Columbia Mathematics of Finance Practitioners Seminar, Spring 2012

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

http://www.math.columbia.edu/~smirnov/PractSeminar12.html

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

“Understanding US Fixed Income Markets” March 22-April 12.

January 17, Tuesday, Mikhail Smirnov (Columbia University), Introduction to Seminar,

David Fournie (Morgan Stanley) Equity Exotic Options and Hybrids.

January 19, Thursday, Mikhail Smirnov (Columbia University), Student Projects.

January 24, Tuesday, Alexei Surkov (Deloitte), Financial Instrument Valuation and Securitization.

January 26, Thursday, Sarbo Saha (Barclays), Industry-Standard Volatility Models.

January 31, Tuesday, Olivier Rochet (UBS), Capital Requirements and Credit Risk.

February 2, Thursday, Olivier Rochet (UBS), Forex and Robotic Trading.

February 7, Tuesday, Bleron Baraliu (State Street) Impact of Dodd-Frank Act on OTC products.

February 14, Tuesday, Hanse Chung (Morgan Stanley), Risk Management.

February 16, Thursday, Mitch Carpen (Tokyo Mitsubishi), Managing Risk in Global Banks

February 21, Tuesday, Joshua Beach, Entrepreneurship

February 23, Thursday, Yury Blyakhman (JPMorgan Chase) Mathematical Modelling in Emerging Markets. Practical Aspects.

February 28, Tuesday, Mikhail Smirnov (Columbia University), Dynamic Leverage.

March 1, Thursday, Jonathan Schachter (Delta Vega LLC and Morgan Stanley), CDO's.

March 6, Tuesday, Adrien Sauvagnat (Murex), Life Settlements.

March 8, Thursday, Karen Pham Van (Balestra Capital), Hedging in a Global Macro Portfolio.

March 20, Tuesday, Tebogo Phiri (CIBC) A Survey of Quantitative Trading.

March 22, Thursday, Rick Klotz, (Greenwich Capital), U.S. Fixed Income Markets. Role of Investment Banking.

March 27, Tuesday, Rick Klotz, (Greenwich Capital), U.S. Fixed Income. Bond Mathematics.

March 29, Thursday, Rick Klotz, (Greenwich Capital), U.S. Fixed Income. Forward Pricing and Options.

April 3, Tuesday, Rick Klotz, (Greenwich Capital), U.S. Fixed Income. Government and Agency Securities.

April 5, Thursday, Rick Klotz, (Greenwich Capital), U.S. Fixed Income. Mortgage and Asset Backed Securities.

April 10, Tuesday, Rick Klotz, (Greenwich Capital), U.S. Fixed Income. Mortgage and Asset Backed Securities.

April 12, Thursday, Rick Klotz, (Greenwich Capital), U.S. Fixed Income. Fixed Income Derivatives.

April 17, Tuesday, Osman Ali, (Goldman Sachs) Some Quantitative Methods in Finance

April 19, Thursday, Student Project Presentations

April 24, Tuesday, Student Project Presentations

April 26, Thursday, Student Project Presentations

May 1, Tuesday, Student Project Presentations

The fixed income portion of the class will have 2 homeworks and a take-home final exam. These grades take 30% of the class grade (15% for homeworks and 15% for final). Final exam will be given on April 12 and is due May 1. 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 professor Smirnov, and e-mail group list, topic and proposal to professor Smirnov by February 21. The projects are due April 19 and will be presented on April 19, April 24, April 26 and May 1 in class.