Peter Carr Brooklyn Quant Experience (BQE) Seminar Series

The Peter Carr BQE Seminar Series is held every Thursday at 6:00 p.m. ET unless otherwise noted. Add each seminar to your calendar to stay updated.

NYU Students are highly encouraged to attend in person. All other non-NYU guests are invited to attend virtually unless otherwise noted.

Fall 2023

Nizar Touzi
Mean Field Game Approach to Systemic Risk Modeling
Upon the request of the speaker, this lecture was not recorded.

9/28/23

Nassim Nicholas Taleb
Some (Very) Practical Problems with Probability
View Recording »

10/05/23

Samim Ghamami
Skin in the Game: Risk Analysis of Central Counterparties
View Recording »

10/12/23

Rafal Sieradzki
Characteristics of Implied and Realized Volatility: the Case of Deep OTM Put Options
Upon the request of the speaker, this lecture was not recorded.

10/26/23

Bruno Kamdem
BRICS Sustainability Analytics: A Machine Learning Framework for South African ESG Factors
View Recording »

11/02/23

Samir Shah
Connecting the Dots - A Differentiated Retrospective: Economics, Money Supply and Asset Prices
Upon the request of the speaker, this lecture was not recorded.

11/09/23

Stephen Figlewski
Beyond Black and Scholes: What Can the Q-Distribution Tell Us About the Risk Neutralization Process?

11/16/23

Rene Aid
Equilibrium Price in Intraday Electricity Markets

11/30/23

Jianfeng Zhang
Special Seminar: A Dynamic Principal-Agent Problem with One-sided Commitment

12/06/23

Are you interested in attending our PC BQE Seminar Series? Join our mailing list. Note: NYU MSFE students and faculty will automatically receive updates about our BQE Seminar Series and do not need to sign up.

Stay up-to-date with department news whether on the go or at your desk. Follow FRE on Twitter, Instagram, LinkedIn, and Facebook. You can also watch our previous lectures on YouTube.

Past Lectures

Spring 2023

Neil Pearson
Anomalies and Their Short-Sale Costs
This lecture was not recorded.

2/02/23

Amine Mohamed Abousallah
Exploiting Structure in Reinforcement Learning to Mitigate Risk in Real-World Financial Control Problems
View Recording »

2/08/23

Kris Jacobs
Modeling Conditional Factor Risk Premia Implied by Index Option Returns
This lecture was not recorded.

2/16/23

Matt Lorig
Semi-Parametric Replication of Barrier-Style Claims on Price and Volatility
View Recording »

3/23/23

Mike Lipkin
Event-Driven Finance Trading Biotech Events at Intermediate Time-Scales
View Recording »

3/23/23

Agnes Tourin
A Monotone Finite Difference Scheme for Pairs Trading with Transaction Costs
View Recording »

4/6/23

Marcantonio Moustapha Awada
New Industry Classifications with Implications for Equity Long-Short Portfolio Construction
View Recording »

4/13/23

Nizar Touzi
On Some Problems in Financial Engineering
View Recording »

4/18/23

Cristian Homescu
Machine Learning in Quantitative Wealth and Investment Management (ML in QWIM): Hype Versus Reality
This lecture was not recorded.

4/20/23

Zev Shimko
Fintech Landscape & Deep Dive
View Recording »

5/4/23

Fall 2022

Emanuel Derman
A Stylized History of Quantitative Finance

9/22/22

View Recording »

Alex Pannier
VIX Options and Rough Volatility

9/29/22

Upon the request of the speaker, a recording is not available.

Nassim Nicholas Taleb
Covid: A Lesson in Risk Management

10/6/22

View Recording »

Liuren Wu
Common Pricing of Decentralized Risk: A New Linear Option Pricing Model

10/13/22

View Recording »

Sebastien Bossu
(In Memoriam) Generalizations of the Carr-Madan Spanning Formula

10/20/22

View Recording »

Federico Maglione
Compound Option Pricing and the Roll-Geske-Whaley Formula Under the Conjugate-Power Dagum Distribution

11/3/22

View Recording »

Luyao Zhang
A Systemization of Knowledge (SoK): Blockchain Decentralization and Implications for Tokeneconomy

11/17/22

View Recording »

Bruno Kamdem
A Reinforcement Learning Mechanism for Trading Wind Power Futures

12/1/22

View Recording »

Dilip Madan
High Dimensional Markovian Trading of a Single Stock

12/8/22

View Recording »

Spring 2022

Luca Capriotti

A gentle introduction to Adjoint Algorithmic Differentiation (AAD)

2/10/22
Upon the request of the speaker, no recording is available for this lecture.

Alex Shkolnik
James-Stein Estimation of Minimum Variance Portfolios

2/17/22
View Recording »

Alejandra Quintos Lima
Dependent Stopping Times and an Application to Credit Risk Theory.

2/24/22
View Recording »

Laura Leal
Optimal Execution with Quadratic Variation Inventories

3/10/22
View Recording »

Roza Galeeva
Oil Futures Volatility Smiles in 2020: Why the Bachelier Smile is Flatter

3/24/22
View Recording »

Stephan Sturm
When to Sell an Asset? - A Distribution Builder Approach

3/31/22
View Recording »

Leon Tatevossian
Risk and Reward in the Fixed-Income Market: Where are We Now?

4/21/22
View Recording »

Andrei Lyashenko
Bridging P-Q Modeling Divide with Factor HJM Modeling Framework

4/28/22
Upon the request of the speaker, no recording is available for this lecture.

Derek Snow
Simulacrum or Shenanigan: Deep Generative Models and Simulators for Financial Markets

5/5/22
Upon the request of the speaker, no recording is available for this lecture.

Are you interested in attending our BQE Lecture Series? Join our mailing list. Note: NYU MSFE students and faculty will automatically receive updates about our BQE Lecture Series and do not need to sign up.

Stay up-to-date with department news whether on the go or at your desk. Follow FRE on Twitter, Instagram, LinkedIn, and Facebook. You can also watch our previous lectures on YouTube.

The Department of Finance and Risk Engineering at NYU Tandon provides reasonable accommodations to people with disabilities. Requests for accommodations for events and services should be submitted at least two weeks before the date of the accommodation need. Please email fre.communications@nyu.edu for assistance.

Fall 2021

Nassim Nicholas Taleb
What are the Technical Errors on Covid?

9/23/2021
View Recording »

Charles Fishkin
The Dysfunctional State of Risk Management Policies: What's Wrong, Why It Matters, and What Can be Done?

9/30/2021
Upon the request of the speaker, no recording is available for this lecture.

Mike Lipkin
Turbulence in Finance

10/7/2021
View Recording »

Peter Carr
Optionality as a Binary Operation

10/14/2021
View Recording»

David Shimko
Arbitrage-Based Derivative Pricing without Stochastic Calculus

10/21/2021
View Recording »

Federico Bandi
Spectral Asset Pricing