2005-2006 - Financial Engineering Practitioners Seminar
<-- Return to the listSpring | |
| Why Care About Variance in Option Pricing? | |
| Speaker | Date/Location |
| Nassim Nicholas Taleb, Empirica Inc and University of Massachusetts, Amherst | 01-23-2006 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Valuing MBSs and CMOs | |
| Speaker | Date/Location |
| Harvey Stein, Bloomberg LP | 02-13-2006 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Relative-Value Volatility Modelling | |
| Speaker | Date/Location |
| Marco Avellaneda, New York University | 02-20-2006 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Traditional Securities Research in a Stochastic Framework | |
| Speaker | Date/Location |
| Kenneth Posner, Morgan Stanley | 02-27-2006 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Liquidity and asset pricing: a (partial) survey | |
| Speaker | Date/Location |
| Yacov Amihud, New York University | 03-20-2006 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Demand-Based Option Pricing | |
| Speaker | Date/Location |
| Lasse Pedersen, New York University | 04-03-2006 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| The Shape of Fraud | |
| Speaker | Date/Location |
| Adil Abdulali, Protégé Partners | 04-24-2006 Start Time: 6:00pm End Time: 7:30pm 614 Schermerhorn |
Fall | |
| Skew modeling | |
| Speaker | Date/Location |
| Bruno Dupire, Bloomberg, New York | 09-12-2005 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Do Funds-of-Funds Deserve Their Fees-on-Fees? | |
| Speaker | Date/Location |
| Andrew Ang, Columbia University (Graduate School of Business) | 09-19-2005 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| A multi time-scale statistical feedback model of volatility: Stylized facts and implications for option pricing | |
| Speaker | Date/Location |
| Lisa Borland, EVA Funds, San Francisco | 10-10-2005 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Issues in CDO modeling | |
| Speaker | Date/Location |
| Leif Andersen, Banc of America | 10-24-2005 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| An Alternative Future: An Exploration of the Role of Hedge Funds | |
| Speaker | Date/Location |
| Cliff Asness, Managing and Founding Principal, AQR Capital Management, LLC. | 11-14-2005 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Modeling Hedge Fund Risk with a Multi-State Normal Distribution | |
| Speaker | Date/Location |
| Robert Litzenberger, Azimuth | 11-21-2005 Start Time: 6:00pm End Time: 7:30pm Interschool Lab, 750 Schapiro CEPSR |
| Structure and Behavior of Commodities Markets | |
| Speaker | Date/Location |
| David Eliezer, Integrated Finance Ltd. | 11-28-2005 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |