quantitative

Wharton School Awarded $8 Million for Quantitative Finance Major | News

The Wharton School of the University of Pennsylvania has announced an $8 million gift from alumnus Bruce I. Jacobs (G ’79, GRW ’86) in support of a new major, a professorship, and a student scholarship program.

The gift will create a new cross-disciplinary quantitative finance major in Wharton’s Finance Department, with a focus on preparing students for careers in financial engineering, quantitative asset management and trading, applied research, and risk management. The gift also will establish a professorship in quantitative finance named after Jacobs as well as the Dr. Bruce I. Jacobs Scholars in Quantitative Finance program, through which exceptional students entering their second year of the Wharton MBA program will receive scholarships of $25,000 to help offset the cost of tuition.

A longtime supporter of and former faculty member of the Wharton School, Jacobs, together with Kenneth N. Levy (WG ’76, G ’82), earlier provided support for the Jacobs

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New Quantitative Finance Major and Dr. Bruce I. Jacobs Professorship and Scholars Mark New Chapter in Quantitative Finance Research and Education at the Wharton School

PHILADELPHIA, April 2, 2020 — Wharton Dean Geoff Garrett is delighted to announce a new chapter in finance research and education at the Wharton School. The MBA program is launching a new quantitative finance major within the Finance Department. New courses will be offered, bolstered by the establishment of the Dr. Bruce I. Jacobs Professorship in Quantitative Finance and the new Dr. Bruce I. Jacobs Scholars in Quantitative Finance. The Jacobs Scholars funding will provide top caliber students with the opportunity to compete for a second year financial academic award. The new professorship and scholars funds have been made possible by an $8 million gift from Dr. Bruce I. Jacobs, G’79, GRW’86. Together, they will usher in a new era of opportunities for students and faculty at Wharton.

Dr. Bruce I. Jacobs, G’79, GRW’86

The Dr. Bruce I. Jacobs Professorship in Quantitative Finance will support the appointment to Wharton’s Finance

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google/tf-quant-finance: High-performance TensorFlow library for quantitative finance.

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Table of contents

  1. Introduction
  2. Installation
  3. TensorFlow training
  4. Development roadmap
  5. Examples
  6. Contributing
  7. Development
  8. Community
  9. Disclaimers
  10. License

Introduction

This library provides high-performance components leveraging the hardware
acceleration support and automatic differentiation of TensorFlow. The
library will provide TensorFlow support for foundational mathematical methods,
mid-level methods, and specific pricing models. The coverage is being
expanded over the next few months.

The library is structured along three tiers:

  1. Foundational methods.
    Core mathematical methods – optimisation, interpolation, root finders,
    linear algebra, random and quasi-random number generation, etc.

  2. Mid-level methods.
    ODE & PDE solvers, Ito process framework, Diffusion Path Generators,
    Copula samplers etc.

  3. Pricing methods and other quant finance specific utilities.
    Specific Pricing models (e.g Local Vol (LV), Stochastic Vol (SV),
    Stochastic Local Vol (SLV), Hull-White (HW)) and their calibration.
    Rate curve building, payoff descriptions and schedule generation.

We aim for the library components to be easily accessible at each level. Each
layer

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