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:
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