2003-2004 - Financial Engineering Practitioners Seminar
<-- Return to the listSpring | |
| Developing the new VIX - a practitioner's tale | |
| Speaker | Date/Location |
| Sandy Rattray, Equity Derivatives, Goldman Sachs & Co. | 01-26-2004 Start Time: 5:30pm End Time: 7:00pm 412 Schapiro CEPSR, Davis Auditorium |
| New Frontiers in High Yield Bonds | |
| Speaker | Date/Location |
| Martin Fridson, CEO - FridsonVision LLC | 02-09-2004 Start Time: 5:30pm End Time: 7:00pm 412 Schapiro CEPSR, Davis Auditorium |
| When in-sample and out-of-sample turn out to be just one sample | |
| Speaker | Date/Location |
| Tanya Styblo Beder, Caxton Associates, LLC | 02-23-2004 Start Time: 5:30pm End Time: 7:00pm 412 Schapiro CEPSR, Davis Auditorium |
| KNOW YOUR WEAPON | |
| Speaker | Date/Location |
| Epsen Haug, J.P. Morgan, New York | 03-08-2004 Start Time: 5:30pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| A Stochastic Skew Model for Currency Options | |
| Speaker | Date/Location |
| Peter Carr, Bloomberg | 03-29-2004 Start Time: 5:30pm End Time: 7:00pm 412 Schapiro CEPSR, Davis Auditorium |
| Scaling behavior in stock return distributions | |
| Speaker | Date/Location |
| Parameswaran Gopikrishnan, Goldman Sachs & Co. | 04-12-2004 Start Time: 5:30pm End Time: 7:00pm 412 Schapiro CEPSR, Davis Auditorium |
| Estimation Error in the Assessment of Financial Risk Exposure | |
| Speaker | Date/Location |
| tephen Figlewski, Stern School of Business, NYU | 04-26-2004 Start Time: 5:30pm End Time: 7:00pm 412 Schapiro CEPSR, Davis Auditorium |
Fall | |
| "Blowup" versus "Bleed": What Does Empirical Psychology Say About the Preference For Negative Skewness? | |
| Speaker | Date/Location |
| Nassim Nicholas Taleb, Empirica Capital LLC. | 09-18-2003 Start Time: 5:30pm End Time: 7:00pm Math 312 |
| The Default Probability of Firms Implied by Their Equity Options Volatility Surfaces | |
| Speaker | Date/Location |
| Joe Zou, Goldman, Sachs & Co. | 09-22-2003 Start Time: 5:30pm End Time: 7:00pm Interschool Lab, Schapiro CEPSR |
| A theory of non-Gaussian option pricing: capturing the smile and the skew | |
| Speaker | Date/Location |
| Lisa Borland, Evnine-Vaughan Associates Inc. | 10-20-2003 Start Time: 5:30pm End Time: 7:00pm Hamilton 717 |
| Risk measurement for risk arbitrage strategies | |
| Speaker | Date/Location |
| Allan M. Malz, RiskMetrics Group | 11-10-2003 Start Time: 5:30pm End Time: 7:00pm Interschool Lab, Schapiro CEPSR |
| Dangerous Attractions: Informationless Investing and Hedge Fund Performance Measurement Bias | |
| Speaker | Date/Location |
| Andrew Weisman, Strativarius Partners | 11-17-2003 Start Time: 5:30pm End Time: 7:00pm Hamilton 717 |