Financial Engineering Practitioners Seminar

The Financial Engineering Practitioners Seminar is hosted by Columbia’s MSFE Program and Waterloo.

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The seminar presents research and practice in financial engineering and related fields and is open to the public, welcoming attendees from industry and academia.

To request more information or express interest in becoming a corporate sponsor, please contact us.

We look forward to seeing you at the next FE Practitioners Seminar.

Emanuel Derman and Agostino Capponi
Professor of Professional Practice, Industrial Engineering & Operations Research
Director of Financial Engineering Practitioners Seminar
Director of the MS in Financial Engineering
Co-Director of the Center for Financial Engineering

Fall 2018 Seminars

Julien Guyon | 9/17/18 | 6:00 pm to 7:30 pm

FE Seminar Speaker: Julien Guyon
Hosted by Columbia IEOR/Waterloo
Date: Monday, September 17, 2018
Time: 6:00 pm to 7:30 pm
Location: Davis Auditorium, CEPSR Building

Title: Path-Dependent Volatility

Abstract: So far, path-dependent volatility models have drawn little attention from both practitioners and academics compared with local volatility and stochastic volatility models. This is unfair: in this talk we show that they combine benefits from both. Like the local volatility model, they are complete and can fit exactly the market smile of the underlying asset; smile calibration is achieved using the particle method. Like stochastic volatility models, they can produce rich implied volatility dynamics; for instance, they can generate large negative forward skews, even when they are calibrated to a flat smile. But path-dependent volatility models can even do better than that: thanks to their huge flexibility, they can actually produce spot-vol dynamics that are not attainable using stochastic volatility models, thus possibly preventing large mispricings; and they can also capture prominent historical patterns of volatility, such as volatility depending on the recent trend of the underlying asset, for instance. We give many examples and show many graphs to demonstrate their great capabilities.

Bio: Julien is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor in the Department of Mathematics at Columbia University and at the Courant Institute of Mathematical Sciences, NYU. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years (2006-2012), and was an adjunct professor at Universite Paris 7 and Ecole des ponts. He co-authored the book Nonlinear Option Pricing (Chapman & Hall, CRC Financial Mathematics Series, 2014) with Pierre Henry-Labordere. His main research interests include nonlinear option pricing, volatility and correlation modeling, and numerical probabilistic methods. Julien holds a Ph.D. in Probability Theory and Statistics from Ecole des ponts. He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des ponts. A big soccer fan, Julien has also developed a strong interest in sports analytics, and has published several articles on the FIFA World Cup, the UEFA Champions League, and the UEFA Euro in top-tier newspapers such as The New York Times, Le Monde, and El Pais, including a new, fairer draw method for the FIFA World Cup.

Fabio Mercurio | 10/15/18 | 6:00 pm to 7:30 pm

FE Seminar Speaker: Fabio Mercurio
Hosted by Columbia IEOR/Waterloo
Date: Monday, October 15, 2018
Time: 6:00 pm to 7:30 pm
Location: Davis Auditorium, CEPSR Building

Title: SOFR so far

Abstract: We propose a simple two-factor multi-curve model where Fed-fund, SOFR and LIBOR rates are modeled jointly. The model is used to price the newly quoted SOFR futures as well as Eurodollar futures. We then derive pricing formulas for SOFR-based swaps, and show how the valuations of LIBOR-based swaps as well as LIBOR-SOFR basis swaps are impacted by the introduction of a new LIBOR fallback.

Bio: Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and market risk. Fabio is also adjunct professor at NYU, and a former CME risk committee member. He has jointly authored the book 'Interest rate models: theory and practice' and published extensively in books and international journals, including 17 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands

 

Heath Windcliff | 11/1/18 | 6:00 pm to 7:30 pm

FE Seminar Speaker: Heath Windcliff
Hosted by Columbia IEOR/Waterloo
Date: Thursday, November 1, 2018
Time: 6:00 pm to 7:30 pm
Location: 110 Williams Street, 3rd floor. Manhattan Institute of Management
 

Title: Measuring and Using Trading Algorithms Effectively

Abstract: In order to build effective trading algorithms, you need to effectively measure trading algorithms. In this talk we will talk about what factors we look at when measuring trading engine performance in tuning our algorithms.  Specifically we will discuss several common benchmarks and discuss what each of these focus their lens upon, and what these measurements are blind to. We will focus on the precision of these measurements and where these sources of noise and uncertainty come from. We will show a lower bound on the amount of noise expected in these measures so you can determine how precisely one can expect to be able to measure trading performance for a given amount of flow.  This has material implications on the feasibility and applicability of quantitative best-execution measures for many users. Finally we will show how use these methods in our engine tuning process.

Bio: Heath Windcliff, Managing Director, is the head of the Quantitative Research team at MS which is responsible for equity algorithmic trading research and development. He actively works on the design of the optimization tools, the limit order worker and the venue selection models used in our products. He is also responsible for the PostTrade analytics framework that MS uses to design and tune the algorithmic offering for the use cases and needs of users and clients. Heath has a PhD in Computer Science focused on numerical methodologies from the University of Waterloo in 2003 following a Masters and Bachelors in Applied Mathematics

Nicola Cetorelli | 11/12/18 | 6:00 pm to 7:30 pm

FE Seminar Speaker: Nicola Cetorelli
Hosted by Columbia IEOR/Waterloo
Date: Monday, November 12, 2018
Time: 6:00 pm to 7:30 pm
Location: Davis Auditorium, CEPSR Building
 
Title: Evolving Intermediation: An Analysis of the Transformation of Business Scope in US Banking
 
Abstract: Financial intermediation has shifted dramatically over the last few decades. The sector has traveled from a model where commercial banks brokered supply and demand of intermediated funds to a decentralized system where the matching has increasingly occurred through much longer credit intermediation chains, with non-bank entities emerging as providers of specialized inputs along the way (Cetorelli, Mandel, and Mollineaux, 2012).  This, along with regulatory changes, has created many new opportunities for potential synergies across a variety of business types.  We argue that as the prevailing mode of intermediation evolves over time, banks that diversify into new areas to match such evolution benefit — in contrast to indiscriminate diversifiers, who will incur the cost of agency for little benefit. Testing such conjectures requires a level of data detail that has simply not been historically available. First, it requires us to know which activities are “new” (to a banking organization) and which are not. Second, it requires a comprehensive coverage, as opposed to a representative sample, to gauge overall banking industry dynamics and how “related” various segments become over time.  We use a newly created dataset detailing the organizational structure for the entire population of US BHCs. It allows us to track each entity’s subsidiaries and the new and different business activities they are involved in over time (Cetorelli and Stern, 2015). We map entry and exit across activities, and explore how different strategies of business-scope transformation have performance implications that differ between firms and over time. The results are consistent with our expectation: Indiscriminate scope expansion can be detrimental, presumably because the frictions associated with a more complex structure and the related costs outweigh any benefits. Expanding in activities that are more closely related to the core business of banking actually yields a net positive impact. We show this is particularly true once we take into account that the extent to which activities are related to core banking is itself in flux, as a result of market, technological and regulatory change. We find that expanding in a given activity today may have very different performance effects if done instead in a future period.
 
Bio: Nicola Cetorelli is a Vice President at the Federal Reserve Bank of New York and the Head of the Financial Intermediation Function in the Research Group. His research has focused on the industrial organization and the corporate finance characteristics of the banking industry and the relationships with real economic activity. More recently he has worked on themes of
international banking and on the evolution of financial intermediation. He represents the New
York Fed on various Financial Stability Board's international working groups. He has published in a number of scholarly journals, among which The Journal of Finance, Journal of Economic Theory, American Economic Review, Journal of International Economics. He has also written many articles in various policy journals and book chapters as well. He received his Ph.D. in Economics from Brown University and a B.A. from the University of Rome, Italy.