Room 207
http://www.math.columbia.edu/~smirnov/PractSeminar07.html
Rick Klotz (Managing Director and Senior Risk Manager, Greenwich Capital) will give minicourse
Understanding US Fixed Income Market (Mini-course with slide demonstrations)
January 16, Tuesday, Mikhail Smirnov, Review of the seminar and seminar projects.
January 23, Tuesday, , Mikhail Smirnov, Dynamic Risk Allocation.
January 25, Thursday, Bleron Baraliu,(Portfolio Manager, Zais Group) CDO’s.
January 30 Tuesday, Wilmer Henao, (ING Investment Management)
February 1, Robert Fernholz, (Intech) Stochastic Portfolio Theory and Applications.
February 6, Tuesday, Ioannis Karatzas Stochastic Portfolio Theory 1.
February 8, Thursday, Ioannis Karatzas Stochastic Portfolio Theory 2.
February 13, Tuesday, Leif Andersen (Bank of America) Efficient and Robust Simulation of Stochastic Volatility Models.
February 15, Mikhail Smirnov, Question and Answers session.
February 20, Tuesday, Rick Klotz, (
February 22,
Thursday, Rick Klotz, (
February 27, Tuesday, Rick Klotz, (
March 1, Thursday, Rick Klotz, (
March 6, Tuesday, Mikhail Smirnov,
March 8, Thursday, Rick Klotz, (
March 20, Tuesday, Rick Klotz, (
March 22, Thursday, Rick Klotz, (
March 27, Tuesday, Rick Klotz, (
March 29, Thursday, Adam Tashman (Ivy Asset Management) Modeling Risk in Arbitrage Strategies Using Finite Mixtures.
April 12-19 Speakers will be announced later, during the course of the seminar and on the web.
April 3, Tuesday, Mikhail Smirnov TBA
April 5, Thursday, Noah Yechiely (Bridgewater) TBA
April 24, Tuesday, Student Project Presentations
April 26, Thursday, Student Project Presentations
May 1, Tuesday, Student Project Presentations
May 3, Thursday, Student Project Presentations
Speakers for other dates 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 15.
The projects are due April 26 and will be presented on April 24, April 26, May 1 and May 3 in class.