The National Financial Mathematics Career Fair 2017
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 event .
Wonderful Attendance at Jim Gatheral's 60th Birthday Conference at NYU Courant (October 13-15, 2017)
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 University)
Peter Carr (NYU Tandon)
Michael Dempster (University of Cambridge)
Bruno Dupire (Bloomberg, NYC)
Jean-Pierre Fouque (UCSB)
Masaaki Fukasawa (Osaka University)
Julien Guyon (Bloomberg, NYC)
Petter Kolm (Courant Institute, NYU)
Roger Lee (Chicago University)
Claude Martini (Zeliade Systems, Paris)
Johannes Muhle-Karbe (Carnegie Mellon University)
Roel Oomen (Deutsche Bank, NYC)
Mikko Pakkanen (Imperial College London)
Mathieu Rosenbaum (Ecole Polytechnique, Paris)
Sasha Stoikov (Cornell University)
Nassim Taleb (NYU, Tandon School of Engineering)
Claudio Tebaldi (Bocconi University)
Tai-Ho Wang (Baruch College, CUNY)
Beginning of the Semester Party (September 2017)
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 and non-degree students!
Xinyu (Susan) Fan Elected to the Program Director’s List
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 and professionally, and showed great program citizenship. Besides the core courses from the program, so far she has taken the electives Natural Language Processing and Active Portfolio Management. This fall, her electives include Advanced Econometric Modeling and Big Data, Time Series Analysis & Statistical Arbitrage, Fixed Income Derivatives: Models and Strategies in Practice, and Credit Analytics: Bonds, Loans and Derivatives.
She did an internship during the summer of 2017 in the Option Market Making Team at Citigroup. There she developed a minimum edge model using factors related to hedging and transaction costs, achieving an increased PnL by about 30%.
Please join me in congratulating Susan for her great achievement!
New Paper: "Financial Sentiment Analysis Using Machine Learning Techniques" by Sarkis Again and Petter Kolm
Sarkis Again and Petter Kolm published a paper on machine learning techniques for financial sentiment analysis. You can read more here.
Flavien Bellocq Elected to the Program Director’s List
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 the fall Flavien took four core courses (Computing in Finance, Derivative Securities, Stochastic Calculus, and Scientific Computing). He also participated in other program activities including the Career Development Workshop Series and the Tuesday seminars. In the classroom and beyond, Flavien has consistently demonstrated outstanding academic excellence and great program citizenship.
Please join us in congratulating Flavien for his great achievement!
Petter Kolm and the Program Leadership
The Mathematics in Finance Program Congratulates Hayne Leland for the 2016 IAQF/Northfield Financial Engineer of the Year Award
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 Engineer of the Year (FEOY).
Read the official IAQF/Northfield press release here.
Petter Kolm Presented at SQA and Citi in November
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.
Petter Kolm Delivers the NYU Courant Holiday Lecture (December 9, 2016)
Petter Kolm gave the NYU Courant Holiday Lecture on December 9 in front of a packed audience. He spoke on "Musings on Math, Magic and the Mind" and shared personal experiences and stories on mathematical magic, sleight of hand, psychic phenomena, and our magical minds.
The National Financial Mathematics Career Fair 2016
On October 28, we organized together with the the National Mathematics Career Fair 2016 at NYU's Kimmel Center. More than 400 math finance and financial engineering student from across the country participated, and got to meet companies including:
- Axioma Inc.
- Bank of America
- Fannie Mae
- Global Capital Acquisition
- Goldman Sachs
- IJC Partners, LLC
- Imagine Software
- J.P. Morgan
- JTW Capital
- Office of the Comptroller of the Currency
- R. S. A. Ltd.
- Rutter Associates
- Washington Square Technologies, Inc.
- Western Asset Management Company
For next year, we are organizing the National Mathematics Career Fair at NYU on October 27, 2017. For information on participating in this event .
Data Science at the Program Directors' Forum at NYU Courant
On October 26, 2016, directors and administrators from more than 20 programs participated at the Program Directors' Forum organized at NYU Courant in conjunction of the National Financial Mathematics Career Fair 2016
Guest speaker Ivailo Dimov '09 (Quant Financial Research, Bloomberg LP) talked about Data Science in Quantitative Finance. Ivailo emphasized some of the major trends in data science it how those are having an impact in the financial industry.
New Instructors in the Program
Please join us in welcoming three new instructors to the program:
- Bryan Liang - Computational Methods for Finance
- Wujiang Lou - Scientific Computing for Finance
- Sebastien Bossu - Advanced Topics in Equity Derivatives
New Half Semester Courses in the Spring of 2017
Starting in the spring of 2017, the program will offer the four new half-semester courses:
- Advanced Topics in Equity Derivatives
- Energy Markets and Derivatives
- Market Microstructure
- Securitized Products and Structured Finance
Mock Interview Sessions
The first semester full-time students, who joined the program in September 2016, had an opportunity to practice their interviewing skills during a half-day of mock interviews in October. The mock interviews are part of the program's career development workshop series that all full-time students participate in after joining.
Announcing Our New Industry Adviser - Leif Andersen
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 trends, recruiting practices and outreach.
During his day job, Leif is the Global Co-Head of the Quantitative Strategies Group at Bank of America Merrill Lynch. He holds MSc's in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from Aarhus Business School. He was the co-recipient of Risk Magazine’s 2001 Quant of the Year Award, and has worked for more than 20 years as a quantitative researcher in the derivatives pricing area. He has authored influential research papers and books in all areas of quantitative finance, and is an Associate Editor of Journal of Computational Finance.