Milan Borkovec
Quantitative Research at Virtu Financial
- Role
- Quantitative Research at Virtu Financial
- Location
- Boston, MA, US
- LinkedIn followers
- 500 followers
About Milan Borkovec
Milan Borkovec is part of Virtu\'s Quantitative Research team since March 2019. Prior to Virtu, he was Managing Director and head of ITG\'s Financial Engineering department since 2007. The research areas in his group range from portfolio, pre-trade to post-trade analytics across different asset classes. Milan began specializing in applied probability theory, statistics and insurance mathematics at the Swiss Federal Inistitute of Technology Zurich, where he was awarded with the Walter-Saxer-University Prize of Insurance for his diploma thesis. He continued research in the field of extreme value theory studying large fluctuations in financial models at Johannes Gutenberg University of Mains and the Munich University of Technology, where he obtained his PhD in and won the scientific award of the Bayerische Landesbank. His visiting professorship at the School of Operations Research and Industrial Engineering at Cornell University was sponsored by the Swiss National Science Foundation. At Cornell, Milan Borkovec taught his own graduate level course and originated new research in credit risk modeling and pricing of derivatives, heavy-data traffic modeling as well as asymptotic theory of sample autocovariance and autocorrelation functions of financial time series.Specialties: Specialities- Finance: market microstructure, transaction cost analysis, trading strategies, credit risk theory, option derivation, financial modeling, term structure modeling, risk management, portfolio theory- Quantitative: econometrics and statistics (parametric and non-parametric), stochastic processes, optimization, stochastic analysis, extreme value theory- Operating Systems: Unix, Windows 3.x, NT, XP, Programming: Perl, Matlab, Mathematica, Splus and LaTeX
Experience
Quantitative Research
Mar 2019 — Present · Boston, MA, US
Education
Technical University of Munich
PhD, Applied Probability Theory / Statistics
1997 — 1999
Johannes Gutenberg University Mainz
PhD, Applied Probability Theory / Statistics
1995 — 1997
Skills
- Financial Modeling
- Equities
- Risk Management
- Financial Markets
- Trading
- Econometrics
- Options
- Quantitative Finance
- Statistics
- Capital Markets
- Trading Systems
- Trading Strategies
- Derivatives
- Hedge Funds
- Fixed Income
- Portfolio Management
- Electronic Trading
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