Columbia Mathematics of Finance Practitioners Seminar, Spring 2010

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

http://www.math.columbia.edu/~smirnov/PractSeminar10.html

Rick Klotz (Greenwich Capital) will give a mini-course

“Understanding US Fixed Income Markets”.

January 19, Tuesday,

Mikhail Smirnov, Introduction to Seminar, Review of Topics for Student Projects.

January 21, Thursday,

Gabriel Medina (HSBC Bank), Monte Carlo Calculations of Value-at-Risk

and other Risk Measures.

January 26, Tuesday,

Jan Vecer (Columbia Statistics Dept), Drawdown Statistics.

January 28, Thursday,

Jonathan Schachter, (State Street/IFS) New Approaches in Risk.

February 2, Tuesday,

Tebogo Phiri (Royal Bank of Canada), Some Aspects of Quantitative Investments.

February 4, Thursday,

Filo Fiorani (Bank of America Merrill Lynch), Option and Credit Derivative

Pricing under Variance Gamma Processes.

February 9, Tuesday,

Anil Suri, Nevenka Vrdoljak (Bank of America Merrill Lynch) Asset Allocation Modeling.

February 11, Thursday,

Hicham Haj-Hamou (BNP Paribas) Current Dynamics of Fixed Income Markets.

February 16, Tuesday,

Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets. Role of Investment Banking.

February 18, Thursday,

Rick Klotz, (Greenwich Capital) U.S. Fixed Income. Bond Mathematics.

February 23, Tuesday,

Rick Klotz, (Greenwich Capital) U.S. Fixed Income. Forward Pricing and Options.

February 25, Thursday,

Rick Klotz, (Greenwich Capital) U.S. Fixed Income. Government and Agency Securities.

March 2, Tuesday,

Rick Klotz, (Greenwich Capital) U.S. Fixed Income. Mortgage and Asset Backed Securities.

March 4, Thursday,

Rick Klotz, (Greenwich Capital) U.S. Fixed Income. Fixed Income Derivatives.

March 9, Tuesday,

Rick Klotz, (Greenwich Capital) U.S. Fixed Income. Fixed Income Derivatives.

March 11, Thursday

Olivier Rochet (UBS), Capital Requirements - Credit Risk.

March 23, Tuesday,

Sandro Fusco (Thomson Reuters) Portfolio Risk

March 25, Thursday,

Rick Klotz, (Greenwich Capital) U.S. Fixed Income. Conclusion.

March 30, Tuesday,

Mikhail Smirnov, Dynamic Leverage and Dynamic Risk.

April 1, Thursday,

Mikhail Smirnov, Dynamic Leverage and Dynamic Risk II

April 6, Tuesday,

Marc-Albert Michaud, (Deutsche Bank), New Banking Regulation

April 8, Thursday,

Chenxu Li, (Columbia), Managing Volatility Risk

April 13, Tuesday,

Karen Pham Van, (Balestra Capital) TBA

April 15, Thursday,

Anthony Cassese, (Bank of America Merrill Lynch), Topics in Risk

April 20, Tuesday,

Shane Hegarty, (Eton Park Capital), Hedge Fund Portfolio Management

April 22, Thursday, Student Project Presentations

April 27, Tuesday, Student Project Presentations

April 29, Thursday, Student Project Presentations

May 4, Tuesday, Student Project Presentations

There is no final exam in this class. The fixed income portion of the class will have 1 homework and 1 takehome midterm. These grades take 30% of the class grade (15% for 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 18. The projects are due April 22 and will be presented on April 22, April 27, April 29 and May 4 in class.