Columbia Mathematics of Finance Practitioners Seminar, Spring 2001

Room 312 Mathematics Building, 7:40-9:00 p.m.

http://www.math.columbia.edu/~smirnov/PractSeminar01.html

January 16, Tuesday, Dr. Alexei Chekhlov (Thor Capital LLC)

Portfolio Optimization with Drawdown Constraints

January 23, Tuesday, Dr. Peter Carr (BancAmerica)

Dynamic and Static Hedging of Exotic Equity Options, 1

January 30, Tuesday, Dr. Peter Carr (BancAmerica)

Dynamic and Static Hedging of Exotic Equity Options, 2

February 6, Tuesday, Dr. David De Rosa (President of DeRosa Research and Trading

and Adjunct Professor of Finance, Yale School of Management)

In Defense of Free Capital Markets:

The Case Against A New Financial Architecture.

The book by Dr. De Rosa with the same title is available at Borders and Barnes and Noble. It goes over all of the crises of the 1990s and talks about Japan

February 8, Thursday, Dr. Pat Hagan (Nomura Securities)

Managing smile dynamics

Abstract: A closed form solution for the implied volatility in stochastic volatility model (the SABR model) is presented. This solution shows good, and often spectacular, agreement with the observed volatility smiles. More importantly the SABR model predicts the correct smile dynamics, which leads to stable hedges.

February 13, Tuesday, Dr. Peter Carr (BancAmerica)

Dynamic and Static Hedging of Exotic Equity Options, 3

February 20, Tuesday, Dr. Peter Carr (BancAmerica)

Dynamic and Static Hedging of Exotic Equity Options, 4

February 22, Thursday, Dr. Andrew Matytsin (Merrill Lynch) TBA

February 27, Tuesday, Dr. Ali Hirsa (Morgan Stanley Dean Witter)

March 1, Thursday, Dr. Ali Hirsa (Morgan Stanley Dean Witter)

March 6, Tuesday, Dr. Ali Hirsa (Morgan Stanley Dean Witter)

March 8, Thursday, Dr. Ali Hirsa (Morgan Stanley Dean Witter)

March 20, Tuesday, Dr. Alexei Chekhlov (Thor Capital LLC)

The empirical distribution of returns in different markets and Levy processes.

March 27, Tuesday, Dr. Mikhail Smirnov (Columbia University)

Risk Management of Hedge Fund Strategies: Relative Value, Equity Hedge,

Macro/CTA. Types of risks.

April 3, April 5, April 10, April 12,

April 19, April 24, April 26, Dr. Rick Klotz (Greenwich Capital) 7 Lectures

Understanding US Fixed Income Market

(Series of lectures with slide demonstrations)