Brooklyn Quant Experience Lecture Series: Tom Davis
The Department of Finance and Risk Engineering welcomes, Tom Davis, Ph.D., CFA, Vice President, Director Research, Fixed Income and Derivatives, FactSet, to the BQE Lecture Series.
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Abstract
In this talk, I will present a derivation of binomial and trinomial trees using the path integral formalism of quantitative finance, resulting in a novel formula for delta is found based on the likelihood ratio method. This formula yields extremely accurate results at virtually no extra computational cost. Further, when combined with automatic differentiation, this method overcomes a known issue in that gamma is not computable on trees. Finally, I will show some current research broadening this new formula for delta to other cases – including a new method to stable “bumped” deltas for Monte Carlo.
Bio
Dr. Tom Davis, Ph.D., CFA is Vice President, Director Research, Fixed Income & Derivatives at FactSet. In this role, he is focused on ensuring FactSet provides the highest quality fixed income and derivative analytics while growing the coverage across all asset classes. His team also conducts cutting-edge research in the models and methods of quantitative finance which will ultimately increase the speed and accuracy of FactSet analytics. Prior to FactSet, Mr. Davis spent four years at Numerix as Vice President of Product Management in charge of their flagship product and before that, four years managing a team of quantitative analysts at FINCAD focused on arbitrage-free modes of interest rates and foreign exchange rates used to price exotic hybrid derivatives. Dr. Davis earned a Doctor of Philosophy in theoretical physics from the University of British Columbia in Vancouver, Canada.