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…
We are delighted to welcome Leif Andersen as the industry adviser to the program. Many of you know Leif from his courses Interest Rates & FX Models and Regulation & Regulatory Risk Models in our program. In his new role in the program, he will be working with the program leadership on industry…