Finance & Risk Engineering at NYU Tandon School of Engineering

Today we remember Professor Peter Carr, a beloved teacher, scholar, colleague, and friend.

Our MSFE program holds steady at #2 in TFE Times 2023 Best Master's of Financial Engineering Rankings!

Don't miss our final lecture for the Fall 2022 semester with Dilip Madan! Dilip will be presenting "High Dimensional Markovian Trading of a Single Stock" tonight at 6 pm on Zoom

Peter Carr Brooklyn Quant Experience Seminar Series: Dilip Madan | NYU Tandon School of Engineering Events Peter Carr Brooklyn Quant Experience Seminar Series: Dilip Madan Finance and Risk Engineering Lecture / Panel   For NYU Community NYU Students are highly encouraged to attend in person. All other non-NYU guests are invited to attend virtually. Attend Virtually Meeting ID: 968 8243 9910 Passw...

Join us tonight for PC BQE Seminar Series! There are only 3 seminars left this semester.

The FRE Department welcomes Luyao Zhang, Ph.D. to the PC BQE Seminar Series on Thursday, November 17th at 6 pm.

Luyao Zhang will present "A Systemization of Knowledge (SoK): Blockchain Decentralization and Implications for Tokeneconomy". Luyao is an Assistant Professor of Economics and Senior Research Scientist at the Data Science Research Center at Duke Kunshan University (DKU).

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

Peter Carr Brooklyn Quant Experience (BQE) Seminar Series: Luyao Zhang | NYU Tandon School of Engineering Events Peter Carr Brooklyn Quant Experience (BQE) Seminar Series: Luyao Zhang Finance and Risk Engineering Lecture / Panel   For NYU Community NYU Students are highly encouraged to attend in person. All other non-NYU guests are invited to attend virtually. Attend Virtually Meeting ID: 920 6370 5213...

There will be no PC BQE Seminar Series this week. Join us next week on 11/3 as we host Federico Maglione, who will present "Compound Option Pricing and the Roll-Geske-Whaley Formula Under the Conjugate-Power Dagum Distribution".

The late Professor Peter Carr was named an Honorary Winner of Rebellion Research Top 10 Quant Professors of 2022 https://www.rebellionresearch.com/top-10-quant-professors-2022

Top 10 Quant Professors 2022 Top 10 Quant Professors 2022 : Top 10 Quant Professors 2022

FRE welcomes Liuren Wu, Wollman Distinguished Professor of Finance at the Zicklin School of Business, Baruch College, to the PC BQE Seminar Series, on Thursday, 10/13/22, at 6 pm.

The title of Prof. Wu's talk is "Common Pricing of Decentralized Risk: A New Linear Option Pricing Model."

https://engineering.nyu.edu/events/2022/10/13/peter-carr-brooklyn-quant-experience-bqe-seminar-series-liuren-wu

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

Peter Carr Brooklyn Quant Experience (BQE) Seminar Series: Liuren Wu | NYU Tandon School of Engineering Events Peter Carr Brooklyn Quant Experience (BQE) Seminar Series: Liuren Wu Finance and Risk Engineering Lecture / Panel   For NYU Community NYU Students are highly encouraged to attend in person. All other non-NYU guests are invited to attend virtually. Attend Virtually Title Common Pricing of Dec...

The FRE Department will welcome NYU Tandon Retired Distinguished Professor, Nassim Nicholas Taleb, to the PC BQE Seminar Series on Thursday, October 6th at 6 pm ET. The title of Prof. Taleb's talk is "Covid: A Lesson in Risk Management". https://bit.ly/3SNi7sp

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

The FRE Department would like to welcome Alexandre Pannier, Assistant Professor at Université Paris-Cité in the Laboratoire de Probabilités Statistique et Modélisation (LPSM), on Thursday, September 29th at 12 pm ET via Zoom. https://bit.ly/3BRJNVE

Join the IAQF for virtual presentations and conversations with the winners of the IAQF Academic Case Competition on Thursday, September 29th from 5:30 pm to 7 pm. https://iaqf.org/event-4935453

Team Five+1 Guys and Team Alpha were among the winners of this year's competition. Twenty-five teams representing fourteen academic programs submitted papers in response to this year's competition problem which focused on predictors of the state of the market.

This is the second year in a row that teams from the Finance and Risk Engineering Department have been among the winners of this competition. Tandon’s FRE students are the only group with two winning teams in 2021 and 2022.

Student team captain Jiaqi Liang led team Five+1 Guys from NYU MSFE. Team members included Chi Wang Chau, Guojun Chen, Jiarui Li, Wenyi Huang, and Wu-Yen Sun.

Team Alpha from NYU MSFE was led by student team captain Xingyuan Ding. Team members included Levi Lan, Jie Zhou, Shuman Pan, Qiaomin Wang, and Chenwei Wu.

Both teams worked under the direction of Professor Ron Slivka, and Zahra Patterson administered and organized the competition details.

Don't miss our kick-off event tonight at 6 pm!

NYU FRE Adjunct Professor Bruno Kamdem will be presenting a lightning talk at the Bloomberg Quant (BBQ) Seminar Series on 9/27. The title of Prof. Kamdem's talk is "Tradable carbon permits auctions". This event is free, but registration is required. https://bloom.bg/3R9KdvX

Bloomberg Quant (BBQ) Seminar Series - 9/27/22 Please join us for September’s installment of the Bloomberg Quant (BBQ) Seminar Series – in-person in New York City at our Bloomberg Park Avenue office. In this seminar chaired by Bruno Dupire, Jerome Pesenti, former VP of Artificial Intelligence at Meta/Facebook, will present the keynote, follo...

NYU FRE Adjunct Professor Alec Schmidt will be presenting at the ESG & Climate Data Forum on 9/29. The topic of Prof. Schmidt's talk is "Optimising portfolios using news-based ESG ratings: SASB vs SDG". Register Today: https://www.esginvesting.co.uk/events/esgdataforum/

ESG & Climate Data Forum | ESG Investing Advanced and forward-looking data techniques for assessing ESG performance.

The Peter Carr Brooklyn Quant Experience (BQE) Seminar Series (formerly known as the BQE Lecture Series) returns for the Fall 2022 semester this Thursday, September 22nd at 6 pm in the NYU Event MakerSpace at 6 MetroTech Center.

We are excited to welcome Emanuel Derman, Professor at to present his talk on "A Stylized History of Quantitative Finance".

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

https://engineering.nyu.edu/events/2022/09/22/peter-carr-brooklyn-quant-experience-bqe-seminar-series-emanuel-derman

Thank you again to everyone who attended and contributed to The Peter Carr Memorial Conference.

Highlights & interviews from the conference.

The Peter Carr Memorial Conference The Peter Carr Memorial Conference honored the life and career of Peter Carr, our beloved teacher, scholar, and colleague. Through the sharing of research th...

Our Pre-Program Boot Camp begins tomorrow in Brooklyn. We’re looking forward to welcoming our incoming cohort.

In order to help incoming students reach their maximum potential, the NYU Tandon School of Engineering FRE department provides a comprehensive two-part pre-program boot camp every summer.

Covered topics include Capital Markets, Advanced Calculus, Linear Algebra, Python Programming, Probability, Statistics & Risk Management.

Congratulations to the winning teams!

Business as usual: another competition, another win for Tandon’s trading teams | NYU Tandon School of Engineering News Business as usual: another competition, another win for Tandon’s trading teams Posted: July 22, 2022 Browse the NYU Tandon website and you’ll see numerous headlines that appear similar: “NYU Tandon Team Excels in Prestigious International Trading Competition,” “FRE Trading Teams Shine...

We’d like to congratulate the winners of the 11th Annual IAQF Academic Affiliate Membership Student Competition: Team Five+1 Guys and Team Alpha!

Team Five+1 Guys from NYU MSFE was led by student team captain Jiaqi Liang. Team members included Chi Wang Chau, Guojun Chen, Jiarui Li, Wenyi Huang, and Wu-Yen Sun.

Team Alpha from NYU MSFE was led by student team captain Xingyuan Ding. Team members included Levi Lan, Jie Zhou, Shuman Pan, Qiaomin Wang, and Chenwei Wu.

Both teams worked under the direction of Professor Ron Slivka.

Twenty-five teams representing fourteen academic programs submitted papers in response to this year's competition problem which focused on predictors of the state of the market.

This is the 3rd year in a row that teams from the Finance and Risk Engineering Department have been among the winners of this competition. Tandon’s FRE students are the only group with two winning teams in 2021 and 2022.

Join us in congratulating both teams and Prof. Slivka! Keep up the excellent work!
NYU Tandon School of Engineering

The Peter Carr Memorial Conference is now on YouTube http://bit.ly/2VGHG3y

The Peter Carr Memorial Conference, held at the NYU Tandon School of Engineering in early June, highlighted the vast web of connections the pioneering financial scholar had forged.

Many of the more than 700 registrants to the event could probably tell similar stories of their own, and most would surely agree that the conference was a fitting tribute to a man whose life’s work involved building, not just financial models but bridges among people.

A unique conference celebrates a unique figure in the world of financial engineering | NYU Tandon School of Engineering News A unique conference celebrates a unique figure in the world of financial engineering The Peter Carr Memorial Conference, held at NYU Tandon in early June, highlighted the vast web of connections the pioneering financial scholar had forged. Posted: June 15, 2022 The agenda for the Peter Carr Mem...

Congratulations, grads!

We would like to welcome our new faculty member, Industry Assistant Professor Amine Mohamed Aboussalah, who will be joining us in the Fall.

Amine Mohamed Aboussalah is defending his Ph.D. dissertation in Artificial Intelligence and Operations Research at the University of Toronto in July 2022. He is interested in the development of new artificial intelligence and quantum computing algorithms for real-world applications. His thesis topic is “Exploiting structure in real-world reinforcement learning problems for financial applications.” The goal is to use the financial application domain as a challenging real-world environment in which to advance reinforcement learning. Professor Aboussalah's thesis research is about improving reinforcement learning algorithms by exploiting topological properties (symmetries) of dynamical systems with time-series data. He is also interested in econophysics problems which involve using quantum field theory and quantum computing to study financial networks and systemic risk. He enjoys applying theoretical mathematical concepts such as information geometry to develop new decision-making algorithms for a variety of practical real-world applications.

Prof. Aboussalah will be teaching in in the Fall.

Please join us in welcoming Professor Amine Mohamed Aboussalah to FRE!

https://engineering.nyu.edu/faculty/amine-mohamed-aboussalah

Amine Mohamed Aboussalah | NYU Tandon School of Engineering Faculty Amine Mohamed Aboussalah Industry Assistant Professor Finance and Risk Engineering Connect Amine Mohamed Aboussalah is defending his Ph.D. dissertation in Artificial Intelligence and Operations Research at the University of Toronto in July 2022. He is interested in the development of new art...

Join us on Thursday for the at 6 pm ET on Zoom. Andrei Lyashenko will present "Bridging P-Q Modeling Divide with Factor HJM Modeling Framework".

https://engineering.nyu.edu/events/2022/04/28/brooklyn-quant-experience-lecture-series-andrei-lyashenko

Brooklyn Quant Experience Lecture Series: Andrei Lyashenko | NYU Tandon School of Engineering Events Brooklyn Quant Experience Lecture Series: Andrei Lyashenko Finance and Risk Engineering Academic, Seminar / Lecture   For NYU Community Attend Virtually Meeting ID: 924 1231 8499 Password: BQEAL428 The Department of Finance and Risk Engineering welcomes Andrei Lyashenko from Quantitative Ris...

Book your accommodations for The Peter Carr Memorial Conference by April 28th to secure our group rates at the Sheraton Brooklyn NY Hotel.

Announcing the Plenary Speakers of The Peter Carr Memorial Conference

Dilip Madan
Bruno Dupire
Robert Jarrow
Liuren Wu
Helyette Geman
Jim Gatheral
Roger Lee
Nassim Nicholas Taleb

The complete speaker list will be announced on May 15, 2022.

https://bit.ly/peter_carr_memorial_conference

The Peter Carr Memorial Conference will honor the life and career of Peter Carr, our beloved teacher, scholar, and colleague.

Through the sharing of research that spans various domains and disciplines of finance, this conference aims to memorialize Peter, his contributions to financial engineering, and the legacy he’s left behind for generations of professionals and academics to extend and follow.

This conference will be co-hosted at NYU's Brooklyn Campus at the NYU Tandon School of Engineering and the Society of Quantitative Analysts (SQA), where Peter served as chair and director, respectively.

Register today: https://bit.ly/3K8NmbU

Book your accommodations by April 28 to secure our group rates: https://bit.ly/3EDIt9Q

Announcing the Plenary Speakers of The Peter Carr Memorial Conference

Dilip Madan
Bruno Dupire
Robert Jarrow
Liuren Wu
Helyette Geman
Jim Gatheral
Roger Lee
Nassim Nicholas Taleb

The complete speaker list will be announced on May 15, 2022.

https://bit.ly/peter_carr_memorial_conference

The Peter Carr Memorial Conference will honor the life and career of Peter Carr, our beloved teacher, scholar, and colleague.

Through the sharing of research that spans various domains and disciplines of finance, this conference aims to memorialize Peter, his contributions to financial engineering, and the legacy he’s left behind for generations of professionals and academics to extend and follow.

This conference will be co-hosted at NYU's Brooklyn Campus at the NYU Tandon School of Engineering and the Society of Quantitative Analysts (SQA), where Peter served as chair and director, respectively.

Register today: https://bit.ly/3K8NmbU

Book your accommodations by April 28 to secure our group rates: https://bit.ly/3EDIt9Q

Stephan Sturm returns to the on Thursday, March 31st at 6 p.m. ET on Zoom.

Stephan Sturm will present his joint work with the late Prof. Peter Carr titled "When to Sell an Asset? - A Distribution Builder Approach". Their work shows that optimality involves a mean-variance trade-off similar to the efficient frontier in Markowitz's approach to portfolio optimization.

We look forward to having you join us! https://bit.ly/3tNbJXM

Brooklyn Quant Experience Lecture Series: Stephan Sturm | NYU Tandon School of Engineering

It is with indescribable sadness that we share the passing of Peter Carr, the beloved chair of Tandon’s Department of Finance and Risk Engineering.

It would be impossible to overstate the esteem in which Peter was held, both at our school and in the broader financial world. A former Morgan Stanley managing director and head of market modeling, he arrived at Tandon in 2016 to help train a new generation of financial professionals and immediately launched a new era for FRE — attracting a roster of internationally recognized financial practitioners as faculty members and preparing students for careers that had barely existed just a few years before, including those reliant on machine learning and algorithmic ability.

Peter was a highly regarded researcher — ranked among the top in the world in Financial Engineering, Quantitative Finance, Derivatives, and Volatility citations — but he will be equally remembered for his warmth, caring nature, and wisdom. He will be sorely missed by anyone lucky enough to have counted him as a colleague, teacher, mentor, or friend.

This week, we welcome Alex Shkolnik, Assistant Professor at UC Santa Barbara to the who will present "James-Stein Estimation of Minimum Variance Portfolios". Join us at 6 p.m. ET on Zoom https://bit.ly/3gPb0xX

Brooklyn Quant Experience Lecture Series: Alex Shkolnik | NYU Tandon School of Engineering Events Brooklyn Quant Experience Lecture Series: Alex Shkolnik Finance and Risk Engineering Academic, Seminar / Lecture   For NYU Community Attend Virtually Meeting ID: 984 1537 6549 Password: BQEAS217 The Department of Finance and Risk Engineering welcomes Alex Shkolnik, Assistant Professor at UC ...

The returns for the Spring 2022 semester on Thursday, February 10th at 6 pm ET on Zoom. For our kickoff Spring event, we welcome Luca Capriotti who will present "A Gentle Introduction to Adjoint Algorithmic Differentiation (AAD)" https://bit.ly/3LcwRxk

Brooklyn Quant Experience Lecture Series: Luca Capriotti | NYU Tandon School of Engineering Events Brooklyn Quant Experience Lecture Series: Luca Capriotti Finance and Risk Engineering Academic, Seminar / Lecture   For NYU Community Attend Virtually Meeting ID: 998 1185 8126 Password: BQELC210 The Department of Finance and Risk Engineering welcomes Luca Capriotti from Credit Suisse to the...

The FRE office will reopen on Monday! We look forward to seeing you

In light of the guidance from NYU Senior Leadership, the FRE Department will close today at 5 p.m. ET and will remain closed until January 24, 2022.

FRE Staff will be available via email, except during NYU's Winter Recess.
(NOTE: NYU will close on December 22nd until January 3, 2022, for winter recess.)

Please contact your professors for more information on your final exams.