Financial Engineering Seminar Series
Fall 2024
| Date | Speaker | Title |
|---|---|---|
| 09/18/2024 | Marcel Nutz (Columbia) | Unwinding Stochastic Order Flow |
| 09/26/2024 | Samir Abrol (Santander Bank) | Quantitative Jobs in Model Risk |
| 10/10/2024 | Jaehyuk Choi | Efficient Simulation of the SABR Model |
| 10/17/2024 | Steven Poser (NYSE) | SEC Regulatory Changes to Equity Markets |
| 10/29/2024 | Faycal Drissi (Oxford University) | Price Formation in Memory Pools |
| 10/30/2024 | Gang Jiang (Merill Lynch) | Mutual Fund Selection - A Factor Based Approach |
| 11/06/2024 | Ye Fang (Wells Fargo) | Overview of CVA Modeling and Current Challenges |
| 11/14/2024 | Pawel Sakowski and Robert Slepaczuk | Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems |
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 |
| 03/07/2024 | Phil (Felipe) Toews and Greg Brunck | Using Time Series to Improve Retirement Forecasting |
| 03/21/2024 | Robin Castelli | How climate risk impacts the financial system |
| 04/11/2024 | Dini Ajmani | Recent Events in Banking sector |
| 05/02/2024 | Natalia Levina | In Pursuit of Data: Algorithmic Aspirations and Unplanned Consequences of Feeding AI Technologies |
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 |
This table shows semesters in which this course has typically been offered.
To create your study plan, please confirm future offerings with your academic advisor or the course instructor.
If you are interested in taking this course in an upcoming semester that is not listed, please fill out this form.