Events

16th Annual Workshop on Derivative Securities & Risk Management

11/20/2009

 

Hosted by
The Center for Financial Engineering and The Center for Applied Probability (CAP) at Columbia University
 

Friday, November 20th, 2009, Columbia University, New York City
Location: URIS HALL, Room 142 

8:45AM - 9:00AM 
Welcoming Remarks
9:00AM - 9:45AM  Michael Gordy (Federal Reserve)"Constant Proportion Debt Obligations:A Post-Mortem Analysis of Rating Models"
9:45AM - 10:30AM  Jakub Jurek (Princeton)"The Pricing of Investment Grade Credit Risk during the Financial Crisis"
10:30AM - 11:00AM Coffee Break
11:00AM - 11:45AM 
Michael Pykhtin (Federal Reserve)"Counterparty Credit Risk Modeling" 
11:45AM - 12:30PM  Peter Carr (Bloomberg LP)"A Simple Robust Link Between American Puts & Credit Protection"
12:30PM - 1:30PM Lunch
1:30PM - 2:15PM
Vadim Linetsky (Northwestern)"Modeling Dependent Jumps: A Multivariate Time Change Approach" 
2:15PM - 3:00PM Nihat Altintas (Credit Suisse)"Execution Costs in Automated Trading" 
3:00PM - 3:30PM
Coffee Break
3:30PM - 4:15PM Robert Ferstenberg (Morgan Stanley)"Execution Risk" 
4:15PM - 5:00PM Ciamac Moallemi (Columbia University)"Cost of Latency" 
5:00PM - 6:00PM  Reception

 

A light lunch will be provided, and a wine and cheese reception will be held at the end of the day.


REGISTRATION FEES


EARLY REGISTRATION - On or before Thursday, November 12th

Academic:
$100 ($50 student)

Corporate & Institutional:
$250


STANDARD/ON SITE REGISTRATION

Academic:
$175 ($100 student)

Corporate & Institutional:
$350


Job Seeker Discount

If you have prior work experience in the financial industry and are currently unemployed, please click here for information on a registration discount.


PAYMENTS

If you are paying be credit card (We only accept VISA or MASTERCARD), please click on the link below: 

https://secure.www.alumniconnections.com/olc/pub/COUE/events/event_order.cgi?tmpl=events&event=2238471


If paying by check, make checks payable to:

Center For Applied Probability, Columbia University

Mail Checks to:

Industrial Engineering & Operations Research Department
Columbia University
500 West 120th Street Room 313 Mudd
New York, NY 10027
Attn: Donella Crosgnach