Financial Engineering Seminar Series | Hanlon Financial Systems Center

Financial Engineering Seminar Series

2017 Spring

Seminar Date Title Speaker Location
Thursday, April 20, 2017 - 5:00pm to 6:00pm Financial Engineering Seminar Series: "Testing and Estimating Structural Changes in Diffusion Processes" - Zhongwen Liang Zhongwen Liang Assistant Professor - Department of Economics, University at Albany, SUNY Babbio Center 122, Stevens Institute of Technology
Thursday, April 13, 2017 - 5:00pm to 6:00pm Financial Engineering Seminar Series: Tai-Ho Wang Tai-Ho Wang Professor in Mathematics - Baruch College, City University of New York EAS 230
Thursday, April 6, 2017 - 5:00pm to 6:00pm Expansion of Filtrations with Stochastic Processes in the Perspective of High-Frequency Trading Leo Neufcourt PhD Student - Statistics, Columbia University BC 122
Thursday, March 23, 2017 - 5:00pm to 6:00pm Financial Engineering Seminar Series: "Mitigating Extreme Risks through Securitization" - Qihe Tang Qihe Tang   Department of Statistics and Actuarial Science University of Iowa Babbio Center 122, Stevens Institute of Technology
Thursday, March 9, 2017 - 5:00pm to 6:00pm Financial Engineering Seminar Series: "Decomposing Long Bond Returns" - Liuren Wu Liuren Wu Wollman Distinguished Professor of Finance,   Zicklin School of Business Baruch College - City University of New York EAS 230, Stevens Institute of Technology
Thursday, February 23, 2017 - 5:00pm to 6:30pm Financial Engineering Seminar: "Option Value of Mortgage Interest Tax Deductibility" - Hamed Ghoddusi Hamed Ghoddusi Assistant Professor of Finance, School of Business, Stevens Institute of Technology Stevens Institute of Technology, Babbio Center, Room 110

2016 Fall

Seminar Date Title Speaker Location
Thursday, December 8, 2016 - 6:15pm Statistical Inference for non-Markovian Stochastic Volatility Models Alexandra Chronopoulou, Assistant Professor, University of Illinois Urbana-Champaign BC122
Thursday, December 1, 2016 - 6:15pm Analysis of VIX Markets with a Time-Spread Portfolio Andrew Papanicolaou, Assistant Professor, NYU Tandon School of Engineering Fielding Room (3rd Floor Howe Center)
Thursday, November 17, 2016 - 6:15pm Duration-Based Volatility Estimation Dobrislav Dobrev, Senior Economist at the Federal Reserve Board BC122
Thursday, October 27, 2016 - 6:15pm 2016 Economics Nobel Prize Explained: Contract Theory Dr. Stefano Bonini, Dr. Hamed Ghoddusi BC122
Thursday, October 13, 2016 - 6:00pm The Factor-Lasso Approach for Inference in High-Dimensional Economic Applications Dr. Yuan Liao, Associate Professor, Rutgers University Babbio 122

2016 Spring

Seminar Date Title Speaker Location
Tuesday, June 7, 2016 - 5:30pm Structured Notes Prakash Chandak - Goldman Sachs & Co., NY. Babbio 541
Wednesday, May 4, 2016 - 6:45pm Statistical Risk Models, Billion Alphas, and Cancer Signatures Zura Kakushadze President & Co-Owner, Quantigic Solutions; Full Professor, Free University of Tbilisi BC541
Thursday, April 28, 2016 - 5:45pm Arbitrage-Free Pricing of XVA Maxim Bichuch,Assistant Professor, Applied Math & Stats - Johns Hopkins University BC122
Thursday, April 14, 2016 - 5:45pm Factor-based Robust Index Tracking Roy Kwon, University of Toronto BC122
Thursday, March 31, 2016 - 5:45pm How Leverage Transforms a Volatility Skew Roger Lee BC122
Thursday, March 17, 2016 - 5:45pm Moment Explosions in Discrete Time Stochastic Processes Dan Pirjol, JP Morgan BC122
Thursday, March 10, 2016 - 5:45pm Self-Exciting Point Processes and Applications to Finance Lingjiong Zhu, Florida State University BC122
Wednesday, March 2, 2016 - 5:45pm Liquidity Suppliers and High Frequency Trading Philip Protter, Columbia University Burchar 118
Wednesday, February 24, 2016 - 2:00pm How to build a long-short equity strategy Delaney Granizo-Mackenzie BC319
Thursday, February 18, 2016 - 5:45pm Do High Frequency Traders Need to be Regulated? Tarun Chordia, Emory University BC122

2015 Fall

Seminar Date Title Speaker Location
Thursday, October 8, 2015 - 6:00pm General Equilibrium Models in the Banking System Amir Khalilzadeh, NYU BC122
Thursday, October 15, 2015 - 5:30pm Flash Crashes, Jumps and Running Jumps: A New Method for Jump Detection Alan Hawkes, Swansea University BC122
Thursday, October 22, 2015 - 5:30pm Multistage Portfolio Optimization with Transaction Costs and Parameter Uncertainty Lee Dickers, Rutgers University BC122
Thursday, November 5, 2015 - 5:30pm The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel, 2015 Hamed Ghoddusi, Filippo Pavesi, Stevens BC122
Thursday, November 12, 2015 - 5:30pm Factor Models For Volatility Alexey Polishchuk, Bloomberg L.P. BC122
Thursday, November 19, 2015 - 5:30pm Education for the Next generation of Data Management Professionals Michael Atkin, John Bottega, EDM Council, Inc BC122

2015 Spring

Date and Time Title Speaker Location
Thursday, February 5, 2015 - 5:00pm Yield Curve Modeling and Commodities Kamyar Neshvadian, Highbridge Capital Management BC122
Thursday, February 12, 2015 - 5:00pm PROJECT ACTUS Willi Brammertz, CTO, Project ACTUS; President of Brammertz Consulting BC122
Thursday, April 9, 2015 - 5:30pm Price Contagion through Balance Sheet Linkages Agostino Capponi, Assistant Professor, Columbia University BC122
Thursday, April 16, 2015 - 5:00pm Currency Investing: A Risk Premium Approach Aysu Secmen, Citigroup, Inc. BC122

2014 Fall

Seminar Date Title Speaker Location
Thursday, November 13, 2014 - 5:00pm The Role of an International Derivatives Exchange: Futures & Options Products and Trading Technology Mezhgan Qabool, Vice President of Sell-Side Business Development at EurexExchange BC122
Thursday, November 6, 2014 - 5:00pm Hawkes processes in Finance Prof. Alan Hawkes BC122
Thursday, October 9, 2014 - 5:00pm Statistical Properties of Limit Order Book Events in Liquid Futures Market Alexei Chekhlov, Head of Research and Portfolio Manager of Systematic Alpha Management, LLC. BC122
Thursday, October 2, 2014 - 5:00pm S&P Capital IQ Credit Risk Modeling Alma Chen, Head of the Analytic Development Group (ADG), Americas BC122
Thursday, September 25, 2014 - 5:00pm Options as Optimizations: A Dual Approach to Derivatives Pricing Dr. Peter Carr, Managing Director at Morgan Stanley BC122
Thursday, September 4, 2014 - 5:00pm Accelerating Understanding Through Data Visualization: The Power of Storytelling Joshua Patterson, R&D Manager, Data Science, Accenture Technology Labs BC122

2014 Spring

Seminar Date Title Speaker Location
Thursday, March 27, 2014 - 5:00pm Short-Term Reversals and the Efficiency of Liquidity Provision Sheridan Titman - McAllister Centennial Chair in Financial Services, University of Texas at Austin BC122

2013 Fall

Seminar Date Title Speaker Location
Thursday, December 5, 2013 - 5:00pm US Listed Chinese Companies - An Insider's View Stephen Markscheid, Chief Executive Office, Synergenz BioScience, Inc. BC122
Thursday, November 21, 2013 - 5:00pm Financial Risk Measurement and Joint Extreme Events: The Normal, Student-t, and Mixture of Normals Thomas Coleman, PhD, Adjunct Professor of Finance - University of Chicago BC122
Thursday, October 31, 2013 - 5:00pm 2013 Nobel Prize in Economics Explained Dr. Jonathan Kaufman, Affiliate Associate Professor of Quantitative Finance & Financial Engineering Dr. Ricardo Collado, Assistant Professor Dr. German Creamer, Associate Professor Dr. Hamed Ghoddusi, Assistant Professor BC122
Thursday, September 19, 2013 - 5:00pm Algorithmic Contract Types Unified Standards Khaldoun Khashanah, Program Director, Financial Engineering, Stevens Institute of Technology BC122