Stellenbosch University
Welcome to Stellenbosch University
Thys Visser Lecture Series
Start: 15/10/2018, 18:00
End: 18/10/2018, 18:00
Contact:Ronel Beukes - 021 808 3404
Location: STIAS

​​​In mid-October, the Faculty of Economic and Management Sciences will host Prof Emanuel Derman of Columbia University in New York City, when he presents the Thys Visser Commemorative Lecture Series. Prof Derman is the Director: Master of Science Program in Financial Engineering at Columbia University's Industrial Engineering and Operations Research Department.

The late Thys Visser was a dynamic business leader, alumnus of this Faculty, and strong supporter of Stellenbosch University. Following his untimely death in 2012, the Faculty decided to honour his memory with a biennial lecture series by leading international scholars.

The lecture series will consist of three evening lectures on 15, 16 and 18 October 2018 at STIAS, 10 Marais Street, Stellenbosch and will be open to the public:

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

Below is more information about both the lectures and Prof Derman.

  • Should you wish to attend one or more of the lectures, please make a reservation by clicking here and completing the form. Booking is essential.



More about the lecture series:

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.

More about 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.