5:00 pm to 6:15 pm

Financial Engineering Seminar: Kamyar Neshvadian "Yield Curve Modeling and Commodities"

Babbio 122

Yield Curve Modeling and Commodities
Kamyar Neshvadian
Quantitative Researcher/Trader
Highbridge Capital Management

Recent events in commodity markets have renewed interest in precise commodity term-structure modeling.

Commodity indices providing investors with exposure through futures markets traditionally roll their positions just prior to maturity to contracts with the next expiry date. With the development of contango in energy markets, market participants attempt to optimize their exposure by looking further out to determine the contract to roll into. These strategies attempt to maximize positive roll-return in backwardated markets and minimize losses during periods of contango.

Whether to develop or simply evaluate these innovative funds, it is imperative that one understand the dynamic nature of the commodity forward curve. The Nelson-Siegel (N-S) model for the yield curve, first proposed in 1987, provides us with a simple characterization that also has the flexibility to span the space of typical yield curve shapes.  This framework, equally popular among practitioners and central bankers , was first introduced to describe snapshots of the curve, but has since proved to be useful in identifying the three most significant factors, level, slope and curvature, that describe curve-dynamics. The model has also been found to deliver superior forecasting performance particularly at medium and long horizons.

The final missing link that establishes this methodology as a corner stone of fixed-income modeling is discussed in the recent work by Christensen who show that a modified version of the dynamic N-S framework can be cast as an arbitrage-free affine term-structure model, thus classifying it in a family that has been studied extensively in the theoretical literature on financial economics. In this paper, we adopt the N-S methodology to model the time-evolution of commodity futures prices.

BIO: Mr. Neshvadian has over 8 years of experience in financial industry in various capacities. He was a member of portfolio management team of Global Macro strategy in Highbridge Capital Management (HCM), a subsidiary of JP Morgan Asset Management. Since 2014 he has joined Q-Squared Capital as the head of fixed income strategies and oversees trading in Global Macro space. Mr. Neshvadian has developed, implemented and traded proprietary quantitative systematic strategies in all major asset classes, including fixed income, equities and commodities. He was the key person in portfolio management team, responsible to manage all trading and operational aspect of Highbridge-JP Morgan commodity mutual fund. At its peak, the fund had more than $3.5 billion assets under management. Before joining HCM he was in Al-Muhaidib/ Noor Group where he worked for two years as a business development manager focusing on private equity investments. Mr.Neshvadian is also a board member and chief financial officer of NomoCan Pharmaceuticals, a startup company founded in 2014 to develop a pancreatic cancer drug. Mr. Neshvadian received an M.S. in Financial Engineering from New York University. He also holds a B.S. and a M.S. in Industrial Engineering and System Analysis from Sharif University of Technology. In addition, he received a Financial Risk Manager certification in March 2010.

This event is co-sponsored by the School of Systems & Enterprises, Financial Engineering Division and the Howe School of Technology, Quantitative Finance Program. The Financial Engineering Seminar Series is a centerpiece of the graduate Financial Engineering Division and the undergraduate Quantitative Finance Program at Stevens Institute of Technology.  Its mandate is to arrange talks on current research and industry trends in financial engineering and quantitative finance that will be of interest to those who work in both industry and academia.


9:00 am to 5:00 pm

Conference on Systems Engineering Research (CSER 2015)

Stevens Institute of Technology

March 17-19, 2015
Hoboken, NJ, United States

Tuesday, March 17: SEANET Workshop (Systems Engineering & Architecting Doctoral Network for Research)
This workshop is designed for current or soon-to-be doctoral students, and consists of speakers and breakout sessions focused on performing doctoral research.

Wednesday, March 18 - Thursday, March 19: CSER Conference     


The 13th Annual Conference on Systems Engineering Research (CSER) invites authors to submit papers that push the boundaries of systems engineering research and respond to new challenges for systems architecting and engineering. Since its inception, CSER has become the primary conference for disseminating systems engineering research and germinating new research ideas.

Current and prospective doctoral students are also invited to attend the Systems Engineering & Architecting Network for Research (SEANET) workshop on March 17, 2015. Research challenges and strategies for success in graduate research will be discussed.


All Day

Undergraduate Reading Day

Undergraduate Reading Day