Mathematical Finance & Financial Data Science Seminar
The mathematical finance & financial data science seminar covers a broad range of topics in mathematical and quantitative finance, including:
- Data science and machine learning in finance
- Big data and econometric techniques
- Quantitative finance
- Portfolio and risk management
- Pricing and risk models
- Regulation and regulatory models
- Trading strategies and back testing
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This seminar series is part of the Quantitative Finance & Financial Data Science Working Group's activities at NYU Courant, organized by Petter Kolm (email: petter DOT kolm AT nyu DOT edu).
Presenters include invited visitors and NYU Courant faculty. Seminar presentations often cover original research. The seminar meets monthly on Tuesdays at 5:30 pm to 7 pm in room 1302 of Warren Weaver Hall at 251 Mercer Street, unless specified otherwise. Please make sure to check the exact schedule and room assignment.
Seminar Organizer(s): Petter Kolm
Past Events
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Tuesday, June 28, 20225:30PM, Online Zoom access provided to registrants
How Price Impact Distorts Accounting P&L - Revisiting Caccioli, Bouchaud and Farmer's impact-adjusted valuation
Kevin Webster, Citadel -
Tuesday, May 24, 20225:30PM, Online Zoom access provided to registrants
Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations
Igor Halperin, VP of AI Asset Management, Fidelity Investments -
Wednesday, May 18, 20225:30PM, Online Zoom access provided to registrants
Portfolio Optimisation with Options
Thomas Huckle and Jonathan Chan, Flow Traders and Kaiju Capital Management -
Tuesday, May 10, 20225:30PM, Online Zoom access provided to registrants
Reinforcement Learning with Dynamic Convex Risk Measures
Sebastian Jaimungal, University of Toronto, Department of Statistical Sciences -
Tuesday, April 26, 20225:30PM, Online Zoom access provided to registrants
The Virtue of Complexity
Bryan Kelly, Yale University and AQR Capital Management -
Tuesday, April 19, 20225:30PM, Online Zoom access provided to registrants
Optimal turnover, liquidity and autocorrelation
Bastien Baldacci and Jerome Benveniste, Quantitative Advisory Solutions and Ritter Alpha LP -
Tuesday, April 12, 202212PM, Online Zoom access provided to registrants
The Myth of Diversification, Reconsidered
Will B. Kinlaw, Head of Research, State Street Global Markets -
Tuesday, April 5, 20225:30PM, Online Zoom access provided to registrants
4x4 Asset Allocation
Max Golts, Chief Investment Officer at 4x4invest -
Tuesday, March 22, 20225:30PM, Online Zoom access provided to registrants
James Stein for eigenvectors
Lisa Goldberg, University of California, Berkeley -
Tuesday, March 15, 20225:30PM, Online Zoom access provided to registrants
A Robust Approach to Optimal Portfolio Choice with Parameter Uncertainty
Majeed Simaan, Steven Institute of Technology - School of Business -
Tuesday, February 8, 20225:30PM, Online Zoom access provided to registrants
The Tax-Smart Approach for Measuring and Maximizing After-Tax Performance
Andrew Kalotay, Kalotay Advisors