Using R in Academic Finance

UPDATE NOV 4: We're back at Facebook! Thanks to the Facebook team for hosting and making arrangements.

Agenda

6:30 - 7:00 Networking and pizza (sponsored by Revolution Analytics)
7:00 - 7:15 Introductions and Announcements
7:15 - 8:15 Keynote Presentation
   Sanjiv Das, "Using R in Academic Finance"
8:30 Close

Our next meetup features Sanjiv Das, Professor of Finance at the Leavey School of Business, who will give a talk on "Using R in Academic Finance".

The talk will be a mix of some of his more current and topical research that uses R-based models, and some pedagogical applications of R. He will present (time permitting)

(a) An R-based model for optimizing loan modifications on distressed home loans, and the economics of these modifications.

(b) A goal-based portfolio optimization model for investors who use derivatives.

(c) Using network modeling tools in R to detect systemically risky financial institutions.

(d) Using R for web delivery of financial models and random generation of pedagogical problems.

The talk will emphasize the interplay of mathematical models, economic problems, and R.

Sanjiv Das is Professor of Finance and Chair of the Finance Department at Santa Clara University's Leavey School of Business, and is also a qualified Cost and Works Accountant. He is a senior editor of The Journal of Investment Management, co-editor of The Journal of Derivatives, and Associate Editor of other academic journals. Prior to being an academic, he worked in the derivatives business in the Asia-Pacific region as a Vice-President at Citibank. His current research interests include: the modeling of default and systemic risk, machine learning, social networks, derivatives pricing models, portfolio theory, and venture capital. He has published over seventy articles in academic journals, and has won numerous awards for research and teaching. His recent book "Derivatives: Principles and Practice" was published a year ago. He currently also serves as Program Director of Market Risk, Credit Risk, And Derivatives at the FDIC Center for Financial Research.

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  • John C.

    thank you so much

    November 21, 2011

  • David S.

    Professor Das's presentation is now available from the Files section for this group.

    November 21, 2011

  • Kelly B.

    Entertaining, informative, relevant.

    November 9, 2011

  • A former member
    A former member

    Great presentation! I loved the examples and how using R can even have big policy implications.
    Here's a link to the finance contest I mentioned at the beginning of the meeting (apologies for the plug): www.quantbench.com/challenge

    November 9, 2011

  • Jeff N.

    A really great talk by Prof. Das. Learned lots about economics and finance, and found out about some useful R packages.

    November 9, 2011

  • Rich G.

    Very good talk. The subject matter was right up my alley so I was very interested in it. (It was the first group event I've attended so I don't have too much basis for comparison.)

    November 9, 2011

  • Nicholas L.

    Interesting talk, more applied than I expected. I do prefer one topic in depth rather than whizzing through many. But the speaker was engaging and the talk was interesting, even though he was talking about finance and house without bringing up lynching ;-)

    November 9, 2011

  • John C.

    it was really awesome. Sanjiv Das gave a really good talk, too bad we didn't have enough time. The problems he was working on was really interesting and relevant and really made me want to get involved with what he was doing.

    November 9, 2011

  • Sanjay G.

    Very interesting coverage of the motivation and a great speaker. Would've loved to hear a bit more detail on the R techniques employed

    November 9, 2011

  • Greg O.

    It was an interesting and informative talk with an engaging speaker.

    November 9, 2011

  • Jitendra M.

    Awesome content and presentation.

    November 9, 2011

  • Craig B.

    Great presentation. I would have liked to see an extended version of Sanjiv's presentation - including an overview of his other projects. The allotted time was too short, in my opinion.

    November 9, 2011

  • Ariel E.

    I loved the talk, Prof. Das is very entertaining and interesting to listen to. My only comment was that it was quite light on the R, and I generally attend these meetups for R-related content (take, for example, the previous talk by Antonio on the rmr package).

    November 9, 2011

  • Ming-Chih K.

    Sadly not able to make it tonight. A recording would be great!

    November 8, 2011

  • Madana B.

    Thank you very much tony. I will connect with Bruce.

    November 8, 2011

  • Tony P.

    Hi Madana - send an email to bruce -at- subfuzion.com and mention that Tony referred you. He's on my team and leaving from west Cupertino. He might be able to take you... good luck.

    November 8, 2011

  • Madana B.

    Is anybody attending this meet-up from Cupertino area? I would like to attend this meet-up, but i don't have car to commute to the venue. I need a pickup and drop.

    November 8, 2011

  • David S.

    There will be pizza and networking from 6:30 - 7:00, and the formal agenda starts at 7. Sorry, we don't have facilities for livestreaming.

    November 8, 2011

  • Dani U.

    Does the seminar today start at 6:30pm sharp?
    I'm coming from Berkeley and won't be able to arrive before 7pm. Please let me know. Thanks.

    November 8, 2011

  • Carlos L.

    Is there any chance to see this online o recorded on any video website? I'm writing from Mexico :-(

    November 6, 2011

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