http://www.math.columbia.edu/~smirnov/PractSeminar02.html

January 22, Tuesday, Alexei Chekhlov (Thor Asset Management LLC)

Portfolio Optimization with Drawdown Constraints. Applications to Statistical Trading.

January 24, Thursday, David Schwartz (Morgan Stanley)

Quantitative Jobs in Finance. Interviewing Workshop

January 29, Tuesday, Jonathan Schachter (Chase)

Liquidity Options 1.

January 31, Thursday, Bernard Lee, (Andersen)

Credit Scenario Generation

February 5, Tuesday, Alexei Chekhlov (Thor Capital)

High Frequency Data and Levy Processes

February 7, Thursday, Jonathan Schachter (Chase)

Liquidity Options 2.

February 12, Tuesday, Ali Hirsa (Morgan Stanley)

Variance Gamma Processes

February 14, Thursday, Gennady Spivak (Goldman Sachs)

Fixed Income Exotic Products

February 19, Darren Clipston (Sagamore Hill Capital)

Convertible Arbitrage

February 21, Thursday, Ali Hirsa (Morgan Stanley)

Variance Gamma Processes

February 26, Tuesday, James O'Shaughnessy, Senior Managing Director, Quantitative Investments Bear Stearns Asset Management

Author, "What Works On Wall Street" (there are over 200,000 copies of his book sold)

February 28, Thursday, Ali Hirsa (Morgan Stanley)

Variance Gamma Processes

March 12, Tuesday, Lee Maclin, Fellow in Financial Mathematics, Courant Institute

The Evolution of Trader Risk Preferences: Risk-Positive Traders and Extrema Events

Traditional mean-variance performance measures reward traders who hide risk, and, over time, increase the number of such traders in the markets. The preponderance of risk-positive traders increases the chance of extrema events. A simulation will be presented to illustrate the mechanics of this process.

March 26,Tuesday, Murali Ramaswami (Global Head of Derivatives and Quantitative Research, Lehman Brothers)

March 28, Thursday, Terry Williams (Morgan Stanley)

Value-At-Risk methods

April 2, April 4, April 9, April 11,

April 16, April 18, April 23 Rick Klotz (Managing Director and Senior Risk Manager, Greenwich Capital)

Understanding US Fixed Income Market

(Series of lectures with slide demonstrations)

April 25th, Ezra Zask, Founder and President of Ezra Zask Associates, Inc.,

Quantitative Analysis of Hedge Fund Risk and Returns.

Among Other Speakers will be Larry Hite (Mint Investment Management) Alex Greyserman (Mint Investment Management) Alex Lipton (Deutsche)

There is no Midterm or Final exam in this class. 100% of the grade will be calculated on the basis of the Course Project. Project can be a group project (similar to MAT 4071) or individual. 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 12. The projects are due May 2 and will be presented on May 2 in class.