Daniele Imperiale ’18 – Quantitative Research Associate JP Morgan Chase & Co

Daniele, originally from Italy, shares some of his experiences from the program:

What made you decide to come to the Mathematics in Finance Masters program at NYU Courant?
There are several reasons that made me decide to join the program at the Courant Institute of Mathematical Sciences. In particular, I believe that NYU Courant – by leveraging the outstanding quality of the faculty, together with top class adjunct professors working in the field of quantitative finance – is capable of offering a more mathematically rigorous program than other schools. In addition, the smaller class size and the location in New York City were both important factors that led me to opt for NYU.

What were  some of your favorite courses in the program?
My favorite course in the program was “Algorithmic Trading and Quantitative Strategies,” taught by Professors Kolm and Maclin. This course represented the perfect balance between the theoretical approach to the mechanics of the order book and market impact models, and the hands on experience gained through a series of assignments using trades and quotes high frequency data (TAQ data). I also much enjoyed “Computational Methods for Finance,” taught by Professors Guyon and Liang, where we focused on a set of extremely interesting mathematical and numerical applications of nonlinear PDEs to quantitative finance. What I liked about this course was that the applications were considerably broad and the focus was on the practical numerical schemes for PDEs, without sacrificing the sophistication of the underlying mathematical theory.

Describe some of the extracurricular activities the program provided and what you enjoyed with them.
The program organizes several extracurricular activities focused at developing personal and quantitative skills needed to prepare for the challenging quantitative finance job interviews, as well as some academic events and conferences. For example, the program hosts a series of quantitative finance seminars that are an invaluable experience not only to hear more from expert practitioners and academics about new cutting edge research in the field of quantitative finance, but also to network with people in the indsutry that are looking for talent.

Tell us a what you do now after having graduated from the program.
I currently work as a quant in the Global Portfolio Strategy team of the Chief Investment Office of JP Morgan, which oversees an investment portfolio used to manage the firm’s interest rate and currency exposures. In particular, my team is responsible for the development of analytical frameworks and strategies for asset liability management that take into account the influence of market forces, regulatory constraints, liquidity requirements and the structure of the balance sheet of the bank. In addition, we also conduct independent research on broader themes and develop new models for the valuation of fixed income assets and derivatives.