Financial Engineering Practitioners Seminar

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

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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

Spring 2019 Seminars

Marcos Lopez de Prado | 01/28/19 | 6:00pm to 7:30pm

Speaker: Marcos Lopez de Prado
Date: Monday, January 28, 2019
Time: 6:00pm to 7:30pm
Location: Uris 301- location change

Title: Financial Machine Learning
Abstract: Machine learning (ML) is changing virtually every aspect of our lives. Today ML algorithms accomplish tasks that until recently only expert humans could perform. As it relates to finance, this is the most exciting time to adopt a disruptive technology that will transform how everyone invests for generations. In this presentation, we review some of the most important current financial applications of ML.
Bio: Marcos López de Prado is a principal at AQR Capital Management, and its head of machine learning. Concurrently with the management of investments, between 2011 and 2018 Marcos was also a research fellow at Lawrence Berkeley National Laboratory (U.S. Department of Energy, Office of Science). He has published dozens of scientific articles on machine learning and supercomputing in the leading academic journals, and SSRN ranks him as one of the most-read authors in economics. Among several monographs, he is the author of the graduate textbook Advances in Financial Machine Learning (Wiley, 2018). Marcos earned a PhD in financial economics (2003), a second PhD in mathematical finance (2011) from Universidad Complutense de Madrid, and is a recipient of Spain's National Award for Academic Excellence (1999). He completed his post-doctoral research at Harvard University and Cornell University, where he teaches a financial machine learning course at the School of Engineering. His research website address is

Ole Peters | 02/04/19 | 6:00pm to 7:30pm

Speaker: Ole Peters
Date: Monday, February 4, 2019
Time: 6:00pm to 7:30pm
Location: Davis Auditorium, CEPSR Building

Title: The ergodicity problem in economics

Abstract: The ergodicity problem queries the equality or inequality of time averages and expectation values. I will trace its curious history, beginning with the origins of formal probability theory in the context of gambling and economic problems in the 17th century. This is long before ergodicity was a word or a known concept, which led to an implicit assumption of ergodicity in the foundations of economic theory. 200 years later, when randomness entered physics, the ergodicity question was made explicit. Over the past decade I have asked what happens to foundational problems in economic theory if we export what is known about the ergodicity problem in physics and mathematics back to economics. Many problems can be resolved. Following an overview of our theoretical and conceptual progress, I will report on a recent experiment that strongly supports our view that human economic behavior is better described as optimizing time-average growth rates of wealth than as optimizing expectation values of wealth or utility of wealth.

Bio: Ole Peters is a Fellow at the London Mathematical Laboratory and External Professor at the Santa Fe Institute. He works on different conceptualizations of randomness in the context of economics. His thesis is that the mathematical techniques adopted by economics in the 17th and 18th centuries are at the heart of many problems besetting the modern theory. Using a view of randomness developed largely in the 20th century he has proposed an alternative solution to the discipline-defining problem of evaluating risky propositions. This implies solutions to the 300-year-old St. Petersburg paradox, the leverage optimization problem, the equity premium puzzle, and the insurance puzzle. It leads to deep insights into the origin of cooperation and the dynamics of economic inequality. He maintains a popular blog at that also hosts the ergodicity economics lecture notes.

Adam Grealish | 02/25/19 | 6:00pm to 7:30pm

Speaker: Adam Grealish
Date: Monday, February 25, 2019
Time: 6:00pm to 7:30pm
Location: Davis Auditorium, CEPSR Building

Title: Fintech: Better Investing Through Technology

Bio: Adam Grealish is the Director of Investing at Betterment, the largest independent online financial advisor with over $14 billion in assets under management. Adam and his team are responsible for Betterment's strategic asset allocation, fund selection, automated portfolio management and tax strategies. Before joining Betterment, Adam founded a natural language processing startup that matched individuals with employment opportunities. Prior to that, he was a vice president at Goldman Sachs' FICC division, responsible for structured corporate credit and macro credit trading. Before that, Adam was part of the global quantitative equity portfolio management team at New York Life Investments. 

Abstract: In this talk we will explore how technology can be used to improve investor outcomes. Technology and automation can play a significant role in solving traditional asset management problems, such as risk management and rebalancing, as well as unique problems faced by taxable investors. We will also explore how technology can improve investor behavior.

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Richard Robb | 03/04/19 | 6:00pm to 7:30pm

Speaker: Richard Robb 
Date: Monday, March 4, 2019
Time: 6:00pm to 7:30pm
Location: Davis Auditorium, CEPSR Building

Title: Choice with Reason

Abstract: This talk will draw from Richard Robb’s forthcoming book, Willful: How We Choose What We Do, Yale University Press, Fall 2019. This book identifies a new dimension of behavior that can’t be described by rational choice or behavioral biases: acting willfully on the world. These actions are undertaken for their own sake rather than to obtain a preferred outcome. Exploring this uncharted sphere, we learn to see time as a flow and economic life as a high-stakes game. Beliefs, which constitute our identity, are neither infinitely flexible or easily transmitted, even if every agent is rational, trustworthy and properly incentivized. The theory has far-reaching consequences for institutional investing, opportunities for individual investing, reformulated notions of market efficiency and the fundamental limits to communication that cause markets to seize up.

Bio: Richard Robb is Professor of Professional Practice at SIPA where he directs the Concentration in International Finance and Economic Policy. He is also CEO of fund manager Christofferson, Robb & Company (CRC), with over $4 bn under management. Prior to cofounding CRC, he was the Global Head of the derivatives and securities subsidiaries of the Dai-Ichi Kangyo Bank in New York, London and Hong Kong. He has a B.A. from Duke University and a PhD in Economics from The University of Chicago.



Michael Miller | 03/11/19 | 6:00pm to 7:30pm

Speaker: Michael Miller
Date: Monday, March 11, 2019
Time: 6:00pm to 7:30pm
Location: Davis Auditorium, CEPSR Building

Title: Risk-Based Performance Attribution

Abstract: Traditional performance attribution may work well for long-only strategies, but it can be inaccurate and even misleading when applied to hedge fund strategies. Risk-based performance attribution, while more difficult to perform, provides a more accurate picture of the drivers of hedge fund performance.

This presentation will start with a general overview of performance analysis, before moving on to factor analysis and risk-based performance attribution. 

Bio: Michael B. Miller is the founder and CEO of Northstar Risk. Before starting Northstar, he was the Chief Risk Officer for Tremblant Capital and before that the Head of Quantitative Risk Management at Fortress Investment Group.

Mike is the author of Quantitative Financial Risk Management and Mathematics and Statistics for Financial Risk Management. He is also the co-author, along with Emanuel Derman, of The Volatility Smile. Mike is an adjunct professor at Columbia University and the co-chair of the Global Association of Risk Professional’s Research Fellowship Committee. Before starting his career in finance, he studied economics at the American University of Paris and the University of Oxford.


Vasant Dhar | 04/08/19 | 6:00pm to 7:30pm

Speaker: Vasant Dhar
Date: Monday, April 8, 2019
Time: 6:00pm to 7:30pm
Location: Davis Auditorium, CEPSR Building

Title: Artificial Intelligence and Data Science in modern financial decision making
Abstract: There’s a tremendous amount of interest in the use of machine learning in modern day financial decision making. Much of this interest is fueled by increasing amounts of available data and the general success of machine learning in other domains such as perception. I start by assessing the opportunities and key challenges for machine learning in exchange traded and OTC markets, and how finance problems are uniquely challenging. I describe the conditions in which we should trust automated decision making in these markets by breaking down trust into two key risk factors, namely, how often an automated decision system makes mistakes and the consequences of such mistakes. I use my model of trust to present results that show under what conditions we should trust autonomous learning systems with decision making.
Bio: Vasant Dhar is Professor, Stern School of Business and Center for Data Science at New York University. He is the director of NYU’s PhD program in Data Science. Dhar is also the founder of SCT Capital Management a , a machine-learning-based hedge fund in New York City.
Dhar’s central research question asks when we should trust AI machines that learn and make decisions autonomously based on ongoing data. His research has addressed this question in a number of areas, most notably, in financial markets.  Dhar has authored over 100 research papers, as well as articles for publications such as the Financial Times, Wall Street Journal, Forbes, Wired, and the Harvard Business Review. He has appeared on CNBC, Bloomberg TV, and National Public Radio. 

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.

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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

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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
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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.