In the Fall semester, the seminar takes place on Wednesdays 6:10 pm — 7:10 pm.
Location: Mathematics Building, Room 207
For directions, please see Directions to Campus and Directions to Mathematics Building (Morningside Campus Map).
Organizer: Jaehyuk Choi
Schedule of Presentations
Scroll down for the Schedule of Past Presentations.
Wednesday, October 1, 2025
Title: Careers in Quantitative Finance
Speaker: Jae Ho Kim, Head of Portfolio Research, Cubist
Abstract:
According to the U.S. Bureau of Labor Statistics, about 8.7 million people are estimated to work in the finance and insurance industry in the U.S., as of 2025. It is estimated that about 1% of these jobs, around 80k, are considered to be quantitative finance jobs. Assuming 5% of those jobs are entry level jobs available for graduates each year, and about 20% of those are with the "elite" brand-name firms, students will be competing for ~800 spots.
It will take immense preparation, dedication, and a significant amount of luck to land in one of those 800 spots. But what are these jobs like anyway? Are they worth the effort? What are the possible career trajectories?
Wednesday, October 8, 2025
Title: Evolution of Mortgage Markets – From banking book to structured products to credit linked notes
Speaker: Manoj Singh, Bank of America
Manoj Singh is a Managing Director and Model Risk Officer at Bank of America, leading Model Risk Management teams covering CFO Quantitative Finance group models, including interest rate risk, Capital, Liquidity Risk models, among others. Prior to this, he was a Senior Vice President at American Express, where he headed the market risk oversight and enterprise model validation teams. He has held executive leadership positions in business and risk management as Senior Vice President at Freddie Mac, Senior Managing Director at Bear Stearns, and Senior Vice president at Lehman Brothers. Manoj has also served as an Associate Director at the US Federal Housing Finance Agency where he played a leadership role in overseeing changes in the framework of housing finance via securitization. He started his career as an assistant Professor of Finance at Boston College and is the author of several academic papers. Manoj holds a B. Tech in Mechanical Engineering from IIT Kanpur and a M.S. in Engineering and a PhD in Finance from Purdue University.
Abstract:
The 17 trillion dollar plus mortgage market in the US has seen a significant transformation over the last five decades, tracking the innovation in banking, capital markets, interest rate risk management and credit risk management. Starting from 30-year loans on banking books that led to insolvency of various institutions in the 1980s due to highly volatile liability costs, the market saw the proliferation of mortgage backed securities (MBS) and structured products in capital markets enabled by a multiplicity of investors from banks to investment funds to insurance companies in an effort to better distribute and manage interest rate risk. The 2008 financial crisis the was triggered by a credit crisis, spawned new instruments to distribute and manage credit risk using credit linked notes and innovative insurance products. In this presentation we will explore the economics of various aspects of mortgage origination, funding, interest rate and credit risk management. We will also examine the mechanics and financial analytics related to credit linked notes such as Freddie Mac's STACR and Fannie Mae's CAS securities to harness capital markets for credit risk management.
Wednesday, October 15, 2025
Title: Former Global Head of USD Structured Rates at Morgan Stanley.
Speaker: Johnny Lee
Abstract:
Wednesday, October, 22, 2025
Title:
Speaker: Jim Gatheral
Abstract:
Wednesday, October 29, 2025
Title: From Genesis Block to Decentralized Finance: understanding Cryptocurrency and the tumultuous rise of the Digital Asset industry
Speaker: Benoît Bosc, Co-founder of x2B
Abstract:
Since the invention of Bitcoin in 2009—a seminal technological and cultural moment—the cryptocurrency industry has undergone a remarkable and often tumultuous evolution. From a niche experiment to a $3.5 trillion asset class, it has endured through dramatic booms and busts, from the rise of smart contract-enabled DeFi, to the collapse of high-profile entities like Luna-Terra and FTX, and the constant push-and-pull between innovation and regulation. Through it all, the sector has demonstrated extraordinary resilience, continuously reinventing itself in response to internal crises and external pressures. Now, in 2025, the industry stands on the brink of disrupting global finance, offering transformative models for ownership, value exchange, identity, and coordination. Yet as it edges closer to mainstream adoption, digital assets still grapple with key challenges—scalability, regulatory clarity, user experience, and security—that will shape the next phase of their evolution. This seminar will explore this dynamic journey, the current state of affairs and what we can expect for the future of the industry.
Wednesday, November 5, 2025
Title:
Speaker: Dimitri Bianco
Abstract:
Wednesday, November 12, 2025
Title:
Speaker: Ramit Sawhney, Tower Research
Abstract:
Wednesday, November 19, 2025
Title: Introduction to the corporate bond market
Speaker: Darren Clipston, Portfolio Manager, systematic credit at DV Trading
Abstract:
Wednesday, December 3, 2025
Title:
Speaker: Charuhas Pandit
Abstract:
Past Presentations
Wednesday, September 3, 2025
Title: Automating Quantitative Research Using Large Regression Models.
Speaker: Nathaniel Powell, Deep Market Making Inc.
Nathaniel Powell is the founder of Deep Market Making, Inc., which currently claims the US corporate bond pricing model with the least median error. He is a former Executive Director in the Center of Excellence for Machine Learning @ JP Morgan Chase, and was one of the earliest adopters of deep learning at Bing @ Microsoft, building language models for question answering.
Abstract:
Traditional US corporate bond pricing, much like pre-deep learning image recognition, relies on manually crafted features fed into models like yield spreads or Merton's framework, limiting scalability and adaptability. Deep Market Making, Inc. introduces Large Regression Models (LRMs), leveraging deep learning to automate feature extraction and achieve the most accurate bond pricing model to date. This talk explores how LRMs, akin to convolutional neural networks in vision, enhance predictive accuracy and robustness, revolutionizing quantitative research for trading and risk management.
Wednesday, September 10, 2025
Title: Marketron Games: Self-Propelling Stocks vs Dumb Money
Speaker: Igor Halperin, Fidelity Investments
Igor Halperin is an AI researcher and a Group Data Science leader at Fidelity Investments. His research focuses on using methods of reinforcement learning, information theory, and physics for financial problems such as portfolio optimization, dynamic risk management, and inference of sequential decision-making processes of financial agents. Igor has an extensive industrial and academic experience in statistical and financial modeling, in particular in the areas of option pricing, credit portfolio risk modeling, and portfolio optimization. Prior to joining Fidelity, Igor worked as a Research Professor of Financial Machine Learning at NYU Tandon School of Engineering. Before that, Igor was an Executive Director of Quantitative Research at JPMorgan, and a quantitative researcher at Bloomberg LP. Igor has published numerous articles in finance and physics journals, and is a frequent speaker at financial conferences. He has co-authored the book "Machine Learning in Finance: From Theory to Practice" (Springer 2020), and contributed to the book "Credit Risk Frontiers" (Bloomberg LP, 2012). Igor has a Ph.D. in theoretical high energy physics from Tel Aviv University, and a M.Sc. in nuclear physics from St. Petersburg State Technical University. In February 2022, Igor was named the Buy-Side Quant of the Year by RISK magazine.
Abstract:
We present a model of price formation in an inelastic market whose dynamics are partially driven by both money flows and their impact on asset prices. The money flow to the market is viewed as an investment policy of outside investors. For the price impact effect, we use an impact function that incorporates the phenomena of market inelasticity and saturation from new money (the dumb money effect). Due to the dependence of market investors' flows on market performance, the model implies a feedback mechanism that gives rise to nonlinear dynamics. Consequently, the market price dynamics are seen as a nonlinear diffusion of a particle (the marketron) in a two-dimensional space formed by the log-price x and a memory variable y. The latter stores information about past money flows, so that the dynamics are non-Markovian in the log price x alone, but Markovian in the pair (x,y), bearing a strong resemblance to spiking neuron models in neuroscience. In addition to market flows, the model dynamics are partially driven by return predictors, modeled as unobservable Ornstein-Uhlenbeck processes. By using a new interpretation of predictive signals as self-propulsion components of the price dynamics, we treat the marketron as an active particle, amenable to methods developed in the physics of active matter. We show that, depending on the choice of parameters, our model can produce a rich variety of interesting dynamic scenarios for market regimes.
Wednesday, September 17, 2025
Title: From HFT to Fintech: Lessons in Entrepreneurship & Risk-Taking in Finance
Speaker: Christina Qi, Databento
Christina Qi is the Co-Founder and CEO of Databento, a financial data platform serving thousands of institutions worldwide. Prior to Databento, she co-founded Domeyard LP, a hedge fund focused on high-frequency trading, which grew to trade billions of dollars per day across global markets before winding down after a decade of service. Christina is a board member of her alma mater MIT, WGBH (National Public Radio/PBS), and a visiting lecturer at several universities. She graduated from MIT in 2013 and lives in Utah with 10 chickens, 2 turtles, and a 15-year-old dog. She enjoys listening to classical piano music, watching anime, and playing rhythm games.
Abstract:
What does it take to launch your own venture in finance – and is it worth the risk? In this talk, Christina Qi will walk through her unconventional journey from co-founding Domeyard LP, a high-frequency trading hedge fund, to starting Databento, a provider of real-time and historical market data. Drawing from personal experiences, Christina will candidly discuss the highs and lows of entrepreneurship in finance – from raising capital and hiring a team, to the day-to-day differences (& differing career trajectories) between having an alpha-chasing job vs. a product-oriented job. She'll also share lessons learned from failure, insights into compensation and risk trade-offs, whether location matters or not, and how to identify and validate an idea worth building. This session will provide students with a grounded, realistic view of what it means to forge your own path – and why sometimes, the biggest leaps of faith can lead to the most valuable growth.
Wednesday, September 24, 2025
Title: Introduction to Structured Finance
Speaker: Jeong Gu Lee, Director of Modeling, FINSIGHT Group
Jeong is the Director and Head of Modeling at FINSIGHT Group, overseeing modeling efforts for Structured Finance products, including ABS, RMBS, CMBS, CLO, asset-backed warehouse facilities, and private credit. He has over 25 years of industry experience, having worked at investment banks (Lehman Brothers and Citi), a hedge fund (Millennium Partners), a real estate private equity firm (Square Mile Capital Management), a family office (Crane Partners), and fintech companies (Trex Group and FINSIGHT Group). More than half of his career has been focused on the modeling and analytics of Structured Finance products. Jeong received his bachelor's degree from Korea Advanced Institute of Science and Technology and master's degrees from NYU and Columbia University.
Abstract:
Structured Finance, including MBS and ABS, is the second-largest debt market in the U.S. after the Treasury market in terms of outstanding debt. It accounts for roughly one-third of the total U.S. outstanding debt. In this talk, Jeong will cover the basics of securitization, including the motivations for issuers to securitize their assets, the major types of Structured Finance products, examples of capital structures, the securitization process, and the market participants involved. He will also discuss the various roles of these participants and different positions within institutions engaged in securitization and the Structured Finance market.