The Quant / Financial Engineering Podcast

Join Rob Navin, founder of Real Time Risk Systems and expert in options strategies, alongside Estifanos Shekour, a Lehigh MFE student focused on option design. They discuss a groundbreaking method for estimating realized volatility through P&L from constant gamma positions. The conversation highlights the challenges of measuring market volatility, the advantages of dynamic hedging strategies, and the evolution of algorithmic trading. Delve into their insights on intraday trading, the significance of gamma capture, and innovative approaches to enhancing volatility analysis.

Professor Zoro speaks with Garrettt DeSimone about Options. Various aspects of the Option environment are discussed including OptionMetrics, The Vix on August 5th, 2024, Blogs by Garrett Garret is Head of Quant Research at OptionMetrics www.linkedin.com/in/garrett-desim…e-ph-d-4ab7ba68/ www.reuters.com/business/media-te…oubts-2023-07-28/ OptionMetrics optionmetrics.com www.businesswire.com/news/home/2023…ic-Researchers www.barchart.com/story/news/19307…roeconomic-risks Patrick Zoro www.linkedin.com/in/patrick-z-08bb5b5a/ Lehigh Master in Financial Engineeringhttps://business.lehigh.edu/academics/gradu…ial-engineering

Professor Zoro speaks with Joseph Furlong about the inverted Yield Curve and its implications. They get to talk about the $35 trillion national debt, the stock market and other salient topics. With over three decades of dedicated experience in banking, Joe's expertise lies in loan portfolio management and risk analytics. Patrick Zoro www.linkedin.com/in/patrick-z-08bb5b5a/Lehigh Master in Financial Engineeringhttps://business.lehigh.edu/academics/gradu…ial-engineering

Patrick Zoro discusses Alpha Mining with Bogdan Ivaniuk, Co-Founder & CEO at AlphaCube. Bogdan is also a Quantitative Researcher and Algorithmic Trader. Both discusses the interesting AlphaCube's approach of alpha mining algorithm, which has the capability to generate up to 40 million strategies daily on a single CPU. To achieve high-speed computation, AlphaCube employs a method of precalculating and storing large volumes of technical analysis data. The two further discuss the algorithm, which like an X-ray, can see available strategies in the market. Further AlphaCube is capable of reverse-engineering trading strategies. https://www.linkedin.com/in/patrick-z-08bb5b5a/ https://www.linkedin.com/in/bogdan-ivaniuk/

Patrick Zoro https://www.linkedin.com/in/patrick-z-08bb5b5a/ in a vivid discussion with book author Steve Dalton https://www.linkedin.com/in/daltonsteve/ Various topics are addressed through the lens of the students seeking a first job to the hiring manager. The conversation explores the psychology behind a LinkedIn, faceless approach vs the face to face relationship building but challenging approach. The two then compare and contrast the various approaches to seeking that first job after graduation, and how the skills acquired during that search can further help in your career. There is a particular focus on the international students and how they can best foster the power of networking.

Exploring the interconnected evolution of modern physics and finance, discussing the mathematical similarities between quantum physics and quantitative finance. Delving into the influence of quantum physics on finance, highlighting the impact of mathematical structures on our modern view of uncertainty and randomness in different domains.

Professor Zoro speaks with Brett Friedman about one of the most popular Wall Street auguries the so-called “January Barometer,” or the belief that the market’s investment performance in January is indicative of the rest of the year. Brett Friedman has managed risk for over 30 years and has broad experience working with financial institutions in risk management and operations. He has built and managed three risk management organizations from scratch, two trading startups, and has transacted on numerous exchanges and OTC markets, He brings a vast amount of first-hand risk management, operations, and valuation experience. Mr. Friedman was formerly the Chief Risk Officer of Ospraie Management, an $8 billion natural resource-based hedge fund and private equity group. Earlier in his career, Mr. Friedman served as a Partner at Risk Capital Management, Chief Risk Officer for three energy trading firms, worked for 10 years as an energy futures and options trader, and traded foreign exchange futures and options for the Union Bank of Switzerland. He started his career at the Federal Reserve Bank of NY. Mr. Friedman is a monthly contributor to OptionMetrics, the premier provider of historical options and implied volatility data. https://optionmetrics.com/blog/the-january-barometer-fact-fiction-or-both/ Patrick Zoro https://www.linkedin.com/in/patrick-z-08bb5b5a/ Lehigh Master in Financial Engineeringhttps://business.lehigh.edu/academics/graduate/masters-programs/ms-financial-engineering

Professor Zoro speaks with Quant Youtuber Mehul Mehta about the Master in Financial Engineering. Various aspects of the program are discussed including who is best for that program, the curriculum, the jobs Mehul is currently working at Charles Schwab as a Manager in Risk Modeling/Analytics department. Prior to Charles Schwab, Mehul was working at Regions Bank as Assistant Vice President in the Treasury Department. As a Treasury Quantitative Modeler, Mehul was responsible for the development and maintenance of quantitative solutions across a wide range of subjects such as CCAR, PPNR Modeling, balance sheet forecasting, deposit analytics, prepayment, interest rate risk, market risk, economic capital, fixed income analysis, yield curve construction, derivatives valuation. Mehul Mehta https://www.linkedin.com/in/mehul-mehta4/ https://www.youtube.com/@MehulMehta-ct7di Patrick Zoro https://www.linkedin.com/in/patrick-z-08bb5b5a/ https://www.youtube.com/@LehighMFE Lehigh Master in Financial Engineeringhttps://business.lehigh.edu/academics/graduate/masters-programs/ms-financial-engineering

Professor Zoro speaks with Brett Friedman about the VIXX and how it has behaved recently. Various aspects of VIX are explored including how it is calculated, its relevancy and its behavior. Brett Friedman has managed risk for over 30 years and has broad experience working with financial institutions in risk management and operations. He has built and managed three risk management organizations from scratch, two trading startups, and has transacted on numerous exchanges and OTC markets, He brings a vast amount of first-hand risk management, operations, and valuation experience. Mr. Friedman was formerly the Chief Risk Officer of Ospraie Management, an $8 billion natural resource-based hedge fund and private equity group. Earlier in his career, Mr. Friedman served as a Partner at Risk Capital Management, Chief Risk Officer for three energy trading firms, worked for 10 years as an energy futures and options trader, and traded foreign exchange futures and options for the Union Bank of Switzerland. He started his career at the Federal Reserve Bank of NY. Mr. Friedman is a monthly contributor to OptionMetrics, the premier provider of historical options and implied volatility data. Patrick Zoro https://www.linkedin.com/in/patrick-z-08bb5b5a/ Lehigh Master in Financial Engineeringhttps://business.lehigh.edu/academics/graduate/masters-programs/ms-financial-engineering

Professor Zoro speaks with Omid Malekan about Crypto and the need for more peer reviewed academic research. Various aspects of this topic are explored including the need for a "Crypto PE" for example. Omid is a an Adjunct Professor @ Columbia Business School, explainer in chief at https://www.linkedin.com/company/conversanceinc/ and a book author https://www.omidmalekan.com Patrick Zoro https://www.linkedin.com/in/patrick-z-08bb5b5a/ Lehigh Master in Financial Engineeringhttps://business.lehigh.edu/academics/graduate/masters-programs/ms-financial-engineering