Tag Archives: Financial Engineering

Brooklyn Quant Experience Lecture Series (BQE): Peter Carr

March 6, 2020 Novicki Leave a comment

In light of NYU’s ongoing response to COVID-19, our BQE Lecture Series will take place virtually using Zoom. Please find updated event details below.

Dear All,

You are cordially invited to the Brooklyn Quant Experience Lecture Series (BQE) on Thursday, March 12th at 6 p.m.

Attend Virtually >>

Dr. Peter Carr will present a talk on the following topic:

Title:

Addition, Multiplication and Options

Abstract

We treat optionality as a binary operation, on an equal footing with addition and multiplication.
We begin with optionality between real-valued securities, but then use a change of arithmetic to cover optionality between assets whose prices are never negative.
We conclude with several examples illustrating how changes of arithmetic can connect disparate geometric and financial truths.

Bio:

Dr. Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. He has headed various quant groups in the financial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his Ph.D. from UCLA in 1989. He has over 85 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor’s Tech 50, an annual listing of the 50 most influential people in financial technology.

In the 2.5 years Dr. Carr has been FRE dept. chair, applications increased from 1,300 per year to 1,800 per year. For the 2018 class, current quant GRE is 169/170 and GPA is 3.82. FRE moved up in QuantNet rankings both years. An online summer course was initiated 2 summers ago and an on-campus bootcamp was initiated this past summer. Six electives on machine learning in finance were introduced. The distance learning room became operational this past summer.

We look forward to having you join us for the talk and refreshments.

Click on link below for the full spring BQE Lecture Series:
https://engineering.nyu.edu/academics/departments/finance-and-risk-engineering/upcoming-events

Seminar

Brooklyn Quant Experience (BQE) Lecture Series: Kimberly Weston

February 28, 2020 Novicki Leave a comment

Please note: this event was previously with Dr. Kimberly Weston, Associate Professor at Rutgers University. Please find the updated details below.

Dear All,

You are cordially invited to the Brooklyn Quant Experience Lecture Series (BQE) on Thursday, March 5th at 6 p.m. in the NYU Tandon Bern Dibner Library at 5 MetroTech Center, 4th Floor – LC 400, in Downtown Brooklyn.

Dr. Stephan Sturm will present a talk on the following topic:

Title:

Portfolio Selection using the Distribution Builder

Abstract

Portfolio optimization subject to personal preferences of an economic agent is a mainstay in financial mathematics. The common way this problem is set up is via a utility function representing the agent’s preferences. This supposes in practice that agents behave rationally as well as that there is a practical and tangible way to determine their utility function. An alternative approach, known as Distribution Builder, has been proposed by Goldstein, Sharpe and Blythe: investors should determine directly the distribution of the terminal payoff given their budget constraint. In this talk we first review the concept of the distribution builder and the mathematical model behind it, and then propose extensions to optimization of intertemporal consumption and in incomplete markets. This is based on ongoing joint work with Carole Bernard and Mauricio Elizalde Mejía.

Bio:

Stephan Sturm is Associate Professor of Mathematical Sciences at Worcester Polytechnic Institute (WPI) in Massachusetts and currently spends his sabbatical at the Chinese University of Hong Kong and NYU. After obtaining his PhD in Mathematics from TU Berlin (Germany), he became a Postdoctoral Research Associate and Lecturer at the Department of Operations Research and Financial Engineering at Princeton University before joining WPI as 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 work is devoted in particular in questions of value adjustments for derivative securities (XVAs), optimal portfolio selection and systemic risk in financial markets.

We look forward to having you join us for the talk and refreshments.

Click on link below for the full spring BQE Lecture Series:
https://engineering.nyu.edu/academics/departments/finance-and-risk-engineering/upcoming-events

Seminar

Cornell – Citi Financial Data Science Seminars

February 27, 2020 Novicki 1 Comment

You and your colleagues are invited to attend the Cornell – Citi Financial Data Science Seminars at the Tata Innovation Center at Cornell Tech, Room 131. Through the talks this semester, we are excited to collaborate with Citi in highlighting machine learning applications in finance.

11 West Loop Road
New York, NY 10044

All seminars are from 6:00pm to 7:00pm. This seminar will be recorded, and you can watch the livestream.

Seminars are free. However, registration is required for NYC attendees as seating is limited.

RSVP

Date: Wednesday, March 4, 2020
Time: 6:00 pm – 7:00 pm
Speaker: Alok Dutt | Citigroup
Title: Data Science in Financial Markets: Hype vs. Useful Practical Reality

Abstract: The data-driven fields of AI and ML are ubiquitous in the financial industry, but despite the promise there are many obstacles to effective application. Few firms are able to reap their full rewards and it is increasingly important to distinguish what works from what doesn’t in practice. How does one navigate the opportunities and challenges amid the plethora of techniques and complexities of implementation? This talk will present a number of general principles and case studies that can help make the necessary choices to realize the transformational potential of data within a financial institution.

Speaker Bio

Alok Dutt is Head of Analytics in the Markets Quantitative Analysis division at Citigroup. He is an architect and manager responsible for various advanced projects in data analytics, trading algorithms and automation across multiple business lines and asset classes. In his role at Citi he applies data and quantitative techniques to automate business processes including research, modeling, trading, simulation and visualization. Alok has extensive experience in several broad areas of quantitative finance, including derivatives modeling, algorithmic trading and market making. Before Citi, he developed the trading models and algorithms for a new automated options market making group at Morgan Stanley that was the subject of a HBS case study on disruptive innovation. Prior to that, Alok was an exotics modeler and trader and established the first multi-asset hybrid trading desk at Bank of America. Alok has a PhD in Computer Science from Yale University and a BA in Mathematics from Cambridge University.

We hope to see you there!

The Cornell-Citi Team

Directions to CFEM&Citi @CornellTech on Roosevelt Island: Take the Tram or the F train to Roosevelt Island; walk to the left along the East River until you see a modern glass building, which is the Tata Innovation Center. Once you enter the lobby and check in, walk straight ahead to Room 131.

**Please excuse any duplication of this announcement

Upcoming CFEM Events

April 1, 2020
May 6, 2020

Seminar

Brooklyn Quant Experience Lecture Series: Marina Di Ciacinto

February 24, 2020 Novicki Leave a comment

Dear All,

You are cordially invited to the Brooklyn Quant Experience Lecture Series (BQE) on Thursday, February 27th at 5 p.m.* in the NYU Tandon MakerSpace at 6 MetroTech Center, 1st Floor in Downtown Brooklyn.

*Please note the time change for this week’s event. The BQE Lecture Series is normally held at 6 p.m.

Dr. Marina Di Ciacinto will present a talk on the following topic:

Title:

Dynamic Optimal Execution with Inventory Cost

Abstract

We consider the problem of optimal liquidation of a position in a risky security quoted in a financial market, where price evolution is risky and trades have an impact on price as well as uncertainty in filling orders. We generalize the Almgren and Chriss model by adding extra features that model the market maker’s impact on the price by an Ornstein-Uhlenbeck process. During execution, market makers are assumed to mean revert their inventories to a preassigned capacity. The market is populated by a multiplicity of market makers with heterogeneous mean reversion time-scales. The stochastic control problem can be solved by dynamic programming approach. We first solve analytically the related HJB equation finding the value function. Then we apply verification techniques to obtain the optimal allocation strategy in the feedback form and to study its properties. In the limit as the spectrum of market makers’ mean reversion rates approaches a gamma distribution, a volume-weighted average price execution under the resulting model generates a power-law expected execution price path. If time permits, we also discuss the extension of the problem to a trader maximizing a risk-adjusted profit and loss function.

Bio:

Marina Di Giacinto received the Ph.D. degree in Applied Mathematics from Sapienza University of Rome. She is currently a tenured faculty member of the Department of Economics and Law at the University of Cassino. She holds the National Qualification for Associate Professorship since 2018. She has been visiting the Laboratoire CEREMADE at the Université Paris IX Dauphine and the Mathematics Department at Baruch College of The City University of New York. Her research interests include the deterministic and stochastic optimal control theory applied to Economics, Finance and Insurance. Her papers are published in leading peer-reviewed journals like Finance and Stochastics, European Journal of Operational Research, Journal of the Operational Research Society, and Quantitative Finance.

We look forward to having you join us for the talk and refreshments.

Click on link below for the full spring BQE Lecture Series:
https://engineering.nyu.edu/academics/departments/finance-and-risk-engineering/upcoming-events

Seminar

Brooklyn Quant Experience Lecture Series: Claudio Tebaldi

February 18, 2020 Novicki Leave a comment

Dear All,

You are cordially invited to the Brooklyn Quant Experience Lecture Series (BQE) on Thursday, February 20th at 6PM in the Event MakerSpace – 6 MetroTech Center, 1st Floor.

Dr. Claudio Tebaldi will present a talk on the following topic:

Title:

Arbitrage Pricing Implications of Cascade Risk

Abstract

Traditional approach to valuation by (no) arbitrage has focused on the impact on prices of systematic risk factors. In fact firm-specific risks are assumed to be completely diversifiable. In our research we reconsider intertemporal asset pricing in an economy where distress shocks can propagate through a network of inter-firm connections. It can be shown under general conditions that two classes of equilibria emerge. In the first, firm-specific shocks are diversifiable and do not affect investor expectations. In the second, they generate non-diversifiable cascades that amplify arbitrage risk giving rise to a risk premium component not accountable by any systematic factor. We analyze the impact of cascades on stock and option prices and expected returns. We exemplify our findings focusing on the pricing of claims written on assets of financial intermediaries connected by a network of debt-credit claims.

Bio:

Claudio Tebaldi is a tenured faculty member of the Department of Finance, L. Bocconi University Milano. Associate professor in the field of Quantitative Methods for Economics, Finance and Insurance since 2011, he holds the National Qualification for Full Professorship since 2015. He is a fellow of IGIER and Baffi-CAREFIN research centers and has been Visiting Scholar at UCLA Anderson School of Business. His research interests range in the areas of Derivative, Asset pricing and Portfolio management. His papers are published in leading peer-reviewed journals like the Review of Financial Studies, Mathematical Finance, Journal of Financial and Quantitative Analysis and Journal of Econometrics and two of them have been awarded: one in September 2019 by the Canadian Derivatives Institute as Best Paper in Derivatives of the Northern Finance Association Meeting, one in January 2007 as Best Paper of the Swiss Econometrics and Finance Society Meeting. He is currently serving as Managing Editor of Quantitative Finance.

We look forward to having you join us for the talk and refreshments.

Click on link below for the full spring BQE Lecture Series:
https://engineering.nyu.edu/academics/departments/finance-and-risk-engineering/upcoming-events

Discussion

Breakfast Roundtable with the IAQF Senior Fellows

February 11, 2020 Novicki Leave a comment

Conversation with Cliff Asness, Douglas Breeden,

Peter Carr, & Emanuel Derman

Friday, February 28th

8:30am Registration & Light Breakfast

9:00-10:00am Roundtable Discussion

The Cornell Club of New York

6 East 44th Street

New York, NY

Brooklyn Quant Experience Lecture Series: Harvey Stein

February 11, 2020 Novicki Leave a comment

Dear All,

You are cordially invited to the Brooklyn Quant Experience Lecture Series (BQE) on Thursday, February 13th at 6PM in LC 400, Dibner Building, 5 MetroTech Center – 4th Floor.

Dr. Harvey Stein will present a talk on the following topic:

Title:

A Unified Framework for Default Modeling

Abstract

Credit risk models largely bifurcate into two classes — the structural models and the reduced form models. Attempts have been made to reconcile the two approaches by adjusting filtrations to restrict information, but they are technically complicated and tend to approach filtration modification in an ad-hoc fashion.

Here we propose a reconciliation inspired by actuarial science’s approach to survival analysis. We model the survival curve and hazard rate curve as stochastic processes. This puts default models in a form resembling the HJM framework for interest rates, yielding a unified framework for default modeling.

Predictability of default has a simple interpretation in this framework. The framework enables us to disentangle predictability and the distribution of the default time from calibration decisions such as whether to use market prices or balance sheet information. It supplies a formal framework for combining models, yielding a simple way to define new default models.

Bio:

Dr. Harvey J. Stein is Head of the Quantitative Risk Analytics Group at Bloomberg, responsible for Bloomberg’s market risk and credit risk models. Dr. Stein is well known in the industry, having published and lectured on mortgage backed security valuation, CVA calculations, interest rate and FX modeling, credit exposure calculations, financial regulation, and other subjects. Dr. Stein is also on the board of directors of the IAQF, an adjunct professor at Columbia University, a board member of the Rutgers University Mathematical Finance program and of the NYU Enterprise Learning program, and organizer of the IAQF/Thalesians financial seminar series. He received his BA in mathematics from WPI in 1982 and his PhD in mathematics from UC Berkeley in 1991.

We look forward to having you join us for the talk and refreshments.

Seminar

Brooklyn Quant Experience Lecture Series: Dhruv Madeka

February 3, 2020 Novicki Leave a comment

Dear All,

You are cordially invited to the Brooklyn Quant Experience Lecture Series (BQE) on Thursday, February 6th at 6PM in LC 400, Dibner Building, 5 Metrotech Center – 4th Floor.

Dr. Dhruv Madeka who will present a talk on the following topic:

Title:

Practical Deep Reinforcement Learning

Abstract

We present a Deep Reinforcement Learning approach to solving a dynamic periodic review inventory system with stochastic vendor lead times, lost sales, correlated demand, and price matching. While this dynamic program has historically been considered intractable, we show that different policy learning approaches are competitive or outperform classical baseline policies. In order to train these algorithms, we develop techniques to convert historical data into off-policy data for a simulator.

Bio:

Dhruv Madeka is a Senior Machine Learning Scientist at Amazon. His current research focuses on applying Deep Reinforcement Learning to inventory management problems. Dhruv has also worked on developing generative and supervised deep learning models for probabilistic time series forecasting. In the past – Dhruv worked in the Quantitative Research team at Bloomberg LP, developing open source tools for the Jupyter Notebook and conducting advanced mathematical research in derivatives pricing, quantitative finance and election forecasting.

We look forward to having you join us for the talk and refreshments.

Seminar

Brooklyn Quant Experience Lecture Series: Milind Sharma

January 28, 2020 Novicki Leave a comment

Dear All,

We are delighted to announce the new Brooklyn Quant Experience (BQE) Lecture Series (formerly known as the FRE Lecture Series), which will begin Thursday, January 30th at 6PM in the Event MakerSpace, 6 Metrotech Center, 1st Floor.

To kickoff our first lecture this spring, we have invited Dr. Milind Sharma who will present a talk on the following topic:

Title:

From Smart Betas to Smart Alphas

Bio:

Milind Sharma’s 24 years of market experience span running prop desks at RBC & Deutsche Bank (Saba unit) as well as hedge funds (QuantZ) & mutual funds (MLIM) not to mention his fintech venture QMIT. His funds have won many awards over the years including those from Morningstar, Lipper, WSJ, Battle of the Quants & BattleFin. He was also a co-founder of Quant Strategies at MLIM (now BlackRock) & Manager of the Risk Analytics and Research Group at Ernst & Young where he was co-architect of Raven TM. His publications have appeared in Risk, JoIM, Elsevier, World Scientific, Wiley etc. In addition to dual MS degrees he was also in the Logic/ AI PhD program at Carnegie Mellon. Other education includes Oxford, Vassar & Wharton.

We look forward to having you join us for the talk and refreshments.

Seminar

NYU FRE Lecture Series: Yuewu Xu

December 3, 2019 Novicki Leave a comment

Dear All,

You are cordially invited to attend the last FRE Lecture Series for the Fall 2019 semester on Thursday, December 5th in the Event MakerSpace (6 MetroTech Center, Brooklyn, NY) at 6:00 p.m.

Dr. Yuewu Xu will present a talk on the following topic:

Title:

A New Approach to Recover Risk-Neutral Distributions From Options

Abstract

This paper develops a novel model-free representation of the risk-neutral density in terms of market observed options prices by combining an exact series representation of the Dirac Delta function and the Carr-Madan spanning formula. Compared to the widely used method for obtaining the risk-neutral densities via the Breeden-Litzenberger device, our method yields risk-neutral densities that are model-free, automatically smooth, in closed-form, and do not involve operations such as interpolation of the implied volatilities. The closed-form feature of our new representation makes it ideal for many potential applications, including a new model-free representation of the local volatility function in the Dupire’s local volatility model. The validity of our method is demonstrated through simulation studies as well as an empirical application using real options data. Extension of the method to higher dimensions is also established by extending the Carr-Madan spanning formula.

JEL Classification: G12, G13, G14, C58

Keywords: Risk-neutral distribution, option-implied information, Carr-Madan formula, Dirac Delta function.

Bio:

Dr. Yuewu Xu is currently an associate professor of finance at the Gabelli School of Business, Fordham University. His research interests are in the areas of theoretical and empirical asset pricing, and financial econometrics. Dr. Xu’s research articles have appeared in leading academic journals such as the Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and the Journal of Econometrics, and his works have been presented in the conference of American Finance Association and the Western Finance Association. Prior to joining Fordham, Dr. Xu was director of investment strategy and research at a major asset-management firm in New York where he worked for five years.

Prof. Xu holds a PhD in finance and a PhD in statistics from Yale University.

We look forward to having you join us for the talk and refreshments.

Collaborative events organized by Bloomberg LP, Global Risk Institute, Cornell Financial Engineering Manhattan, International Association of Quantitative Finance (IAQF), NYU Courant Institute of Mathematical Sciences, and NYU Tandon School of Engineering.

Quantitative Finance Weekly Seminar

Tag Archives: Financial Engineering

Brooklyn Quant Experience Lecture Series (BQE): Peter Carr

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Abstract

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Brooklyn Quant Experience (BQE) Lecture Series: Kimberly Weston

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Cornell – Citi Financial Data Science Seminars

Brooklyn Quant Experience Lecture Series: Marina Di Ciacinto

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Abstract

Bio:

Brooklyn Quant Experience Lecture Series: Claudio Tebaldi

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Breakfast Roundtable with the IAQF Senior Fellows

Brooklyn Quant Experience Lecture Series: Harvey Stein

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Brooklyn Quant Experience Lecture Series: Dhruv Madeka

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Brooklyn Quant Experience Lecture Series: Milind Sharma

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NYU FRE Lecture Series: Yuewu Xu

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Collaborative events organized by Bloomberg LP, Global Risk Institute, Cornell Financial Engineering Manhattan, International Association of Quantitative Finance (IAQF), NYU Courant Institute of Mathematical Sciences, and NYU Tandon School of Engineering.

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