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. In the Data Science and Decision Optimization in Banking and Financial Services course, students learn how to apply data science techniques, traditional statistical skills, decision optimization methods, and economic and financial theory to build models and find optimal decisions. Our Insurance course provides a good introduction to the business of life insurance and related mathematics.

If you missed our live chat you can view our slides covering:

  • 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.

NumberTitle
IDS/MATH 789Fundamentals of Finance Business Models
MATH 581Mathematical Finance
MATH 582Financial Derivatives
MATH 585Introduction to Algorithmic Trading – Financial Data and Modeling
IDS 690/MATH 590-02Special Topics: Case Studies in Quantitative Finance

Industry Speakers

In certain courses such as those in Algorithmic Trading, as well as Insurance Business, we have regular industry speakers give lectures on topics relevant to the class and students’ interests. Many students find these lectures very informative as they bring fresh perspectives to the concepts and theories that they learn in the class. In addition, industry speakers also speak about their work experiences which many students find helpful to their career plan.

Industry speakers are an important part of the quantitative finance courses given the dynamic nature of the Finance Industry. These industry speakers share three latest developments in their perspective fields as well as providing value career and practical advice to Duke students. Here are select recent industry speakers:

Fall, 2023

Spring, 2023

  • “Case Study on Failure of Amaranth Advisors” – Massimo Cutuli. Mr. Cutuli is the Chief Risk Officer at Optiver US, a derivatives market maker. Previously, he 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 and currently serves on the Board of Trustees of the Astronaut Scholarship Foundation. 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).
  • “Applications of Data Science in Capital Markets Activities” – Kevin Benson. Mr. Benson heads the Data Strategy & Analytics (DSA) group at RBC Capital Markets.  The DSA group is responsible for various data science solutions, including AI and machine learning models for capital markets.  Earlier in his career, he worked in securitization and structured products for Morgan Stanley and JPMorgan.  Kevinholds 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 of BlackRock’s Risk & Quantitative Analysis group. He is the head of BlackRock’s U.S. Unconstrained Investment risk, including the flagship Global Allocation and Strategic Income Funds. Dr. Chen joined BlackRock in2007, including his time with Barclays Global Investors (BGI), which merged with BlackRock in 2009. Prior to joining BGI, he also worked at Lehman Brothers and AIG. Chen received his Ph.D. degree in Statistics from Duke University in 1997 under Dr. Mike West.

Student Projects

For those industry-focused Quantitative Finance courses such as Algorithm Trading, the most important part of the learning is the student-led projects. Students are divided into small groups and work together to solve real-world problems supervised by faculty of significant financial industry experiences. Students learn the value of teamwork in a simulated commercial environment with real deadlines to meet. Students are required to write a research paper on their project with both underlying theory as well as practical implementation results. An evaluation panel including industry practitioners in relevant fields to evaluate student’s final projects. Here are a select student projects for the Algorithmic Trading Class:

  • Deep Learning for Structural Break Prediction in Equities Pairs Trading
  • Trading Dispersion and Correlation
  • Extreme Gradient Profit
  • Arbitrage Opportunities between ADRs and underlying securities
  • Pairs Trading Strategies with DBSCAN and other Clustering Methods
  • Momentum Trading with volatility-based portfolio weighting scheme
  • A delta-neutral trading strategy that exploits differences between historical and implied volatilities.
  • Trading Volatility Using Options: A Portfolio of Strategies for Capturing Volatility Premiums in Index Options

Events

October 2, 2023 - Quantitative Investment and Related Career Paths

Nick Alonso of PanAgoraMonday, 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

October 2, 2023 - Quantitative Investment and Related Career Paths

Nick Alonso of PanAgoraMonday, 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

October 9, 2023 - Lunch & Learn with Optiver

OptiverMonday, 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

October 20, 2023 - AI and Our Economic Future

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.

April 2, 2024 - The Rise of Online Trading and Implications to Financial Systems and Regulations

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).

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.

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.

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