Financial Engineering Seminar Series

Date Speaker Title
1/26/2023 Petter Kolm (NYU Courant) Deep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book
2/2/2023 Sam Cohen (University of Oxford) Neural-SDEs and Market Models of Options
2/9/2023 David Shimko (NYU) Valuation for Financial Engineers
2/16/2023 Samir Abrol and Siddharth Dagar
(Santander US)
Quantitative Opportunities within the Model Risk Group
3/2/2023 Kevin Lu (UWashington) Parameter estimation and pairs trading for some Levy-driven Ornstein-Uhlenbeck processes
3/23/2023 Henry Schellhorn TBA
4/6/2023 Sudheer Chava (Georgia Tech) TBA
4/13/2023 Cagin Ararat (Bilkent/USC) TBA
4/20/2023 Lingjiong Zhu (FSU) The Heavy-Tail Phenomenon in SGD
5/4/2023 Ioannis Kyriakou TBA