Financial Engineering Seminar Series
Spring 2023
| 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 | How Financial Engineering can help cure COVID |
| 4/13/2023 | Cagin Ararat (Bilkent/USC) | Dynamic Mean-Variance Problem: Recovering Time-Consistency |
| 4/20/2023 | Lingjiong Zhu (FSU) | The Heavy-Tail Phenomenon in SGD |
| 5/4/2023 | Ioannis Kyriakou | Quantifying model estimation risk: A simple analytical approach |
Fall 2022
| Date | Speaker | Title |
|---|---|---|
| 9/29/2022 | Orcan Ogetbil (Wells Fargo) | Calibrating FX local volatility wih standard Monte Carlo simulations |
| 11/17/2022 | Frederic Vrins (UCLouvain) | Optimal and robust combination of forecasts |
| 12/08/2022 | Carlo Acerbi (UCLouvain) | Backtesting risk measures |
Spring 2022
| Date | Speaker | Title |
|---|---|---|
| 02/17/2022 | Ruimeng Hu | Convergence of Empirical Measures, Mean-Field Games and Signatures |
| 02/24/2022 | Lingjiong Zhu | Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Stochastic Optimization |
| 04/07/2022 | Nathan Lassance | On the risk of out-of-sample portfolio performance |
| 04/21/2022 | Andreas Sojmark | Structual modelling for CDS indices: common exposures and feedback from defaults |
| 04/28/2022 | Rosario Nunzio Mantegna | High frequency markets and networked markets |
Summer 2021
| Date | Speaker | Title |
|---|---|---|
| 05/27/2021 | Gasan Abdulaev | Quantitative methods in private banking and wealth management |
| 06/03/2021 | George Papaioannou | Global head of scientific implementation, BofA |
| 07/15/2021 | Gabriel Stein | El Salvador and Bitcoin - A silly decision |
| 08/12/2021 | Alan Lewis | The Equity Risk Premium: Unified Modeling + Python Automation |
Spring 2021
| Date | Speaker | Title |
|---|---|---|
| 2/11/2022 | Harvey Stein (Bloomberg) | Speeding up VaR with VDR |
| 2/25/2022 | Bernhard + Narayan (Wells Fargo) | TBA |
| 3/11/2022 | Maxim Bichuch (JHU) | Deep PDE Solutions of BSDEs |
| 3/25/2022 | Tai-Ho Wang (Baruch College) | Optimal Execution with Transaction Costs |
| 4/8/2022 | Rene Carmona (Princeton) | TBA |
| 4/15/2022 | Agus Sudjianto (Wells-Fargo) | Managing Machine Learning Risk: Interpretability and Robustnes |
Fall 2021
| Date | Speaker | Title |
|---|---|---|
| 9/30/2022 | Hao Xing | Robustness and Dynamic Sentiment |
| 10/07/2022 | Agostino Capponi | The Adoption of Blockchain-based Decentralized Exchanges |
| 10/21/2022 | Jose Barrionuevo | Global Monetary and Sustainability Challenges |
| 10/28/2022 | Wei Xu | Risk Based Capital for Variable Annuity under Stochastic Interest Rate |
| 11/18/2022 | Yildiray Yildirim | Deep Learning for disentangling Liquidity-constrained and Strategic Default |
| 12/02/2022 | Steven Kou | A Theory of FinTech |