SEAS Department Website

• Home

• Department Overview
• Undergraduate
• Graduate
• Admissions
• Research
• People
• Careers
• Seminars
  • Financial Engineering Practitioners Seminars
  • IEOR-DRO Seminars
  • The New York Quantitative Finance Seminar
  • The Discrete Math Seminar
  • Financial Engineering Summer Informal Seminar
  • IEOR Seminars
  • Industry Presentations
• News & Events
• Resources

Seminars

Developing the new VIX - a practitioner's tale

Date: 01-26-2004
Start Time: 5:30pm
End Time: 7:00pm
Speaker: Sandy Rattray, Equity Derivatives, Goldman Sachs & Co.
Location: 412 Schapiro CEPSR, Davis Auditorium

ABSTRACT

A discussion of the development of the New VIX (CBOE S&P Volatility Index), its replacement of the old index, and the hedging and development of products based on the new index.

BIO

Sandy Rattray heads US Equity Derivatives Research and is a Managing Director at Goldman Sachs. He has worked at Goldman Sachs since 1992, and previously led the European Equity Derivatives Research effort. The Equity Derivatives Research group focuses on options and futures strategies, risk analysis, derivatives market analysis and trading strategies. Benchmarks, indexation and asset allocation are also important areas of research. The team focuses on providing research to hedge funds, institutional investors and pension funds. The Goldman Sachs team was recently ranked #1 in the 2003 Institutional Investor Derivatives survey, and has consistently ranked #1 or 2 in the major European and US equity derivatives surveys. Sandy serves as a member on Russell Index Client Advisory Board and the FTSE World Index Committee. Sandy earned a Bachelors degree in Economics from Cambridge University in 1991, and completed post-graduate studies in European Economics at Universite Libre de Bruxelles in 1992.