Estimating Term Structure Models for Fixed Income Quantitative Trading

Tuesday, February 21, 2017 - 3:00pm - 4:00pm EST

You are cordially invited to attend the following FRE Lecture. Our invited guest is Edith Mandel, Principal, Advisory Services at Greenwich Street Advisors, LLC who will present a lecture on the following topic:

Estimating Term Structure Models for Fixed Income Quantitative Trading

This is a 2nd part in the series of talks on Fixed Income Quantitative Trading.  We will start with a brief introduction of term structure models and their applications for quantitative trading.  We will then focus on several approaches to historical estimation, highlighting the key features, suitability and common pitfalls. As a by-product of the presentation, we will also demonstrate user-friendly open-source data analysis tools delivered via Python, Pandas, matplotlib  and Jupyter notebooks.

As a principal at Greenwich Street Advisors, LLC, Edith evaluates the opportunity cost, advises on trading infrastructure build-out, electronic and quantitative trading, alpha research and algorithmic execution. Prior to starting her own advisory firm last year, Edith Mandel was the head of Fixed Income Mid-Frequency Trading at KCG (formerly GETCO).  While there, she spearheaded a development of a new quantitative and systematic business within the Fixed Income group. Edith started her career at Goldman Sachs in 1996, where she held a number of positions in the Fixed Income division. As a Managing Director, Edith ran a team of quantitative desk strategists responsible for US Rates trading. Prior to joining KCG, Edith Mandel worked at Citadel as a Managing Director, Head of Fixed Income Quantitative Research. There she was instrumental to a significant revamp and expansion of the Fixed-Income Asset Management business. Mandel is also an adjunct professor in the Finance and Risk Engineering Department at NYU Tandon School of Engineering.

We look forward to seeing you there. Refreshments will be served. Please mark your calendars.