Mathematical Finance & Financial Data Science Seminar
The mathematical finance & financial data science seminar covers a broad range of topics in mathematical and quantitative finance, including:
- Data science and machine learning in finance
- Big data and econometric techniques
- Quantitative finance
- Market microstructure and trading costs
- Portfolio and risk management
- Pricing, hedging and risk models
- Regulation and regulatory models
- Trading strategies and back testing
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This seminar series is part of the Quantitative Finance & Financial Data Science Working Group's activities at NYU Courant, organized by Petter Kolm (email: petter DOT kolm AT nyu DOT edu).
Presenters include invited visitors and NYU Courant faculty. Seminar presentations often cover original research. All seminars are held online as per the schedule below.
Seminar Organizer(s): Prof. Petter Kolm
Past Events
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Tuesday, May 11, 20215:30PM, Online
Complexity and Machine Learning with Applications to Markets
Nino Antulov-Fantulin, senior researcher at ETH Zurich -
Tuesday, May 4, 20215:30PM, Online
Market Impact, Slippage Costs, and Optimal Execution of Large Trades
Fabrizio Lillo, Università di Bologna, Scuola Normale Superiore -
Tuesday, April 27, 20215:30PM, Online 1302
Determining Prices and Trading Strategies in FBSDE Models in Quantitative Finance with Deep Learning
Bernhard Hientzsch, Corporate Model Risk, Wells Fargo -
Tuesday, April 20, 20215:30PM, Online
Algorithmic Auditing
Srikanth Krishnamurthy, QuantUniversity, Adjunct Faculty - Northeastern University -
Tuesday, April 13, 20215:30PM, Online
Deep Reinforcement Learning for Asset Allocation in U.S. Equities
Miquel Noguer i Alonso, Artificial Intelligence Finance Institute, NYU Courant -
Tuesday, March 30, 20215:30PM, Online
Modelling the Oil Squeeze: Storage and Trading Opportunities in Oil Derivatives
Ilia Bouchouev, Pentathlon Investments LLC -
Tuesday, March 23, 20215:30PM, Online
Feature Selection in Jump Models
Peter Nystrup, InCommodities A/S -
Tuesday, March 9, 20215:30PM, Online
Machine Learning for Quantitative Investment and Wealth Management: Opportunities and Challenges
Cristian Homescu, Investment & Portfolio Analytics, Chief Investment Office, Global Wealth and Investment Management, Bank of America -
Tuesday, March 2, 20215:30PM, Online
Modeling Interest Rate and FX Derivatives with Division Algebras
Gregory Pelts -
Tuesday, February 23, 20215:30PM, Online
Machine Learning in Finance: Putting it Into Practice
Joseph Simonian, Autonomous Investment Technologies LLC -
Tuesday, January 26, 20215:30PM, Online Zoom
The Joint S&P 500/VIX Smile Calibration Puzzle Solved
Julien Guyon, Bloomberg L.P.