aired: 11/30/2021
Start time: 5:30 PM EST
Duration: 60 minutes

Please join us for the next installment of the Bloomberg Quant (BBQ) Seminar Series. The seminar takes place every month and covers a wide range of topics in quantitative finance.

In this virtual session chaired by Bruno Dupire, Bob Litterman will present his research, followed by several “lightning talks” of five minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics.


Bob Litterman 
Chairman of Risk Committee 
Kepos Capital LP.

Is Climate Risk Priced Appropriately? Risks, Opportunities, and the Cost of Delay 
Climate risk is not being priced appropriately. Systemic risk is exploding and the only way to address this urgent existential threat is to create appropriately strong global incentives to reduce emissions. Europe is leading the process. China and the U.S. are key. Globally markets are now beginning to anticipate a rapid transition. Valuations are adjusting quickly. But time is not on our side. 


     ·  5:30 PM EST - Keynote: Bob Litterman, Chairman of Risk Committee, Kepos Capital LP.
     ·  6:10 PM EST - Lightning talks: A lightning talk is a very short presentation lasting only five minutes.                       Several will be delivered in a single session by different speakers in quick succession.

Minh Trinh (Rodeo AI/Project Centaurs) 
10 Lessons from The Artificial Intelligence Handbook Series 

Lily Gu (Bloomberg) 
Graph Neural Network 

Mohamed Ndaoud (University of Southern California) 
On the Potential Benefits of Overfitting in High Dimensions


Bruno Dupire

Head of Quantitative Research


Bruno Dupire is head of Quantitative Research at Bloomberg L.P., which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008. He is running the Bloomberg Quant (BBQ) seminar, the largest monthly event of this kind.

Bob Litterman


Kepos Capital LP.

Robert Litterman is the Chairman of the Risk Committee at Kepos Capital LP. Prior to joining Kepos Capital in 2010, Litterman enjoyed a 23-year career at Goldman, Sachs & Co. Bob was named a partner of Goldman Sachs in 1994 and became head of the firm-wide risk function. He is the co-developer of the Black-Litterman Global Asset Allocation Model. Dr. Litterman also chaired the CFTC Climate-Related Market Risk Subcommittee, which published its report, “Managing Climate Risk in the U.S. Financial System,” in September 2020. Dr. Litterman earned a Ph.D. in Economics from the University of Minnesota and a B.S. in Human Biology from Stanford University

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