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