Evening with Quantitative Strategists by Goldman Sachs
Join us for an Evening with Quantitative Strategists and hear from Model Risk Management and Credit Risk Strats Teams!
During this event, we will cover two topics:
Quantitative models at the heart of Gamestop saga - The workshop will introduce quantitative models for option pricing based on recent example of Gamestop rally. We will explore key modeling choices and show how these can lead to different valuations, and as a result different hedging performance during volatile markets. Lastly, we will describe how market makers hedge against market moves and how Gamma squeeze can happen.
Algorithmic Adjoint Differentiation and Application in Finance - We’ll talk about AAD (Algorithmic Adjoint Differentiation) methodology and its implementation in Finance. We’ll start with an overview of the history of AAD and give an introductory example of applying it to Black Scholes using manual adjoint differentiation. The generalized method, which is Algorithmic Adjoint Differentiation will be covered subsequently. Finally the session ends with the application of AAD in finance.