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…
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…
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…
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…
This is a unique interview on interest rates and models with Professor Fabio Mercurio.
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…
Sarkis Again and Petter Kolm published a paper on machine learning techniques for financial sentiment analysis. You can read more here.
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…
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…
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.