[Cti_finance] DePaul Computational Finance Group's Featured Speaker Series - Dr. Peng He

[Aviad Sheinfeld]

This is a repeat announcement, with the addition of a bio of Dr. Peng He...

Please join us for the next installment of:

DePaul Computational Finance Group's
Featured Speaker Series


         Date:   Thursday, January 31, 2008

         Time:   4:30-5:30 
                 **we will start and end promptly
                   so people can get to evening  classes

         Room:   DePaul Center (1 E. Jackson Blvd.)
                 Room 11013 (11th floor)

Our featured speaker will be Peng He, who will discuss his thesis titled "Risk-Neutral Dynamics of Market Implied Volatility and Its Applications."

Dr. He is the one of the partners and founder of LogicBox Holding LLC, where he serves as the director of quantitative research. In his position, Dr. He’s core initiative is design, development and support of quantitative models for proprietary trading efforts and architectural design and validation of the LogicBox trading platform. 

Prior to joining LogicBox, Dr. He was a senior Quantitative Analyst at Spooz, LLC, GBar LLC and Relativity LLC. At Spooz, he coauthored a statistical arbitrage model and developed a core structure for an Excel based trading solution. At GBar LLC, he designed and coded a black-box trading system from scratch. A back testing and an optimization framework were built correspondingly. At Relativity Holding LLC, Dr. He co-authored high-frequency arbitrage models and basis trading models for the OTC FX markets. In addition, Dr. He provides quantitative support in building the CAX (Chicago Aggregate Exchange) an OTC FX exchange.

Prior to his experience in Relativity, Dr. He was a researcher at Rotella Capital Management LLC, where he designed and implemented Fourier Trading System, a typical example of applying mathematical knowledge and bringing out-of-box concepts to the analysis and development of new trading strategies/models. At Tahoe Trading and Botta Trading, Dr. He’s major quantitative effort was option pricing and hedging, risk management of nonlinear portfolios, time series data analysis, exploring volatility arbitrage based on relative implied volatility relationships etc.

While working full time, Dr. He developed and defended his Ph.D. thesis from Math Department of University of Illinois at Chicago. The initiative of the thesis is how to explain market phenomena in terms of mathematical models. A risk neutral stochastic implied volatility model is developed and its applications is demonstrated.



This presentation is open to everyone – please join us and pass along this invitation to others who may be interested!

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