Seminars
Nicholas de Jong and Peter Cotton
Written by Casey Edward O'Meara   
Nicholas de Jong and Peter Cotton of Julius Finance spoke with the masters students on Thursday, November 20th. The pair of Aussies discussed their work at the research firm which specializes in modeling consolidated debt obligations. They then discussed their recently initiated project, financialmathematics.com. The website, created as a wiki, is designed to facilitate the sharing of knowledge, research, and code that apply to problems which commonly arise in quantitative finance.–CASEY O’MEARA ‘08
 
Quantitative Trading
Written by Casey Edward O'Meara   
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On November 13th, the masters students were presented to by program alum and industry practitioner Jeff Miller. After emerging from the program back in 2000, Jeff worked for several years at Goldman Sachs Asset Management. Upon leaving Goldman, he joined what has now become WorldQuant LLC where he continues to work as a quantitative fund manager. Jeff discussed with the students his journey through the industry comparing his experience working for the banking giant Goldman to that of working for WorldQuant, a firm that has grown to a staff of roughly 30.

Jeff explained how the experience and industry knowledge that one can gain by working for a big firm can be indispensable but that the latitude provided to explore areas of interest can often be limited. He then stressed that in order to gain that extra latitude, the most important thing a person can to do is to find their “edge”; that is, that unique quality or ability that sets them apart and earns the attention of those with influence.–CASEY O’MEARA '08

 
Buy-Side Risk Management
Written by Casey Edward O'Meara   
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On Tuesday, November 6th, the masters students were pleased to have Ken Winston lead the program’s weekly seminar. Dr. Winston, who is a fellow instructor of the program, is also the chief risk officer of Morgan Stanley Investment Management. Dr. Winston walked the students through the many challenges facing risk managers in both the buy side and sell side of the industry. These managers are charged with the difficult tasks of foreseeing potential threats to either firm or client capital and deciding how best to deal with them.

Dr. Winston described the various methods and metrics used today in risk management to help assess these threats and to mitigate their potential impact. However, he then added a word of caution noting that these processes often arise in response to events and crises that have occurred at some point in the past. The real challenge, he explained, is in identifying the next potential threat. And as history will show, the next threat is often something unlike anything people have already seen in the past.–CASEY O’MEARA '08

 
Structuring Trade Execution Analytics Around The Investment Process
Written by Casey Edward O'Meara   
Ian Domowitz of Investment Technology Group Inc. spoke with the financial mathematics students on Tuesday, October 30th. As a specialized brokerage house, ITG is at the forefront of the growing field in financial engineering dealing with issues of market impact and optimal trade execution. Mr. Domowitz discussed the many challenges faced by ITG in its quest to diminish transaction costs for its clients and thereby allow their funds to reach their full alpha potential.–CASEY O’MEARA
 
Credit Rating, Rating Agencies and the Current Crisis
Written by Casey Edward O'Meara   
On Tuesday, October 23rd, the masters students sat down with Carl Adams of Capital Framework Advisors LLC to discuss the current credit crisis. Mr. Adams helped the students make sense of this summer’s events by describing the roles of credit rating agencies, where these agencies may have faltered with respect to the crisis, and how their use of careful financial engineering may help to prevent such crises in the future. –CASEY O’MEARA '08
 
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