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Flirting with Models

Sep 8, 2020

My guest this episode is Kris Sidial, co-CIO of The Ambrus Group, a volatility arbitrage focused firm founded in 2018.

Kris recently joined Ambrus after spending several years on BMO’s exotic and listed options desks. While time on these desks gave Kris the experience of managing a large derivatives book,...


Jul 29, 2020

“Keep an open mind. But not so open your mind falls out.”

My guest in this episode needs little introduction: Cliff Asness, co-founder and managing partner at AQR.

Cliff has done dozens of interviews, podcasts, talks, and fireside chats over the years. He is also a prolific writer. So, my goal in this conversation...


Jul 27, 2020

Today I chat with Euan Sinclair, Partner at Talton Capital Management and author of the books Options Trading, Volatility Trading, and the up-coming Positional Option Trading.

We begin our discussion with Euan’s experience as a market maker as I try to get a better understanding of what a market making operation...


Jul 24, 2020

Today I am speaking with Omer Cedar, CEO and co-founder of OmegaPoint.

One of the significant trends in quant equity over the last decade has been the attempt to better control for unintended bets and idiosyncratic risks. At OmegaPoint, Omer comes at the problem from the opposite direction: helping fundamental managers...


Jul 22, 2020

My guest in this episode is Sandrine Ungari, Head of Cross-Asset Quantitative Research at SocGen.

Sandrine cut her teeth in the industry as a fixed-income pricing quant, but made her way over to sell-side, investment quant research in 2006. Her early research focused on credit and macro, but since 2012 has been heavily...