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
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.