Seminars Current
Tuesday Seminars for the Mathematics in Finance Masters Students
Tuesdays 5:15-7 p.m. Refreshments start at 5:15 p.m. The presentation are held 5:30 p.m. to 6:30 p.m.
Warren Weaver Hall, Room 1302, 251 Mercer Street New York, NY 10012
Organizer: Petter Kolm, This e-mail address is being protected from spambots. You need JavaScript enabled to view it

Presenters: If you would like to present at one of our seminars please contact Petter Kolm (kolm AT or Michelle Shin ( This e-mail address is being protected from spambots. You need JavaScript enabled to view it ).

Not only do the seminars give our students an opportunity to learn about what Wall Street and finance practitioners do -- and hear about recent research in academia and industry -- but also to personally meet and interact with our speakers and their colleagues. While we will not take attendance, students should try to attend all seminars.

Schedule (Fall 2017)
September 5, No seminar
September 12, The Financial Industry & Careers, Petter Kolm
September 19, No seminar
September 26, Some Data Science Lessons from a Quant, Ivailo Dimov, Quant Research, Bloomberg LP (This seminar starts at 6PM and is held at NYU Kimmel Center, Room 914, 60 Washington Square South)
October 3, Optimal Execution, Order-Placement Tactics, and Hamiltonian Dynamics, Jerome Bienveniste (joint work with Gordon Ritter)
October 10, Panel discussion with the 3rd semester students
October 17, "Turning Knowledge into Alpha," Nicolas Lenoir, PSP Investments USA
October 24, Machine Learning Applied to Portfolio Construction, Gontran de Quillacq, The Clinton Group
October 31, Alternative Data in finance – Interworking of a Buy-Side R&D Team, Gene Ekster, Alternative Data Group
November 7, Maxime Seguineau, Seaport Global Holdings LLC
November 14, What Quants and Data Scientists Should Know About DevOps and Cloud Deployment, Jeffrey Ricker, CEO of Ricker Lyman Robotic
November 21, No seminar
November 28 (7:10pm-9pm), Deep Learning, Dhruv Madeka, Amazon, 
December 5, Volatility as an Asset Class, Joshua Younger, JP Morgan
December 12, Master thesis presentations (separate announcement will be sent out at the end of November)

Schedule (Spring 2017)
January 24, No seminar
January 31, The Role of an International Derivatives Exchange: Futures & Options Products and Trading Technology, Mezhgan Qabool, Eurex
February 7, Internship Career Session, Petter Kolm
February 14, Mock interviews
February 21, No seminar
February 28, No seminar
March 7, Fixed-Income Derivatives: View from the Ground Floor: Part 1, Leon Tatevossian
March 14, Spring break - no seminar
March 21, Fixed-Income Derivatives: View from the Ground Floor: Part 2, Leon Tatevossian
March 28, Markets/Valuation of MBS, Anirban Bagchi, Citi
April 4, The Buy-Side: How to Be Successful, Joseph Cerniglia, BlackRock
April 11, Internship Career Session, Petter Kolm
April 18, No seminar
April 25, The Regulatory Horizon: Possible Changes Under the Trump Administration, Ken Abbott, Barclays
May 2, Internship Career Session, Petter Kolm

Schedule (Fall 2016)
September 6, Orientation Session for Full-time Students
September 13, Economic Outlook for 2016-2017, Petter Kolm
September 20, Economic Outlook for 2016-2017, Petter Kolm
September 27, Panel discussion with the 3rd semester students
October 4, Practicalities of Interest Rates Option Trading, Albert Wang, Barclays Capital
October 11, Mathematics and Economics: A Reality Check, Marcos Lopez de Prado, Guggenheim Partners & Lawrence Berkeley National Laboratory
October 18, Interest Rate Interpolation and Modeling, Marcos Costa Santos Carreira, ICMC - USP
October 25, No seminar
November 1, Practicalities of Interest Rate Modeling, Kumaraganesh Subramanian, Citi
November 8, Data Science in Finance and Beyond, Norman Niemer, UBS O'Connor LLC
November 15, Debrief of mock interviews in the career workshop series and Q&A, Petter Kolm
November 22, XVA, Wujiang Lou, HSBC Bank 
November 29, No seminar
December 6, 5:30pm, Courant math finance & Stern MBA dual-degree information session; 6:30pm Course selection advice for the spring 2017 semester
December 13, No seminar 

Schedule (Spring 2016)
January 26, No seminar
February 2, Career Development and Internship Search, Petter Kolm
February 9, Delta-Hedging and Volatility Trading, Sebastien Bossu, Ogee Group LLC
February 16, No seminar
February 23, The Skeptical Bayesian Risk Taker, Aaron Brown, AQR
March 1, Quantitative Trading in Fixed Income, Edith Mandel, Greenwich Street Advisors, LLC
March 8, No seminar
March 15, Spring break - No seminar
March 22, No seminar
March 29, Building Diversified Portfolios That Outperform Out-of-Sample, Marcos Lopez de Prado, Guggenheim Partners & Lawrence Berkeley National Laboratory
April 5, ETFs, Chris Romano, ETF Global, LLC
April 12, No seminar
April 19, Internship Search, Petter Kolm
April 26, Treasury Yields or Swap Rates: Who's Been Misbehaving?, Leon Tatevossian, RBC Capital Markets, LLC
May 3, No seminar

Schedule (Fall 2015)
September 8, Economic Outlook for 2015-2016, Petter Kolm
September 15, Economic Outlook for 2015-2016, Petter Kolm
September 22, Panel discussion with the 3rd semester students
September 29, No seminar
October 6, Hedge Fund Strategies and Careers, Barak Laks, Cohanzick Management
October 13, No seminar
October 20, Careers in the Financial Industry, Petter Kolm
October 27, Quantitative Investment Strategies: Backtesting vs. Implementation Capacity and Risk Premia: Multi-Asset Portfolio Allocation, Come Cavillot and Sascia Yuan, Societe Generale
November 3, Quantitative Analysis in Action - Anatomy of a Trade, Costas C. Hamakiotes, Cantor Fitzgerald
November 10, Cloud Computing in Financial Services - High Performance Computing for Risk Management & Big Data, Dino Vitale, TD Securities
November 17, No seminar
November 24, No seminar
December 1, No seminar
December 8, Fixed Income Trading, Albert Wang, Head of the Fixed Income Options quant team at Barclays Capital
December 15, Info session about the dual-degree MS Mathematics in Finance & Stern MBA program (this seminar is not mandatory)

Schedule (Spring 2015)
January 27, No seminar
February 3, No seminar
February 10, Career development and internship search, Petter Kolm
February 17, Derivatives Pricing under Bilateral Counterparty Default Risk: Path-Independent Probabilistic Valuation (joint work with Peter Carr), Samim Ghamami, Federal Reserve Board and UC Berkeley Center for Risk Management Research 
February 24, No seminar
March 3, Challenges in Risk Management – Stress Testing & Liquidity Risk Modeling, Naresh Malhotra, SunGard
March 10, Predictive Modeling and Big Data with MATLAB in Finance, Jean-Frederic Breton, Mathworks
March 17, Spring break - No seminar
March 24, Models, Model Risk and Model Communication, Eduardo Canabarro, Morgan Stanley
March 31, Career Development Workshop, Carmen Manoyan
April 7, No seminar
April 14, Factor Models for Stocks & Alphas, Zura Kakushadze, Quantigic Solutions LLC & Free University of Tbilisi
April 21, The Math of Indexing: Constructing Investable Quantitative Strategies, Sascia Yuan and Arnaud Davoust, Societe Generale
April 28, No seminar
May 5, No seminar

Schedule (Fall 2014)
September 2, Introduction Session for Incoming Full-time Students
September 9,  Careers in the Financial Industry, Petter Kolm
September 16, Economic Outlook for 2014, Petter Kolm
September 23, CCR (Counterparty Credit Risk) and CVA (Credit Value Adjustment) Model Development and Validation, Chuang Yi, Bank of America
September 30, Time Series Modeling with MATLAB, Jean-Frederic Breton, Mathworks
October 7, No seminar
October 14, No seminar
October 21, Why Most Published Investment Strategies are Likely to be False Positives, Marcos Lopez De Prado, Guggenheim Partners
October 28, Panel discussion with the 3rd semester students
November 4, Can one Price Eurodollar Futures in the Black-Derman-Toy Model?, Dan Pirjol, JPMorgan Chase & Co.
November 11, No seminar 
November 18, No seminar
November 25, Insight into the European Derivatives Market, Laurent Partouche, Eurex
December 2, Overview of Stochastic Portfolio Theory, Ioannis Karatzas, Columbia University
December 9, A Look at Relative Value in Credit Derivatives, Chris Kelliher, Bracebridge Capital

Schedule (Spring 2014)
January 28, The Costs of Latency, Irene Aldridge, ABLE Alpha Trading, LTD
February 4, So You Want to Manage an Active Equity Portfolio, Melanie Petsch, Petch Analytics LLC
February 11, No seminar
February 18, Equity Markets Structure and Network Analysis, Eugene Neduv, Risk Management and Analytics Consultant
February 25, Execution Risk, Robert Ferstenberg
March 4, No Seminar
March 11, Required Returns, Jeff Holman, Highbridge Capital Management
March 18, Spring break - No Seminar
March 25, Fundamentals of Property and Casualty Insurance, Ken Radigan, Aspen Insurance
April 1, No Seminar
April 8, No Seminar
April 15, Financial Applications in MATLAB, Jean-Frederic Breton, Mathworks
April 22, Financial Market Benchmarks (LIBOR and others): History, Uses and Risks, Rick Grove & Robert Selvaggio, Rutter Associates
April 29, Title TBD, Ioana Boier,
May 6, No Seminar

Schedule (Fall 2013) 
September 3, Introduction Session for Incoming Full-time Students
September 10,  Economic Outlook for 2013, part 1, Petter Kolm
September 17,  Cancelled 
September 24, The Sharp Razor: Deflating the Sharpe Ratio by Asking for a Minimum Track Record Length, Marcos Lopez de Prado, Head of Quantitative Trading, Hess Energy Trading Company, Research Affiliate, Lawrence Berkeley National Laboratory, RCC at Harvard University
October 1, Economic Outlook for 2013, part 2, Petter Kolm
October 8, 3rd Semester Student Panel Discussion
October 15, No seminar
October 22, Title TBA, Peter Hafez, Ravenpack
October 29, Systematic Alpha Strategies and their Role in Portfolio Design, Gerald Leitner, Mariner Investment Group
Novermber 5, No seminar
Novermber 12, Different types of Hedging Approaches, MathWorks
Novermber 19, Cutting Edge Developments in Derivatives Pricing, Gilbert Chua, Goldman Sachs 
Novermber 26, No Seminar
December 3, Overview of Algorithmic Trading, Giuseppe Nuti, KCG
December 10, Counterparty Credit Risk and CVA Hedging, Naresh Malhotra, SunGard

Schedule (Spring 2013)
January 29, Greg Hopper, Goldman Sachs
February 5, No seminar
February 12, Analyzing Financial Data Using kdb+, Fintan Quill, Kx
February 19, No seminar
February 26, Convex Strategies, Andrew Wong, Fortress Investment Group  (Note: start time is 6PM)
March 5, Regulatory Requirements for Portfolio Stress Testing, Barry Schachter
March 12, ETF Liquidity and Trading, Alex Gurvich, The Rockledge Group
March 19, No seminar (Spring break)
March 26, Grid Computing: Accelerators, Valuation Models and Numerical Methods, Dino Vitale, Morgan Stanley
April 2, No seminar
April 9, Performance Analysis of Derivatives Risk Management Models & Strategies, Eva Strasser, J.P. Morgan
April 16, No seminar
April 23, Drawdown-Based Stop-Outs and the 'Triple Penance' Rule, Marcos Lopez de Prado, Head of Quantitative Trading, Hess Energy Trading Company, Research Affiliate, Lawrence Berkeley National Laboratory, RCC at Harvard University
April 30, No seminar
May 7, Regulation and Compliance in an Algorithmic World, Erozan Kurtas, United States Securities and Exchange Commission

Schedule (Fall 2012)

September 4, Introduction Session for Incoming Full-time Students
September 11,  Economic Outlook for 2012, part 1, Petter Kolm

September 18, A Transformed Gaussian Copula Approach to Credit Portfolio Modeling, David X. Li, AIG Asset Management
September 25,  Economic Outlook for 2012, part 2, Petter Kolm 

October 2, No seminar
October 9, Microstructure Trading of US Equity Markets, Lance Diduck

October 16, No seminar

October 23, 3rd Semester Student Panel Discussion

October 30, CANCELED (Analyzing Financial Data Using kdb+, Fintan Quill, Kx)
November 6, No seminar

November 13, Valuation of CSO-Squared Using Control Variates, Dmitry Sendersky, BlackRock
November 20, Estimation of Stochastic Volatility via Chaos, Alireza Javaheri, J.P. Morgan
November 27,  No seminar
December 4, What's My Delta? How Traders and Quants Interact, Simon Yates, Citi
December 11, No seminar
December 18, No seminar  

Schedule (Spring 2012)

January 31, Economic Outlook for 2012, Petter Kolm
February 7, No seminar
February 14, No seminar 
February 21, Career workshop: Placement negotiation and Q&A, Petter Kolm and Lee Maclin 
February 28, Topic TBA, Mark Higgins, J.P. Morgan
March 6, No seminar
March 13, No seminar (spring break)
March 20, Topic TBA, Luiza Miranyan, Bloomberg
March 27, No seminar
April 3, Topic TBA,Amir Sadr, Panalytix

April 10, No seminar

April 17, Transaction cost modeling, Merav Ozair

April 24, Insight into the European Derivatives Market, Byron Baldwin, OTC Clearing and Institutional Investor Business Development at Eurex

May 1, No seminar 
May 8, No seminar

Schedule (Fall 2011)
September 6, Orientation session
September 13, Introduction and Economic Outlook (part 1), Petter Kolm
September 20, Economic Outlook (part 2), Petter Kolm
September 27, David Mordecai
October 4, David Mordecai
October 11, NO SEMINAR
October 18, Panel with 3rd Semester Students
October 25, David Mordecai

November 1, Bank Loans, Dmitry Sendersky, BlackRock
November 8, The Present and Future of High-Frequency Trading, Edgar Perez, Author, The Speed Traders
November 15, MATLAB for Financial Applications: Credit Risk and Econometric Modeling, MathWorks
November 22, NO SEMINAR
November 29, Best Execution in Futures in the Presence of High-Frequency Trading, Irene Aldridge, Managing Partner, ABLE Alpha Trading, LTD