Department of Finance and Risk Engineering The NYU School of Engineering in Shanghai A New Initiative: Fall 2015

Transcription

1 Department of Finance and Risk Engineering The NYU School of Engineering in Shanghai A New Initiative: Fall 2015 harles Tapiero, Department Chair opfer Chair Professor of Financial ngineering

2 金 融 工 程 系 纽 约 大 学 工 程 学 院 上 海 分 校 创 新 项 目 : 2014 秋 季 学 期 harles Tapiero, 金 融 工 程 系 系 主 任 普 弗 金 融 工 程 研 究 学 者

3 The department of Finance and Risk Engineering of the NYU School of Engineering provides in Shanghai a unique opportunity to students with strong analytical and technology skills to study a visiting term in Shanghai and pursue the remaining required parts of the Masters in Financial Engineering in New York. The NYU Financial Engineering Masters Degree is the second oldest of its kind and was the first to be certified by the International Association for Quantitative Finance (IAQF). Specialized M. S. tracks include *Financial Markets and Corporate Finance; *Computational Finance; *Technology and Algorithmic Finance; * Risk Finance.

4 纽 约 大 学 金 融 工 程 系 为 具 备 极 强 分 析 和 量 化 技 能 的 学 生 在 上 海 提 供 了 一 个 独 特 的 机 会 录 取 学 生 将 在 纽 约 大 学 上 海 分 校 完 成 第 一 个 学 期, 之 后 来 到 纽 约 校 区 完 成 余 下 课 程 纽 约 大 学 金 融 工 程 硕 士 项 目 是 美 国 历 史 上 第 二 个 成 立 的, 并 且 是 首 先 获 得 国 际 量 化 金 融 协 会 (IAQF) 认 证 的 金 融 工 程 项 目 专 业 方 向 包 括 : * 资 本 市 场 及 公 司 金 融 ; * 数 理 金 融 ; * 科 技 及 算 法 金 融 ; * 风 险 管 理

5 Katepalli Sreenivasan is the President and Dean of Engineering at NYU Polytechnic School of Engineering and University Professor in the Department of Physics and the Courant Institute. His broad interests include statistical and nonlinear physics, applied and computational mathematics, as well as the social and development issues that pertain to science and technology. He holds an M.E. and Ph.D. in Aeronautical Engineering from the Indian Institute of Science.

6 Katepalli Sreenivasan 是 纽 约 大 学 工 程 学 院 院 长, 兼 任 物 理 学 院 及 Courant 数 学 研 究 院 客 座 教 授 他 的 研 究 方 向 包 括 统 计 和 非 线 性 物 理, 应 用 与 计 算 数 学, 以 及 与 科 技 相 关 的 社 会 发 展 问 题 他 在 印 度 科 学 研 究 所 (the Indian Institute of Science), 获 得 航 空 工 程 专 业 工 程 学 硕 士 及 博 士 学 位

7 Fall 2015 NYU-SE/FRE Course Schedule in Shanghai (9/12) C. Tapiero and staff: Risk Finance and Assets Pricing (3 cr) N. Taleb: Real World Finance (1.5 cr) R. Douady: Quantitative and Financial Management (3 c) R. Douady: Credit Derivatives (1.5 cr) R. Douady: Financial Risk Mngt (1.5 cr) U. Nyambuu: Global Finance (1.5 cr) S. Alizadeh: Fixed Income Fin 1.5 cr P. Maymin: Behavioral Finance (1.5 cr) R. Slivka: Applied Derivatives, (1.5 cr) P. Mathei Private Equity (1.5 C) Topfer Chair International Lecturers Marco Avelanada, Courant Katepally Sreenivasan, Courant, NYU-SE Alain Bensoussan, Chinese U. of Hong Kong and U. of Texas Mina Teicher, Chair, Binational US/Israel Science Foundation Nassim Taleb, NYU-FRE/SE, Extreme Risks Sassan Alizadeh, NYU-FRE/SE, Extreme Risks Charles Tapiero, NYU-FRE/SE, Extreme Risks

8 2014 秋 季 学 期 纽 约 大 学 SE/FRE 上 海 分 校 课 程 安 排 ( 从 以 下 课 程 选 取 12 学 分 ) C. Tapiero and staff: 金 融 风 险 及 资 产 定 价 (3 学 分 ) Nassim Taleb: 现 实 中 的 金 融 风 险 管 理 (1.5 学 分 ) R. Douady: 量 化 资 产 管 理 (3 学 分 ) R. Douady: 信 用 风 险 及 信 用 衍 生 品 (1.5 学 分 ) R. Douady: 金 融 风 险 管 理 (1.5 学 分 ) U. Nyambuu: 国 际 金 融 (1.5 学 分 ) S. Alizadeh: 固 定 收 益 证 券 (1.5 学 分 ) P. Maymin: 行 为 金 融 学 (1.5 学 分 ) R. Slivka: 金 融 衍 生 品 及 应 用, (1.5 学 分 ) P. Mathei: 私 募 股 权 投 资 (1.5 学 分 )

9 Research and NYU-SE in Shanghai: 2015 Research and NYU-SE in Shanghai: 2014 The Social Science Research Network (SSRN) is an open-access repository with a quarter million authors and half a million scholarly working papers.. Among Business Schools globally (including publications of business school faculties), our department ranks #34 out of the top Among U.S. Business Schools, our department ranks #25 out of the top 500. Among Economics Departments globally, our department ranks #7 out of the top 1,500. On all categories, globally our department ranks #1 in the number of downloads per author. Three of our nine registered SSRN authors are in the top 1% by downloads among all authors: Charles S. Tapiero, Philip Z. Maymin and Nassim N. Taleb. Recent Books: By Professor Nassim Nicholas Taleb: Antifragile, (Paperback version), Penguin, 34 languages, 2014, Silent Risk, a technical version of The Black Swan, (300 pages), 2014 (in production). By Professor Philip Maymin: Financial Hacking, World Scientific, Singapore, 2012; By Professor Charles Tapiero: Engineering Risk and Finance, Springer, 2013, Future Perspectives in Risk Models and Finance, Springer, 2014 (forthcoming) (co-edited with Alain Bensoussan, Dominique Guegan). 9

10 The Extreme Risk Initiative A research agenda by leading researchers developing new approaches to confront global, strategic, systemic and extraordinary risks facing societies everywhere and in the financial world Co-Directors Nassim Nicholas Taleb Charles S. Tapiero 5/14/

11 Charles S. Tapiero, is the The Topfer Chair Distinguished Professor of Financial Engineering And Technology Management and Department Chairman and Founder of Finance and Risk Engineering, New York University School of Engineering (from 2005 to the present), ; Ph.D.,and MBA in 1970, and 1968 New York University, Graduate School of Business, 1967, B.S., Electrical Engineering, Ecole Polytechnique, Montréal. Professor Tapiero has assumed numerous academic positions including Assistant and Associate Professor at Columbia University ( ), , Kermit O. Hanson Chair Professor, University of Washington, Seattle, WA.; , Lewis Progressive (Insurance) Chair Professor, Case Western Reserve University, Cleveland, OHIO; Associate Professor, The Hebrew University of Jerusalem, ESSEC (France) ( ); Institute of Mathematical Finance, Montreal, Canada. Professor Tapiero has also assumed numerous positions including: Senior Advisor to the Minister of Foreign Affairs, Israel; Chair of a Department, The Jewish Agency for Israel, Member of the Board of Director of Koor Industries, Member of the Executive of the Jewish Agency, Advisor to the Head of the Federations of Labor (Histadruth), Israel and Other Boards Professor Tapiero s research and publications span 400 papers and 16 Books including among others, Engineering Risk and Finance, Springer Verlag, New York, 2012; Risk Finance and Assets Pricing, Wiley, New York, Hoboken, N.J., 2011; Supply Chain Games: Operations Management and Risk Valuation, Springer Verlag, (with Konstantin Kogan); Risk and Financial Management: Mathematical and Computational Concepts, John Wiley, 2004; BOOK98: Tapiero C.S. Applied Stochastic Models and Control in Finance and Insurance, Kluwer Academic Press, Boston, April 1998; Applied Stochastic Models and Control in Management, North-Holland, Amsterdam-New York, January 1988; Managerial Planning: An Optimum and Stochastic Control Approach, Gordon Breach, two volumes.. Professor Tapiero is a member of several Boards, and currently Co-Editor and Co-Founder (with Alain Bensoussan), of Risk and Decisions Analysis, IOS Press.

12 Nassim N. Taleb spent 20 years as a derivatives trader and, after closing 650,000 option transactions and examining 200,000 risk reports, he changed careers in 2006 to become a scholar and philosophical essayist. Taleb is currently Professor of Risk Engineering at New York University s School of Engineering. He is the author of a 4 volume philosophical essay on uncertainty, Incerto (Antifragile (2012), The Black Swan ( ), Fooled by Randomness (2001) and The Bed of Procrustes (2010) as well as a mathematical parallel version, Silent Risk (freely available). Taleb's works focuses on decision making under opacity, as well as mathematical and philosophical problems with probability, in other words on "what to do in a world we don't understand" as well as on the properties of systems that can handle disorder. Selected Books: Antifragile: Things That Gain From Disorder, Random House & Penguin (November 2012) The Black Swan: The Impact of the Highly Improbable, Random House & Penguin ( nd. Ed.), 31 languages., Fooled by Randomness, Random House & Penguin ( nd Ed.), 22 languages. Silent Risk: Lectures on Fat Tails, (Anti)Fragility, Precaution, and Asymmetric Exposures (freely available Ebook, 2013), mathematical expression of the ideas of the Incerto with demonstrations, proofs, and derivations. Dynamic Hedging: Managing Vanilla and Exotic Options, J. Wiley (1997)

13 Sassan Alizadeh, Ph.D. Dr. Alizadeh is a Managing Director of HCM and Senior Portfolio Manager and head of the Global Macro Group. He has over 24 years of experience in systematic and quantitative trading. Dr. Alizadeh began his career as the first Manager of Research at Quantitative Financial Strategies where he helped to develop and implement proprietary trading strategies. For six years starting in 1994, he was a proprietary trader at Bear Stearns where he traded several different systematic and quantitative strategies. He later joined Parametric Capital Management as head of Futures Trading where he implemented and traded a currency and commodity global macro model before joining HCM in April Dr. Alizadeh has a B.S. and M.S. in electrical engineering from Tufts University, an M.B.A. from The Wharton School of the University of Pennsylvania and a Ph.D. in economics from the University of Pennsylvania. He currently is an Adjunct Professor of Finance in the Masters of Financial Engineering program at Polytechnic Institute of New York University. Additionally, Dr. Alizadeh has performed academic research in various areas of finance and co-authored and published, as lead paper in the Journal of Finance, an article in the area of stochastic volatility estimation and its ramifications in the foreign currency markets. This work also was awarded first prize at the Wharton School s Rodney L. White Center for Financial Research for Outstanding Working Paper in Investment Research for 2001.

14 Philip Z. Maymiin, Assistant Proffessor, Academic Appointment; Education: Director of the track Algorithmic Finance University of Chicago Booth School of Business, Ph.D. in Finance, 2007 Harvard University, M.S. in Applied Mathematics, 1997, Harvard University, B.A. in Computer Science, 1997; Founding Managing Editor, Algorithmic Finance, 2010-present; Professional Experience: Long-Term Capital Management, Strategist, ; Ellington Management Group, Portfolio Manager, ; Maymin Capital Management, Co-Founder and Portfolio Manager, Professor Maymin publications include among others: Maymin, Philip Z. (2012), Financial Hacking, World Scientific, ISBN-13: and *Maymin, Philip Z.; Maymin, Zakhar G. (2013), "Maimonides Risk Parity," Quantitative Finance Letters 1:1, Maymin, Philip Z. (2013), Schizophrenic Representative Investors, Complex Systems 22:1, Maymin, Philip Z. (2012), Music and the Market: Song and Stock Volatility, North American Journal of Economics and Finance 23:1,

15 Raphae l DOUADY New York Univ. School of Engineering, International Ass. Prof. (since 2011), CNRS for Riskdata ( ), Ecole Normale Supe rieure of Cachan ( ), Courant Institute, New York University, visiting professor ( ) Teaching : Financial Mathematics, Optimization, Econometrics, Risk Management, Energy markets and risks, Market stability and crises, Sovereign debt, Chaos theory, Probabilities and stochastic processes, Credit Risk and Counterparty Risk, Algorithmic Trading. Professor Douady is a mathematician and economist, specialised in financial mathematics and chaos theory. With more than fifteen years experience in the banking industry (risk management, option models, trading strategies) and thirty years research in pure and applied mathematics, Dr Douady is renowned for his highly sophisticated quantitative solutions and statistical analysis. A former fellow of Ecole Normale Supérieure in Paris, he earned his Ph.D. in 1982 in Hamiltonian dynamics and became strongly involved in Finance in Currently affiliated with the Department of Finance and Risk Engineering as well as the University of Paris 1-Sorbonne Economic Center (CES) and the French National Center for Scientific Research (CNRS). Professor Douady s research publications include among others A Rating-based Model for Credit Derivatives (with M. Jeanblanc) Europ. Invest. Review, Jan On measuring risk with scarce observations (with A.S. Cherny, S.A. Molchanov) Finance and Stochastics, 14 (2010), 3, The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation (with C. Coste and I. Zovko) Journal of Alternative Investments Winter 2011, Vol. 13, No. 3: pp Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator (with Y. Choi) Quantitative Finance (2012) - Mathematical Definition, Mapping and Detection of (Anti)Fragility (with N.N. Taleb) in Quantitative Finance (2013) - The Whys of the LOIS: Credit Skew and Funding Rates Volatility (with S. Crépey, Univ. Evry) Risk, June 2013

16 Ronald T. Slivka, Ph.D. Adjunct Professor, NYU School of Engineering Fall, 1998 Present ; Finance and Risk Engineering Department ( Teaching Master s Degree courses in derivative applications. Research Supervisor. Recipient in 2007 from the Provost of an award given to Adjunct Professors by faculty and students for having made consistently important contributions to student learning. Currently research focus in on derivative applications in China, India and selected emerging markets. ABN AMRO Inc., NY, July, 1999 April, 2007 Director Author of the business plan to develop OTC equity derivative transactions with US corporations and financial institutions. Implemented this plan with transactions using forwards, swaps, collars, structured hedges, notes and OTC options. Generated $6.02 million of revenue in 2006 from client transactions Initiated equity derivative contacts with 137 North American accounts through an aggressive and intensely focused marketing effort Raised product visibility among banking officers by writing derivative publications, direct client calling and through internal education initiatives

17 UNURJARGAL NYAMBUU, Ph.D, Post Doctoral Research Fellow, Department of Finance and Risk Engineering,, Economist with proven track record in economic policy, with 7 years of experience advising governments and banks on international finance and business affairs at The Central Bank of Mongolia; Mongolian representative to the International Monetary Fund (IMF) and the World Bank (WB); with extensive teaching experience at both undergraduate and graduate level at New York University; honors graduate from Chinese and American universities. Fluent in Chinese, Russian, Mongolian, and English. Permanent U.S. Resident. Ph.D. and MA, in International Finance, The New School for Social Research, New York, NY ; B.A. in Banking and Finance, School of Economics, Peking University, Beijing, China Certificate in Advanced Chinese Language Studies, Peking University, Beijing, China B.A. in Finance, School of Economic Studies, National University of Mongolia Selected Publications: Trends in the extraction of non-renewable resources: the case of fossil energy, Economic Modelling, (w/w. Semmler) vol. 37, February 2014, pp ; Modeling economic growth and sustainability, (w/ W. Semmler) International Institute for Applied Systems Analysis (IIASA) Discussion Paper (DP) Series Wage-share dynamics: implications for growth and policy in advanced economies, world markets, and global competition, (w/ L. Bernard) Proceedings International Business and Economy Conference (IBEC)

18 WARREN D. MATTHEI, Adjunct Professor, Department of Finance and Risk Engineering, Experience: Merrill Lynch, New York, Managing Director, Investment Banking. Coordinated global client relationships for corporations including Schering Plough, American Home Products (Wyeth), Paramount Communications, Loews Corp./CBS, Johnson & Johnson and major private equity funds. Completed transactions included mergers and acquisitions, exclusive sales, private debt and derivatives. NASD Series 7, 24 licenses. Salomon Brothers, Los Angeles, CA. Director, Investment Banking. Responsible for managing large office staff and all client relationships in Southern California and Arizona including Occidental Petroleum, Unocal, ARCO, Walt Disney, MCA/Universal, Westwood One, Maxicare Health Plans, hedge funds. Derivative and synthetic securities. Mergers, acquisitions, equity, high yield and corporate/municipal debt financing transactions. M.B.A., Harvard University, Graduate School of Business Administration. High Distinction. Baker Scholar/top 1% of class. John Loeb Award: Finance (faculty vote). A.B., Princeton University. Anthropology, cultural systems and structures. Studies in Classical Languages and Economics. Steinnecke Prize for Classical Languages (competitive examination).