Prof Emanuel Derman van Columbia Universiteit in New York sal binnekort die Thys Visser-gedenklesings in die Fakulteit Ekonomiese en Bestuurswetenskappe lewer. Prof Derman is die direkteur van die meestersgraadprogram in finansiёle ingenieurswese by Columbia Universiteit se Departement Bedryfsingenieurswese en Operasionele Navorsing.

Wyle Thys Visser was 'n dinamiese sakeleier, alumnus van hierdie Fakulteit, en ʼn groot ondersteuner van die Universiteit Stellenbosch. Ná sy voortydige dood in 2012 het die Fakulteit besluit om hom by wyse van ʼn tweejaarlikse lesingreeks deur vooraanstaande internasionale kundiges te vereer.

Die lesingreeks bestaan uit drie aandlesings op 15, 16 en 18 Oktober 2018 by STIAS, Maraisstraat 10, Stellenbosch, en die publiek is welkom om dit by te woon:

• 15 Oktober 2018:  A Stylized History of Quantitative Finance
• 16 Oktober 2018:  Metaphors, Models, Data, Theories and Intuition
• 18 Oktober 2018:  An Introduction to the Volatility Smile in Options Markets

Verdere inligting oor die lesings, asook oor prof Derman is hier onder.

• Indien u een of meer van die lesings wil bywoon, bespreek asb. u plek deur hier te kliek en die vorm te voltooi. Bespreking is noodsaaklik.
  

Verdere inligting oor die lesingreeks:

15 October 2018:  A Stylized History of Quantitative Finance

• The evolution of a quantitative approach to finance has proceeded through many small but significant steps and occasional large epiphanies. 
• This talk outlines how, over the past 70 years, financial models have quantified the notion of derivatives, diffusion, risk, volatility, the riskless rate, diversification, hedging, replication, and the principle of no riskless arbitrage, and explores their consequences.

16 October 2018:  Metaphors, Models, Data, Theories and Intuition

• Models stand on someone else's feet. They are metaphors that explain the world we don't understand in terms of worlds we do. 
• Theories stand on their own feet, rely on no analogies. 
• Theories try to tell you what something is. Models tell you merely what something is partially like.
• Data alone has no voice. 
• It takes intuition to develop a theory. 
• Models reduce dimensionality and simplify by sweeping dirt under the rug. 
• A good model makes explicit the dirt that has been hidden.

18 October 2018:  An Introduction to the Volatility Smile in Options Markets

• According to classic theory, the Black-Scholes implied volatility of an option should be independent of its strike and expiration. Prior to the stock market crash of October 1987, the volatility surface of index options was indeed fairly flat.
• Since the crash, the surface of index options has become skewed, and is referred to as “the smile."
• The smile phenomenon has spread to stock options, interest-rate options, currency options, and almost every other volatility market.
• Since the Black-Scholes model cannot account for the smile, trading desks have begun to use more complex models.
• After 30 years, there is still no overwhelming consensus as to the correct model. This talk covers a short history of attempts to model the smile.

Verdere inligting oor prof Emanuel Derman:
Prof Derman joined Columbia University Research Department in 2003. Before that he was a managing director at Goldman Sachs, where he was head of the quantitative strategies group in the equities division, and then head of quantitative risk strategies in firm-wide risk.

Prof Derman is best known for his work on the Black-Derman-Toy interest-rate model and for developing local volatility models of the implied volatility smile. His research interests include quantitative finance, financial engineering, derivatives valuation, volatility models, and risk management.

Since 1995, Derman has written many articles pointing out the essential difference between models in physics and models in finance. Derman together with Paul Wilmott wrote the Financial Modelers' Manifesto, a set of principles for doing responsible financial modeling. He also wrote Models. Behaving. Badly. (published in 2011), and has published in several journals including the Financial Analysts Journal, RISK, The Journal of Portfolio Management, and The Journal of Derivatives. His memoir, My Life as a Quant: Reflections on Physics and Finance, was published in 2004 and was selected as one of Business Week's top ten books of the year.

Derman obtained a BSc (Hons) at the University of Cape Town, and received a PhD in theoretical physics from Columbia in 1973. He was named the IAFE/SunGard Financial Engineer of the Year 2000, and was elected to the Risk Hall of Fame in 2002.