Columbia University, Center for Financial Engineering and Center for Applied Probability
Location: Uris Hall, Room 301
8AM--6PM
Program
8:00-8:45 Coffee and registration
8:45-9:00 Welcoming remarks
9:00-9:40 Robert Almgren (Courant Institute of Mathematical Sciences, New York University)
"Quantitative Challenges In Algorithmic Trading"
9:40-10:20 Christoph Burgard (Barclays Capital)
"New Developments In Volatility And Variance Products Pricing And The Link To Forward Volatility."
10:20-10:50 Coffee break
10:50-11:30 Jiang Wang (MIT Sloan School of Management)
"Asset Pricing And The Credit Market"
11:30-12:10 Jean-David Fermanian, (BNP Paribas)
"On Break Even Correlation: The Way To Price Structured Credit Derivatives By Replication."
12:10-1:40 Lunch
1:40-2:20 Jianqing Fan (Princeton University)
"Risk Assessment And Asset Allocation With Gross Exposure Constraints For Vast Portfolios"
2:20-3:00 Attilio Meucci, (Bloomberg L.P.)
"Fully Flexible Views: Theory And Practice"
3:00-3:30 Break
3:30-4:10 Fabio Mercurio (Bloomberg)
"Market Models for Inflation Derivatives"
4:10-4:50 Peter Tankov (Ecole Polytechnique)
"Pricing And Hedging Gap Risk"
4:50-5:30 Johannes Wissel (Cornell University)
"Arbitrage-free Market Models For Liquid Options"
5:30-6:00 Wine and cheese reception