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)),…
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…
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…
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…
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,…
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…
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…
Professor Julien Guyon gives a two-part minicourse on smile calibration. Watch part 1. Watch part 2.
Professor Bruno Dupire gives a minicourse on machine learning applications in finance. Watch it here.
Professor Marco Avellaneda delivers a minicourse on the statistics and trading of volatility futures and ETNs. Watch it here.