The seminar takes place in the Spring of 2025, Tuesdays and Thursdays, 7:40 pm — 8:55 pm.
Location: 312 Mathematics Building
For directions, please see Directions to Campus and Morningside Campus Map.
Organizer: Jaehyuk Choi
Schedule of Presentations
Scroll down for the Schedule of Past Presentations.
Tuesday, January 28, 2025
Title: Overview of MBS Market and Trading
Speaker: Margaret Lu, Portfolio Manager, Wells Fargo
Ms. Lu is currently senior portfolio manager at Wells Fargo bank, managing and trading for its investment portfolio with a focus on MBS and Treasuries. She also executes MBS related trades for the mortgage servicing portfolio of the bank. U.S. mortgage market and Treasury market currently have $12trillion and $28trillion outstanding securities respectively. Being one of the largest banks by asset size, Wells Fargo’s investment portfolio is also one of the largest in the nation, which consists of primarily MBS and Treasuries. Ms. Lu’s responsiblity includes relative value analysis, security selection to optimize income and regulatory measures, trade execution and market monitoring. Prior to Wells, Ms. Lu was head of securitized products risk management at the Chief Investment Office at JPMorgan where she managed the market risk of MBS, and non-agency RMBS, CMBS and CLOs for the investment portfolio at JPM. Ms. Lu started her career in securitization of CLOs backed by middle market loans and broadly syndicated loans at Merrill Lynch and Natixis. Ms. Lu has a master’s degree in Physics from City University of New York and received training in Financial Engineering from the FAME (Financial Asset Management and Engineering) program offered by Swiss Finance Institute at University of Lausanne. She is a graduate of the MAFN program.
Abstract:
An overview of U.S. mortgage market, the historical evolution of the market. The building bricks of MBS trading – the TBA security, including how it’s created, what are the key analytics measures used to gauge the relative value, and how it’s traded, in particular, how the TBA is rolled as dollar roll. Dollar rolls provide fundamental liquidity to MBS market and are crucial measures of market condition. We will look into how the dollar rolls are valued and traded. In addition, the session will explain how the market differentiates the value of MBS pools based on the variation of the mortgage loans’ characteristics, that is, how specified pools are valued and traded, as well as how to determine the relative value of such pools.
Thursday, January 30, 2025
Title: Investment Banking case example. Cruise line sector.
Speaker: Filo Fiorani, Managing Director, Bank of America
Filo Fiorani is a Managing Director in Real Estate, Gaming & Lodging Investment Banking at Bank of America.
Abstract:
The Cruise line sector was one of the most impacted during covid. We present the investment banking perspective to help it survive, and describe the situation of the sector today.
Tuesday, February 4, 2025
Title: MAFN Town Hall Meeting
Speaker: Jaehyuk Choi, Columbia University
Thursday, February 6, 2025
Title: Drawdown Betas and Portfolio Optimization
Speaker: Stan Uryasev, Stony Brook University
Stan Uryasev is Professor and Frey Family Endowed Chair of Quantitative Finance at the Stony Brook University. He received his M.S. in Applied Mathematics from the Moscow Institute of Physics and Technology (MIPT), Russia, in 1979 and Ph.D. in Applied Mathematics from the Glushkov Institute of Cybernetics, Kiev, Ukraine in 1983. From 1979 to 1987 he held a research position at the Glushkov Institute. From 1988 to 1992 he was a Research Scholar at the International Institute for Applied System Analysis, Luxenburg, Austria. From 1992 to 1998 he held the Scientist position at the Risk and Reliability Group, Brookhaven National Laboratory, Upton, NY. From 1998 to 2019 he was the George and Rolande Willis Endowed Professor at the University of Florida, and the director of the Risk Management and Financial Engineering Lab. His research is focused on efficient computer modeling and optimization techniques and their applications in finance and DOD projects. He published four books (two monographs and two edited volumes) and more than 130 research papers. He is a co-inventor of the Conditional Value-at-Risk and the Conditional Drawdown-at-Risk optimization methodologies. He developed optimization software in risk management area, including Drawdown and Credit Risk minimization. His joint paper with Prof. Rockafellar on Optimization of Conditional Value-At-Risk in The Journal of Risk, Vol. 2, No. 3, 2000 is among the 100 most cited papers in Finance. Many risk management/optimization packages implemented the approach suggested in this paper (MATLAB implemented a toolbox). Stan Uryasev is a frequent speaker at academic and professional conferences. He has delivered seminars on the topics of risk management and stochastic optimization. He is on the editorial board of a number of research journals and is Editor Emeritus and Chairman of the Editorial Board of the Journal of Risk.
Abstract:
The talk discusses a new dynamic portfolio performance risk measure called Expected Regret of Drawdown (ERoD), which is an average of the drawdowns exceeding a specified threshold (e.g., 20%). ERoD is similar to Conditional Drawdown-at-Risk (CDaR) which is the average of some percentage of the largest drawdowns. CDaR and ERoD portfolio optimization problems are equivalent and result in the same set of optimal portfolios. Necessary optimality conditions for ERoD portfolio optimization lead to Capital Asset Pricing Model (CAPM) equations. ERoD Beta, similar to the Standard Beta, relates returns of the securities and those of a market. ERoD Beta is equal to [average losses of a security over time intervals when market is in drawdown exceeding the threshold] divided by [average losses of the market in drawdowns exceeding the threshold]. Therefore, a negative ERoD Beta identifies a security which has positive returns when the market has drawdowns exceeding the threshold. ERoD Beta accounts only for time intervals when the market is in drawdown and conceptually differs from Standard Beta which does not distinguish up and down movements of the market. Moreover, ERoD Beta provides quite different results compared to the Downside Beta based on Lower Semi-deviation. ERoD Beta is conceptually close to CDaR Beta which is based on a percentage of worst case market drawdowns. However, ERoD Beta has some advantage compared to CDaR Beta because the magnitude of the drawdowns is known (e.g., exceeding a 20% threshold), while CDaR Beta is based on a percentage of the largest drawdowns with unknown magnitude. We have built a website reporting CDaR and ERoD Betas for stocks and the SP500 index as an optimal market portfolio. The case study showed that CDaR and ERoD Betas exhibit persistence over time and can be used in risk management and portfolio construction.
Tuesday, February 11, 2025
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Speaker: Alexey Surkov, Deloitte
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Thursday, February 13, 2025
Title: High Frequency Properties of SP500 Index
Speaker: Mikhail Smirnov, Columbia University
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Tuesday, February 18, 2025
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Thursday, February 20, 2025
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Tuesday, February 25, 2025
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Thursday, February 27, 2025
Title: Intro to Interest Rate Derivatives
Speakers: Soumya Mishra, Trader, Bank of New York Mellon
Soumya Mishra is a trader on the Derivatives Desk at BNY within Fixed Income and Markets. She primarily works with interest rate derivatives: swaps, caps, and bermudan options.
Abstract:
A brief history of interest rates and their evolution since 2008 along with current interest rate derivatives and options strategies used to manage risk.
The session will involve learning the basics of trading swaps, caps, floors, listed options, and futures. We’ll touch on the effect of the implied vol surface, convexity, and duration in pricing along with the similarites and differences between these instruments. The lecture will go over how to analyze the risk associated with each of these types of trades and high level components that affect the portfolio as a whole.
Tuesday, March 4, 2025
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Thursday, March 6, 2025
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Tuesday, March 11, 2025
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Thursday, March 13, 2025
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Tuesday, March 18, 2025 – SPRING BREAK
Thursday, March 20, 2025 – SPRING BREAK
Tuesday, March 25, 2025
Title: Pricing and Valuation of TBAs without a Prepayment Model
Speaker: Roberto Strepparava, CME Group
Roberto Strepparava is currently quant researcher at CME Group where he develops and manages risk systems and valuation for fixed income and rate (linear, nonlinear) products. Prior to that he was a fixed income quant researcher at JPMorgan, at Guggenheim Partners under Marcos Lopez De Prado and at Bloomberg LP in BVAL. Roberto holds a M.Sc. in Theoretical Physics from Milan University and a Ph.D. in Mathematics from Padua University, both on dynamical systems theory.
Abstract:
TBAs To-Be-Announced are of paramount importance among them due to the huge liquid market related to their trading.
We propose a self-contained approach where time-series Machine Learning effectively replaces the intricacies of developing a full prepayment model.
Thursday, March 27, 2025
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Tuesday, April 1, 2025
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Thursday, April 3, 2025
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Tuesday, April 8, 2025
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Thursday, April 10, 2025
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Tuesday, April 15, 2025
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Thursday, April 17, 2025
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Speaker: Wei Deng, Machine Learning Researcher, Morgan Stanley
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Tuesday, April 22, 2025
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Thursday, April 24, 2025
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Tuesday, April 29, 2025
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Thursday, May 1, 2025
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Past Presentations
Tuesday, January 21, 2025
Title: Navigating the Currents: Key Aspects of Oil and Gas Trading
Speaker: Samvel Gevorkyan, Freepoint, Energy and Commodity Markets
Samvel Gevorkyan is a quantitative researcher at Freepoint Commodities. He is managing a systematic book, trading crude oil and natural gas and has been building algorithmic strategies and analytics for the past 6 years.
Abstract:
We are going to give a brief introduction to commodities markets, walk through the main components of Supply and Demand, and consider some aspects of systematic strategy design in order to extract risk premia based on physical as well as financial drivers. We will attempt to look at energy futures markets through the eyes of discretionary macro portfolio managers, CTA funds, and relative value strategists to gain insights into the movement of capital.
Thursday, January 23, 2025
Title: The Business of Trading
Speaker: Albert An, CEO Tower Research
Albert An joined Tower in 2016 as Head of Trading Supervision and subsequently assumed the role of Chief Technology Officer before becoming Chief Executive Officer in 2019. Prior to joining Tower, he was Co-Head of Electronic Volatility Trading and Retail Market Making at UBS. Before UBS, he held various senior electronic trading roles, including Head of Automated Market Making at Credit Suisse and Head of Automated Market Making at Merrill Lynch. He started his career at Wolverine Trading where he was a Principal and co-founder of their European trading business. He graduated from The University of Chicago with a BA in Economics and earned a MSc in Mathematical Trading and Finance from the University of London.
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The talk discusses various aspects of trading business followed by questions and answers.