Room 207
http://www.math.columbia.edu/~smirnov/PractSeminar11.html
Rick Klotz
(Greenwich Capital) will give a mini-course
“Understanding
US Fixed Income Markets”.
January 18, Tuesday, Mikhail Smirnov, Introduction to Seminar.
January 20,
Thursday, Mikhail Smirnov, Dynamic Leverage
January 25, Tuesday, Adrien Sauvagnat, Life Settlements.
January 27,
Thursday, Olivier Rochet, (UBS), Capital Requirements - Credit Risk
February 1,
Tuesday, Johannes Muhle-Karbe (ETH Zurich) Asymptotic and Exact Pricing of Options on Variance (Joint work with
Martin Keller-Ressel)
February 4, Thursday, Mikhail Smirnov, Dynamic Risk and Portfolio Insurance
February 8,
Tuesday, Rick Klotz, (
February 10,
Thursday, Rick Klotz, (
February 15,
Tuesday, Rick Klotz, (
February 17,
Thursday, Rick Klotz, (
February 22,
Tuesday, Rick Klotz, (
February 24,
Thursday, Rick Klotz, (
March 1,
Tuesday, Rick Klotz, (
March 3,
Thursday, David-Antoine Fournie (Morgan Stanley) (
March 8,
Tuesday, Mikhail Smirnov, Projects.
March 22,
Tuesday, Hicham Haj-Hamou (BNP Paribas),
March 24,
Thursday, Anna Haskell, Commodities investments; Guanghua Gao (Bank of America) Quantitative trading: general method and procedure.
March 29,
Tuesday, Michael Stanley (Goldman Sachs),
March 31,
Thursday, Alexei Surkov (Deloitte), Financial instrument valuation and securetization.
April 5, Tuesday, Tebogo Phiri (Royal Bank of Canada),
April 7, Thursday, Mikhail Smirnov,
April 12, Tuesday, Karen Pham Van (Balestra Capital),
April 14,
Thursday, Mitch
Carpen (Bank of Tokyo-Mitsubishi), Risk Management in Banks.
April 19, Tuesday, Student
Project Presentations
April 21, Thursday, Student
Project Presentations
April 26, Tuesday, Student Project Presentations
April 28, Thursday, Student
Project Presentations
There is no
final exam in this class. The fixed income portion of the class will have 1 homework and 1 take-home 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 17. The projects are due April 19 and will be presented on April 19, April
21, April 26 and April 28 in class.