Wednesday, November 05, 2008

The 15th Annual Workshop on Derivative Securities & Risk Management

The Center for Applied Probability (CAP) and the Center for Financial Engineering 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



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)

“Inflation Modeling With SABR Dynamics”

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)

“Arbitrage-free Market Models For Liquid Options”

A light lunch will be provided, and a wine and cheese reception will be held at the end of the day.


$175 ($100 student)

Corporate & Institutional:

If you are paying be credit card, please check back for information regarding our online system.

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

For registration and more information please click on the following link: