Mathematical Finance & Financial Data Science Seminar
Recent Trends and Challenges in Treasury and Capital Markets From A Practitioner's Viewpoint
Speaker: Tat Sang Fung, President and Senior Advisor, Finch Lead
Location: Warren Weaver Hall 1302
Date: Tuesday, November 5, 2019, 5:30 p.m.
We will discuss recent trends and challenges has demanded expertise from different areas
including big data, data science, economics details on trading mechanism, machine
learning, regulatory and trading models using in pricing and risk area, and fundamentally,
deep understanding of mathematical finance. These use cases and what people are doing
about it will help you bridge between abstract academic materials with the real world.
Bio – Tat Sang Fung, Ph.D., President and Senior Advisor, Finch Lead
Tat has served as a senior principal and senior manager for 23 years in Treasury and Capital
Markets. Led and managed a global quant team covering IR, FX, Equity, Fixed Income,
Inflation, Structured Products. Area of responsibilities: FRTB, IBOR and RFR alternatives
(SOFR, ESTER, SONIA, and more), multi-curve/OIS/Fed Fund discounting,
CVA/DVA/FVA/XVA initiatives, curve and volatility calibration and interpolations,
option pricing models (e.g. Hull and White, BGM), real time positions/risk/hedge,
FAS133/IAS39 effectiveness test modeling, VaR, credit risk, market risk, AAD, Profit and
Loss attribution, model validation and derivation with stochastic calculus.
Tat holds a Ph.D from Columbia mathematics department and currently also teaches at
Columbia University. For detailed profile please visit www.linkedin.com/in/tatsangfung