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.

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

Dilip Madan
Session Abstract: Blockchain empowers a decentralized economy by enabling distributed

12/8/22

Are you interested in attending our 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.

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.

Past Lectures

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.