Research

Research Workshops & Seminars
Research Publications

• Department of Finance and Risk Engineering on QuantNetwork Wiki
• Research Paper Series on SSRN
• Book List
• Faculty Publications

Research Newsletter
Databases available from NYU and NYU-POLY
Journals available from NYU-POLY
Financial applications available from NYU-POLY and FRE

Research Workshops & Seminars

Upcoming

• Mini-Course: Short Memory Processes, HFT and Regulation by Pierre Vallois and Charles S Tapiero, Introduction on March 26, 2013 | Lectures from March 27, 2013 to April 4, 2013
• "On The Job Econometrics for Quant Finance" Workshop, Part I: Volatility Modeling by Merav Ozair, April 13, 2013

Past

• Advanced Sloan Topical Seminar, The Conventional Past, Behavioral Present, And Algorithmic Future of Risk And Finance by Philip Z Maymin, March 12, 2013
• Topfer Chair Lecture, When Harry Met Kelly by Aaron Brown, December 4, 2012
• Topfer Chair Lecture, A Quantitative Finance and Actuarial Framework For Risk Management by Dominique guegan, November 13, 2012
• Topfer Chair Lecture, Interdependencies In The Global Financial Village by Dror Kenett, November 6, 2012
• Topfer Chair Lecture, Flight-To-Quality and Correlation Between Currency and Stock Returns by Jin-Wan Cho, October 17, 2012 [Lecture notes]
• Topfer Chair Lecture, Journey Through The Wonderland of Neuroeconomics by Ariel Rubinstein, October 9, 2012
• Topfer Chair Lecture, Perspectives in Mean Field Games by Alain Bensoussan, September 6, 2012
• Introduction to Numerix CrossAsset for Structuring and Pricing Interest Rate, Cross Currency, Equity and Foreign Exchange Derivatives by Vishesha Patel and Mirela Ivan, September 10, 2012
• Topfer Chair Lecture, Finance Challenges And Quant-Engineering Futures, by Charles S Tapiero, May 2, 2012 [Lecture Notes]
• The 14th Annual Lynford Lecture, Intuition: Marvels and Flaws by Daniel Kahneman, March 7, 2012
• Facing the Challenges of Economic Growth and U.S. Competitiveness, by Abby Joseph Cohen, February 9, 2012 [Global Themes and Risks] [Innovation and Economic Growth]
• Arbitrage of Single Stocks Versus Futures in India, by Ronald T. Slivka, Vikram Shah, Jiawei Wu, November 3, 2011
• Strategic International Finance and Assets Pricing, by Charles S Tapiero, October 5, 2011 [Lecture Notes]
• Pricing Options and Equity-Indexed Annuities in a Regime-Switching Model by Trinomial Tree Method, by Hailiang Yang, June 23, 2010
• Hedge Funds: What's Next?, by Jigar Patel, April 27, 2010
• Financial Engineering Infosession, April 27, 2010
• Corporate Crime: Why the Epidemic Continues and How To Cure It, by Neil Weinberg, April 26, 2010
• Choosing Outcomes Versus Choosing Products: Consumer-Focused Retirement Investment Advice, by Professor Dan Goldstein, April 12, 2010
• The Future of Financial Risk Management, by Professor Charles S Tapiero, April 6, 2010 [Lecture Note 1] [Lecture Note 2]
• Self-Imposed Limits to Arbitrage, by Professor Philip Z Maymin, March 10, 2010
• Interest-Rate Risk and Management of Fixed-Income Portfolios, by Professor Elias Shiu, February 8, 2010
• Risk Management Lessons Worth Remembering From the Credit Crisis of 2007-2009, by Dr. Bennett W. Golub, January 21, 2010 [Photos]
• Benchmarking and Industry Performance, by Thijs ten Raa, December 15, 2009
• Boundedly Rational Exeberance and Financialized Markets, by Bertrand Munier, November 18, 2009
• Lessons from the Crisis: The Limits of Financial Engineering, by Peter Schiff, April 30, 2009
• Economic systems following a major shock: A "microscopic" point of view, by Gur Yaari, February 24, 2010
• The Usefulness of Accounting Estimates for Predicting Cash Flows and Earnings, by Baruch Lev, January 28, 2009
• Bayesian Risks and Software Reliability, by Fabrizio Ruggeri, December 8, 2008
• Mutual Information and Estimation, by Tyrone Duncan, October 21, 2008
• Model Errors in Mathematical Finance, by Nassim Taleb, November 28, 2007
• Crunching the Numbers: From Price/Yield Conversion To Option-Based Analysis, by Andrew Kalotay, October 16, 2007

Research Publications

• "Covered Call ETFs for BRIC Markets" by Ronald T. Slivka, Sharad S. Bhat and Sridhar Nonabuhr Srinivasamurthy, January 15, 2013
• "Dynamic Pairs Trading Using the Stochastic Control Approach" by Raphael Yan and Agnes Tourin, March 9, 2012
• "Complex Ownership and Capital Structure" by Teodora Paligorova and Zhaoxia Xu, April 29, 2012
• "Securities Transaction Tax Reduction and Stock-Futures Arbitrage in India" by Ronald T. Slivka, Pankaj Aggarwal, Kunal K. Shastri, Raghvendra Sisodia, April 30, 2012
• "Price as a Choice Under Nonstochastic Randomness in Finance" by Yaroslav Ivanenko and Bertrand Munier, April 13, 2012
• "Index Arbitrage in China" by Ronald T. Slivka, Yikai Zhang, and Wenwen Zhang, February 7, 2012
• "On the Credit Risk of Secured Loans" by Fabian Astic and Agnes Tourin, October 26, 2011
• "NBA Chemistry: Positive and Negative Synergies in Basketball" by Philip Z Maymin, Allan Maymin, Eugene Shen, October 7, 2011
• "Momentum's Hidden Sensitivity to the Starting Day" by Philip Z Maymin, Zak maymin and Gregg Fisher, July 30, 2011
• "Constructing the Best Trading Strategy: A New General Framework" by Philip Z Maymin and Zak maymin, July 26, 2011
• "Calendar Spreads in China Stock Index Futures" by Ron Slivka, Xin Li and Yikai Zhang, May/June 2011 [Article]
• "Inter-Temporal Inventory Competition and the Effects of Capacity Constraints" by Charles S Tapiero and Konstantin Kogan, March 8, 2011
• "Strategic Naval Inspection for Port Safety and Security" by Charles S Tapiero and Kevin X. Li, December 31, 2010
• "Insurance and Finance: Competition and/or Convergence" by Charles S Tapiero, December 29, 2010
• "Hedging and Synthetic Funds Creation in the China Market" by Ron Slivka, August 26, 2010
• "CDO and Structured Financial Products: A Modeling Perspective" by Charles S Tapiero and Daniel Totouom, July 13, 2010
• "Discrete Versus Continuous Parametrization of Bank Credit Rating Systems Optimization Using Differential Evolution" by K. Ming Leung May 13, 2010
• "The Future of Financial Risk Management" by Charles S Tapiero, March 4, 2010
• "Suppliers-Led Outsourcing: An Intertemporal Hierarchical Framework" by Charles S Tapiero and Konstantin Kogan, March 3, 2010
• "Water Supply and Consumption Uncertainty: A Conflict-Equilibrium" by Charles S Tapiero and Konstantin Kogan, March 3, 2010
• "Invention, Entrepreneurship and Prosperity: The Dutch Golden Age" by Thijs Ten Raa, Pierre Mohnen, Jan Luiten Van Zanden and Bas Van Leeuwen, December 26, 2009
• "Boundedly Rational Exuberance on Commodity Markets" by Bertrand Munier, November 19, 2009
• "Regulation Simulation" by Philip Z Maymin, July 21, 2009
• "Market Pricing Orders Management with Price and Demand Uncertainty in Complete and Implied Complete Markets" by Charles S Tapiero, July 17, 2009
• "Energy Consumption and Environmental Pollution: A Stochastic Model" by Charles S Tapiero, July 17, 2009
• "The Price of Safety and Economic Reliability" by Charles S Tapiero, July 16, 2009
• "A Claims Persistence Process and Insurance" by Charles S Tapiero and Pierre Vallois, July 16, 2009
• "The Price of Quality Claims" by Charles S Tapiero, July 16, 2009

Book List

Author: Nassim Nicholas Taleb

• Antifragile: Things That Gain from Disorder. New York: Random House. ISBN-10: 1400067820 (November 27, 2012)
• Black Swan: The Impact of the Highly Improbable. New York: Random House. ISBN 978-1-4000-6351-2 (2007)
• Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets. New York: Random House. ISBN 0-8129-7521-9 (2001/2005)
• Le Hasard Sauvage. Paris: Les Belles Letters. ISBN 2-251-44297-9. The French edition of Fooled by Randomness with revisions and changes to the English version. (2005)
• Dynamic Hedging: Managing Vanilla and Exotic Options. New york: John Wiley & Sons. ISBN-0-471-15280-3 (1997)

Author: Charles S Tapiero

• Risk Finance and Asset Pricing: Value, Measurement, and Markets by Charles S. Tapiero (October 4, 2010) [details] [where to buy]
• Supply Chain Games: Operations Management and Risk Valuation (International Series in Operations Research & Management Science) by Konstantin Kogan and Charles S. Tapiero (Oct 3, 2007) [where to buy]
• Risk and Financial Management: Mathematical and Computational Methods (May 28, 2004) [where to buy]
• Applied Stochastic Models and Control for Finance and Insurance (April 30, 1998) [where to buy]
• Les outils et le contrôle de la qualité by Jean-Jacques Daudin and Charles Tapiero (Jan 1, 1996) [where to buy]
• Premium allocation and risk avoidance in a large firm: A continuous model (Discussion paper / Strategic Management Research Center, University of Minnesota)(Unknown Binding - 1989)
• Applied Stochastic Models and Control in Management (Advanced Series in Management, Vol 12) (Jan 1988) [where to buy]
• Managerial Planning: An Optimum and Stochastic Approach (Jan 1, 1978) [where to buy]

Faculty Publications

Charles S Tapiero

• Nassim Nicholas Taleb, and Charles S TapieroThe Risk Externalities of Too Big to Fail (forthcoming)
• The Price of Safety and Economic Reliability, in Pham Hoang Editor, Safety and Risk Modeling and Its Applications, Springer Verlagm Forthcoming 2009-2010
• A Claims Persistence Process and Insurance, (with Pierre Vallois), Insurance Economics and Mathematics,  Volume 44, Issue 3, June 2009, Pages 367-373
• Risk-Averse Order policies with random pricies in complete markets and retailers’ private information. European Journal of Operations Research, Tapiero C and K. Kogan, 196, 2009, 594-599
• Orders and Inventory Commodities with Price and Demand Uncertainty in  Complete Markets International Journal of Production Economics, 2008
• Volatility Estimators and the Inverse Range Process in a Random Volatility Random Walk and Wiener Processes, (with P. Vallois),  Physica A, 2007
• Memory-Based Persistence in A Counting Random Walk Process (with Pierre Vallois), Physica A,  October, 2007

Nassim Nicholas Taleb

• Technical Papers By Others Expanding on The Black Swan and The Fourth Quadrant
• Nassim Nicholas Taleb, and Charles S TapieroThe Risk Externalities of Too Big to Fail (forthcoming)
• Nassim Nicholas Taleb, 2010 Common Errors in the Interpretation of the Ideas of The Black Swan and Associated Papers,Critical Review, Vol 21, No 4
• Mandelbrot, B. and Nassim Nicholas Taleb (in Press). Random Jump, not Random Walk. In Francis Diebold and Richard Herring (Eds.), The Known, the Unknown, and the Unknowable, Princeton University Press
• Makridakis, S., & Nassim Nicholas Taleb, 2009, "Decision making and planning under low levels of predictability", International Journal of Forecasting (in press)
• Nassim Nicholas Taleb, and Charles S Tapiero Too Big to Fail and the Fallacy of Large Institutions (forthcoming)
• Pilpel, A. and Nassim Nicholas Taleb, 2009 (in Press), “Beliefs, Decisions, and Probability” , in (eds. T. O' Connor & C. Sandis) A Companion to the Philosophy of Action (Wiley-Blackwell).
• Nassim Nicholas Taleb, Golstein, D.G., and Spitznagel, M.,2009, "The Six Mistakes Executives Make in Risk Management", Harvard Business Review , October
• Haug, E.G. and Nassim Nicholas Taleb (2008) Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula, Wilmott
• Nassim Nicholas Taleb (in Press), Errors, Robustness, and the Fourth Quadrant, International Journal of Forecasting (forthcoming)
• Nassim Nicholas Taleb (2008) Infinite Variance and the Problems of Practice, Complexity, 14(2).
• Goldstein, D.G. and Nassim Nicholas Taleb (2007) We Don't Quite Know What We Are Talking About When We Talk About Volatility, Journal of Portfolio Management, Summer 2007.
• Nassim Nicholas Taleb (2007) "Black Swan and Domains of Statistics", The American Statistician, August 2007, Vol. 61, No. 3
• Nassim Nicholas Taleband Pilpel, A. (2007)Epistemology and Risk Management, "Risk and Regulation", 13, Summer 2007

Anne Zissu

• "Delta Hedging a Multi-Fixed-Income-Securities Porfolio under Gamma and Vega constraints", with Carlos Ortiz and Charles A. Stone in Journal of Risk Finance (Vol. 10 No.2, 2009)
• "Delta Hedging a Two-Fixed-Income-Securities Porfolio under Gamma and Vega constraints: the example of mortgage servicing rights", co-authored with Carlos Ortiz and Charles A. Stone in The Journal of Financial Transformation (Vol. 25, 2009; pp8-11 [Ledaing article])
• "Delta Hedging an IO securities backed by Senior Life Settlements", co-authored with Charles A. Stone in The Journal of Structured Finance (Summer 2009)

Zhaoxia Xu

• "Internal Finance, Predation, and Financial Crisis", co-authored with Soku Byoun, (January, 2011), in The Financial Management Association International (FMA)  [2011 FMA Annual Meeting Program – Paper Sessions]

Lucas Bernard

• "Agricultural Commodities and their Financialization", (w/ A. Greiner & W. Semmler), Aestimatio: The IEB International Journal of Finance, 5: (February 25th, 2012)
• "Boom–bust cycles: Leveraging, complex securities, and asset prices", co-authored with Willi Semmler, (September 8th, 2011), in DEGIT-XVI [Event] [Article]
• "IT Tools for Financial Asset Management & Engineering, (book chapter) in: The Companion to Financial Engineering", (T. Beder and C. Marshall, editors), Wiley-Blackwell (2011)
• "Boundedly Rational Exuberance in Commodity Markets — Some Comments on Bertrand Munier", (w/ W. Semmler), Risk and Decision Analysis (Volume 2, Issue 1, 2010)
• "Banking, Complex Securities, and the Credit Crisis", (w/ W. Semmler), Economic & Political Weekly (VOL 44, No. 13, March 28 - April 03, 2009)

Research Newsletter

• April 2012
• Spring 2010
• Summer 2009
• Fall 2008
• Spring 2008
• Fall 2007
• Spring 2007
• November/December 2006
• October 2006
• September 2006