The 15th Annual Workshop on Derivative Securities & Risk Management, December 5, 2008

THE CENTER FOR FINANCIAL ENGINEERING AND THE CENTER FOR APPLIED PROBABILITY (CAP) AT COLUMBIA UNIVERSITY PRESENT:THE 15TH ANNUAL WORKSHOP ON DERIVATIVE SECURITIES & RISK MANAGEMENT

Friday, December 5th, 2008, Columbia University, New York City
Location: Uris Hall, Room 301
9:00 AM--6:00 PM

SPEAKERS:

Robert Almgren, (Courant Institute of Mathematical Sciences, New York University)

“Quantitative Challenges In Algorithmic Trading”

Christoph Burgard, Global Head of Equities, Credit, Credit-Counterparty and Emerging Markets Quantitative Analytics, Barclays Capital

"New Developments In Volatility And Variance Products Pricing And The Link To Forward Volatility."

Jianqing Fan, (Professor of Finance, Director of Committee of Statistical Studies, Princeton University)

“Risk Assessment And Asset Allocation With Gross Exposure Constraints For Vast Portfolios”

Jean-David Fermanian, (Senior Quantitative Analyst, BNP Paribas)

"On Break Even Correlation: The Way To Price Structured Credit Derivatives By Replication."

Fabio Mercurio (Senior Researcher, Bloomberg L.P.)

“Market Models for Inflation Derivatives”

Attilio Meucci, (Head of Portfolio Research, Bloomberg L.P.)

“Fully Flexible Views: Theory And Practice”

Peter Tankov  (Associate Professor, Ecole Polytechnique)

“Pricing And Hedging Gap Risk”

Jiang Wang, Professor, MIT Sloan School of Management

“Asset Pricing And The Credit Market”

Johannes Wissel (Visiting Assistant Professor, Cornell University)

“Arbitrage-free Market Models For Liquid Options”
 

REGISTRATION

REGISTRATION FEES:

Academic:
$175 ($100 student)

Corporate & Institutional:
$350

PAYMENTS:

If paying by credit card, please click on the link below:
https://calendar.columbia.edu/sundial/webapi/register.php?eventID=27313

If paying by check, make checks payable to:
Center for Financial Engineering, Columbia University

Mail Checks to:
Industrial Engineering & Operations Research Department
Columbia University
500 West 120th Street Room 313 Mudd
New York, NY 10027
Attn: Donella Crosgnach


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