Columbia Mathematics of Finance Practitioners Seminar, Spring 2005

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

http://www.math.columbia.edu/~smirnov/PractSeminar05.html

 

Rick Klotz (Managing Director and Senior Risk Manager, Greenwich Capital) Understanding US Fixed Income Market (Mini-course with slide demonstrations)

 

January 18, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets

January 20, Thursday, Mikhail Smirnov, Class projects overview

January 25, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (Continued)

January 27, Thursday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (Continued)

February 1, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (Continued)

February 3, Thursday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (Continued)

February 8, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (Continued)

February 10, Thursday, Mikhail Smirnov, Class projects overview

February 15, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (Continued)

February 17, Thursday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (Continued)

February 22, Tuesday, Mikhail Smirnov, Quantitative Investment Methods (Projects Overview)

February 24, Thursday,  David Schwartz, (Dynamic Credit Partners) Credit Markets/ Quantitative Interviewing

March 1, Tuesday, Mikhail Smirnov, Dynamic Leverage

March 3, Thursday, Noah Yechiely, (Bridgewater Associates) Global Macro Quantitative Investing

March 8, Tuesday, Mikhail Smirnov, Nonlinear Portfolio Insurance

March 10, Thursday, Darren Clipston, (Drake) Convertible Arbitrage

March 22, Tuesday, To be Announced

March 24, Thursday, Michael Stanley, (Goldman Sachs)

March 29, Tuesday, Alexei Surkov, (Deloitte) Credit Derivatives

March 31, Thursday, Hanse Chung, (Risk Capital Partners), Credit Derivatives

April 5, Tuesday, To be Announced

Apr. 7, Thursday, To be Announced

Apr. 12, Tuesday,  A.Bensoussan (UTexas Dallas, Former Chairman of European

Space Agency)Risk Management Methods and Techniques

 

Speakers for further dates will be announced during the semester in class and on the website.

 

 

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 17

 

.The projects are due May 3 and will be presented on May 3 and 5 in class.