Schedule (Spring 2011) 

January 25, Petter Kolm
February 1, Petter Kolm and David Mordecai
February 8, Petter Kolm and David Mordecai
February 15, Petter Kolm and David Mordecai
February 22, S&P and Courant Institute's Quantitative Finance Forum, (Note: the start time is 3PM, and we will meet directly at S&P on 55 Water Street. See also separate e-mail announcement)
March 1, Managing Diversification, Attilio Meucci, Kepos Capital
March 8, Luiza Miranyan, Bloomberg
March 15, NO SEMINAR (spring break)
March 22, Today's Global Derivatives Exchange: Futures & Options Products and Trading Technology. An Introduction to Eurex Products, Market Model and Trading, Axel Vischer, Eurex
March 29, The Mechanics of Constructing Quantitative Strategies, Prashanth Nandavanam, Anthrope Informatics, Inc.
April 5, The Joint Pricing of Volatility and Liquidity, Elena-Claudia Moise, NYU Stern
April 12, Myths and Fallacies in Practical Finance, Satish Ramakrishna, Deutsche Bank
April 19, Derivatives Disputes: The Issue of Valuation, Rick Grove and Bob Selvaggio, Rutter Associates LLC
April 26, CANCELLED (Strategic Defaults and Mortgage Borrower Behavior, Michael Driscoll, AIG)
May 3, How Active Is Your Fund Manager? Active Share and Mutual Fund Performance, Antti Petajisto, NYU Stern 

Schedule (Fall 2010)
September 7, Orientation session
September 14, Introduction and Economic Outlook (part 1), Petter Kolm, NYU
September 21, Economic Outlook (part 2), Petter Kolm, NYU
September 28, Karim Beguir, Bank of America Merrill Lynch
October 5, Dmitry Sendersky, Blackrock 
October 12, U.S. Equity Mean-Reversion Examined, Jimmy Liew
October 19, CANCELED
October 26, Hester Serafini, Deutsche Bank
November 2, Ari Bergman, Penso Advisors, LLC
November 9, Ranking Financial Institutions by Systemic Importance, Juan Cardenas, Federal Reserve Bank of New York
November 16, Market Making and Volatility Trading Strategies, Samuel Kadziela, Chicago Trading Company
November 23, Factor-Based Equity Investing and Transaction Costs, Joseph Cerniglia
November 30, Latest Research Topics in Quantitative Equity Research and Portfolio Management, Yin Luo, Deutsche Bank Securities
December 7, A Framework And Practical Considerations for the Design and Implementation of Directional Trading Systems, Jim Conklin, FX Concepts

Schedule (Spring 2010)
January 19, Scott M. Porter, Terra Global Capital
January 26, Pricing Multi-name Credit Derivatives: A Top-Down Approach, Eymen Errais, CreditFlow Partners 
February 2, Credit Portfolio Risk Models, William Morokoff, S&P
February 9, Optimization Models in Quantitative Asset Management, Reha Tutuncu, Goldman Sachs
February 16, Systemic Dimensions of Balance Sheets, George M. Williams, Dewey & LeBoeuf LLP
February 23, Sharper Angle Optimization, Max Golts
March 2, Risk, Diffusion, and Models, Thomas Pologruto, ACR
March 9, A Profitable Trading and Risk Management Strategy in Presence of Transaction Cost, Ahmet Duran, University of Michigan-Ann Arbor
March 16, Spring break - no seminar
March 23, Axel Vischer, Eurex
March 30, Ravi Bhagavatula
April 6, No seminar 
April 13, No seminar
April 20, Christian Brownlees, Intra-daily Volume Modeling and Prediction for Algorithmic Trading, NYU Stern 
April 27, The Cost of Latency, Ciamac Moallemi, Columbia University  

Schedule (Fall 2009)
September 8, Introduction to the Financial Industry and MAF Programs, Petter Kolm
September 15, Economic Outlook, Petter Kolm
September 22, Jason Scharfman, Corgentum Consulting, LLC
September 29, Terra Global Capital, LLC
October 6, Foreign Exchange and Capital Markets: An overview on Foreign Exchange Sales & Trading, Arnold Miyamoto, Market Quant Analysis and CitiFX, Citi
October 13, Inside the Black Box, Rishi Narang, Telesis Capital LLC
October 20, Dmitry Sendersky, Blackrock
October 27, Price Pressures, Albert J. Menkveld, VU University Amsterdam, Tinbergen Institute
November 3, The History and Future of Financial Risk Management, Aaron Brown, AQR
November 10, Panel with the 3rd Semester Students
November 17, A Stochastic Model for Order Book Dynamics, Sasha Stoikov, Cornell Financial Engineering
November 24, A Tick-by-Tick Analysis of the Quant Turmoil in August 2007, Petter Kolm 
December 1, Trading Simulation with David Gross, 3-6 p.m. at Citi on 390 Greenwich
December 8, Are Time-Changed Levy Processes Reasonable?, Jim Gatheral, Bank of America Merrill Lynch

Schedule (Spring 2009)
January 20, Joseph Cerniglia
January 27, The Mathematics of Liquidity & Other Matters Concerning Portfolio & Risk Management, Ranjan Bhaduri, AlphaMetrix Alternative Investment Advisors, LLC
February 3, Yuzhao Zhang, Fox School of Business, Temple University
February 10, Alumni Panel with David Angel, Ana Calcatin, Katherine Santiago, Mony Lim and Hector Torres
February 17, Thomas S. Y. Ho, A Unified Model: Arbitrage-free Term Structure Movements of Flow Risks, THC
February 24, Financial Darwinism: An Evolutionary Perspective on the Financial Crisis and the Future of Wall Street, Leo M. Tilman, L.M.Tilman & Co. NOTE: This presentation will be held in room 109.
March 3, Does Algorithmic Trading Improve Liquidity?, Albert J. Menkveld, VU University Amsterdam, Tinbergen Institute
March 10, Visit at S&P (more info TBA)
March 17, Spring Break
March 24, A Useful Approximation to Multi-period Optimization, Dan diBartolomeo, Northfield Information Services, Inc.
March 31, Overview of the Carbon Market, Eric Boonman, Fortis Merchant Banking
April 7, Eurex – Insights into the Leading International Derivatives Exchange, Axel Vischer, Eurex
April 14, Luis Reyna
April 21, Gladys Kartin
April 28, Portfolio Optimization Models in MATLAB, (MathWorks)

Schedule (Fall 2008)
September 2, Economic Outlook, Petter Kolm
September 9, Panel discussion, 3rd semester students (Petter Kolm, moderator)
September 16, Steve Allen
September 23, Gerald Hanweck (Hanweck Associates, LLC
September 30, Management and Control of Pricing Models inside an Investment Bank, Louis Scott (Morgan Stanley)
October 7, Once We Work Through The Crisis ... Where Should Agency MBSs Trade?, Leon Tatevossian, Columbia University
October 14, Ashvin Chhabra (Institute for Advanced Study)
October 21, Simulating the Heston Stochastic Volatility Model, Paul Glasserman (Columbia University)
October 28, Volatility Derivatives, Gerd Zeibig (Murex)
November 4, High Frequency Market Impact Estimation and Volume Forecasting, Merrell Hora (Credit Suisse)
November 11, Market Risk Using Extreme Value Theory and Copulas with MATLAB, Heather Wellman (MathWorks)
November 18, Market Crisis: What Is Happening in Washington, DC? (Part 1), Petter Kolm
November 25, Market Crisis: What Is Happening in Washington, DC? (Part 2), Petter Kolm
December 2, Modeling CDOs and Credit Portfolios, William Morokoff, S&P
December 9, Project Presentations

Schedule (Spring 2008)
January 22, Hunter Dare (Goldman Sachs)
January 29, An Overview of Credit Risk Management, Gregory Hopper (Goldman Sachs)
February 5, Robust Portfolio Optimization, Sebastian Ceria (Axioma)
February 12, The Myth of Low Correlation, Richard Bookstaber
February 19, Risk-Neutral Pricing: Getting out of Neutral, Keith Lewis (Kalx)
February 26, Securitization: Financial Holy Grail or Weapon of Mass Destruction?, David Askin (Bloomberg)
March 4, Risk Management & Career Development, Steve Allen
March 11, Dividends Ruin Everything, Peter Fraenkel, (Pragma Financial Systems)
March 18, Spring Recess - NO SEMINAR
March 25, Barry Schachter (Moore Capital Management, LLC)
April 1, The OAS Method for MBS, Alex Levin (Andrew Davidson & Co., Inc.)
April 8, Credit Derivatives, David Mengle (ISDA)
April 15, How Do Hedge Funds Generate Alpha?, Richard Lindsey, Callcott Group LLC
April 22, Systematic Trading, Rakesh Chandra, Drawbridge Global Macro Fund
April 29, Optimal Rebalancing: A Scalable Solution, Mark Kritzman, (Windham Capital Management, LLC)

Schedule (Fall 2007)
September 11, The Players in the Financial Markets, Steve Allen
September 18, Market Microstructure, Lee Maclin
September 25, Panel discussion, 3rd semester students
October 2, Corporate Finance: An Overview, Petter Kolm
October 9, Dynamic Analysis of Hedge Funds, Michael Markov (Markov Processes International)
October 16, Q/A with Petter Kolm
October 23, Credit Rating, Rating Agencies and the Current Crisis, Carl Adams (Capital Framework Advisers LLC, and Financial Standards Foundation)
October 30, Ian Domowitz (ITG Inc.)
November 6, Buy-Side Risk Management, Kenneth Winston (Morgan Stanley)
November 13, Jeff Miller (WorldQuant LLC)
November 20, Nicholas de Jong and Peter Cotton (Julius Finance)
November 27, Quantitative Management of Bond Portfolios, Lev Dynkin (Lehman Brothers)
December 4, Peter Muller