Quantitative Finance

We offer wide range of foundational courses to equip students with solid quantitative skills from the introductory courses in probability and statistics as well as advanced courses in stochastic processes. We also offer course in Python and Machine Learning to develop skills in practical implementation of financial models. Currently we have select courses in quantitative finance and actuarial science.

Given the dynamic nature of the financial industry, industry speakers are an important part of our courses because they bring a fresh and practical perspective to the concepts and theories students learn in the classroom. The latest developments and work experiences that industry speakers share in their respective fields are helpful and informative for students as they plan their careers.

Select Industry Speakers for Quantitative Finance Courses:

• “Case Study on the Failure of Long-term Capital Management” – Massimo Cutuli.
  Mr. Cutuli is a Senior Fellow in the Duke MIDS Program and Chief Financial Risk Officer at Options Clearing Corp. Previously, Massimo held numerous risk management positions, including Chief Risk Officer of Optiver US, Head of Risk at Citadel Securities, and member of the London Clearinghouse Risk Committees. He holds an MS from Cornell University and an MS from Columbia University.
• “Applications of Data Science in Capital Markets Activities” – Kevin Benson.
  Mr. Benson leads the Data Strategy & Analytics (DSA) group for various data science solutions at RBC Capital Markets.  He previously worked in securitization and structured products at Morgan Stanley and JPMorgan.  Kevin holds a DPhil in theoretical physics from the University of Oxford and an AB in physics from Harvard University.
• “Risk and Quantitative Analysis at BlackRock” – Yan Chen.
  Mr. Chen is a Managing Director and leads U.S. Unconstrained Investment Risk in BlackRock’s Risk & Quantitative Analysis group. He previously worked at Lehman Brothers and AIG. Dr. Chen received his Ph.D. in Statistics from Duke University in 1997 under the supervision of Dr. Mike West.
• “Risk Parity, Low Volatility Anomaly and Defensive Growth Strategies” — Nick Alonso.
  Mr. Alonso is a Director within the Multi Asset Investments team at PanAgora Asset Management. He is responsible for multi-asset and defensive equity strategies, including alternative beta and factor-based strategies. Mr. Alonso is a CFA charter holder and holds an MBA from the University of Chicago.
• “Quantamental – Use of Alternative Data for Fundament Investing” — Nate Edwards.
  Mr. Edwards is a data analyst at Durable Capital Partners.  Previously, he held similar positions at Suvretta Capital Management and Madera Technology Partners. He has been analyzing “alternative data” to support fundamental investing for over a decade.  Nathan holds a BS and MS from the Georgia Institute of Technology and an MS from Emory University.
• Asymptotic Single Risk Factor (ASFR) Model and Commercial Loss Forecasting — Steven Zhu.
  Mr. Zhu is a former Director of Audit at Bank of America. He spent 20 years at Bank of America in various leadership roles in market risk, counterparty credit risk, and audit on trading book and CCAR models.  He has also worked in energy trading, derivatives research at Citibank and other major U.S. banks. Steve holds a Ph.D. in Applied Mathematics from Brown University.
• Machine learning modeling for credit card risk management and profit optimization — George Krivorotov.
  Mr. Krivorotov is a senior financial economist at the Office of the Comptroller of the Currency within the U.S. Department of the Treasury. At the OCC, George provides technical advice and oversight for complex models used in credit allocation, loss forecasting, climate risk management, and collateral valuation. He holds a Ph.D. in economics from the University of Minnesota.

The most important part of our applied courses is the class project. Class projects are supervised by faculty with significant financial industry experience. Students are required to write a research paper to complete their class projects. The research paper is evaluated by a panel of industry professionals in relevant fields.

In class projects, students are divided into small groups and work together to solve real-world problems. They learn the value of teamwork and how to apply theories and techniques to solve real-world problems and implement real-world solutions for finance and banking businesses in a simulated business environment with real deadlines.

Here are a select student projects for the Quantitate Finance Classes:

• Deep Learning for Structural Break Prediction in Equities Pairs Trading
• Trading Dispersion and Correlation
• Arbitrage Opportunities between ADRs and underlying securities
• Momentum Trading with volatility-based portfolio weighting scheme
• A delta-neutral trading strategy that exploits differences between historical and implied volatilities.
• Home Credit Risk Default Prediction with Machine Learning
• Predictive Modeling of Interest Rates with Neural Network
• Deep Dive into Data Analytical Modeling in Insurance Sector
• Offering/Targeting Decision Optimization in Retail Banking- Credit Card Example

Monday, October 2, 2023
1:30-2:30 pm
Gross 330

Nicholas Alonso, CFA
Director, Multi Asset Investments

Nick Alonso will discuss key themes and trends of Quantitative Investment. He will share his own experiences and career path in this fascinating field as well as provide advice to students who are interested in pursuing a career in quantitative finance.

Mr. Alonso is a Director within the Multi Asset Investments team. He is responsible for quantitative model research, development and enhancements for PanAgora’s Multi Asset strategies. He is also responsible for the development and management of the firm’s Defensive Equity strategies, including alternative-beta and factor-based strategies. Mr. Alonso joined PanAgora from Mellon Capital Management (formerly Franklin Portfolio) where he was a Quantitative Analyst primarily responsible for research and management of Market Neutral Equity portfolios. Mr. Alonso is a CFA Charterholder.

Education:
University of Chicago, M.B.A.
University of Florida, B.S. (Physics)
University of Florida, B.A. (Mathematics)

Watch the presentation online

Monday, October 9, 2023
11:30 am-1:00 pm Presentations (Lunch provided)
Gross 330

Speakers include: Andrew Claxton, Quantitative Trader; Gergely Chikan, Software Engineer, and Massimo Cutuli, Chief Risk Officer.

Optiver, a premium trading firm, will host a discussion on quantitative trading as well as career opportunities at Optiver. This is a great opportunity to learn more about quantitative trading business in general and Optiver as a firm in particular.

Watch the presentation online

Monday, October 20, 2023
11:30-12:30 pm
Gross Hall, 107

Joseph H. Davis, Ph.D.
Global Chief Economist and Global Head of the Investment Strategy Group, Vanguard

Joseph H. Davis, Ph.D., is Vanguard’s global chief economist and global head of the Investment Strategy Group. He leads teams that are responsible for Vanguard’s research and thought leadership agendas as well as the development and oversight of the firm’s investment methodologies and models.

Joe chairs the firm’s Strategic Asset Allocation Committee, which governs multi-asset-class investment solutions, and he is a member of the senior portfolio management team of Vanguard Fixed Income Group.

Joe is a frequent keynote speaker, has published white papers in leading academic and practitioner journals, and currently serves on the editorial board of The Journal of Portfolio Management and the Journal of Fixed Income.

Joe earned his B.A. summa cum laude from Saint Joseph’s University, earned his M.A. and Ph.D. in economics at Duke University, and is a graduate of the Advanced Management Program at The Wharton School of the University of Pennsylvania.

Tuesday, April 2, 2024
12:00-1:00 pm
Lilly Classroom (C104), Fuqua School of Business

A Conversation with Massimo Cutuli, Chief Financial Risk Officer, Options Clearing Corporation

From Meme Stocks to Zero-Day Options – The Rise of Online Trading and Implications to Financial Systems and Regulations –

Moderated by David Ye, PhD, Faculty in Quantitative Finance in MIDS and Mathematics, and an affiliated Faculty in Duke RESILE.

In this conversation, we will explore the explosive growth of online trading since the pandemics, from the stocks of big tech companies like Google to meme stocks like Game Stop, from traditional assets to cryptocurrencies. More recently, we have also seen dramatic growth in so-called zero-day options, which are also dubbed by many as a form of lottery tickets. The key questions that we would like to explore include:

• What are the context and possible reasons for these trends?
• What are the risks and impacts to financial markets?
• How financial regulations since 2008 Financial Crisis can help mitigate these risks?

Massimo Cutuli, the Chief Financial Risk Officer of the Options Clearing Corp, which is the largest Clearing House in the world that guaranteed these “lottery tickets.”  He is a seasoned risk officer with over two decades of experience at firms such as Optiver, Citadel Securities, Goldman Sachs, JP Morgan.

Massimo has a successful career in Financial Services and Management Consulting. He is currently Chief Risk Officer at the Options Clearing Corp, the world’s largest clearinghouse for options trading.  Previously, he was the Chief Risk Officer for Optiver, USA, and has also held the Head of Risk position for Citadel Securities; worked in banking at JP Morgan and Goldman Sachs. Massimo served as a member of the Chicago Mercantile Exchange and London Clearinghouse risk committees. He received a BS in Aerospace Engineering and an MS in Space Science (University of London), an MS in Aerospace Engineering (Cornell University) and MS in Operations Research (Columbia University).

I am pleased to announce the winner of the Spring 2024 Algorithmic Trading Competition. The winning team developed creative risk management strategies on a standard Fama-French factor model. The resulting strategies exhibit robust return while avoiding large drawdown risk. I am also pleased to announce that Optiver, one of the top global trading firms, is the financial sponsor of the competition for this semester.

All the trading teams in Spring 2024 Math 585 have worked really hard, and have completed solid research on their trading strategies.

Background on Duke Algorithmic Trading Competition

The technological-driven transformation of financial markets has been truly spectacular in the last 20 years since the introduction of electronic trading. Vast majority of the trading activities on major trading venues have been driven by computer algorithms and modes.

One of the core curriculums for Quantitative Finance Concentration is Math 585 – Algorithmic Trading – Financial Data and Modeling. In this course, students working in designated teams learn how to develop trading strategies based on sound quantitative research and rigorous backtest. Each team is required to write a 20+ pages of research paper that forms the basis for their strategy. They then program their strategies in Python into a fully systematic trading model with no human interactions.

At the end of the semester, student teams enter their trading strategies into a trading competition for a period of four months. The ranking of the trading competition is based on the Sharpe Ratio of their strategies for the trading period.

Gross Hall Second Floor Atrium, Ahmadieh Family Gallery
October 16, 2024 12:00 pm – 1:00 pm

View Presentation

In this conversation, we will explore the potential financial market uncertainties due to the upcoming presidential election as well as the impacts of the approval of political event betting in the US. Recently, Kashi Market won approval to list contracts related to US elections and other political events. The key questions that we will explore include:

• What are the historical market volatilities around US presidential elections?
• What are the unique risks due to the election this November?
• What are the appellate court decisions that allow for betting on political events in the US like those on Kalshi Market?
• What are the potential social benefits and risks of allowing betting on political events, and how might these be addressed?

Massimo Cutuli the Chief Financial Risk Officer of the Options Clearing Corp, which is the largest Clearing House in the world that guarantees options trading. Previously, he was the Chief Risk Officer for Optiver, USA, and has also held the Head of Risk position for Citadel Securities; worked in banking at JP Morgan and Goldman Sachs. Massimo served as a member of the Chicago Mercantile Exchange and London Clearinghouse risk committees. He received a BS in Aerospace Engineering and an MS in Space Science (University of London), an MS in Aerospace Engineering (Cornell University) and MS in Operations Research (Columbia University).

David Ye is currently a faculty member of Data Science (MIDS) and Math Department at Duke University. His current teaching and research focus is Quantitative Finance with a focus on applying Data Science to problems in Finance. Previously, David had over 25+ years of industry experience in a wide range of financial firms including commercial bank, investment bank, custodian/trust bank, insurance company, and central clearing corporation. David has deep experiences in risk management as the Chief Risk Offices for several global companies including Nomura (Americas), State Street Global Markets and Guardian Life Insurance.

Nick Eubank is an Assistant Research Professor in the Duke Social Science Research Institute (SSRI). His research is focused on understanding two aspects of political accountability: the determinants of citizen capacity to hold politicians accountable, and elite strategies for subverting mechanisms of accountability.

This event is co-sponsored by Duke MIDS, Duke Department of Mathematics, & Duke RESILE

Course Code: Math 585
Course Name: Algorithmic Trading (David Ye)
Date and Time: MW 1:25 – 2:40 pm

Course Code: Math/IDS 586
Course Name: Data Science & Decision Optimization in Banking & Financial Services (Hengzhong Liu)
Date and Time: Tu 3:00-5:30 pm

Course Code: Math/IDS 583
Course Name: Risk Management & Derivative (Hengzhong Liu, Massimo Cutuli, David Ye)
Date and Time: W 8:45 – 11:15 am

Course Code: IDS 599
Course Name: AI in Finance (David Ye)
Date and Time: MW 11:45 – 1:00 pm

October 13 – October 14, 2024

The MIDS Field Trips are designed to help our students develop a deep appreciation of how their Data Science skills are used in practice. Given the interdisciplinary nature of our program, we want to expose our students to sectors of industry and society in which they desire to learn more and build their future careers.

We took our Quantitative Finance Concentration (QFC) students to Chicago to visit four great financial companies, Adam Street Partners, Chicago Mercantile Exchange, Options Clearing Corp,  CBOE Global Markets.

At each stop, students met with business leaders to learn about their business models and practices, as well as how data science and quantitative skills can be deployed to solve business problems.

In addition, students also met with HR and recruitment staff to learn about company culture and work environment. This trip has sharpened the focus of their career focus as well as clarified their academic learning goals at Duke.

Finally, the field trip is also an invaluable experience for our students strengthen their relationships among themselves, which is an important part of their Duke experiences.