Sebastien Bossu, Worcester Polytechnic Institute

Generalizations of the Carr-Madan spanning formula
Date
Mar 1, 2023, 4:30 pm5:30 pm
Location
101 - Sherrerd Hall

Details

Event Description

Abstract:

  • The Carr-Madan (1998) spanning formula is possibly the most famous result championed by Peter Carr, with far-reaching impact on the financial industry---most visibly the VIX---as well as academic research.
  • This talk proposes to honor Peter's legacy by expounding the formula in connection with related results, and presenting recent generalizations obtained under his broad guidance, specifically for multi-asset European options.
  • This theoretical extension was obtained using several powerful tools from real analysis, including integral equations, Radon and Fourier transforms, and distributions / generalized functions.
  • A mathematically equivalent parallel with function approximation via neural networks will also be discussed.

Bio: Sébastien Bossu is currently a Visiting Professor of Finance at WPI Business School, having just earned his Ph.D. in Quantitative Finance at Université Paris-Saclay under the guidance of Peter Carr, Stéphane Crépey and Andrew Papanicolaou. He has been principal at his startup investment and consulting company in New York City since 2011. He also served as part-time faculty at Fordham University, Pace University, and most recently at Johns Hopkins Carey Business School, NYU Courant and Boston University Questrom School of Business.

Prior to moving to the U.S., Sébastien was a Director and Head of the Equity Derivatives Structuring team at Dresdner Kleinwort (now Commerzbank) in London, an Associate at J.P. Morgan in London, and a Jr. Trader at Goldman Sachs in Paris. He has written two textbooks on Equity Derivatives and several industry and academic articles in his field.  Sébastien is also a graduate from The University of Chicago, HEC Paris, Columbia University and Sorbonne Université (fmr. Pierre-et-Marie-Curie).

Event Category
Financial Mathematics Seminar