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
- Portfolio and risk management
- Pricing and risk models
- Regulation and regulatory models
- Trading strategies and back testing
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. The seminar meets monthly on Tuesdays at 5:30 pm to 7 pm in room 1302 of Warren Weaver Hall at 251 Mercer Street, unless specified otherwise. Please make sure to check the exact schedule and room assignment.
Seminar Organizer(s): Petter Kolm
Past Events
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Tuesday, May 16, 2023Quantitative Management of Credit Portfolios
Arik Ben Dor - Head of Quantitative Equity Research, Barclays
5:30PM, Online
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Tuesday, May 9, 2023Learning The Pricing Kernel: Applications To Option Pricing
Daniel Bloch - Head of Quant at Blu Analytics
5:30PM, Online
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Tuesday, May 2, 2023Parametric Differential Machine Learning for Pricing and Calibration
Arun Polala - Wells Fargo Bank
5:30PM, Online
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Tuesday, April 25, 2023Excess out-of-sample risk, fleeting modes and Random Matrix Theory
Jean-Philippe Bouchaud - Capital Fund Management
5:30PM, Online
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Tuesday, April 18, 2023Call Options on Tax-Exempt Bonds Are Pricey
Andrew Kalotay - Kalotay Advisors
5:30PM, Online
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Tuesday, April 4, 2023zk-SNARK proofs of solvency
Aaron Carl Brown
5:30PM, Online
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Tuesday, March 28, 2023Level 3 orderbook data, and the contrasting microstructure of US and European equity markets
Elliot Banks - BMLL Technologies
5:30PM, Online
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Tuesday, March 21, 2023Empirical deep hedging
Juho Kanniainen - Tampere University, Finland
5:30PM, Online
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Tuesday, March 7, 2023Brokers and Informed Traders: Dealing With Toxic Flow and Extracting Trading Signals
Alvaro Cartea - University of Oxford
5:30PM, Online
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Tuesday, February 21, 2023Deep Learning Statistical Arbitrage
Markus Pelger - Stanford University
5:30PM, Online
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Tuesday, February 14, 2023Is Index Concentration an Inevitable Consequence of Market-Capitalization Weighting?
Lisa Goldberg - University of California, Berkeley
5:30PM, Online
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Tuesday, February 7, 2023Towards a Normative Framework for Decumulation Investing
Martellini Lionel - EDHECRisk Institute
5:30PM, Online
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Tuesday, January 31, 2023Uncommon Factors for Bayesian Asset Clusters
Will Cong - Cornell University
5:30PM, Online
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Tuesday, November 22, 2022A Sparsity Algorithm for Finding Optimal Counterfactual Explanations: Application to Corporate Credit Rating
Dan Wang - Moody’s Analytics Inc.
5:30PM, Online
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Tuesday, November 15, 2022AI driven liquidity provision in OTC financial markets
Roel Oomen - Deutsche Bank & London School of Economics
5:30PM, Online
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Tuesday, November 8, 2022Expected Returns and Foundation Models of Language
Dacheng Xiu - Booth School of Business, University of Chicago
5:30PM, Online
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Tuesday, November 1, 2022Conditional Portfolio Optimization - Adapting Capital Allocations to Market Regimes via Machine Learning
Ernest Chan - Founder and CEO, Predictnow.ai Inc.
5:30PM, Online
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Tuesday, October 25, 2022The Informational Content of Cross-Sectional Multi-level Order Flow Imbalance in US Equity Markets
Nicholas Westray - Head of Execution Research, Multi-Asset Solutions - AllianceBernstein & NYU Courant
5:30PM, Online
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Tuesday, October 18, 2022A Sparsity Algorithm for Finding Optimal Counterfactual Explanations: Application to Corporate Credit Rating
Dan Wang - Moody’s Analytics Inc.
8:20PM, Online
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Tuesday, October 18, 2022Modelling prices and volatilities at mesoscopic scales using feedback. A talk in fond memory of Marco Avellaneda (1955-2022)
Mike Lipkin - NYU Tandon, FRE
5:30PM, Online
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Tuesday, October 11, 2022An Introduction to causal AI for Institutional Investment Managers
Ben Steiner - General Manager, causaLens
4:30PM, Online
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Tuesday, October 4, 2022Getting more for less - better A/B testing via causal regularization
Kevin Webster - Citadel
5:30PM, Online
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Tuesday, September 27, 2022A Unified Model of Investor Utility, Valuation, and Liquidity
Emilian Belev - CFA, ARPM, Northfield
5:30PM, Online
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Tuesday, September 20, 2022An Introduction to causal AI for Institutional Investment Managers
Ben Steiner - General Manager, causaLens
5:30PM, Online