Events



Upcoming events

    • 08 Apr 2019
    • 6:00 PM (EDT)
    • Fordham Gabelli School of Business, McNally Amphitheatre 140 West 62nd Street New York, NY 10023
    Register

    Financial Applications of Machine Learning


    A Talk by 
     

    Terry Benzschawel


    Monday, April 8th

    5:45 PM Registration

    6:00 PM Seminar Begins
    7:30 PM Reception



        

    Abstract

    In this talk, I describe a variety of machine learning models that I have built and applied to problems in business and finance. I begin with an historical introduction to neural networks, including brief descriptions of the perceptron, and methods of gradient descent, backpropagation and regularization. I then describe single hidden-layer perceptrons built in the early 1990s to detect fraud on credit card portfolios, identify customers who will give up their credit cards, and later, for trading US Treasury bonds. I then describe recent work with deep learning networks that predict spread changes for corporate bonds, price moves from trade flows, and a natural language processing model that predicts market moves from sentiment data. Finally, I provide some thoughts on how artificial intelligence/machine learning is changing the fixed income trading business.


    Biography        

    Terry Benzschawel has recently left a thirty-year career on Wall Street to start his own firm. Prior to that, Terry was a Managing Director in Citigroup's Institutional Clients Business. Terry headed the Quantitative Credit Trading group which developed quantitative tools and strategies for credit market trading and risk management, both for Citi's clients and for in-house applications.


    Terry received a Ph.D. in Experimental Psychology from Indiana University (1980) and his B.A. (with Distinction) from the University of Wisconsin (1975). His Ph.D. thesis concerned development of a neural network model of the human visual system. Terry has done post-doctoral fellowships in Optometry at the University of California at Berkeley and in Ophthalmology at the Johns Hopkins University School of Medicine. He also was a visiting scientist at the IBM Thomas J. Watson Research Center prior to embarking on a career in finance. He currently serves on the steering committees of the Masters of Financial Engineering (MFE) Programs at the University of California at Berkeley and serves there as an Executive in Residence.


    In 1988, Terry began his financial career at Chase Manhattan Bank, training genetic algorithms to predict corporate bankruptcy. In 1990, he was hired by Citibank to build neural network models to detect fraudulent card transactions and to predict credit card attrition. In 1992 he moved to investment banking at Salomon Brothers where he built models for proprietary trading for Salomon's Fixed Income Arbitrage Group. In 1998, he moved to the fixed income strategy as a credit strategist with a focus on client-oriented solutions across all credit markets and has worked in related roles since then. Terry was promoted to Managing Director at Citi in 2008.


    Terry is a frequent speaker at industry conferences and events and has lectured on credit modelling at major universities. In addition, he has published over a dozen articles in refereed journals and has authored two books: CREDIT MODELLING: FACTS, THEORIES AND APPLICATIONS and CREDIT MODELLING: ADVANCED TOPICS. In addition, Terry has been the instructor for courses in credit modelling for Incisive Media, the Centre for Finance Professionals, the Machine Learning Institute and has taught in UCLA’s MFE program last Fall. Finally, Terry has taught a course on credit modelling at Russia's Sberbank in Moscow.



    Acknowledgments

    Special thanks to the Fordham University Gabelli School of Business for hosting and sponsoring the seminar.

    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
    • 25 Apr 2019
    • 5:30 PM - 8:00 PM
    • UCLA Anderson School of Management, B208-B210/Gold Hall, 110 Westwood Plaza, Los Angeles, CA 90095
    Register
    How I Became a Quant - L.A.

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

    5:30 PM - 6:30 PM
    "How I Became a Quant" Panel

    6:30 PM - 8:00 PM
    Networking Reception

    Panelists:


    TBD

    Moderator:

    Elisa Dunn

    Executive Director,
    UCLA Anderson 
    Master of Financial Engineering Program



    Hosted and Sponsored By:





    • 07 May 2019
    • 6:00 PM (EDT)
    • Fordham Gabelli School of Business, McNally Amphitheatre 140 West 62nd Street New York, NY 10023
    Register

    Options Portfolio Selection



    A Talk by 
     

    Paolo Guasoni


    Tuesday, May 7th

    5:45 PM Registration

    6:00 PM Seminar Begins
    7:30 PM Reception



        

    Abstract 

    We develop a new method to optimize portfolios of options in a market where European calls and puts are available with many exercise prices for each of several potentially correlated underlying assets. We identify the combination of asset-specific option payoffs that maximizes the Sharpe ratio of the overall portfolio: such payoffs are the unique solution to a system of integral equations, which reduce to a linear matrix equation under suitable representations of the underlying probabilities. Even when implied volatilities are all higher than historical volatilities, it can be optimal to sell options on some assets while buying options on others, as hedging demand outweighs demand for asset-specific returns.       


     

    Biography

    Paolo Guasoni holds the Stokes Chair in Financial Mathematics at Dublin City University since 2009 and specializes in Mathematical Finance. His research investigates the effects of market frictions, incentives, and preferences, in portfolio choice and asset pricing, and has appeared in the Journal of Financial Economics, Finance and Stochastics, Mathematical Finance, and Annals of Applied Probability. He has attracted funding by the European Research Council, the National Science Foundation, Science Foundation Ireland, and the European Commission. He serves as Associate Editor for Finance and Stochastics, Mathematical Finance, SIAM Journal in Financial Mathematics, Applied Mathematical Finance, and the European Journal of Finance.

    Acknowledgments

    Special thanks to the Fordham University Gabelli School of Business for hosting and sponsoring the seminar. 


    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

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