Europe’s biggest investment bank is bracing for a near-$7 billion third-quarter loss, and the fallout is taking shape. Deutsche Bank will sell a credit portfolio estimated at $250 billion. The bank’s board also will recommend "a reduction or possible elimination" of the stock's dividend. Smith School professor David Kass shares insights with Bloomberg and other media outlets. Read more...
Four of the best students in the College Park Scholars Business Society & the Economy (BSE) program at the University of Maryland’s Robert H. Smith School of Business were celebrated on Friday, Oct. 2, 2015, at the Annual Citation Awards Ceremony.
Men getting in touch with their masculine selves — like in Wall Street’s male-dominated, competitive culture — breeds overconfidence and financial risk-taking, new research from Smith School finance professor Francesco D’Acunto finds. "The salience of male identity increases men's beliefs of experiencing good outcomes in a game of chance," he says. Read more...
Robert Almgren is co-founder of Quantitative Brokers, which provides agency algorithmic execution and cost measurement in futures and fixed income, and a Fellow in the Mathematics in Finance Program at New York University. He is also adjunct instructor in the Master of Science in Computational Finance at Carnegie Mellon University. Until 2008, Almgren was a managing director and head of Quantitative Strategies in the Electronic Trading Services group of Bank of America. From 2000-2005, he was a tenured associate professor of mathematics and computer science at the University of Toronto, and director of its Master of Mathematical Finance program. Before that, he was an assistant professor of mathematics at the University of Chicago and associate director of the Program on Financial Mathematics. Almgren holds a B.S. in physics and mathematics from the Massachusetts Institute of Technology, an M.S. in applied mathematics from Harvard University and a PhD in applied and computational mathematics from Princeton University. He has an extensive research record in applied mathematics, including papers on optimal trading, transaction cost measurement, and portfolio construction.
Pauline Barrieu is professor of statistics at the London School of Economics and Political Science, where she is also Deputy Head of the Statistics Department and co-director of the Centre for the Analysis of Time Series (CATS). She joined the Department of Statistics in 2002 having obtained two doctorates: a PhD in Finance with highest honours, Doctorat H.E.C., France, H.E.C. Graduate Business School, awarded in October 2002; and a PhD in Applied Mathematics with highest honours, Laboratoire de Probabilités et Modéles aléatoires, University of Paris VI, France, awarded in December 2002. She received the Prize for the best Actuarial PhD dissertation, Prix Actuariat, in 2003. Her paper ‘Inf-convolution of risk measures and optimal risk transfer’ (Finance and Stochastics, 2005) was awarded the prize of the best research paper in quantitative finance by the Europlace Institute of Finance, and a subsequent paper, ‘On precautionary policies’ (Management Science, 2006) was awarded the prize of the best research paper “Finance and sustainable development” by the European Union (Responsible Investment Forum). Her research interests include model uncertainty, insurance-linked securitization, contract designing, micro-insurance, weather derivatives and environmental economics.
Erhan Bayraktar is a full professor of mathematics at the University of Michigan, where he has been since 2004. He is the holder of the Susan Smith Chair since 2010 and also is the director of the Quantitative Finance and Risk Management Masters Program. Bayraktar’s research is in stochastic analysis, control, applied probability and mathematical finance. He has over 90 publications in prestigious journals in these areas. He is in the editorial boards of Mathematics of Operations Research, Mathematical Finance and the SIAM Journal on Control and Optimization. His research has been continually funded by the National Science Foundation. In particular, he received a CAREER grant in 2010. He received the inaugural junior scientist prize of the SIAM Activity Group on Financial Mathematics and Engineering in 2010. Professor Bayraktar received his bachelor’s degree (a double major in electrical engineering and mathematics) from Middle East Technical University in Ankara in 2000. He received his PhD from Princeton in 2004.
Vicky Henderson is an Associate Professor in the Department of Statistics at the University of Warwick where she is a member of the Stochastic Finance @ Warwick research group and directs the MSc in Financial Mathematics. Henderson’s research interests lie at the interface between financial economics, mathematical finance and probability. She is currently works in the area of behavioral finance where she builds stochastic models to better understand the behavior of agents with less than fully rational preferences. Her recent work highlights the importance of randomization in obtaining realistic behavior in the stopping strategies of naïve prospect theory agents. Her optimal stopping models under prospect theory have helped to better explain the disposition effect in financial markets. Henderson’s contributions to the theory and application of utility indifference pricing and notion of horizon unbiased utilities help to lay foundations for a large body of research in this area and she received an NSF Career Award to support some of this research whilst at Princeton. Henderson has held positions at world top-ten universities – in the Oxford-Man Institute and Mathematical Institute at the University of Oxford, in ORFE at Princeton University, and in RiskLab at ETH Zurich. She was a Quantitative Analyst at Westpac, Sydney, prior to obtaining her PhD at the University of Bath in 2000. Henderson has been involved in major conference and program organization at the Isaac Newton Institute and the Fields Institute. She has given numerous invited presentations including SIAM Financial Mathematics conference, workshops at Oberwolfach and BIRS, and also at the major finance and economics conferences of the AFA, EFA and EEA. She is an Associate Editor of SIAM Financial Mathematics, Mathematics and Financial Economics and Review of Derivatives Research.
Vadim Linetsky is the Orrington Lunt Professor and professor of industrial engineering and management sciences at McCormick School of Engineering and Applied Science at Northwestern University. He is currently co-editor of Mathematical Finance and associated editor of Management Science. His research focuses on mathematical modeling in financial markets.
Huyên Pham is distinguished professor of mathematics at University Paris Diderot, where he heads the Mathematical Finance research team of the Laboratoire de Probabilités et Modèles Aléatoires. He is also senior research fellow at the Center of Research in Economics and Statistics of ENSAE, and chair of Applied Mathematics at the John Von Neumann Institute of VNU-HCM. He leads research in quantitative finance, stochastic analysis and control, and numerical probabilities, and is the author of more than 80 publications, including the monograph Continuous time Stochastic Control and Optimization with Financial Applications. He serves on the editorial boards of several international journals, and is the co-editor in chief of the journal Applied Mathematics and Optimization. Pham was appointed member of the Institut Universitaire de France in 2006, and awarded the Louis Bachelier Prize by the French Academy of Sciences in 2007.
Mathieu Rosenbaum obtained is PhD from University Paris-Est in 2007. After being assistant professor at Ecole Polytechnique Paris, he became a professor at University Marie and Pierre Curie (Paris 6) in 2011. In particular, he is now in charge with N. El Karoui, E. Gobet and G. Pagès of the Master 2 program in Probability and Finance, jointly run by these two institutions. His research mainly focuses on statistical finance problems, such as market microstructure modeling or designing statistical procedures for high frequency data. He is also interested in regulatory issues, especially in the context of high frequency trading. He has research collaborations with several financial institutions and is one of the organizers (with F. Abergel, J.P. Bouchaud, C.A. Lehalle and T. Foucault) of the conferences "Market Microstructure Confronting Many Viewpoints," which take place every two years in Paris. He is also co-editor in chief of Market Microstructure and Liquidity, managing editor of Quantitative Finance and associate editor for Electronic Journal of Statistics, Mathematics and Financial Economics, SIAM journal in Financial Mathematics, Statistical Inference for Stochastic Processes and Statistics and Risk Modeling.
Wim Schoutens (Leuven, Belgium) is professor in financial engineering at the University of Leuven, Belgium. He is well known for his consulting work to the banking industry and other institutions. He is an independent expert advisor to the European Commission (DG-COMP). He is the author of several books and is managing editor of the International Journal of Theoretical and Applied Finance and of Quantitative Finance, and associated editor of Mathematical Finance and Review of Derivatives Research. Further, he is series editor of the book series Financial Engineering Explained for Palgrave Macmillan.
July 15-19, 2016
Crowne Plaza Times Square
New York City, USA
Columbia University's Department of Statistics, Princeton University's Department of Operations Research and Financial Engineering and the University of Maryland's Robert H. Smith School of Business are proud to present the 9th Bachelier World Congress, July 15-19, 2016.
The world congress of the Bachelier Finance Society is the premier event in the international quantitative and mathematical finance calendar, attracting hundreds of participants every two years.
The congress will also provide interview opportunities for interested parties and sponsoring organizations.
Our platinum level sponsors are Morgan Stanley, and World Quant. Our bronze level sponsors are the Haas MFE program at UC Berkeley and D. E. Shaw.
Plenary Speakers (click here for speaker bios)
|Robert Almgren||Pauline Barrieu||Erhan Bayraktar|
|Paolo Guasoni||Takaki Hayashi||Vicky Henderson|
|Vadim Linetsky||Andrew Lo||Jin Ma|
|Huyen Pham||Jean-Charles Rochet||Mathieu Rosenbaum|
|Alexander Schied||Wim Schoutens|
|Rene Carmona||Peter Carr||Dilip Madan|
|Carol Alexander||Francesca Biagini||Rene Carmona (Chair)|
|Jaksa Cvitanic||Ernst Eberlein||Paul Embrechts|
|Xin Guo||David Hobson||Philip Protter|
|Xun Yu Zhou|
Local Organizing Committee
|Patrick Cheridito||Jim Gatheral||Olympia Hadjilidias|
|Ali Hirsa||Petter Kolm||Tim Leung|
|Lars Tyge Nielsen||Marcel Nutz||Mykhalyo Shkolnikov|
The Smith School hosted a forum Tuesday on global market volatility, aimed at making sense of the recent tumult in international markets — notably in China, but also spilling over into other regions, including the United States. Finance faculty participants Russ Wermers, Haluk Unal, Albert "Pete" Kyle, Bill Longbrake, Phillip L. Swagel and Steve Heston. share their insights. Read more...
After August marked the Dow’s worst month, September opened with U.S. stocks plummeting upon fresh data showing China manufacturing contracting. The New York Stock Exchange subsequently invoked a rarely used rule designed to quell the turbulence. Smith School experts Anil K. Gupta, Michael Faulkender and Kristen Fanarakis add context. Read more...
Even before the stock market correction that began on Friday, Smith School professor Albert “Pete” Kyle argued against interest rate hikes in the United States. "Today's plunging stock markets make it even less likely that the Fed will raise interest rates," he said Monday. "The Fed's justification for probably not raising rates will likely be to promote stable economic growth in a benign inflationary environment, not to stabilize the stock market, which they are obviously watching closely." Read more...