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SCPKU hosts financial industry forums


On March 30 and 31, 2017, Stanford held two events at SCPKU featuring the latest developments in quantitative finance and financial technology. 

On March 30, the university co-organized with SCPKU, Tsinghua University’s School of Economics and Management and the Department of Mathematics, and Peking University’s  (PKU) Guanghua School of Management and Department of Financial Mathematics, a conference featuring new developments in quantitative finance and risk management with a particular emphasis on trade execution, financial technology, data analysis, and insurance.   This event was the third biennial conference following previous ones at PKU in 2013 and Tsinghua in 2015. Following opening remarks by Stanford Professor of Statistics and Director of Stanford's Financial and Risk Modeling Institute (FARM) Tze Lai, experts from academia and industry including J.P. Morgan, PKU, Tsinghua, Renmin University of China, Daokoudai and the Southwest University of Finance and Economics in Chengdu, shared the latest developments in a wide spectrum of quantitative finance topics ranging from conditional quasi-Monte Carlo methods to China’s peer-to-peer lending market. 

FARM and SCPKU also co-organized a forum on financial technology and portfolio management on March 31.  Due to advances in artificial intelligence and big data technologies, the financial industry is facing tremendous pressure to develop and implement solutions yielding improved operational efficiencies.  This forum convened distinguished academic and industry speakers from quantitative trading, wealth management, asset management, financial consulting, and credit rating firms and agencies to explore the current development and future for financial technology and portfolio management.



Jointly offered with Stats 239/CME242, there is a variety of seminars held each week during the academic year.  These seminars offer faculty members and visitors to FARM the opportunity to present their current research, providing cutting-edge developments in financial and risk modeling from academia, industry, and government.  For the 2014-15 academic year, unless specified otherwise, these seminars are offered on Wednesdays at 4:15 pm.

Autumn Quarter 2015
Time:    Monday, October 5, 2:30 - 4:00 pm
Location:    HIVE in the Institute for Computational and Mathematical Engineering 

Title: Analogies between Bond Yields and Implied Volatilities

Abstract: Intuitions about bond yields can be used to model implied volatilities and vice versa. In particular, we link the shape of the yield curve to the graph of (normal) implied volatilities across strikes.
Dr. Peter Carr is a Managing Director at Morgan Stanley with approximately 20 years of experience in the financial industry. He is currently the Global Head of Market Modeling, overseeing several quantitative teams spread over three continents. He also presently serves as the Executive Director of the Math Finance program at NYU’s Courant Institute, the co-Treasurer of the Bachelier Finance Society, and a trustee for the Museum of Mathematics in New York. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He has over 75 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAFE/Sungard in 2010. For the last 4 years, Dr. Carr was included in Institutional Investor’s Tech 50, an annual listing of the 50 most influential people.