Quantitative Finance Weekly Seminar

The Adaptive Curve Evolution Model for Interest Rates Speaker: Matthias Heymann, Goldman Sachs, Model Risk Management Location: NYU Courant Warren Weaver Hall 1302 251 Mercer Street, New York, NY 10012 Date: Tuesday, April 2, 2019, 5:30 p.m. Synopsis: In this talk, the speaker presents the key results from his recent book of the same title. The ACE model—in … Continue reading The Adaptive Curve Evolution Model for Interest Rates →

You are cordially invited to attend the upcoming FRE Lecture: Andrew Papanicolaou, NYU Tandon Thursday, April 4, 2019 at 6:00pm – 7:30pm Event MakerSpace 6 MetroTech Center, 1st floor Brooklyn, NY 11201 Title:  Principal Component Analysis For Implied Volatility Surfaces Abstract:  The surfaces of implied volatilities are available on WRDS for a few thousand US equities. … Continue reading Principal Component Analysis For Implied Volatility Surfaces →

Featuring Machine Learning experts from Cornell, Citi, and more… You and your colleagues are invited to attend the Cornell – Citi Financial Data Science Seminars at the Tata Innovation Center at Cornell Tech, 5th Floor Conference Room. Through the talks this semester, we are excited to collaborate with Citi in highlighting machine learning applications in finance. 11 E Loop Road … Continue reading Leveraging Data Science in Asset Management →

You are cordially invited to attend the upcoming FRE Lecture: Yud Izhakian Thursday, April 11, 2019 at 6:00pm – 7:30pm 5 MetroTech Center, 4th floor (room LC400) Brooklyn, NY 11201 Title:  Ambiguity, Volatility, and Credit Risk Abstract:  We explore the implications of ambiguity for the pricing of credit default swaps (CDSs). A model of heterogeneous investors … Continue reading Ambiguity, Volatility, and Credit Risk →

You are cordially invited to attend the upcoming FRE Lecture on Thursday, April 18th at 6PM in the Event MakerSpace: Event MakerSpace 6 MetroTech Center, 1st floor Brooklyn, NY 11201 Dr. Tim Leung will present a talk on the following topic: Title:  Dynamic Index Tracking and Risk Exposure Control Using Derivatives Abstract:  A common challenge … Continue reading Dynamic Index Tracking and Risk Exposure Control Using Derivatives →

Deep (Supervised or Otherwise) Learning Speaker: Dhruv Madeka, Senior Machine Learning Scientist, Amazon Location: Courant Institute of Mathematics, 251 Mercer St, Warren Weaver Hall 1302, New York, NY 10012 Date: Tuesday, April 23, 2019, 5:30 p.m. Synopsis: Deep Learning usually refers to a set of computational models, composed of multiple processing layers, that perform tasks on … Continue reading Deep (Supervised or Otherwise) Learning →

You are cordially invited to attend the upcoming FRE Lecture: Albert Cohen Thursday, April 25, 2019 at 6:00pm – 7:30pm 5 MetroTech Center, 4th floor (room LC400) Brooklyn, NY 11201 Title:  Bond, CDS, and CDO Pricing Under Structural Recovery Models Abstract:  This talk will present recent results in bond/cds pricing that address the application of stochastic … Continue reading Bond, CDS, and CDO Pricing Under Structural Recovery Models →

Machine Learning for Trading Speaker: Gordon Ritter, Courant Institute of Mathematical Sciences Location: Courant Institute of Mathematics, 251 Mercer St, Warren Weaver Hall 109, New York, NY 10012 Date: Date: Friday, April 26, 2019, 5:30 p.m. Synopsis: In multi-period trading with realistic market impact, determining the dynamic trading strategy that optimizes expected utility of final wealth is a … Continue reading Machine Learning for Trading →

April 30, 2019  |  New York Bloomberg Quant Seminar Series Please join us for the next installment of the Bloomberg Quant (BBQ) Seminar Series. The seminar takes place every month and covers a wide range of topics in quantitative finance.  In this session, chaired by Bruno Dupire, Gordon Ritter, Ph.D., will present his current research, followed … Continue reading Bloomberg Quant Seminar Series →

Reduced Order Representation of Implied Volatility Surfaces Speaker: Andrew Papanicolaou, NYU Tandon Location: Courant Institute of Mathematics, 251 Mercer St, Warren Weaver Hall 1302, New York, NY 10012 Date: Tuesday, April 30, 2019, 5:30 p.m. Synopsis: We consider a Principal Component Analysis of implied vol surfaces (IVS) for US equities using data from OptionMetrics, available through Wharton … Continue reading Reduced Order Representation of Implied Volatility Surfaces →