Events



Upcoming events

    • 07 Apr 2017
    • 5:30 PM - 8:30 PM
    • Vincent Hall 16 (Lower Level), 206 Church Street SE, Minneapolis, MN 55455
    How I Became a Quant - Minneapolis 
         

    Financial Engineers Give a Personal View of their Careers in Quantitative Finance

        5:30 PM - 6:45 PM: Panel Session
                    7:00 PM - 8:30 PM: Reception   


    Panelists


    Dr. Lindsey Dietz
    Quantitative Model Validation, The Federal Reserve Bank of Minneapolis


    Perry Li
    Associate Portfolio Manager, Parametric


    Dr. Gary Nan-Tie
    Freelance Research/Former Sr. Vice President Investments, The Travelers Companies, Inc.


    Sydney Sydel
    Investment Risk Analyst, RBC Global Asset Management


    Erik Tozier
    Quantitative Analyst, Credit Analytics, US Bank


        

      
      Moderator:
        

    Chris Prouty

    Instructor, University of Minnesota, Master of Financial Mathematics
      Exotics Trader, Cargill

        

    Hosted and Sponsored by:
                   

     
                    
                     
    • 21 Apr 2017
    • 2:00 PM
    • Illini Center, 4th Floor Illinois Room, 200 South Wacker Drive, Chicago, IL
    How I Became a Quant - Chicago

    Financial Engineers Give a Personal View of their Careers in Quantitative Finance

    1:30 PM - Registration
    2:00 PM - Panel Begins
    3:15 PM - Reception & Networking

     

    Panelists
          
    Mark Bright
    Trading Assistant, Eagle Seven 
              
    David Don
    Head of Quantitative, Execution and Risk Products, Lime Brokerage LLC
         
    Ivana Donevska
    Vice President, AML Quantitative Analytics, BMO Financial Group

     
    Eric Metz
    Chief Investment Officer, SpiderRock Advisors

    Jake Sokolowski
    Liquidity Risk Management, CME Group


    Moderator:
     
     
    Morton Lane
    Director, University of Illinois MSFE Program


    Hosted and Sponsored By:



                  
               
    • 25 Apr 2017
    • 5:45 PM (EDT)
    • NYU Kimmel Center, Room 914, 60 Washington Square South, New York, NY

    Trading in VIX Derivatives



                  
    A Talk by Dr. Andrew Papanicolaou


    Tuesday, April 25th 
    5:45 PM Registration

    6:00 PM Seminar Begins
    7:30 PM Reception

        
    Abstract

    In this talk I will give insight into markets for derivatives on the VIX. The VIX is an implied volatility on the S&P500 index (SPX) with a history of spiking when the market encounters turbulence. Futures on the VIX are liquid instruments that are useful in hedging volatility, which in turn has lead to a demand for VIX call/put options and exchange traded notes (ETNs). Some interesting questions to ask are: How are the VIX and SPX markets related? How to effectively manage the futures term structure? My aim is to address both questions.

     

    Biography

    Andrew Papanicolaou is an assistant Professor in the Department of Finance and Risk Engineering. He holds a B.S. from University of California at Santa Barbara (2003), an M.S. from University of Southern California (2007), and a Ph.D. in Applied Mathematics from Brown University (2010).

    His research focuses on filtering theory, parameter estimation, stochastic control, and financial mathematics. Specific problems he’s studied include model selection and calibration for pricing of volatility derivatives, statistical inference for hidden economic indicators, and optimal strategies for investment in markets with unobserved factors. His work provides detailed mathematical analysis while emphasizing a deeper understanding of financial economics. His interdisciplinary interests allow him to engage in new research directions in financial mathematics, as well finding new applications of arbitrage theory, portfolio theory, and financial data analysis.


    His past appointments were as a postdoctoral fellow and lecturer at Princeton in the department of Operations Research and Financial Engineering from 2010 to 2013, and as a lecturer at the University of Sydney in the School of Mathematics & Statistics from 2013 to 2015. In Spring 2015 he was awarded a fellowship at the Institute of Pure and Applied Mathematics at UCLA, and participated in the workshop series on “Broad Perspectives and New Directions in Financial Mathematics.”


             

    About the Series

    The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. 

     

    Registration Fees:
    Complimentary for IAQF members through this site
    Thalesians Members can register here for $25
    Non-Members: $25.00 by registering through this site
    • 26 Apr 2017
    • (EDT)
    • School of Engineering and Applied Science, Princeton University Friend Center, Princeton, NJ 08544


    IAQF Endorsed Event:



    Wealth Management Systems for Individual Investors

    Four-University Rotating FinTech Conference


    April 26, 2017

    School of Engineering and Applied Science
    Princeton University Friend Center
    Princeton, NJ 08544 


    Topics Include: 

    Mass-Customisation of Goal-Based Investment Solutions:

    The New Frontier in Digital Wealth Management Services


    Goal-Based Investment via Multi-Stage Stochastic Goal

    Programming for Robo-Advisor Services


    Big Data - Yesterday, Today and Tomorrow


    Applying Machine Learning Concepts for Asset Allocation and ALM


    FinTech: Drawing Strengths from Computing Theories


    Savings and Investing to Achieve Retirement Goals: an Update Given Current Market Assumptions


    The Rise of Robo-Advisors: A Threat or an Opportunity

    for the Wealth Management Industry?



    Registration:

    **In partnership with EDHEC-Risk Institute, IAQF is pleased to provide its members with a special rate of $115 for the one day conference (regular price: $150). To register visit the dedicated registration website and select registrant type: IAQF members (with the discount code IAQFmembers). Please note that the invitation is personal and not transferable.**


    Further Information:
     For  further information about the conference,
    visit the event page or contact Maud Gauchon:
    maud.gauchon@edhec-risk.com 
    or +33 493187887




    • 28 Apr 2017
    • 4:00 PM - 6:00 PM
    • PwC, Room 22305, 300 Madison Ave, New York, NY 10017


    Commodity Pricing Models


    A Presentation by 


    Eduardo Schwartz

    2015 Financial Engineer of the Year




    Friday, April 28th 

    3:45 PM - Registration
    4:00 PM - Presentation
    5:15 PM - Reception


    Dr. Eduardo Schwartz will present a brief overview of commodity pricing models with special emphasis on his work over the last three decades. Dr. Schwartz will then introduce his recent research on these models, which aims to address the challenges that practitioners have encountered in the application of traditional models. He will discuss the results of two of his papers in particular, one published last year and the other a working paper.


    An expert in various dimensions of asset and securities pricing, Dr. Schwartz’s research is rooted in mathematical modeling of uncertainty and an interest in the stochastic evolution of prices and rates. At various times, he has focused on pricing Internet companies, interest rate models, asset allocation issues, evaluating natural resource investments, the stochastic behavior of commodity prices and valuing patent-protected R&D projects. His collected works include more than 100 articles in finance and economic journals, two monographs, and a large number of monograph chapters, conference proceedings and special reports.

    Dr. Schwartz is among the first researchers to develop the real options method of pricing investments under uncertainty. He is co-editor, with Lenos Trigeorgis of the University of Cyprus, on the book Real Options and Investment Under Uncertainty (MIT, 2001), a compilation of recent papers and classic research in the field.

    He is the winner of a number of awards for both teaching excellence and for the quality of his published work. He has served as associate editor for more than a dozen journals, including the Journal of Finance, Journal of Financial Economics and Journal of Financial and Quantitative Analysis. He is a former president of the Western Finance Association and the American Finance Association. He is a fellow of the American Finance Association and the Financial Management Association International. He is also a research associate of the National Bureau of Economic Research.

    Dr. Schwartz was awarded a Doctor Honoris Causa by the University of Alicante in Spain and by the Copenhagen Business School. He also received the 2000 Graham and Dodd Award for his paper, “Rational Pricing of Internet Companies,” published in the Financial Analysts Journal. He has also been a consultant to governmental agencies, banks, investment banks and industrial corporations. Dr. Schwartz earned a Ph.D in finance and a M.Sc. in Business Administration from the University of British Columbia and a B.Eng. in industrial engineering from the University of Chile.

          


    • 15 May 2017
    • 5:45 PM (EDT)
    • NYU Kimmel Center, Room 914, 60 Washington Square South, New York, NY
    Trading algorithms with learning in latent alpha models


                  
    A Talk by Dr. Sebastian Jaimungal 


    Monday, May 15th

    5:45 PM Registration
    6:00 PM Seminar Begins
    7:30 PM Reception

        
    Abstract

    Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and diffuse. Moreover, we account for the effect of the trader's actions on quoted prices and the prices they receive from trading. Under fairly general assumptions, we demonstrate how the trader can learn the posterior distribution over the latent states, and explicitly solve the latent optimal trading problem in an online fashion. Furthermore, we develop a forward-backward algorithm based on expectation-maximization to calibrate a pure-jump model to historical data, illustrate the efficacy of the optimal strategy through simulations, and compare to strategies which ignore learning in the latent factors.

    (Joint work with Philippe Casgrain, U. Toronto)

     

    Biography

    Dr. Sebastian Jaimungal is a Full Professor in the Department of Statistical Sciences at the University of Toronto, where he is the director of the Masters of Financial Insurance program, teaches in the Masters of Mathematical Finance program, and the PhD program. Sebastian is the current Chair (and former Vice Chair; Program Director) for SIAM Financial Mathematics and Engineering (SIAG/FM&E), he is a co-author of the book titled “High-Frequency and Algorithmic Trading” published by Cambridge University Press (2015), and acts on the editorial board for a number of academic and industry journals including: SIAM Journal on Financial Mathematics (SIFIN), The International Journal of Theoretical and Applied Finance (IJTAF), High FrequencyJournal of Risks and Argo. Sebastian is also a founding board member of the Commodities and Energy Markets Association.


             

    About the Series

    The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. 

     

    Registration Fees:
    Complimentary for IAQF members through this site
    Thalesians Members can register here for $25
    Non-Members: $25.00 by registering through this site
    • 14 Aug 2017
    • (EDT)
    • 19 Aug 2017
    • (EDT)
    • Skirball Center, New York University, 566 LaGuardia Place, New York, NY 10012

     

    IAQF Endorsed Event:

    Advanced Risk & Portfolio Management

    6-day Intensive Quantitative Course


    August 14-19, 2017

    New York University


    This 6-day intense course taught by Attilio Meucci provides broad picture and in-depth understanding of quantitative risk management and quantitative portfolio management for Asset Management, Banking, and Insurance, from instrument to enterprise risk level.


    Key features:

    • Education: intensive, heavily quantitative, comprehensive 6-day course, with 50 hours of instruction (lectures and practice sessions). Topics include portfolio construction, factor modeling, liquidity, trade execution, estimation/data mining, risk modeling, optimization, and much more…

    • Networking: Gala Dinner, Social Mixer, and other events with industry leaders, renowned academics and the 300+ fellow attendees. Past guests include Almgren, Carr, Derman, Dupire, Gatheral, Lipton, Litterman, Litzenberger, Lo, Madan, Mercurio, Shreve.

    • ARPM Lab: continued online access to ARPM’s body of knowledge, with cross-referenced theory, examples, case studies, solved exercises, interactive code, videos, slides. The ARPM Lab is constantly updated

    • Certifications 40 CFA Institute CE credits; 40 GARP CPD; Academic credit with Partner Universities; (optional) ARPM Certificate®

    • (Optional, free) pre- Bootcamp Conference

    • In operation since 2007, with over 2,000 alumni globally including industry leaders and respected academics

     

    Registration
    **IAQF Members can register with the discounted Affiliates Rate. Please email info@iaqf.org for the discount code**



    Program | Video Testimonials



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