New Alternative Data Course
This fall we launched the world's first alternative data course: Alternative Data In Quantitative Finance.
The new class represents the first time an accredited institution offers a full university course on alternative data. The course will be available to students in the Courant Master of Science Program in Mathematics in Finance enrolled in the Fall 2020 semester and is to be taught by Gene Ekster throughout the second half of the Fall 2020 semester. Read more here
New Accelerated Program
We are thrilled to announce our NEW BA/MS program which is open to NYU undergraduates:
Vlad Rashkovich Spoke on Short-Term Alpha Profiling of Portfolio Managers
Vlad Rashkovich (Global Head of Quantitative Trading Research, Bloomberg LP) gave an engaging and insightful talk on short-term alpha profiling of portfolio managers in the Mathematical Finance Seminar at NYU Courant last night. Topics he covered included, how to:
- analyze historical orders to detect behavioral patterns of portfolio managers, traders and markets;
- determine expected momentum, based on similar historical trades for the same portfolio manager and trade side;
- compute an optimal execution speed based on expected momentum and trade cost model; and
- compare profiling results to the actual trading to gauge P&L opportunities.
Thanks to all of you who attended!
600+ Students Attend Our National Financial Mathematics Career Fair (October 19, 2018)
Each year - since 18 years back - we co-organize the National Financial Mathematics Career Fair together with the International Association for Quantitative Finance (IAQF).
This year's fair brought over 600 students from across the U.S. and Canada, and many recruiting companies, including Alternative Data Group, Axioma Inc., Amherst Pierpont Securities LLC, Bank of America, CIPHER CAPITAL LP, Citi, CRISIL, Economic(a), Euclidean Capital, Glickman Advisors, HSBC, Koch Supply & Trading, Morgan Stanley, Neuberger Berman, nCent Labs, Options Group, PwC, Quantbot Technologies, LP, Quantifi, quantPORT, UBS Investment Bank, and WorldQuant, LLC. That makes it the largest quantitative career fair in the world!
Simon Satanovsky (Managing Partner, Options Group) moderated this year's "How I Became a Quant" panel with Oksana Kitaychik (Quantitative Analyst, Barclays), Ashar Mahboob (Co-founder and CIO, Quantbot Technologoes, LP), Victor Piterbarg (Senior Quantitative Finance Manager, Bank of America), and Stephen Smith (Head of Insurance Analytics, Neuberger Berman).
Quantitative Portfolio Management Panel and Joint Networking Event (October 12, 2018)
On a Friday evening alums from the NYU Courant's Mathematics in Finance and Columbia's Financial Engineering programs got together for a joint event on quantitative portfolio management. The event featured well-known market practioners and portfolio managers, including Ian Adelson, David Angel, Attakrit Asvanunt, Kelsey Letang, and Gordon Ritter (see their bios below).
Moderated by Joseph Cerniglia, the panel discussion cover topics such as alpha research practices, portfolio management techniques, managing people and leadership. The large audience provided a lot of insightful and interesting questions.
Ian Adelson, Director of Research, Exile Capital Management
Mr. Adelson is the Director of Research at Exile Capital Management. Previously, he was a principal at Atlas Merchant Capital from 2014 to 2016, and an investment analyst at Kingdon Capital Management from 2008 to 2013. Before that, Mr. Adelson was a trader on the credit proprietary trading desk at Societe Generale from 2007 to 2008. Mr. Adelson holds a M.S. in Mathematics in Finance from NYU Courant, a M.A. from the Columbia University School of International and Public Affairs, and a B.S. in Mathematics and Computer Science from Emory University. Mr. Adelson has passed all three exams in the Chartered Financial Analyst program.
David Angel, Principal, 683 Capital Partners
Mr. Angel is a Principal for 683 Capital Partners, a long-biased hedge fund that targets dislocations and special situations across industries, geographies, and capital structures. Previously, he was a portfolio manager for Geode Capital, a fund founded by Fidelity, where he oversaw the portfolio of derivative investments. David’s investment experience began more than a decade ago, and includes spending four years as an associate in equity volatility strategies at Goldman Sachs. He has earned an M.S. from NYU Courant in the Mathematics in Finance, an M.S. from Ecole Nationale des Ponts et Chaussées, and the Chartered Financial Analyst designation.
Attakrit Asvanunt, Senior Vice President, Two Sigma
Mr. Asvanunt is a Senior Vice President at Two Sigma Investments, where he is responsible for expanding the firm’s trading capabilities into the credit and fixed income markets. Prior to Two Sigma, Attakrit was a senior researcher and a portfolio manager at AQR Capital Management, where he oversaw research and managed credit strategies across multiple funds. Before that, he was a quantitative researcher at Barclays and Lehman Brothers. Attakrit earned a B.S. in Mechanical and Aerospace Engineering and an M.Eng. in Financial Engineering from Cornell University, and a Ph.D. in Operations Research from Columbia University.
Kelsey Letang, Researcher, GSA Capital Partners
Ms. Letang is a Researcher for GSA Capital Partners, a global quantitative investment manager, where she focuses on fundamentally-motivated, systematic long-short equity signals. Previously, she worked for SG Americas on the high yield credit desk (formerly credit arbitrage proprietary trading). She has a M.S. in Mathematics in Finance from NYU Courant, an HBSc in Mathematics and its Application to Finance from the University of Toronto, and the Chartered Financial Analyst designation.
Gordon Ritter, Adjunct Professor NYU Courant, Rutgers and Baruch College
Gordon Ritter completed his Ph.D. in mathematical physics at Harvard University in 2007, where his published work ranged across the fields of quantum computation, quantum field theory, differential geometry and abstract algebra. Prior to Harvard he earned his Bachelor’s degree with honours in mathematics from the University of Chicago. Prof. Ritter is currently a Professor at NYU, Rutgers, and the award-winning Baruch MFE program, where his research interests are focused on portfolio optimization and statistical machine learning. Prof. Ritter is also a leader in the quantitative trading industry. He is preparing to launch his own company which will manage money for institutional clients by means of high-Sharpe pure alpha systematic trading strategies. He has ten years’ experience doing this; most recently he built a successful trading system from scratch at GSA Capital, a firm which won the Equity Market Neutral & Quantitative Strategies category at the Eurohedge awards four times. Prior to GSA, Gordon was a Vice President of Highbridge Capital and a core member of the firm’s statistical arbitrage group, which although less than 20 people, was responsible for billions in profit and trillions of dollars of trades across equities, futures and options with low correlation to traditional asset classes.
Great Career Event with Industry Guests
On Friday, October 12, the first semester full-time students participated in a career event focusing on building a successful career in the financial industry. They learned from the experiences of seasoned professionals, including Joseph Cerniglia (NYU Courant & UPenn), Andrew Chen (Goldman Sachs), Oksana Kitaychik (Barclays), Nicolas Lenoir (PSP Investments), Trey Shelton (Position), and Jessie Wu (Smith & Partners).
Michael Ang Elected to the Director’s List
I am delighted to announce that the recipient of the Director’s List for spring 2018 is Michael Ang. In the classroom and beyond, he has consistently demonstrated outstanding academic excellence, great program citizenship, and high degree of professionalism.
Michael Ang (’18)
Michael holds a B.A. in Mathematics from University of Cambridge, UK. Besides the core courses from the program, he has completed electives including Algorithmic Trading and Quantitative Strategies, Active Portfolio Management, and Interest Rate & FX Models. Michael is an active participant in other program activities such as the Career Development Workshop Series and the Tuesday seminars, and other networking events. He completed his summer internship at AQR in factor investing and alternative data.
Please join me in congratulating Michael to his great achievement!
Dan diBartolomeo Spoke at NYU Courant
Dan diBartolomeo, CEO of Northfield Information Services, Inc., spoke on the "Incorporation of Text News Analytics in Risk Assessment" in the Mathematical Finance Seminar series organized by Prof. Petter Kolm.
Building upon methods introduced by the speaker previoius work (see, diBartolomeo, Mitra, and Mitra (2009), and Kyle, Obizhaeva, Sinha and Tuzun (2012)), he introduced a new approach to using quantified news flows and related sentiment scores in the prediction of asset portfolio risk. The process he described can operate in real time, and is able to address tens of thousands of global companies and financial institutions.
We Welcome Our New Students!
We welcome our new full-time, part-time and non-degree students!
The photo above is from a third semester full-time student lead panel discussion on careers in the financial industry for our new students. Penghao Chen, Xaio Guan, Michael Ang, Yining Cheng, and Zhaohua Yang (from left to right) share their internship experiences from the summer.
New Elective Course for Fall 2018 - "Counterparty Credit: Valuation and Adjustments, Capital, and Funding"
I am very excited to announce the new full-semester elective course “Counterparty Credit: Valuation and Adjustments, Capital, and Funding” (MATH-GA 2805.001) that will be taught by Leif Andersen on Wednesdays 7:10pm-9pm, starting in September 2018. There is high demand in the financial industry for quants equipped with the knowledge of modelling counterparty credit. The goal of this course is to systematically and rigorously fill this gap.
Here is the course description:
This class explores technical and regulatory aspects of counterparty credit risk, with an emphasis on model building and computational methods. The first part of the class will provide technical foundation, including the mathematical tools needed to define and compute valuation adjustments such as CVA and DVA. The second part of the class will move from pricing to regulation, with an emphasis on the computational aspects of regulatory credit risk capital under Basel 3. A variety of highly topical subjects will be discussed during the course, including: funding costs, XVA metrics, initial margin, credit risk mitigation, central clearing, and balance sheet management. Students will get to build a realistic computer system for counterparty risk management of collateralized fixed income portfolios, and will be exposed to modern frameworks for interest rate simulation and capital management.
Gene Ekster Speaks on Alternative Data
Gene Ekster gave a great talk about the uses and applications of Alternative Data in the financial industry.
Non-traditional datasets also known as Alternative Data, used by institutional investors to enhance the investment process, have become the key topic of Wall Street. However, formidable commonplace technical challenges hold back many funds from using these datasets. These include identifier mapping, stable panel creation, dataset evaluation and sensitive information extraction. In his talk he discussed the details of these challenges and presented several solutions to the audience. He also covered the tools, techniques and skill sets needed to solve the current and future challenges of the alternative data ecosystem. Closing his talk, he addressed some of the compliance-related technologies needed to minimize regulatory risk and enable mass adoption.
Petter Kolm Presented at the 5th Annual Global Quantitative Strategy Conference @ Deutsche Bank
Petter Kolm, our director, presented “66 years of Portfolio Optimization: Practical Challenges and Trends” at Deutsche Bank's 5th Annual Global Quantitative Strategy Conference in New York City on May 10. Other presenters at the two-day event included Itzhak Ben-David, Jean-Philippe Bouchaud, Jie Cao, Kent Daniel, Stefano Giglio, Marcos Lopez de Prado, Andy Moniz, Andreas Neuhierl, Ronnie Shah, and Richard Sloan.
End of the Semester Party (May 2018)
Thank you for joining us at the end of the semester party on May 4! It was an evening of fun where students, alums, staff and faculty got to share their experiences from the past semester. Congratulations to our students who soon are starting your summer internships! It will be a very exciting summer.
Leif Andersen Gives Talk on "Funding and Counterparty Credit Costs for CCP and OTC Trading"
On May 1, Leif Andersen (BAML & NYU Courant) gave a talk on funding and counterparty credits costs for CCP and OTC trading. He discussed practical ways to measure credit and funding costs in the markets, and presented new theory for certain classes of locally elliptical processes. In this framework, he showed how this theory can be used to generalize Ito processes and to conveniently calculate CVA and MVA in a fat-tailed cases.
Minicourse with Professor Julien Guyon on Smile Calibration
Professor Julien Guyon gives a two-part minicourse on smile calibration.
Professor Bruno Dupire on Machine Learning
Professor Bruno Dupire gives a minicourse on machine learning applications in finance.
Minicourse on Volatility Futures and ETNs by Marco Avellaneda
Professor Marco Avellaneda delivers a minicourse on the statistics and trading of volatility futures and ETNs.
The Mathematics in Finance Program Congratulates Michael Brennan for the 2017 IAQF/Northfield Financial Engineer of the Year Award
At a special awards gala event on February 1, 2018, Professor Brennan received the 2017 IAQF/Northfield Financial Engineer of the Year Award.
Michael Brennan is emeritus professor of finance at UCLA Anderson and visiting professor at Manchester University. His research interests include asset pricing, corporate finance, the pricing and role of derivative securities, market microstructure, and the role of information in capital markets. A former president of the American Finance Association, he has served as editor of the Journal of Finance and was the founding editor of the Review of Financial Studies. He holds a Ph.D. Business Administration from the Massachusetts Institute of Technology, an MBA from the University of Pittsburgh, and a B.Phil. in Economics from Oxford University.
Brennan joins a prestigious list of recipients of the IAQF/Northfield Financial Engineer of the Year Award. They include: Fischer Black, Phelim Boyle, Douglas Breeden, Peter Carr, John Cox, Emanuel Derman, Darrell Duffie, Robert Engle, John Hull, Jonathan Ingersoll, Robert Jarrow, Hayne Leland, Martin Leibowitz, Bob Litterman, Bob Litzenberger, Andrew Lo, Robert Merton, Richard Roll, Stephen Ross, Mark Rubinstein, Eduardo Schwartz, Jim Simons, Jack Treynor, and Oldrich Alfons Vasicek. Myron Scholes received a lifetime achievement award in 2001.
The IAQF (formerly the IAFE) is the not-for-profit, professional society dedicated to fostering the profession of quantitative finance by providing platforms to discuss cutting-edge and pivotal issues in the field. Founded in 1992, the IAQF is composed of individual academics and practitioners from banks, broker dealers, hedge funds, pension funds, asset managers, technology firms, regulators, accounting, consulting and law firms, and universities across the globe. Petter Kolm, our program director, is a board member of the IAQF. Throughout its history, the IAQF´s pre-eminent leadership has positioned it to respond with savvy to the evolving needs of the financial engineering and quantitative finance communities.
Northfield is a leader in providing investment professionals analytical and operating efficiency tools to enhance individual portfolio and firm-wide performance. Founded in 1985, Northfield has developed open, analytical models to identify, measure, and control risk. These risk models cover most marketable securities traded world-wide.
Read the official IAQF/Northfield press release here.
Professor Gordon Ritter on the Special Panel "Artificial Intelligence: Will It Deliver On Its Promise for Finance?"
Artificial Intelligence (AI) has experienced hype cycles over the last half a century with resulting winters of disillusionment. However, several things have changed. For example, the cost of computing has declined dramatically while the power of computing has improved exponentially. This in term has made AI applications more practically feasible. The explosion of data is so vast and overwhelming that it has become impossible to understand it without automated support. AI appears to be entering a new phase where interest is surging again, particularly in finance.
In this panel discussion, we see key actors discuss whether the latest surge of AI applications will fall short again or if they this time will transform the financial services industry. Moderator: Garrett Nenner (Lead Project Manager / Business Analyst - E-Trading, Cash & Trading Technologies, Gravitas Technologies). Speakers: Rahul Jaising (Director, Head of Quantitative Prime Services, Americas, Barclays Capital), Gordon Ritter (Senior Portfolio Manager, GSA Capital), Stuart Farr (President, Deltix Session).
Oksana Kitaychik, Kaili Li, and Yucheng Wang Elected to the Program Director’s List
I am delighted to announce that the recipients of the Program Director’s List for fall 2017 are Oksana Kitaychik, Kaili (Kelly) Li, and Yucheng (Joseph) Wang. In the classroom and beyond, they have consistently demonstrated outstanding academic excellence, great program citizenship, and high degree of professionalism.
Oksana Kitaychik (’17)
Oksana completed the program as a part-time student while working full-time at NERA Economic Consulting (part of Oliver Wyman Group). Besides the core courses in the program, some of her electives included Credit Markets & Models, Regulation & Regulatory Risk Models, and Computational Methods for Finance. She completed an outstanding master’s thesis on “Determining the Foreseeability and Onset of the Current Puerto Rico Public Debt” supervised by Bjorn Flesaker.
Kaili (Kelly) Li (’17)
Kelly holds a B.S. in Mathematics and Applied Mathematics from Fudan University. Besides the core courses from the program, she has completed electives including Advanced Risk Management, Interest Rate & FX Models, and Data Science in Quantitative Finance. She also participated program activities such as the Career Development Workshop Series and the Tuesdayseminars. After graduation, Kelly started to work in investment management at Morgan Stanley.
Yucheng (Joseph) Wang (’18)
After completing his undergraduate double B.S. degree in Mathematics & Economic at Peking University, Joseph joined the program in September 2017. During the fall Joseph took four core courses (Computing in Finance, Derivative Securities, Stochastic Calculus, and Risk & Portfolio Management with Econometrics). He also participated in other program activities including the Career Development Workshop Series and the Tuesday seminars. He will be doing an internship in institutional equity at Morgan Stanley this summer.
Please join me in congratulating them to their great achievements!
Beginning of the Semester Party (January 2018)
New and "old" students, alumni, faculty and administration got together on Friday, January 26, for the beginning of the spring semester 2018 party. It was a fun event with great attendance. Congratulations to all of you gradutes to your degrees and new jobs. Very exicting times for all.
Adjunct Professor Alex Lipton's Article in the Scientific American
Our Industry Adviser Leif Andersen Receives Quant of the Year 2018 Award
We are thrilled to announce that Leif Andersen, BAML and Industry Adviser to our program, was one of the three recipients of Risk's Quant of the Year 2018 award. Together with Michael Pykhtin (Federal Reserve Board in Washington, DC) and Alexander Sokol (CEO of CompatibL), they created a model that quantify settlement risk and demonstrated that massive exposures can occur during certain periods in the margining cycle, even in the presence of initial margin. To mitigate these resulting massive exposures, they suggested several solutions that are now being further explored by market participants.
"Those banks that feel they can sniff out default risk a mile away should feel free to be more aggressive on the parameterisation and assume a shorter margin period of risk," says Leif Andersen who also won this prestigeous award in 2001.
We congratulate them to their great work and achievement!
Aaron Brown Interviewed by Bloomberg TV
Aaron Brown, adjunt professor in our program, talks about bitcoin and the debut of bitcoin futures on Bloomberg TV.
2017 Mock Interview Sessions in the Program's Career Workshop Series
As part of the ongoing career workshops for full-time students, on November 8 the students had a chance to experience a series of mock interviews. The purpose of these interviews is to provide students with an opportunity to practice and assess their interviewing skills in an environment similar to the actual interviews they encounter in the financial industry.
Other areas of focus in our career workshop series include topics such as writing effective CVs and coverletters, how to master networking in-person as well as online, American business culture, and more.
The 2nd Annual Eastern Conference on Mathematical Finance (November 3-5, 2017)
The 2nd Annual Eastern Conference on Mathematical Finance was hosted by Columbia University (Friday), NYU Courant (Saturday) and NYU Tandon (Sunday) on November 3-5, 2017. A great line-up of speakers from industry and academic presented on recent developments in quantitative finance, including (a complete list of abstracts and bios are available here):
Leif Andersen (NYU Courant/Bank of America)
Allen Cheng (Columbia/AQR Capital)
Ren Raw Chen (Fordham)
Peter Cotton (JP Morgan)
Monty Essid (NYU Courant)
Ionut Florescu (Stevens Institute)
Helyette Geman (Johns Hopkins)
Sebastian Jaimungal (University of Toronto)
Tom Li (NYU Courant)
Dilip Madan (University of Maryland)
Johannes Muhle Karbe (Carnegie Mellon)
Sergey Nadtochiy (University of Michigan)
Gordon Ritter (NYU Courant/GSA Capital)
Scott Robertson (Boston University)
Lorenzo Schoenleber (NYU Courant)
Ronnie Sircar (Princeton)
Anna Srapionyan (Cornell)
Harvey Stein (Bloomberg)
Stephan Sturm (Worcester Polytechnic)
Agnes Tourin (NYU Tandon)
Kim Weston (Rutgers)
Hongzhong Zhang (Columbia)
Xunyu Zhou (Columbia)
Lingjiong Zhu (Florida State)
Career Panel and Celebration for Petter Kolm (October 25, 2017)
In the honor of Petter Kolm's 10 year anniversary as Program Director, the Mathematics in Finance Alumni Organization (under the leadership of Joe Cerniglia '06 and Kelsey Letang '12) hosted a discussion and networking event on October 25, 2017. Petter moderated a panel discussion that focused on the major changes in the financial instrusty over the last decade and its current trends.
The panelists (see photo above) were Daniel Cheeseman '07, Jason Dolatshahi '06, Raghav Misra '06, Prithvi Ramesh '07, and Adrien Vesval '02.
You can read more about the Mathematics in Finance Alumni Organization here.
The National Financial Mathematics Career Fair 2017
This year our annual career fair was held on October 13, with more than 400+ students from quantitative & mathematical finance and financial engineering masters program from across the US and Canada.
The next career fair will be held in October 2018. For information on participating in this event.
Wonderful Attendance at Jim Gatheral's 60th Birthday Conference at NYU Courant (October 13-15, 2017)
Jim Gatheral's 60th Birthday Conference drew attendees from across the world. A fantastic line-up of speakers presented their most recent research during the 3-day event, including:
Aurélien Alfonsi (ENPC, Paris)
Robert Almgren (Quantitative Brokers)
Marco Avellaneda (Courant Institute, NYU)
Christian Bayer (Weierstrass Institute, Berlin)
Jean-Philippe Bouchaud (Ecole Polytechnique and CFM, Paris)
René Carmona (Princeton University)
Peter Carr (NYU Tandon)
Michael Dempster (University of Cambridge)
Bruno Dupire (Bloomberg, NYC)
Jean-Pierre Fouque (UCSB)
Masaaki Fukasawa (Osaka University)
Julien Guyon (Bloomberg, NYC)
Petter Kolm (Courant Institute, NYU)
Roger Lee (Chicago University)
Claude Martini (Zeliade Systems, Paris)
Johannes Muhle-Karbe (Carnegie Mellon University)
Roel Oomen (Deutsche Bank, NYC)
Mikko Pakkanen (Imperial College London)
Mathieu Rosenbaum (Ecole Polytechnique, Paris)
Sasha Stoikov (Cornell University)
Nassim Taleb (NYU, Tandon School of Engineering)
Claudio Tebaldi (Bocconi University)
Tai-Ho Wang (Baruch College, CUNY)
Beginning of the Semester Party (September 2017)
Together with students, alums, faculty and visitors, we celebrated the beginning of another academic year in the evening of September 8. The begininng of the semester party is always a festive event that allows for great conversation and fun.
During this event welcomed our new incoming full-time, part-time and non-degree students!
New Paper: "On the Bayesian interpretation of Black–Litterman" by Petter Kolm and Gordon Ritter
Petter Kolm and Gordon Ritter published a paper on a very general Black-Litterman model. They clarify the duality between Black-Litterman optimization and Bayesian regression. They show that this generalization is itself a special case of a Bayesian network or graphical model. As an example, they provide a full detailed treatment of views on factor risk premia in the context of APT. They also provide an example in which the portfolio manager specifies a view on realized volatility by trading a variance swap. You can read more here.
Fabio Mercurio Interviewed About Models and Interest Rates
This is a unique interview on interest rates and models with Professor Fabio Mercurio.
Xinyu (Susan) Fan Elected to the Program Director’s List
I am delighted to announce that the recipient of the Program Director’s List for the spring 2017 is Xinyu (Susan) Fan. After completing her B.S. in Finance, Mathematics and Applied Mathematics at Shanghai Jiao Tong University; Susan joined the program in September 2016.
Susan has excelled both academically and professionally, and showed great program citizenship. Besides the core courses from the program, so far she has taken the electives Natural Language Processing and Active Portfolio Management. This fall, her electives include Advanced Econometric Modeling and Big Data, Time Series Analysis & Statistical Arbitrage, Fixed Income Derivatives: Models and Strategies in Practice, and Credit Analytics: Bonds, Loans and Derivatives.
She did an internship during the summer of 2017 in the Option Market Making Team at Citigroup. There she developed a minimum edge model using factors related to hedging and transaction costs, achieving an increased PnL by about 30%.
Please join me in congratulating Susan for her great achievement!
New Paper: "Financial Sentiment Analysis Using Machine Learning Techniques" by Sarkis Again and Petter Kolm
Sarkis Again and Petter Kolm published a paper on machine learning techniques for financial sentiment analysis. You can read more here.
Flavien Bellocq Elected to the Program Director’s List
We are delighted to announce that the recipient of the Program Director’s List for the fall 2016 is Flavien Bellocq. Flavien joined the program in September 2016 after completing his B.S. in Statistics and his M.S. in Data Science & Machine Learning at ENSAE ParisTech in France.
During the fall Flavien took four core courses (Computing in Finance, Derivative Securities, Stochastic Calculus, and Scientific Computing). He also participated in other program activities including the Career Development Workshop Series and the Tuesday seminars. In the classroom and beyond, Flavien has consistently demonstrated outstanding academic excellence and great program citizenship.
Please join us in congratulating Flavien for his great achievement!
Petter Kolm and the Program Leadership
The Mathematics in Finance Program Congratulates Hayne Leland for the 2016 IAQF/Northfield Financial Engineer of the Year Award
On February 2, 2017, Professor Leland received the 2016 IAQF/Northfield Financial Engineer of the Year Award at a special awards gala event.
Hayne Leland is the Arno Rayner Professor Emeritus of Finance and Management at the University of California, Berkeley's Haas School of Business, on being named the 2016 IAQF/Northfield Financial Engineer of the Year (FEOY).
Read the official IAQF/Northfield press release here.
Petter Kolm Presented at SQA and Citi in November
Petter Kolm, our Director, presented "60 Years of Portfolio Optimization: Practical Challenges and Current Trends" at SQA's Half Day Conference "Advances in Portfolio Construction - Celebrating 25 Years of Black Litterman" on November 10, 2016.
He presented "Multiperiod Portfolio Selection and Bayesian Dynamic Models" at Citigroup on November 16, 2016.
Petter Kolm Delivers the NYU Courant Holiday Lecture (December 9, 2016)
Petter Kolm gave the NYU Courant Holiday Lecture on December 9 in front of a packed audience. He spoke on "Musings on Math, Magic and the Mind" and shared personal experiences and stories on mathematical magic, sleight of hand, psychic phenomena, and our magical minds.
The National Financial Mathematics Career Fair 2016
On October 28, we organized together with the International Association of Quantitative Finance (IAQF) the National Mathematics Career Fair 2016 at NYU's Kimmel Center. More than 400 math finance and financial engineering student from across the country participated, and got to meet companies including:
- Axioma Inc.
- Bank of America
- Fannie Mae
- Global Capital Acquisition
- Goldman Sachs
- IJC Partners, LLC
- Imagine Software
- J.P. Morgan
- JTW Capital
- Office of the Comptroller of the Currency
- R. S. A. Ltd.
- Rutter Associates
- Washington Square Technologies, Inc.
- Western Asset Management Company
For next year, we are organizing the National Mathematics Career Fair at NYU on October 27, 2017. For information on participating in this event.
Data Science at the Program Directors' Forum at NYU Courant
On October 26, 2016, directors and administrators from more than 20 programs participated at the Program Directors' Forum organized at NYU Courant in conjunction of the National Financial Mathematics Career Fair 2016
Guest speaker Ivailo Dimov '09 (Quant Financial Research, Bloomberg LP) talked about Data Science in Quantitative Finance. Ivailo emphasized some of the major trends in data science it how those are having an impact in the financial industry.
New Instructors in the Program
Please join us in welcoming three new instructors to the program:
- Bryan Liang - Computational Methods for Finance
- Wujiang Lou - Scientific Computing for Finance
- Sebastien Bossu - Advanced Topics in Equity Derivatives
New Half Semester Courses in the Spring of 2017
Starting in the spring of 2017, the program will offer the four new half-semester courses:
- Advanced Topics in Equity Derivatives
- Energy Markets and Derivatives
- Market Microstructure
- Securitized Products and Structured Finance
2016 Mock Interview Sessions
The first semester full-time students, who joined the program in September 2016, had an opportunity to practice their interviewing skills during a half-day of mock interviews in October. The mock interviews are part of the program's career development workshop series that all full-time students participate in after joining.
Announcing Our New Industry Adviser - Leif Andersen
We are delighted to welcome Leif Andersen as the industry adviser to the program. Many of you know Leif from his courses Interest Rates & FX Models and Regulation & Regulatory Risk Models in our program. In his new role in the program, he will be working with the program leadership on industry trends, recruiting practices and outreach.
During his day job, Leif is the Global Co-Head of the Quantitative Strategies Group at Bank of America Merrill Lynch. He holds MSc's in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from Aarhus Business School. He was the co-recipient of Risk Magazine’s 2001 Quant of the Year Award, and has worked for more than 20 years as a quantitative researcher in the derivatives pricing area. He has authored influential research papers and books in all areas of quantitative finance, and is an Associate Editor of Journal of Computational Finance.