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Bloomberg Quant (BBQ) Seminar - October 2020

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Time: 12:30 New York | 5:30 London

Duration:90 minutes

Please join us for the next virtual 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, Head of Quantitative Research at Bloomberg L.P., Jesper Andreasen will present his current research, followed by several ''lightning talks'' of 5 minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics.

Local Volatility in Multi Dimensions

Keynote: Jesper Andreasen, Kwantfather, Saxo Bank
We discuss the subject of multi asset volatility arbitrage and consider a class of multi asset local volatility models where the local correlation is specified through local volatility of spreads. For a discrete version of the model we present an efficient and simple way of calibration by Monte-Carlo. Applications to foreign exchange, interest rates, and equities are discussed.


Bruno Dupire

Head of Quantitative Research

Bloomberg L.P.

Jesper Andreasen


Saxo Bank

Jesper Andreasen, Kwantfather, Saxo Bank Jesper Andreasen heads the Quantitative Research Department at Saxo Bank in Copenhagen. Prior to this, Jesper has held senior positions in the quantitative research departments of Danske Bank, Bank of America, Nordea, and General Re Financial Products. Jesper holds a PhD in mathematical finance from Aarhus University. He received Risk Magazine’s Quant of the Year awards in 2001 and 2012, and In-House Risk System of the Year award 2015, and he is an honorary professor of mathematical finance at Copenhagen University.

Lighting Talks

A lightning talk is a very short presentation lasting only 5 minutes. Several will be delivered in a single session by different speakers in quick succession.
• Peter Carr (NYU Tandon School of Engineering)
   Time Value in 5 Minutes
• Lily Gu (Bloomberg L.P.)
   Sectors and Elections
• Keith Lewis (KALX, LLC)
   The Unexpected CAPM Formula
• Anju Kambadur (Bloomberg L.P.)
   Financial Insights with Bloomberg Knowledge Graph
• Arturo Cifuentes (Clapes UC, Catholic University of Chile)
   Price and Color Preference of Joseph Albers Square Series
• Mathieu Rosenbaum (École Polytechnique) 
   Ahead: Ad hoc electronic auction design

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