Construction of an Interest Rate Model from Statistical Data

Event Date: March 30, 2011
Speaker: Dr. Yuri Balasanov
Speaker Affiliation: AQ Strategies L.L.C. and the University of Chicago
Sponsor: Communications, Networking, Signal & Image Processing
Time: 4:00 PM
Location: MSEE 239
Contact Name: Professor Ilya Pollak
Contact Phone: 765-494-5916
Contact Email:


This presentation describes a method of processing signals from financial markets. We analyze yields to maturity of on-the-run Treasury securities. The obtained statistical model can be used as a framework for generating signals for trading and risk management of interest rate derivative products in different market environments from high frequency to low frequency. We discuss the advantages and the trade-offs of low dimensional parameterization of the market data. We discuss important steps from the statistical description to a signal processing framework for arbitrage-free analysis of financial derivative products. This presentation is based on the real experience that the author has had in the financial industry for many years as quantitative researcher, quantitative trader and risk manager.



Professor Balasanov is a risk manager, trader, researcher and educator. He is Head of Research and Trading at AQ Strategies LLC, President and founder of Research Software International Inc., and Adjunct Professor at The University of Chicago's Program on Financial Mathematics.


Yuri has worked in the financial industry since 1991. He has been teaching Financial Mathematics at The University of Chicago since 1997. Prior to launching Alpha Quant Fund at AQ Strategies LLC, he worked at Lotsoff Capital Management as Chief Investment Officer; at Ritchie Capital Management as Director of Quantitative Research and Quantitative Trader; at Bank of America as leading quantitative researcher; and at Chicago Research and Trading (CRT) as quantitative researcher.


Prior to becoming an industry practitioner Yuri taught at the Moscow State University in Russia where he also received his Master’s degree in Applied Mathematics and PhD in Probability and Statistics.