Room 207
http://www.math.columbia.edu/~smirnov/PractSeminar08.html
Rick Klotz (Managing Director and Senior Risk Manager, Greenwich Capital) will give minicourse
Understanding US Fixed Income Market (Mini-course with slide demonstrations)
January 22, Tuesday, Doug Borden, (Goldman Sachs Algorithmic Trading) Algorithmic Trading.
January 24, Thursday, Youxun Shen, (Goldman Sachs Algorithmic Trading) Review of Quantitative Trading.
January 29 Tuesday, Pantelis Troucas, (Goldman Sachs Core strategies) Review
January 31, Thursday, Mikhail Smirnov, Topics for Course Projects.
February 5, Tuesday, Prasoon Tiwari (Alumnus) Credit Modeling
February 7, Thursday, Jan Vecer (Columbia) Drawdown Modeling
February 12, Tuesday, Claudio Albanese, (Level3 Finance) The Fundamental Problem Of Fundamental Solutions
February 14, Thursday, TBA
February 19, Tuesday, Mikhail Smirnov, Projects Question and Answers session.
February 21, Thursday, Darren Clipston, (Tallis Capital) Long/Short Equity Portfolio Management.
February 26, Tuesday, Rick Klotz, (
February 28, Tuesday, Rick Klotz, (
March 4, Tuesday, Rick Klotz, (
March 6, Thursday, TBA
March 11, Tuesday, Rick Klotz, (
March 13, Thursday, Rick Klotz, (
March 25, Tuesday, TBA
March 27, Thursday, Mark Kritzman, (Windham Capital)
April 1, Tuesday, Rick Klotz, (
April 3, Thursday, Rick Klotz, (
April 8, Tuesday, Rick Klotz, (
April 10, Thursday, Rick Klotz, (
April 15, Tuesday, Mikhail Smirnov, Dynamic Risk Allocation.
April 17, Thursday, TBA
April 22, Tuesday, Student Project Presentations
April 24, Thursday, Student Project Presentations
April 29, Tuesday, Student Project Presentations
May 1, Thursday, Student Project Presentations
Speakers for other dates will be announced during the semester in class and on the website.
There is no final exam in this class. The fixed income portion of the class will have 2 homeworks and 1 takehome midterm. These grades take 30% of the class grade (10% for each homework and midterm). 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 prof. Smirnov, and e-mail group list, topic and proposal to prof. Smirnov by February 19.
The projects are due April 22 and will be presented on April 22, April 24, April 29 and May 1 in class.