Peter Carr Seminar Series
The Peter Carr Seminar Series is held monthly on Wednesdays at 5:00 p.m. ET unless otherwise noted. These seminars will be held in person at NYU Tandon and virtually.
Fall 2024
John Birge
10/9/24
Watch lecture >>
Chao Zhou & Eric Liverance
10/15/24
Upon request of the speaker, this lecture was not recorded.
Ben Hoff & Edward Weinberger
November 20, 2024
Join our mailing list
Are you interested in attending our Peter Carr Seminar Series? Join our mailing list. Note: NYU MSFE students and faculty will automatically receive updates about our seminars and do not need to sign up.
Past Lectures
Spring 2024
February 8, 2024:
Renyuan Xu, "Some Mathematical Results on Generative Diffusion Models"
Upon request of the speaker, this lecture was not recorded.
February 22, 2024:
Farid AitSahlia, "American Options Under Stochastic Volatility: Parameter Estimation and Pricing Efficiency"
Upon request of the speaker, this lecture was not recorded.
Thomas Philips, "Ultra-Simple Shiller's Cape: How One Year's Data Can Predict Equity Market Returns Better Than Ten"
View Recording >>
February 29, 2024:
Xin Zhang, "Wasserstein Space of Stochastic Processes"
View Recording >>
April 25, 2024:
Florian Bourgey, "Smile Dynamics in Rough Volatility Models"
View Recording >>
Fabrice Fiol, "Enterprise Risk Management & Stress Testing: The Road Ahead"
Upon request of the speaker, this lecture was not recorded.
May 8, 2024:
Jussi Keppo, "The Wisdom of Strategically Diverse Crowds"
Upon request of the speaker, this lecture was not recorded.
Joshua Reed, "Modeling a Two-Sided Limit Order Book in the High Frequency Regime"
View Recording >>
Fall 2023
Mean Field Game Approach to Systemic Risk Modeling
Upon the request of the speaker, this lecture was not recorded.
Characteristics of Implied and Realized Volatility: the Case of Deep OTM Put Options
Upon the request of the speaker, this lecture was not recorded.
BRICS Sustainability Analytics: A Machine Learning Framework for South African ESG Factors
View Recording »
Connecting the Dots - A Differentiated Retrospective: Economics, Money Supply and Asset Prices
Upon the request of the speaker, this lecture was not recorded.
Beyond Black and Scholes: What Can the Q-Distribution Tell Us About the Risk Neutralization Process?
View Recording »
Equilibrium Price in Intraday Electricity Markets
Special Seminar: A Dynamic Principal-Agent Problem with One-sided Commitment
Upon the request of the speaker, this lecture was not recorded.
Spring 2023
Spring 2023
Exploiting Structure in Reinforcement Learning to Mitigate Risk in Real-World Financial Control Problems
View Recording »
Modeling Conditional Factor Risk Premia Implied by Index Option Returns
This lecture was not recorded.
Semi-Parametric Replication of Barrier-Style Claims on Price and Volatility
View Recording »
A Monotone Finite Difference Scheme for Pairs Trading with Transaction Costs
View Recording »
New Industry Classifications with Implications for Equity Long-Short Portfolio Construction
View Recording »
Machine Learning in Quantitative Wealth and Investment Management (ML in QWIM): Hype Versus Reality
This lecture was not recorded.
Fall 2022
Fall 2022
VIX Options and Rough Volatility
Common Pricing of Decentralized Risk: A New Linear Option Pricing Model
(In Memoriam) Generalizations of the Carr-Madan Spanning Formula
Compound Option Pricing and the Roll-Geske-Whaley Formula Under the Conjugate-Power Dagum Distribution
A Systemization of Knowledge (SoK): Blockchain Decentralization and Implications for Tokeneconomy
Spring 2022
Upon the request of the speaker, no recording is available for this lecture.
James-Stein Estimation of Minimum Variance Portfolios
View Recording »
Dependent Stopping Times and an Application to Credit Risk Theory.
View Recording »
Optimal Execution with Quadratic Variation Inventories
View Recording »
Oil Futures Volatility Smiles in 2020: Why the Bachelier Smile is Flatter
View Recording »
When to Sell an Asset? - A Distribution Builder Approach
View Recording »
Risk and Reward in the Fixed-Income Market: Where are We Now?
View Recording »
Bridging P-Q Modeling Divide with Factor HJM Modeling Framework
Upon the request of the speaker, no recording is available for this lecture.
Simulacrum or Shenanigan: Deep Generative Models and Simulators for Financial Markets
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
What are the Technical Errors on Covid?
View Recording »
The Dysfunctional State of Risk Management Policies: What's Wrong, Why It Matters, and What Can be Done?
Upon the request of the speaker, no recording is available for this lecture.
Turbulence in Finance
View Recording »
Optionality as a Binary Operation
View Recording»
Arbitrage-Based Derivative Pricing without Stochastic Calculus
View Recording »
Spectral Asset Pricing
View Recording »
Equilibrium Existence in a Limited Participation Economy
View Recording »
A Factor Model of Company Valuation
View Recording »
Market Liquidity Risk in Financial Markets
Upon the request of the speaker, no recording is available for this lecture.
Machine Learning in Financial Services
Upon the request of the speaker, no recording is available for this lecture.
Tradable Carbon Permits Auctions Under Regulation and Competition
View Recording »
Spring 2021
Managing Member, KALX, LLC
View Recording »
Vice President, Director Research, Fixed Income and Derivatives, FactSet
View Recording »
Adjunct Professor, NYU Tandon FRE
View Recording »
Baillie Gifford Professor of Mathematics, University of Oxford
View Recording»
Professor, Cass Business School
View Recording »
Adjunct Professor, NYU Tandon FRE
View Recording »
Professor of Risk Management and Professor of Finance at the Kellogg School of Management, Northwestern University
View Recording »
Adjunct Professor, NYU Tandon FRE
View Recording »
Adjunct Professor, NYU Tandon FRE
View Recording »
Senior Researcher at NYU and UC Berkeley
View Recording »
Senior Research Associate, Cornell Financial Engineering Manhattan (CFEM)
View Recording »
Professor of Finance in the School of Economics and Finance at Queen Mary University of London
View Recording »
Head of Quantitative Portfolio Solutions, Alphadyne Asset Management
MD, Societe Generale
View Recording »
Fall 2020
Chief Analyst, Danske Bank
View Recording »
NYU Tandon
View Recording »
Professor of Finance at University of Maryland, College Park
View Recording »
Professor of Risk Management, University of Nicosia, Cyprus
View Recording »
Assistant Professor of Finance, University of Dublin
View Recording »
Ph.D. Candidate, Columbia University
Professorial Lecturer, The George Washington University
View Recording »
NYU Tandon, FRE Department Chair
View Recording »
Professor of Finance, University of Massachusetts
View Recording »
NYU Tandon, Industry Full Professor
View Recording »
Professor, University of Illinois at Chicago
View Recording »
Assistant Professor, University of Toronto
Senior VP and Head of Quantitative Development Numerix
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.