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 23, 20235:30PM, Online Zoom access provided to registrants
Carbon Risk Factor Framework
Alex Gurvich, Director of Research, PFM Asset Management LLC -
Tuesday, May 16, 20235:30PM, Online Zoom access provided to registrants
Quantitative Management of Credit Portfolios
Arik Ben Dor, Head of Quantitative Equity Research, Barclays -
Tuesday, May 9, 20235:30PM, Online Zoom access provided to registrants
Learning The Pricing Kernel: Applications To Option Pricing
Daniel Bloch, Head of Quant at Blu Analytics -
Tuesday, May 2, 20235:30PM, Online Zoom access provided to registrants
Parametric Differential Machine Learning for Pricing and Calibration
Arun Polala, Wells Fargo Bank -
Tuesday, April 25, 20235:30PM, Online Zoom access provided to registrants
Excess out-of-sample risk, fleeting modes and Random Matrix Theory
Jean-Philippe Bouchaud, Capital Fund Management -
Tuesday, April 18, 20235:30PM, Online Zoom access provided to registrants
After-tax valuation of callable bonds
Andrew Kalotay, Kalotay Advisors -
Tuesday, April 4, 20235:30PM, Online Zoom access provided to registrants
zk-SNARK proofs of solvency
Aaron Carl Brown -
Tuesday, March 28, 20235:30PM, Online Zoom access provided to registrants
Level 3 orderbook data, and the contrasting microstructure of US and European equity markets
Elliot Banks, BMLL Technologies -
Tuesday, March 21, 20235:30PM, Online Zoom access provided to registrants
Empirical deep hedging
Juho Kanniainen, Tampere University, Finland -
Tuesday, March 7, 20235:30PM, Warren Weaver Hall 1302
Brokers and Informed Traders: Dealing With Toxic Flow and Extracting Trading Signals
Alvaro Cartea, University of Oxford - Oxford-Man Institute of Quantitative Finance -
Tuesday, February 21, 20235:30PM, Online Zoom access provided to registrants
Deep Learning Statistical Arbitrage
Markus Pelger, Stanford University -
Tuesday, February 14, 20235:30PM, Online Zoom access provided to registrants
Is Index Concentration an Inevitable Consequence of Market-Capitalization Weighting?
Lisa Goldberg, University of California, Berkeley and Aperio by BlackRock -
Tuesday, February 7, 20235:30PM, Online Zoom access provided to registrants
Towards a Normative Framework for Decumulation Investing
Lionel Martellini, Professor of Finance, EDHEC Business School -
Tuesday, January 31, 20235:30PM, Online Zoom access provided to registrants
Uncommon Factors for Bayesian Asset Clusters
Will Cong, Cornell University (Johnson) and NBER