Brooklyn Quant Experience Lecture Series: Michael Konikov

Seminar / Lecture
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NYU FRE Brooklyn Quant Lecture Series

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Meeting ID: 927 6432 7839
Password: BQEMK

The Department of Finance and Risk Engineering welcomes Michael Konikov, Senior VP and Head of Quantitative Development Numerix, to the BQE Lecture Series.  


A New Arbitrage-Free Parametric Volatility Surface


Alexandre Antonov, Michael Spector, and Michael Konikov describe a new parametric volatility surface that is arbitrage-free, is extremely rich and flexible, and has closed-form expressions for both European option values and local volatilities. The volatility surface is based on previous work by Carr and Pelts, for which the present authors provide a simple derivation and a concrete implementation Parametric volatility surfaces are used in finance and financial.


Dr. Michael Konikov is a Senior Vice President and the Head of Quantitative Development at Numerix, where he manages a team responsible for the development and delivery of models in Numerix software. Previously, he worked at Citigroup, Barclays, and Bloomberg in quantitative research and desk quant roles. He completed his Ph.D. in mathematical finance at the University of Maryland College Park, concentrating in particular on the application of pure jump processes to option pricing. Dr. Konikov's publications cover diverse topics ranging from equity, interest rates, and credit models to XVA, and the application of machine learning to finance.