Financial Engineering Seminar Series



Spring 2024

Date Speaker Title
01/25/2024 Qi Feng (FSU) Signature and Deep Learning Methods for Path-Dependent Problems in Finance
02/01/2024 Lingjiong Zhu (FSU) Score-based generative models
02/08/2024 Stan Uryasev (Stony Brook) Risk quadrangle and applications in statistics, data mining and portfolio optimization
02/22/2024 John Miller (JHU) What is the role of derivative structurers?
02/29/2024 Arun Polala (Wells Fargo) Parametric differential learning for pricing derivatives

Fall 2023

Date Speaker Title
10/12/2023 Grzegorz Halaj (European Central Bank) Stress testing tools – where we stand and where to go?
10/26/2023 Jan Vecer (Charles University, CZEC) Bayesian asset allocation techniques
11/01/2023 Nathan Lassance (UC Louvain, Belgium) The distribution of out-of-sample returns of estimated optimal portfolios
11/16/2023 Rosario Mantegna (U. Palermo, Italy) Dynamics of fintech terms in news and blogs and specialization of companies of the fintech industry
11/29/2023 Tai-Ho Wang (Baruch College) Relative entropy-regularized robust optimal order execution
12/07/2023 Robert Stewart (JPMC) Model risk

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 (Claremont Graduate University) 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 (City University London, UK) 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