2004-2005 - Financial Engineering Practitioners Seminar
<-- Return to the listSpring | |
| Measuring and dynamically hedging the economic value of a derivative portfolio for counterparty credit risk | |
| Speaker | Date/Location |
| Evan Picoult, Managing Director, Citigroup | 01-25-2005 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |
| Options on Realized Volatility | |
| Speaker | Date/Location |
| Zhenyu Duanmu, Merrill Lynch | 02-07-2005 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |
| Establishing a Formal System of Internal Controls for Modeling Operational Risk | |
| Speaker | Date/Location |
| Peter Vinella and Jeanette Jin, PVA International | 03-07-2005 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |
| Fundamentals Drive Alpha | |
| Speaker | Date/Location |
| Bob Litterman, Managing Director, Goldman, Sachs & Co. | 03-21-2005 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |
| A Multi-Factor Binomial Interest Rate Model with State Time Dependent Volatilities | |
| Speaker | Date/Location |
| Thomas S. Y. Ho | 03-28-2005 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |
| Optimal Portfolio Construction from Ordering Information | |
| Speaker | Date/Location |
| Neil Chriss, Managing Director of Quantitative Strategies, SAC Capital Management, LLC. | 04-04-2005 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |
| Fed Funds‑Everything Else is a Derivative | |
| Speaker | Date/Location |
| Stan Jonas, FIMAT | 04-18-2005 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |
| A Note on Strategic and Tactical Asset Allocation for Hedge Funds | |
| Speaker | Date/Location |
| Hari Krishnan, Morgan Stanley | 05-02-2005 Start Time: 6:00pm End Time: 7:30pm Mudd 303 |
Fall | |
| Pricing of Money Management Firms: A Bleak Future or an Example of Limits of Arbitrage? | |
| Speaker | Date/Location |
| Gur Huberman, Columbia University | 09-13-2004 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |
| Robust Hedging of Volatility Derivatives | |
| Speaker | Date/Location |
| Roger Lee, University of Chicago | 09-20-2004 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |
| Options Market-Making on an Exchange Floor. Reality, NOT Theory | |
| Speaker | Date/Location |
| Michael Lipkin, Katama Trading LLC. | 09-27-2004 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |
| Prediction Markets | |
| Speaker | Date/Location |
| Justin Wolfers, Business and Public Policy Dept, The Wharton School | 10-18-2004 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |
| Great Moments in Financial Economics: The Hidden History | |
| Speaker | Date/Location |
| Mark Rubinstein, The Haas School, University of California, Berkeley | 11-01-2004 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |
| Macrofinance: New Contingent Claims Framework for Valuation and Risk Analysis of Economies and its Real-world Applications | |
| Speaker | Date/Location |
| Dr. Dale Gray, President of Macro Financial Risk Corporation and Co-director of Moody's-MfRisk Project | 11-15-2004 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |
| Outlook for U.S. Equity Markets | |
| Speaker | Date/Location |
| Thomas McManus, Bank of America Securities. | 11-22-2004 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |
| Neutralizing betas without neutralizing alphas in funds of hedge funds | |
| Speaker | Date/Location |
| Craig French & Jimmy Liew, Dubin & Swieca Capital Management, LLC. | 11-29-2004 Start Time: 6:00pm End Time: 7:30pm 412 Shapiro CEPSR, Davis Auditorium |