Hybrid Event: Stephan Sturm - Signatures for Option Strategies

IAQF & Thalesians Seminar Series: Signatures for Data Pooling and Commodities Strategies - A Seminar by Stephan Sturm

6:00 PM Seminar Begins
7:30 PM Reception

Hybrid Event

Location: Room Change
Fordham University
Pope Auditorium 113 W 60th St #7
New York, NY 10023

Free Registration!
For Virtual Attendees: Please email web@iaqf.org for the link.

Abstract:
Signature methods have successfully been used as a tool for feature extraction in statistical learning methods, notably in mathematical finance. The specific reason for their success is often much less clear, besides a general hand-waving to path-dependence. This presentation highlights the potential of signatures for data pooling and options strategies in the commodities space. We further aim to explain the success of signatures in the foundational task: classifying commodity futures markets according to storability. We provide a regular perturbation of the signature of the futures term structure in terms of the convenience yield and identify the volatility of the convenience yield as major discriminant. This is joint work with Hari P. Krishnan.

Bio:
Stephan Sturm is Associate Professor of Mathematical Sciences at Worcester Polytechnic Institute (WPI) in Massachusetts. After obtaining his PhD in Mathematics from TU Berlin (Germany), he became a Postdoctoral Research Associate and Lecturer at ORFE in Princeton before joining WPI as a faculty member. Sturm's research covers mainly different areas of financial mathematics, but he is interested in stochastic modeling in general, such as applications to climate science. In finance, his recent work has been focused in particular on portfolio selection and incentives, indifference pricing and the use of signature-based models.