Coming Events

December 3, 2009, 4:00-5:00 pm, location TBA
Financial Engineering Practitioner Seminar Series
Dr. Alexander Eydeland, Morgan Stanley, New York
Title: Commodity Models: from Ags to Zinc
Abstract: We will discuss various issues and challenges facing commodity quants and suggest a number of modeling methodologies designed to address these issues. We will also give a brief introduction of standard commodity structures as well as new products and recent developments in commodity markets.

December 3, 2009, time and location TBA
Dissertation Proposal
Lingfei Li
Title: TBA

Past Events

November 10, 2009, 4:00-5:00 pm, Tech M228
IEMS Departmental Seminar
Prof. Thaleia Zariphopoulou, Oxford University
Title: A New Approach for Investment Performance Measurement
Abstract: A new method for measuring the performance of investment policies will be introduced. Optimality of investment strategies will be associated with a stochastic partial differential equation (SPDE). The novel concept of performance volatility, as the driver to this SPDE, will be presented. Examples of performance volatility processes, modeling different numeraires, benchmarks and market views, will be presented.

October 2, 2009, 3:00-4:00 pm Tech M152
Guest Lecture, IEMS 326
Dr. John Charnes, Bank of America, Charlotte
Title: Commercial Credit Portfolio Management

June 11, 2009, 3:00-4:00 pm Tech M228
Lingfei Li
Title: Commodity and Energy Derivatives Models with Mean Reverting Jumps and Stochastic Volatility: A Spectral Expansion Approach

June 8, 2009, 10:00 am-12:00 pm
Dissertation Defense
Hai Lan
Title: Two-Level Simulation of Expected Shortfall: Confidence Intervals, Efficient Simulation Procedures, and High-Performance Computing

June 2, 2009, 10:00 am-12:00 pm Tech C211
Dissertation Proposal
Ming Liu
Title: Efficient Simulation in Financial Risk Management

May 28, 2009, 7:30-9:30 am Cohen Commons, Technological Institute
Mornings at McCormick
Prof. Jeremy Staum
Title: Systemic Risk: The Next Frontier in Risk Management and Regulation
Abstract: The current paradigm of risk management and regulation addresses the risk of each firm in isolation. How can government regulators measure or reduce the risk of the financial system as a whole? How might this affect the practice of risk management within financial firms? Can regulation provide incentives for firms to make decisions that reduce systemic risk? We will discuss some basic concepts and insights of the emerging field of systemic risk management and consider their implications for engineering a more stable financial system.

May 28, 2009, 12:30-1:30 pm Tech C211
INFORMS student chapter brown bag lunch seminar
Prof. Jeremy Staum
Title: Future research in financial engineering and simulation

May 26, 2009, 4:00-5:00 pm Tech M228
IEMS Departmental Seminar
Dr. Michael B. Gordy, Federal Reserve Board, Washington D.C.
Title: Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating Models
Abstract: In its complexity and its vulnerability to market volatility, the CPDO might be viewed as the poster child for the excesses of financial engineering in the credit market. This paper examines the CPDO as a case study in model risk in the rating of complex structured products. We explain how a CPDO transaction works and review events in this market to date. We demonstrate that the models used by S&P and Moodys would have assigned (at best) low probability to the spread levels realized in the investment grade corporate credit default swap market in late 2007. The spread levels realized in the first quarter of 2008 would have been assigned negligibly small probabilities. Had the models put non-negligible likelihood on attaining these high spread levels, the CPDO notes could never have achieved investment grade status.
(Joint work with Soren Willemann.)

May 12, 2009, 9:00-11:00 am Ford Building, ITW Classroom
Technical Seminar
The MathWorks
Title: Computational Finance with MATLAB
Abstract: We will demonstrate how to use MATLAB as an analytics platform and an application development environment to import, analyze, and visualize data, measure risk, and develop optimization strategies. Application examples will be presented highlighting capabilities for GARCH modeling/forecasting, option pricing, and portfolio optimization among others.

May 5, 2009, 2:00-4:00 pm Tech C211
Dissertation Defense
Rafael Mendoza
Title: Unified Credit-Equity Modeling

April 14, 2009, 4:00-5:00 pm Tech M228
IEMS Departmental Seminar
Prof. Paul Zipkin, Duke University
Title: Quality Snags in the Mortgage-Finance Supply Chain
Abstract: This essay views the current financial crisis through the lens of quality management. The crisis represents a failure of quality, and solving it will require, among other things, careful management of quality in financial institutions and across financial supply chains. This will be difficult for several reasons, but not impossible. I offer several recommendations, partly inspired by successful quality practices in industry.

March 31, 2009, 1:00-2:00 pm Tech M426
Information Session
Morgan Stanley
Title: Morgan Stanley Quantitative Finance Program
Abstract: Morgan Stanley Innovative Data, Environments, Analytics & Systems (IDEAS), is an integrated quantitative and technology organization formed to create a sustainable, commercial advantage for Morgan Stanley by reshaping the Firm's businesses around innovative people, processes and systems. IDEAS includes revenue-generating, business unit-embedded desk strategist teams, and platform and technology teams with a broad range of expertise across those data sources, applications, systems and technologies used by the Firm's sales and trading, banking and investment management businesses.

October 21, 2008, 4:00-5:00 pm Tech M228
IEMS Departmental Seminar
Prof. Garud Iyengar, Columbia University
Title: Robust Portfolio Selection
Abstract: Parameters in a portfolio section problem are typically estimated from a finite amount of data -- consequently, the parameter estimates are always erroneous. Moreover, optimal solutions to the portfolio selection models tend to amplify these parameter errors several fold, resulting in "error-maximized and investment irrelevant" portfolios! Robust optimization has recently emerged as a particularly useful methodology for optimizing performance in the presence of data errors. In this talk we will survey some of our recent work on robust formulations for portfolio selection. In particular, we will discuss a robust version of the mean-variance and the mean-CVaR portfolio selection problem. We will illustrate these methods on examples from equity portfolio management, pension-fund management, and credit portfolio management.
(Parts of this talk are joint work with Donald Goldfarb, Emre Erdogan, and Ka Chun (Alfred) Ma.)

September 26, 2008, 4:00-5:00 pm Tech L251
Alexander Lipton, Merrill Lynch, London
Title: Jump-diffusions and credit modelling (Theoretical models and practical implications)
Abstract: In this talk we discuss qualitative and quantitative approaches to modelling credit risk and credit events.  In particular, we present a view from the trenches of the developing credit crisis.

September 23, 2008 4:00-5:00 pm Tech M228
IEMS Departmental Seminar
Michael Sotiropoulos, Banc of America Securities, New York
Title: Volatility Trading and Timer Options
Abstract: Trading financial derivatives is a risky activity, even in the presence of frequent Delta hedging. This talk briefly reviews some industry-standard approaches for dealing with the volatility risk in option positions. The problems associated with managing volatility risk are pointed out and a novel structure, the timer option, is presented. The pricing of timer options is shown to be robust under volatility and stochastic model misspecification.

September 23, 2008 11:30-1:00 pm Tech C211
Dissertation Defense
Evren Baysal
Title: Advances in Risk Management Simulation

May 29, 2008, 12:40-1:40, Tech C211
INFORMS student chapter brown bag lunch seminar
Prof. Vadim Linetsky
Title: Overview of financial engineering research

May 21, 2008, 12:00-1:00
Joint Kellogg-McCormick Operations Seminar
Prof. Vadim Linetsky
Title: A Modeling Framework for Heavy Equipment Financing and Leasing with the Risk of Default: The Case of Aircraft Manufacturing
Abstract: Sales of heavy equipment, such as aircraft, ships, rail stock, factory and construction equipment, require long term financing, such as loans or leases. In this work we focus on the aircraft sector as a representative industry. If the customer defaults on its loan or lease, the aircraft will be repossessed and sold or leased in the used aircraft market. The financier is thus exposed to the risk of declining prices for used equipment, as well as credit risk (the risk of default on the financing contract). We study the problem of valuing and assessing the risk of a range of aircraft financing contracts. In particular, we propose a framework to model market prices of depreciating equipment.

March 6, 2008
Information Session
Chicago Trading Company
Title: Financial engineering research in an options market marking firm

October 23, 2007, 4:00-5:00 Tech M228
IEMS Departmental Seminar
Prof. Kay Giesecke, Stanford University
Title: The correlation-neutral measure for portfolio credit
Abstract: Using a complex-valued measure change, we derive a formula for a Fourier transform of a counting process that describes the arrival of totally inaccessible events, and we show how this transform facilitates an analytical treatment of a range of valuation, hedging and risk management problems that arise in single name and portfolio credit risk. Example applications include reduced form pricing of credit sensitive securities referenced on single or multiple issuers, hedging of constituent risks, model estimation, and credit portfolio risk measures.



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