Financial Engineering Practitioners Seminar: Dario Villani
Date: March 02, 2015 from 6:00 pm to 7:30 pm EST
Location: Davis Auditorium, CEPSR Building
Contact: For further information regarding this event, please contact IEOR Department by sending email to info@ieor.columbia.edu .
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Title: 6 Memos for the Next Trading Years

Abstract: The talk explores six topics in trading and risk management that are key to differentiate between a good trade and a bad one. Correlation, frequency content of a noisy signal, and portfolio construction will be discussed with special emphasis on how models and strategies need to be different on the buy side vs. the sell side (practical applications will be drawn from rates, credit, and equities). Trading and modeling challenges of current rates environment will also be discussed.

Bio: Dario Villani is Co-Head of Global Rates & Macro at Hutchin Hill Capital LP. Dario joined Hutchin Hill from BlueCrest Capital Management where he was Portfolio Manager and built the Credit and Macro effort in the US. Dario was Managing Director in Global Credit Trading at Deutsche Bank before BlueCrest. Prior to joining Deutsche Bank in 2008, Mr. Villani was Managing Director of the Global Strategic Risk Group at Merrill Lynch. In this role, he headed proprietary trading for structured credit, ABS and CMBS. From 2004 to 2006, he was Vice President of the Proprietary Positioning Business at JPMorgan Chase. Previously, Mr. Villani worked at Hess Energy Trading Company as a Commodities Trader. He holds a PhD in Theoretical Physics with highest honors and a Masters in Finance from Princeton University and has authored over 25 articles in finance, physics and statistics. Dario is also a Visiting Lecturer at Princeton University where he teaches a graduate class in Trading and Risk Management.