Columbia Mathematics of Finance Practitioners Seminar, Spring 2011

 

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

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

 

February 10, Thursday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income. Bond Mathematics.

 

February 15, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income. Forward Pricing and Options.

 

February 17, Thursday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income. Government and Agency Securities.

 

February 22, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income. Mortgage and Asset Backed Securities.

 

February 24, Thursday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income. Mortgage and Asset Backed Securities.

 

March 1, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income. Fixed Income Derivatives.

 

March 3, Thursday, David-Antoine Fournie (Morgan Stanley) ( U.S. Equity Exotic Options and Hybrids

 

March 8, Tuesday, Mikhail Smirnov, Projects. 

 

 

March 22, Tuesday,  Hicham Haj-Hamou (BNP Paribas), Fixed Income Dynamics

 

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), Quantitative Investments

 

March  31,  Thursday, Alexei Surkov (Deloitte), Financial instrument valuation and securetization.

 

April 5,  Tuesday,  Tebogo Phiri (Royal Bank of Canada), Statistical Arbitrage

 

April 7,  Thursday,  Mikhail Smirnov, Portfolio Allocation and Insurance

 

April 12,  Tuesday,  Karen Pham Van (Balestra Capital), Tail Hedging Alternatives in a Global Macro Portfolio

 

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.