Quantitative Finance

About

The Quantitative Finance Concentration (QFC) in Duke’s MIDS program, in collaboration with the Duke Math Department, is designed to train students to keep pace with the big data science revolution in finance.

We offer a special collection of electives for students with a strong quantitative background to prepare them for their future careers in finance, banking, and insurance. Building on traditional statistics, econometric methods, and stochastic calculus, we teach students how to solve real-world quantitative finance problems by integrating machine learning, artificial intelligence, and decision optimization techniques with economic and financial theory.

Our QFC is unique in a number of ways. First, it is built on the core and cutting edge of the data science curriculum. Second, it expands quantitative finance’s traditional focus on financial markets to include broad sectors of finance such as banking, insurance, and other financial services. Furthermore, our QFC features an industry and career-focused education that combines strong academic rigor with real-world case studies and projects supported by financial industry practitioners.

For example, the “Algorithmic Trading and Investment” course teaches students how to develop quantitative trading algorithms and investment strategies that automatically interact with financial markets to achieve pre-defined goals. The “Risk Management and Derivative” course prepares students with the knowledge, techniques and practices of risk management necessary to pursue both academic and industrial careers in quantitative risk management in financial markets and banking services. In the “Data Science and Decision Optimization in Banking and Financial Services” course, students learn how to build models and find optimal decisions in finance and banking using data science techniques, traditional statistical skills, decision optimization methods, and economic and financial theory. Our Insurance course provides a good introduction to the business of life insurance and related mathematics.

To learn more about QFC, please view our slides on the following topics.

The Big Data Science Revolution: Why is Duke’s Quantitative Finance in a Data Science Program?
Training Financial Data Scientists: What makes Duke’s MIDS Quantitative Finance Concentration (QFC) unique?
Industry and Career Focused Education: How are QFC courses designed and taught?

Requirements

In addition to completing machine learning and all other MIDS core courses, students are expected to enroll in Quantitative Finance Concentration electives, attend industry speaker lectures, and participate in seminars to gain knowledge and master skills in their areas of interest.

The academic requirements for a Quantitative Finance Concentration are:

1. One course on career development in the finance, banking, and insurance industries

Career Development – Fundamental of Finance Business Models

2. At least two foundational courses on quantitative methods in finance, such as:

Financial Time Series
Intro to Stochastic Calculus
Machine learning

3. At least two courses on the application of quantitative methods in finance, such as:

Algorithmic Trading & Investment
Data Science & Decision Optimization in Banking and Financial Services
Risk Management & Derivatives
Case Studies in Quantitative Finance

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Our approach to education in quantitative finance are based on these three pillars:

Academic Courses

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.

Spring 2026 Course Offerings

Course Code	Course Name	Date & Time	Description
MATH 585	Algorithmic Trading (David Ye)	Mon, Wed 1:25 – 2:40 pm	Learn quantitative trading and investment strategies applicable in trading & investment firms and banks. Career Target: Trading firms, asset management, bank trading desk, hedge funds.
IDS/MATH 586	Data Science & Decision Optimization in Banking & Financial Services (Dr. Hengzhong Liu)	Tue 3:00-5:30 pm	Learn how data and decision science are used in retail and commercial banks. Career Target: Retail and commercial banks, loans, credit cards, mortgages, deposit products, etc.
IDS/MATH 583	Risk Management & Derivative (Dr. Hengzhong Liu, Massimo Cutuli, Prof. David Ye)	Wed 8:45 – 11:15 am	Understand risk modeling and management in Finance. Career Target: all financial firms, quantitative risk modeling, risk manager, climate risk
IDS 599	AI in Finance (Prof. David Ye)	Mon, Wed 11:45 – 1:00 pm	How Gen AI could transform works in Finance and beyond. Target: position yourself better in the age of AI in any financial firm and role.
IDS 598.01	Mini Course in Quant Finance – Crypto Trading (Dr. Hanchao Yang)	Tue, Thr 11:45 am – 1:00 pm 1/07 – 2/17/2026	Crypto Trading. Career Target: Crypto trading and research firms, hedge funds, etc.
IDS 598.02	Mini Course in Quant Finance – Data Science for Financial Crime Detection (Dr. Yimin Yang)	Mon 3:05PM – 5:35PM 2/23 – 4/06/2026	Financial Crime Detection. Career Target: banks and consulting firms.

Industry Speakers

In our industry-focused courses, we regularly invite industry experts to lecture on topics relevant to the class and the students’ interests. These courses include, but are not limited to, algorithmic trading, risk management, decision optimization in finance and banking, and insurance business.

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.
AI and Our Economic Future — Joseph H. Davis, Ph.D.
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.
Lunch & Learn with Optiver
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.
Quantitative Investment and Related Career Paths — Nicholas Alonso, CFA
Nick 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.

Student Projects

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

Events

November 12, 2025 - Industry Speaker: Dr. Lauren Wong, Managing Director and Head of Quantitative Risk Management at the Options Clearing Corporation (OCC)

Wednesday, November 12, 2025
Gross Hall 270
Session 1: Math/IDS 789 (10:05–11:20 a.m.)
Session 2: Math 585 (1:25–2:40 p.m.)

Quantitative Finance and Risk Management

The Quantitative Finance Certificate (QFC) program welcomes Dr. Lauren Wong, Managing Director and Head of Quantitative Risk Management at the Options Clearing Corporation (OCC), for two guest lectures.

In his first session with students in Math/IDS 789 (10:05–11:20 a.m.), Dr. Wong will discuss his career journey from condensed matter physics to finance, sharing perspectives on the evolving landscape of quantitative finance as technology continues to reshape the industry.

Later in the day, during Math 585 (1:25–2:40 p.m.), Dr. Wong will delve into options markets and risk management, highlighting key challenges and innovations in today’s volatile market environment.

As the world’s largest options clearer, OCC plays a critical role in global financial stability. Dr. Wong leads the firm’s quantitative risk management functions, overseeing model development, implementation, and governance. Before joining OCC, he held senior quantitative roles at Morgan Stanley and Bank of America, following an early career in the technology sector after earning his Ph.D. in Condensed Matter Physics from UCLA.

Both sessions promise valuable insights for students interested in careers at the intersection of finance, data science, and technology.

November 7, 2025 - Industry Speaker: Ivan Mauricio Pooran Pabonartners

Friday, November 7, 2025
Gross Hall 270
1:25-2:25 pm

Ivan Mauricio Pooran Pabon

The Future of Operational Risk Management

We’re delighted to welcome Ivan Mauricio Pooran Pabon, Senior Managing Director and transformational Global Risk and Compliance leader, for an engaging discussion on the future of operational risk management. Mr. Pooran will explore the evolving challenges and opportunities in managing operational risk, emphasizing how organizations can learn from past failures to strengthen future resilience through stronger governance and sharper analytics.

With nearly 35 years of international leadership experience across insurance, consumer and commercial banking, and wealth management, Mr. Pooran is a recognized expert in Risk, Control, and Audit. He has held Board, C-suite, and executive roles, including Chief Operational Risk Officer, Chief Risk Officer, Senior Credit Officer, Audit Director, and Business Head, at Fortune Global 500 companies such as Citigroup, GE Capital, Guardian Life of America, and Banco Santander. His broad cross-border and cross-domain expertise provides valuable insight for organizations pursuing growth through new products, markets, technologies, or mergers and acquisitions.

October 10, 2025 - Industry Speaker: Tobias True, CFA, FRM | Partner in Investment Strategy and Risk Management, Adams Street Partners

October 10, 2025
1:25-2:45 pm
270 Gross Hall

Tobias True, CFA, FRM

Risk and Return in Private Markets

We’re excited to welcome Duke alumnus Tobias True, CFA®, FRM®, Partner in Investment Strategy and Risk Management at Adams Street Partners in Chicago.

At Adams Street, Tobias applies advanced analytics to shape investment strategy and oversee risk management across global private markets portfolios. Before joining the firm, he held key roles at MSCI Barra and Bloomberg L.P., where he specialized in developing customized risk models and performance attribution tools to enhance portfolio construction.

In his talk, Tobias will share real-world insights on risk management in private markets, gained through his leadership at a top global investment firm. He’ll also reflect on his own career journey and offer practical guidance for students aspiring to build successful futures in finance and risk management.

Spring 2026 Quant Finance Course Offerings

Get ready for Spring 2026! QFC (Quantitative Finance Concentration) courses are now open for registration. Whether you’re interested in data-driven investing, financial modeling, or risk management, these courses offer hands-on experience with the tools and techniques shaping today’s financial world. Don’t miss the chance to build your quantitative skills and connect with industry experts. Spots fill up fast!

Math 585
Algorithmic Trading
(David Ye)
MW 1:25 – 2:40 pm
Learn quantitative trading and investment strategies applicable in trading & investment firms and banks.
Learn more

This course explores the complexity of financial data and the challenges in modeling them. Increasing portions of trading and investment activities are now fully automated. Many key decisions are driven by computer algorithms and models built on top of ever-larger financial data sets. Students will learn a variety of financial data sets, perform research and analysis on these data, and develop mathematical and risk management models for profitable trading and investment strategies.

Career Target: Trading firms, asset management, bank trading desk, hedge funds.

Math/IDS 586
Data Science & Decision Optimization in Banking & Financial Services
(Dr. Hengzhong Liu)
Tu 3:00-5:30 pm
Learn how data and decision science are used in retail and commercial banks.
Learn more

How to offer the right product to the right customer at the right price through the right channel with the right incentives at the right time? How to find the weights of a set of elements in a given set to maximize a given financial objective subject to the constraints of each element? How to compete on price and product in a game environment? Or how to manage risk and capital to navigate complex regulatory environments? These decision optimization problems are at the heart of retail banking and finance.

Career Target: Retail and commercial banks, loans, credit cards, mortgages, deposit products, etc.

Math/IDS 583
Risk Management & Derivative
(Dr. Hengzhong Liu, Massimo Cutuli, Prof. David Ye)
W 8:45 – 11:15 am
Understand risk modeling and management in Finance.
Learn more

As machine learning and AI continue to transform the financial landscape, it’s more important than ever to effectively measure and manage various risks. If you’re looking to turn your quantitative background into a fulfilling career in finance and banking, this course is designed to pave your way into financial risk management.

The course covers fundamental theories, quantitative methods, and industry practices for identifying, measuring, managing various types of risk, such as market risk, credit risk, liquidity risk, operational risk, and investment risk.

Career Target: all financial firms, quantitative risk modeling, risk manager, climate risk,

IDS 599
AI in Finance
(Prof. David Ye)
MW 11:45 – 1:00 pm
How Gen AI could transform works in Finance and beyond.
Learn more

Target: position yourself better in the age of AI in any financial firm and role.
Since the introduction of ChatGPT, the world has been swept by the generative AI wave. While LLMs are still in the early stage of deployment, they have shown great promise to transform our future work with significant productivity gains. At the same time, it poses significant risks and may cause dislocations of many jobs. Like many technology shocks came before it, generative AI will create winners and losers, depending on how we individually adapt to the change.

The purpose of this course is to explore these potentials and risks for banking and finance careers. The key learning objective is to equip students with a good knowledge of the underlying technology beyond the “black box”, that is, Large Language Model (LLM), and how they can leverage its potentials in their future work in Finance.

IDS 598.01
Mini Course in Quant Finance – Crypto Trading
(Dr. Hanchao Yang)
TuTh 11:45AM – 1:00PM
01/07/2026 – 02/17/2026
Crypto Trading.

This course offers a comprehensive, hands-on journey from trading idea generation to the full development of quantitative strategies. Using real data from the cryptocurrency market, students will learn to design, model, test, evaluate, and refine their strategies. The course emphasizes interdisciplinary modeling, guiding students to draw on concepts from fields such as chaos theory and complex networks to deepen their understanding of market behavior.

The course also offers a brief introduction to blockchain technology, covering core concepts such as encryption, consensus mechanisms, distributed ledger architecture, and mining processes. In addition, it explores current topics in the cryptocurrency space, including stablecoins, market manipulation, money laundering, DeFi, NFT, and other emerging trends.

The course has two main learning objectives: to design, develop, and deploy a quantitative trading strategy, and to gain a comprehensive understanding of the cryptocurrency market.

Solid understanding of programming is required, preferably in Python. Class projects will require students to execute their mathematical ideas and models into trading strategies, and these are accomplished through programming skills.

This course will be taught by Dr. Hanchao Yang. After he obtained his PhD in Financial Engineering from Steven Institute Technology in 2016, he founded a trading quantitative firm Captain Capital Management LLC with strategies being deployed in both stock markets as well as cryptocurrencies. Students will benefit from his deep understanding of trading market structures and related quantitative algorithms across multiple markets. Dr. Yang has extensive experience in quantitative trading across multiple markets.

Career Target: Crypto trading and research firms, hedge funds, etc.

IDS 598.02
Mini Course in Quant Finance – Data Science for Financial Crime Detection (Dr. Yimin Yang)
M 3:05PM – 5:35PM
02/23/2026 – 04/06/2026
Financial Crime Detection.

What is AML? It is one of today’s hottest areas in risk management. Traditionally a compliance function, Anti-Money Laundering (AML) (and Know-Your-Customer, KYC) is becoming a critical gatekeeper to safeguard banks and financial institutions. Fueled by recent cryptocurrency mania, AML jobs are expected to be in high demand and job security is guaranteed. Its required risk-based approach is more challenging than typical fraud detection. With its massive data sets, quantitative talents find opportunities in a field traditionally appealing to policy and procedure expertise. This course introduces basic concepts and requirements for AML/KYC, as well as certain quantitative techniques to prepare students for a career in AML/KYC.

This course will be taught by Dr. Yimin Yang, who has extensive background in quantitative modeling in finance. He received PhD in Math from the University of Chicago in 1992. He has 25+ years of industry experience, including senior positions on large banks such as PNC and Truist as well as financial consulting firm Protiviti. He recently co-founded a commercial bank in Atlanta. He has been a speaker to QFC courses over the last two years, and he advised our students on career paths and research projects.

Career Target: banks and consulting firms.

October 13-14, 2025: MIDS Field Trip To Chicago

The MIDS Field Trips are all about helping our students see how data science comes to life beyond the classroom. Because our program is so interdisciplinary, we want them to experience how their skills can be applied across different sectors and spark ideas for their future careers.

Our Quantitative Finance Concentration (QFC) students recently headed to Chicago, where they visited five amazing firms: Adams Street Partners, Options Clearing Corporation (OCC), ABN AMRO Clearing, CME Group, and Accenture.

At each stop, they met with business leaders to learn how data and quantitative insights drive real-world decisions, and with HR teams to get a feel for company culture and career paths.

Trips like this not only help students refine their academic and career goals, but also strengthen the connections they’re building with each other: a huge part of what makes the Duke MIDS experience so special.

October 10, 2025 - Industry Speaker: Tobias True, CFA, FRM | Partner in Investment Strategy and Risk Management, Adams Street Partners

Friday, October 10, 2025
Gross Hall 270
1:25-2:45 pm

Tobias True, CFA, FRM
Risk and Return in Private Markets

We’re excited to welcome Duke alumnus Tobias True, CFA®, FRM®, Partner in Investment Strategy and Risk Management at Adams Street Partners in Chicago.

October 3, 2025 - Industry Speaker: Yang Chen | Managing Director, BlackRock Investment

Friday, October 3, 2025
Gross Hall 270
12:00-1:00 pm

Yang Chen
Managing Director, BlackRock Investment

Managing Risk in a World on Edge

Dr. Yang Chen will share insights on how BlackRock, managing $14 trillion in assets, navigates today’s complex risk environment. He will also reflect on his career journey, offering advice and perspective for those considering careers in quantitative finance.

Dr. Chen is Managing Director at BlackRock, leading the U.S. Fixed Income Risk and Quantitative Analysis Group. With more than 25 years of experience across both sell-side and buy-side institutions, he brings deep expertise in investment research and risk management. He holds a Ph.D. in Statistics from Duke University and an MBA from NYU Stern. Dr. Chen also serves on the Duke Graduate School Board of Visitors.

September 26, 2025 - Industry Speaker: Sarthak Pattanaik | Chief Data & AI Officer, BNY

Friday, September 26, 2025
Gross Hall 270
12:00-1:00 pm

Sarthak Pattanaik
Chief Data & Artificial Intelligence Officer
BNY

Data Science and AI in Banking

Curious about the future of financial services?

Join us for an exciting talk with the Engineering Leader and Chief Data & AI Officer at the Bank of New York, one of the world’s largest banks.

Learn firsthand how data science and AI are revolutionizing banking and finance, and explore career opportunities for students eager to be part of this technological transformation.

—————

We are excited to welcome Sarthak Pattanaik, Engineering Leader and Chief Data & Artificial Intelligence Officer at the Bank of New York, one of the largest financial institutions in the world. In his role, Sarthak is responsible for driving the strategy, buildout, adoption, and scaling of AI capabilities across the bank, while leading engineering teams in areas such as Corporate Trust & Loans, Depository Receipts Engineering, Clearance, and Treasury Payments.

With more than 20 years of experience building scalable, mission-critical platforms and innovative solutions, Sarthak brings a wealth of expertise at the intersection of data science, technology, and finance. Before joining BNY, he spent 13 years at Nomura Securities in New York, where he served as Global Head of Market Risk and Counterparty Risk Technology, leading efforts in value-at-risk, stress testing, and regulatory capital models. Earlier in his career, he worked as a Quantitative Analyst, pricing structured credit and securitized products.

Sarthak is also an inventor, holding three patents related to blockchain technology. He is a Chartered Financial Analyst (CFA®) and Financial Risk Manager (FRM®), with degrees from the Indian Institute of Technology Kharagpur and the Indian Institute of Management Lucknow.

During this talk, he will share his unique perspectives on how data science and AI are transforming banking and financial services, and the career paths available for students eager to be part of this technological shift.

March 31, 2025 - Industry Speaker: March 31, 2025 - Nick Alonso Director | Multi Asset Investments PanAgora Asset Management

Monday, March 31, 2025
Gross Hall 270

Session 1:
11:45-12:50 – AI and LLMs in Investment and Trading to IDS 599 / FMKT 390 *Lunch will be provided

Session 2:
1:25-2:40 pm – 1:25-2:40 pm – Factor Investing Strategies to Math 585 Algorithmic Trading Class.

Nick Alonso
Director | Multi Asset Investments
PanAgora Asset Management

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.

March 19, 2025 - Industry Speaker: Kai Cui, Managing Director and Head of Data Science, Neuberger Berman

Wednesday, March 19, 2025
Gross Hall 270

Session 1:
11:45-12:50 – A Conversation on Industry and Career Trends in Quantitative Finance *Lunch will be provided

Session 2:
1:25-2:40 pm – Quantitative Investment Strategies to Math 585 Algorithmic Trading Class

Kai Cui
Managing Director | Head of Data Science
Neuberger Berman

Kai Cui is Managing Director and Head of Data Science at Neuberger Berman, where he leads the firm’s data science initiatives, applying big data, machine learning, and AI to global equity research and investment strategies. Before joining Neuberger Berman, he worked on data-driven long/short equity at Point72 Asset Management. Kai earned his BS from Tsinghua University and a PhD in Statistics from Duke University.

People

David Ye – Associate Research Professor, Ph.D in Math, Duke University, 1991. David has held executive positions in several large financial institutions in his 25 years in the industry, including Chief Risk Officer for Nomura Americas and State Street Global Markets. He is currently teaching the Math 585 course on Algorithmic Trading and IDS/Math 789 Fundamentals of Finance Business Model.

Massimo Cutuli – Senior Fellow at MIDS, Cutuli is the Chief Financial Risk Officer of the Options Clearing Corp, 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).

Hengzhong Liu – Executive in Residence, who has held senior and executive level roles at Bank of America, Citigroup and two other major US banks, where he managed decision science and quantitative risk teams in the retail as well as wholesale sectors. He received his PhD in Financial Economics from the Graduate Center of City University of New York. He currently teaches IDS 690/ MAT 590-02 – Case Studies in Quantitative Finance with a focus on Data Science Applications to Retail Banking.

Xavier Mela – Holds a M.S. in Probability from the University Paris VI and a Ph.D. in Mathematics from the University of North Carolina at Chapel Hill. He has over 15 years of teaching a variety of math courses at Duke and UNC and is currently teaching the core mathematical finance courses, Math 581/582. In addition, he also teaches mathematics for economics at the SKEMA business school.

Jason Xue – Jason has over 20 years of experience in the insurance industry and is currently Global Head of Insurance Risk at MetLife, one of the largest insurance companies in the world. He taught the course on Fundamentals of Life Insurance. Jason holds a M.S in Theoretical and Applied Mechanics from University of Illinois at Urbana-Champaign, and a MS in Computer Science from Texas A&M University. He taught a similar course at Columbia University.

Student Project: Quant Finance

Watch this presentation from the Quant Finance student team on their work.