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

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

Upcoming Events

Tuesday, April 27, 2021
5:30PM, Online 1302
Determining Prices and Trading Strategies in FBSDE Models in Quantitative Finance with Deep Learning
Bernhard Hientzsch, Corporate Model Risk, Wells Fargo
Tuesday, May 4, 2021
5:30PM, Online
Market Impact, Slippage Costs, and Optimal Execution of Large Trades
Fabrizio Lillo, Università di Bologna, Scuola Normale Superiore
Tuesday, May 11, 2021
5:30PM, Online
Complexity and Machine Learning with Applications to Markets
Nino Antulov-Fantulin, senior researcher at ETH Zurich

Past Events

Tuesday, April 20, 2021
5:30PM, Online
Algorithmic Auditing
Srikanth Krishnamurthy, QuantUniversity, Adjunct Faculty - Northeastern University
Tuesday, April 13, 2021
5:30PM, Online
Deep Reinforcement Learning for Asset Allocation in U.S. Equities
Miquel Noguer i Alonso, Artificial Intelligence Finance Institute, NYU Courant
Tuesday, March 30, 2021
5:30PM, Online
Modelling the Oil Squeeze: Storage and Trading Opportunities in Oil Derivatives
Ilia Bouchouev, Pentathlon Investments LLC
Tuesday, March 23, 2021
5:30PM, Online
Feature Selection in Jump Models
Peter Nystrup, InCommodities A/S
Tuesday, March 9, 2021
5:30PM, Online
Machine Learning for Quantitative Investment and Wealth Management: Opportunities and Challenges
Cristian Homescu, Investment & Portfolio Analytics, Chief Investment Office, Global Wealth and Investment Management, Bank of America
Tuesday, March 2, 2021
5:30PM, Online
Modeling Interest Rate and FX Derivatives with Division Algebras
Gregory Pelts
Tuesday, February 23, 2021
5:30PM, Online
Machine Learning in Finance: Putting it Into Practice
Joseph Simonian, Autonomous Investment Technologies LLC
Tuesday, January 26, 2021
5:30PM, Online Zoom
The Joint S&P 500/VIX Smile Calibration Puzzle Solved
Julien Guyon, Bloomberg L.P.