2006-2007 - Financial Engineering Practitioners Seminar
<-- Return to the listSpring | |
| Derivatives Replication under Laplace Dynamics | |
| Speaker | Date/Location |
| Peter Carr, Bloomberg | 01-22-2007 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Two Topics in Finance: Siamese Twins and The Macroinvestment Function | |
| Speaker | Date/Location |
| Stephen Ross, MIT | 02-05-2007 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices & Why has CEO pay increased so much? | |
| Speaker | Date/Location |
| Xavier Gabaix, MIT | 02-19-2007 Start Time: 6:00pm End Time: 7:30pm 417 International Affairs Building, Altschul Auditorium |
| Equity Correlation Swaps: A New Approach For Modelling & Pricing | |
| Speaker | Date/Location |
| Sebastian Bossu, Dresdner Kleinwort | 02-26-2007 Start Time: 6:00pm End Time: 7:30pm 303 Mudd |
| Robustness and sensitivity analysis of risk measurement procedures | |
| Speaker | Date/Location |
| Rama Cont, Columbia University (IEOR) | 03-19-2007 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Sherlock Trader: Take-Over Sleuth | |
| Speaker | Date/Location |
| Michael Lipkin, American Stock Exchange & Columbia University (IEOR) | 04-09-2007 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| TBA | |
| Speaker | Date/Location |
| Stephane Crepey | 04-16-2007 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Where is the Option? Prepayment Modeling of MBS | |
| Speaker | Date/Location |
| Andrew Kalotay, Andrew Kalotay Associates & Deane Yang, Polytechnic University | 04-30-2007 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
Fall | |
| Some Latest Developments in Credit Portfolio Modeling | |
| Speaker | Date/Location |
| David Li, Credit Derivatives Group, Barclay Capital | 09-11-2006 Start Time: 6:00pm End Time: 6:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Modeling Prepayments and Defaults in Mortgage | |
| Speaker | Date/Location |
| Lakhbir Hayre, Citigroup | 09-25-2006 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Risk Tolerance and Optimal Portfolio Choice | |
| Speaker | Date/Location |
| Marek Masiela, BNP Paribas (London) | 10-05-2006 Start Time: 6:00pm End Time: 7:30pm 303 Mudd |
| How Hedge Funds Make Money - The Long and Short of It | |
| Speaker | Date/Location |
| Richard Bookstaber, FrontPoint Quantitative Fund | 10-09-2006 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Hybrid and Commodity Derivatives | |
| Speaker | Date/Location |
| Yaan Coatanlem, Citigroup | 10-23-2006 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Mean Reversion versus Random Walk in Oil and Natural Gas Prices | |
| Speaker | Date/Location |
| Hélyette Geman, Birkbeck, University of London and ESSEC Business School | 11-06-2006 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR |
| Real-Time Volatility Estimation Under Zero Intelligence | |
| Speaker | Date/Location |
| Jim Gatheral, Merrill Lynch | 11-22-2006 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |
| Understanding Expected Option Returns | |
| Speaker | Date/Location |
| Michael Johannes, Graduate School of Business, Columbia University | 12-04-2006 Start Time: 6:00pm End Time: 7:30pm 412 Schapiro CEPSR, Davis Auditorium |