From left to right: Gia An, Phuong Trinh, Mai Phuong, Thanh Truc, Khanh Nguyen
The team will study and conduct research in the field related to quantitative finance and risk management according to the plan designed by the Department and the company. Team members will be supported by the company with: real data, IT systems/backtest platform/account ChatGPT plus, and online courses. Particularly, members of the club will receive a monthly allowance from the company and will have internships at the company as well as other partner companies in the field of quantitative finance, insurance, etc.
The club will hold weekly seminar reports on new knowledge related to the field as well as the group’s research. This is an open seminar. All students of the Mathematics Department in the Financial Engineering and Risk Management, Applied Statistics, and students from other universities interested in the field of quantitative finance can attend.
The QFC, representatives of partner company, and professors of the Department of Mathematics
]]>Invited Speaker: Assoc. Prof. Duy Nguyen, School of Computer Science and Mathematics, Marist College, New York, USA.
Time: 9:00 AM, Wednesday February 28, 2024.
Location: Room A2. 401, International University, Vietnam National University-HCMC.
]]>Time: 1:30 PM December 23, 2023. Venue: A2.104
Invited Speakers:
Ms. Viên Hoàng Hà, Manulife Vietnam
Mr. Đinh Khánh Duy, Sacombank
Mr. Đặng Gia Huy, Data Scientist at VNLIFE
Mr. Dư Gia Kiên, Broker Manager at TPS
Mr. Nguyễn Trần Duy Tân, KPMG Vietnam
]]>Invited Speaker: Professor Minh-Ngoc Tran, Business School, University of Sydney, Australia.
Time: 2PM, Wednesday July 19, 2023.
Location: Room A2. 501, International University, VNU-HCM.
Abstract: Statistics has demonstrated it is escalating significance in the data-centric era, manifesting itself as both a specialized academic discipline and an interdisciplinary field. In this presentation, I aim to provide a birds-eye overview of Bayesian statistics and shed light on its recent advancements. I will then delve into two specific statistical applications that have occupied my attention over the past few years: financial econometrics and empirical psychology. Throughout the discussion, I will recount my personal experiences collaborating with psychologists and financial econometricians as a statistician, emphasizing the invaluable insights gained from these interactions.
]]>Born in 2000, Khai is one of the dynamic and talented students of Applied Mathematics program (FERM), International University – Vietnam National University Ho Chi Minh City of Batch 2018-2022. During his studies at IU, Khai won many awards and completed academic projects, including the project that won the first prize at the Vietnam National Econometrics Olympiad in 2021, a silver medal at the National Student Math Olympiad in 2019. In addition, Khai is also an excellent graduate of Applied Mathematics with a GPA of 90.5/100. Before joining Applied Mathematics at IU, Khai studied at Luong Van Chanh high school for the Gifted (Phu Yen).
Mr. Quang Khai in an Applied Mathematics seminar.
Khai firmly believes that he has learned a lot of important knowledge and skills during his study and research activities at International University – Vietnam National University, Ho Chi Minh City. The foundations of the bachelor’s program in Applied Mathematics (Financial Engineering and Risk Management) at IU would be a strong background on his road ahead. With a PhD scholarship in Applied Mathematics, Khai expects to study in-depth the research and apply modern mathematical models to Finance.
]]>Photo by Ngoc Duong, Thanh Nien News.
Miss Nguyễn Ngọc Phụng has been an undergraduate in the Applied Mathematics program (FERM) since September 2018. Under the mentor of Dr. Tạ Quốc Bảo, she was a member of the IU Applied Mathematics team that won the First Prize in the Olympic Contest of Econometrics and Applications 2021. She was also a member of the team that won the Third Prize at the IU Scientific Conference for Students in 2021. In August 2022, she successfully completed her thesis entitled “Stochastic Calculus on Option Valuation, Option Greeks and Applications in Hedging Strategies” under the supervision of Dr. Nguyễn Minh Quân. Miss Ngọc Phụng has achieved the Valedictorian prize with the highest GPA of 92.6/100 in the IU graduation Batch 2018-2022. This is also the highest GPA in the Applied Mathematics program since 2013.
The Department of Mathematics congratulates Miss Nguyễn Ngọc Phụng on achieving such a significant milestone in her career path.
]]>Invited Speaker: Professor Michael Wolf, University of Zurich, Switzerland.
Time and date: 2:00 PM, Wednesday, 14 September 2022.
Location: Room A1.204, International University, Vietnam National University-HCM, Quarter 6, Linh Trung Ward, Thu Duc City, Ho Chi Minh City.
Abstract:
Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC) price data instead of simply using daily returns. A key innovation, for the improved modeling of not only dynamic variances but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign of the observed return.
About the speaker:
Michael Wolf is a Professor of Econometrics and Applied Statistics at the University of Zurich and holds a Ph.D. in Statistics from Stanford University. Before joining the Department of Economics at the University of Zurich, he held previous positions at The University of California (Los Angeles), Universidad Carlos III (Madrid), and Universitat Pompeu Fabra (Barcelona). Michael Wolf’s research interests include resampling-based inference, multiple testing methods, the estimation of large-dimensional covariance matrices, and financial econometrics. His research has been published in leading journals, such as The Annals of Statistics, Biometrika, Econometrica, Journal of the American Statistical Association, and The Review of Financial Studies.
]]>IMPORTANT DATES:
LIST GRADUATION THESIS – S1, AY 2022-2023
No. | Student ID. | Fullname | Thesis title | Instructors |
1 | MAMAIU18062 | Huỳnh Kim Hoàng Vân | Predicting stock price trends using Machine Learning algorithms | Dr. Nguyễn Minh Quân |
2 | MAMAIU18076 | Nguyễn Ngân Quỳnh | Regression analysis and shrinkage methods in banking data models | Dr. Nguyễn Minh Quân |
3 | MAMAIU18073 | Nguyễn Thị Cẩm Thanh | Risk Budgeting Approach to Asset Allocation | Dr. Tạ Quốc Bảo |
4 | MAMAIU17032 | Đào Lê Mỹ Dung | Classify financial data using tree-based methods | Dr. Nguyễn Minh Quân |
5 | MAMAIU16010 | Phạm Phú Hanh | Stock Market Volatility analysis based on GARCH-type models | Dr. Tạ Quốc Bảo |
6 | MAMAIU18075 | Nguyễn Ngọc Bảo Trân | An Application of Multiple Linear Regression in Business | Dr. Tạ Quốc Bảo |
7 | MAMAIU16015 | Ngô Trung Nam | Applying machine learning to create a credit scoring model in banking | Assoc. Dr. Trần Vũ Khanh |
8 | MAMAIU18060 | Lâm Huệ Dung | Deep learning application in banking | Assoc. Dr. Trần Vũ Khanh |
9 | MAMAIU16062 | Trần Vũ Minh Vy | Peaks/Valleys Detection in Time Series With Financial Application | Dr. Phạm Hải Hà |
10 | MAMAIU18059 | Nguyễn Văn Hòa | Impact of Stock split announcements on Stock prices using Event Study | Dr. Nguyễn Phương Anh |
11 | MAMAIU18069 | Văn Thị Hồng Nhung | Generalized Linear Models and Applications in Insurance | Dr. Nguyễn Phương Anh |
12 | MAMAIU17013 | Đoàn Hà Anh Thư | Build a credit risk scorecard for lending institutions | Dr. Lê Nhật Tân |
13 | MAMAIU18079 | Trần Việt Hằng | Driver Churn Prediction for Ride-Hailing Service | Dr. Phạm Hải Hà |
14 | MAMAIU18003 | Trần Ngọc Trúc Anh | Inflation forecasting methods and applications. | Dr. Nguyễn Phương Anh |
15 | MAMAIU18057 | Lương Đỗ Vân Quyên | Machine Learning for Retail Price Optimization | Assoc. Dr. Trần Vũ Khanh |
16 | MAMAIU18039 | Nguyễn Thị Bảo Thy | Deep learning: stock price prediction | Assoc. Dr. Trần Vũ Khanh |
]]>
Ms. Kha Kim Bảo Hân has been awarded the Teaching Assistantship for her Ph.D. program in Statistics from Western Michigan University (WMU), Michigan, US. Ms. Bảo Hân was an undergraduate student in the Applied Mathematics program (Financial Engineering and Risk Management) during 2014-2018. In 7/2018, right before her thesis defense, she received a scholarship for French-Vietnam Master 2 in Applied Mathematics. She completed her MSc thesis entitled “On symmetric random walks on Z perturbed at 0” under the guidance of Prof. Marc Peigné, Université de Tours. Ms. Bảo Hân worked at the Department of Mathematics of IU as a TA and then as a lecturer since 2020.
Mr. Huỳnh Tấn Vũ has been admitted to the Master’s program in Statistics in Fall of 2022 at Stony Brook University, New York, US (the State University of New York at Stony Brook). Mr. Huỳnh Tấn Vũ was an undergraduate in the Applied Mathematics program (FERM) from September 2018. He was a member of the IU Applied Mathematics team that won First Prize in the Olympic Contest of Econometrics and Applications 2021. Mr. Tan Vu has been working at VietQuant since March 2022.
Mr. Nguyễn Kiến Quốc has received a scholarship (Teaching Assistantship) for his Master’s program in Statistics at the University of Toledo, Ohio, US. Mr. Nguyễn Kiến Quốc was an undergraduate in the Applied Mathematics program (FERM) from September 2017. He worked at SHB Finance after his graduation in March 2022.
Since the first graduation in 2017, there are more than 20 Applied Math students at IU that have received graduate scholarships from abroad institutes to pursue a graduate program in Applied Mathematics or related fields such as Statistics, Machine Learning, Data Science, Quantitative Finance, Business Analyst, Finance and Investment, Actuarial analyst, etc.
The Department of Mathematics of IU congratulates all on achieving such a significant milestone.
MSc in Applied Maths, Univ. of Tours, France (2019)
Ph.D. student in Statistics
Western Michigan University, USA
Graduate student in Statistics
State University of New York at Stony Brook, USA
Graduate student in Statistics
University of Toledo, Ohio, USA
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