Columbia Mathematics of Finance Practitioners Seminar, Spring 2006

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

http://www.math.columbia.edu/~smirnov/PractSeminar06.html

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

January 17, Tuesday, Rick Klotz, (Greenwich Capital) Role of Investment Banking

January 19, Thursday, Rick Klotz (Greenwich Capital) U.S. Fixed Income Markets. Bond Mathematics

January 24, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets. Spot, Forward Rates and Options

January 26, Thursday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (Continued)

January 31 Tuesday, Marek Rutkowski, (UNSW Australia) Credit Risk

February 2, Thursday, Tomas.Bjork, (HHS Sweden) Introduction to Interest Rate Models 1

February 7, Tuesday, Tomas.Bjork, (HHS Sweden) Introduction to Interest Rate Models 2

February 9, Thursday, Tomas.Bjork, (HHS Sweden) Introduction to Interest Rate Models 3

February 14, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (Continued)

February 16, Thursday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (Continued)

February 21, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (Continued)

February 23, Thursday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (Continued)

February 28, Tuesday, Rick Klotz, (Greenwich Capital) U.S. Fixed Income Markets (Continued)

March 2, Thursday, Darren Clipston, (Drake Management) Perspectives on Hedge Funds.

March 7, Tuesday, Darren Clipston, (Drake Management) Macro Investing - What Is It

March 9, Thursday, Mikhail Smirnov, Dynamic Risk Allocation

March 21, Tuesday, Mikhail Smirnov, Portfolio Risk, Project Topics

March 23, Thursday, Raman Vardharaj ( Guardian Life) (Joint work with F.Fabozzi) The Importance of the Sector Allocation Decision

March 28, Tuesday, Bernd Scherer (Deutsche Bank) What Does Robust Optimization Offer?

April 4, Tuesday, Ioannis Karatzas Stochastic Portfolio Theory.

April 11, Tuesday, Darren Clipston (Drake Management) A Taxonomy Of Relative Value Investment Strategies.

April 18, Tuesday, Tebogo Phiri , (Royal Bank of Canada) Equity Strategies

April 20, Thursday Menachem Yechiyely (Bridgewater) Asset Allocation,

April 25, Tuesday, Bernd Scherer (Deutsche Bank) Resampling Techniques and Portfolio Construction.

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 16

The projects are due April 27 and will be presented on April 27, May 2 and May 4 in class.