Dr. Neil Chriss (Goldman Sachs):

"Trading volatility swaps"

1 lecture, Tuesday, January 26.

Room 207 Math., 7:30-9:30 p.m.

Dr. Peter Carr (Nationsbank):

4 lectures, Tuesdays-February 2, 9, 16, 23

Room 207 Math., 7:30-9:00 p.m.

Dr. Rui Kan (CS First Boston):

Quantitative Modeling

1 lecture, Tuesday March 9

Room 207 Math., 7:40-9:00 p.m.

Nedia Miller, (Miller), Sam F. Elia, (Director of Analytics, Duke Solutions) :

Trading of Energy Derivatives.

1 lecture, Thursday March 11

Room 207 Math., 7:40-9:00 p.m.

Dr. Nick Chavdarov (Lehman Brothers):

"Measuring and Managing of Risks, Credit Risks"
1 lecture, Tuesday, March 23.

Room 207 Math., 7:30-9:oo p.m.

Dr. Sergei Esipov (Centre-Re):

"Trading probabilities"

1. Pricing of Objective and Subjective Probabilities
2. Shortcomings of Dynamical VAR
3. Guidelines for Building a Preferred Probability Distribution
4. Energy and Weather Derivatives.

1 lecture, March 25.

Room 207 Math., 7:30-9:oo p.m.

Dr. Jim Gatheral (Managing Director, Merrill Lynch Equity Derivatives):

"Volatility".

1 lecture, Thursday April 8,

Room 207 Math., 7:40-9:00 p.m.

Dr. Mark Anson (Oppenheimer Funds):

"Real Assets Portfolio Management".

1 lecture, Thursday April 15,

Room 207 Math., 7:40-9:00 p.m.
 

Dr. Nassim Taleb (Paribas):

"Hedging".

1 Lecture, TBA April

Room 207 Math., 7:30-9:00 p.m.

Dr. Achilles Venetoulias (Lehman Brothers Prop Trading):

Statistics in Trading.

1 Lecture, TBA April

Room 207 Math., 7:30-9:00 p.m.

Dr. Rick Klotz (Greenwich Capital):

"Understanding the US-Bond market".

Lectures, Tuesdays March 30, April 6, 13, 20, 27 & May 4. Thursday April 22

Room 207 Math., 7:30-9:00 p.m.

Dr. Zili Zhu (Division of Mathematical & Information Sciences Commonwealth Scientific & Industrial Research Organisation (CSIRO) Australia ):
Pricing Exotic Options through Generic Finite-Element PDE

1 Lecture, May 6

Room 207 Math., 7:30-9:00 p.m.

Practitioner's Seminar