Recent Developments in Derivatives Pricing: A Special Event Honoring Dilip Madan
Written by Petter Kolm   

June 19-20, 2010
New York University, Courant Institute
Room 109, 251 Mercer Street
New York, NY 10012

The Mathematics in Finance Workshop and Conference Center at the Courant Institute (NYU) is pleased to announce a special workshop on the recent developments in derivatives pricing. This event is held in honor of Dilip Madan.

Confirmed speakers include: PETER CARR (Global Head of Market Modeling, Morgan Stanley), Prudential Financial), ALI HIRSA (Head of Analytical Trading Strategy, Caspian Capital Management), ANDREW LESNIEWSKI (Managing Director and Head of Quantitative Research, Ellington Management Group), DILIP MADAN (Professor, Robert H. Smith School of Business, University of Maryland), LIUREN WU (Professor, Zicklin School of Business, Baruch College).

This two day workshop covers the most recent advancements in derivatives pricing, including topics such as:

•    The local variance gamma model
•    Leverage effect and volatility feedback in index options
•    Double gamma stochastic volatility discrete time models
•    Dynamic  mortgage rate replication
•    Risk  management of  CMOs
•    Regulatory capital requirements
•    Latest trends in volatility trading
•    …and much more

The sessions are given by industry veterans and academics from 8:30 a.m. to 5 p.m. over the two days. Continental breakfast and afternoon refreshments are provided. Workshop participants are also invited to a special reception in the evening of June 19.

Admission costs are:
Professional ($900)
IAFE or SQA member discount ($750)
Academic/Student ($550)

NOTE: 20% discounted pricing available for registrations until midnight (EST) on Friday, June 4.

Buy-side practitioners (portfolio managers and risk managers), sell-side practitioners (traders, financial engineers, quantitative analysts, research teams), and academics will deepen and broaden their understanding of the recipes they implement everyday and will learn the most cutting-edge techniques.

Sponsorship Opportunities
Please contact us for sponsorship opportunities at This e-mail address is being protected from spambots. You need JavaScript enabled to view it

2nd Annual Algorithmic Trading Conference: Dynamic Portfolios, Optimal Execution, and Risk
Written by Corey Allen   

February 5th, 2010
NYU Skirball Center, 566 LaGuardia Place, New York, NY 10012

In response to the explosive growth of Algorithmic Trading over the past few years, the Mathematics in Finance Masters Program at the Courant Institute, NYU, is pleased to announce the 2nd Annual Algorithmic Trading Conference to be held on February 5, 2010 at the NYU Skirball Center, an 860-seat conference and performance venue at Washington Square.

Last year’s conference established this event as one the leading academic initiatives in New York, and with already an impressive roster of speakers, this one-day conference will provide coverage on the latest innovations and developments in the field of Algorithmic Trading.

Topics include:
•    Dynamic Portfolio Management
•    Anti-gaming algorithms
•    Crossing network and dark pool optimization
•    Construction of price impact models using public and non-public data
•    Execution risk analytics, including bias-free covariance matrices and factor models
•    Integration of cost aware portfolio construction and optimal execution
•    Post-trade analytics and quantitative comparison of execution strategies
•    Intraday data patterns, machine-readable news and trading strategies
•    Latency

This year’s Keynote Speakers include Ananth Madhavan (BlackRock, Inc.), Terrence Hendershott (UC Berkeley), Joel Hasbrouck (NYU Stern), and Ronnie Sadka (Boston College, Carroll School of Management).

Buy-side practitioners (prop traders; hedge funds; portfolio, money and risk managers), sell-side practitioners (traders, financial engineers, quantitative analysts, research teams), technology and analytics providers, regulators, and academics.

Information and Registration at

Questions, Inquiries and Sponsorship Opportunities
Please contact us at pkolm AT or 718-838-9231

High-Frequency Finance and Quantitative Strategies - June 10-12, 2009
Written by Petter Kolm   

New York University, Courant Institute, Room 109, 251 Mercer Street, New York, NY 10012

This 3-day workshop hosted by the Mathematics in Finance M.S. program at the Courant Institute, NYU provides a comprehensive introduction to quantitative investment management and high frequency trading:

NYAS eBriefing - Anatomy of a Bubble: Lessons from the Credit Crisis
Written by Petter Kolm   

To access the eBriefing "Anatomy of a Bubble: Lessons from the Credit Crisis" held on 11/6/08 at the New York Academy of Sciences with Petter Kolm (Courant/NYU), Bjorn Flesaker (Bloomberg), and Stephen Figlewski (Stern/NYU) please click on the button below.

The Credit Crisis: A Quantitative Finance View
Written by Petter Kolm   
Credit Crisis: Actions Taken and Lessons Learned

Credit Crisis: Actions Taken and Lessons Learned
Nov 6, 2008 -- 5:00 PM - 6:30 PM
The New York Academy of Sciences, 7 World Trade Center, 250 Greenwich St. at Barclay St., 40th fl. 
This event is free to all NYAS members.
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