Financial Engineering Workshop - Jörg Kienitz (Quaternion and University of Cape Town)

Jörg Kienitz is a partner at Quaternion and Assistant Professor at the University of Wuppertal and an Adjunct Associate Professor in AIFMRM at the University of Cape Town . He will be giving a seminar titled "Semi-Analytic Conditional Expectations" on Wednesday 23rd November 2022 from 18:00 - 19:00.


Abstract
We introduce a data driven and model free approach for computing conditional expectations. The new method combines Gaussian Mean Mixture models with classic analytic techniques based on the properties of the Gaussian distribution. We can also incorporate a proxy hedge that leads to analytic expressions for a hedge with respect to the chosen proxy. We apply our method to the calibration of pricing within stochastic local volatility models and Bermudan options and briefly mention other applications.

Bio
Jörg Kienitz is a partner at Quaternion, Acadia’s Quant Services division. He owns the finciraptor.de website - an educational platform for Quantitative Finance and Machine Learning. Jörg consults on the development, implementation, and validation of quantitative models. He is an Assistant Professor at the University of Wuppertal and an Adjunct Associate Professor in AIFMRM at the University of Cape Town. He regularly addresses major conferences, including Quant Minds, RISK or the WBS Quant Conference. Jörg has authored four books, Monte Carlo Frameworks (with Daniel J. Duffy), Financial Modelling (with Daniel Wetterau), and Interest Rate Derivatives Explained I and II (with Peter Caspers). He also co-authored research articles that appeared in leading journals like Quantitative Finance, RISK or Mathematics in Industry.

The Financial Engineering Workshop will take place in-person and online via Zoom.

To access the link to the online seminar, please register the day before the seminar, otherwise you may not be given access.

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