Columbia Mathematics of Finance Practitioners Seminar, Spring 2009

Room 207 Mathematics Building, Tuesday, Thursday 7:40-9:00 p.m.

http://www.math.columbia.edu/~smirnov/PractSeminar09.html

Rick Klotz (Managing Director and Senior Risk Manager, Greenwich Capital) will give a mini-course with slide demonstrations "Understanding US Fixed Income Market"

January 24, Thursday, Sarbo Saha, (Towers Perrin)Energy & Power Risk

Management: An Introduction with Case Studies January 27, Tuesday, Mikhail Smirnov, Planning Student Projects.

January 29, Thursday, Hanse Chung (Barclays) Topics in Risk Management February 3, Tuesday, Mikhail Smirnov, Dynamic Leverage February 5, Thursday, Jonathan Schachter(IFS State Street) Topics in Risk February 10, Tuesday, Peter Toth (ICE) Commodities February 12, Thursday, Alexey Surkov (Deloitte) Credit Models February 17, Tuesday, Susan Palmer (SocGen) Topics in Risk February 19, Thursday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (cont) February 24, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (cont) February 26, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (cont)

March 3, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed

Income Markets (cont)

March 5, Thursday, Rick Klotz, (Greenwich Capital) U.S. Fixed

Income Markets (cont)

March 10, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed

Income Markets (cont)

March 12, Thursday, Rick Klotz, (Greenwich Capital) U.S. Fixed

Income Markets (cont)

March 24, Tuesday, TBA

March 26, Thursday, TBA

March 31, Tuesday, TBA

April 2, Thursday, TBA

April 7, Tuesday, TBA

April 9, Thursday, TBA

April 14, Tuesday, Mikhail Smirnov, Dynamic Risk Allocation.

April 16, Thursday, TBA

April 21, Tuesday, Student Project Presentations April 23, Thursday, Student Project Presentations April 28, Tuesday, Student Project Presentations April 30, Thursday, Student Project Presentations

Speakers listed TBA will be announced during the semester in class and on the website.

There is no final exam in this class. The fixed income portion of the class will have 2 homeworks and 1 takehome midterm. These grades take 30% of the class grade (10% for each homework and midterm). 70% of the grade will be calculated on the basis of the course project. Project can be a group project of up to 4 students (similar to MAT 4071) or individual project. Students must form a group, select a topic either themselves or in consultation with prof. Smirnov, and e-mail group list, topic and proposal to prof. Smirnov by February 19.

The projects are due April 21 and will be presented on April 21, April 23, April

28 and April 30 in class.