Recent Developments in Derivatives Pricing: A Special Event Honoring Dilip Madan

June 19-20, 2010
New York University, Courant Institute
Room 1302, 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), RAMA CONT (Columbia University), STEPHEN FIGLEWSKI (Stern School of Business) , ALI HIRSA (Head of Analytical Trading Strategy, Caspian Capital Management), ANDREY ITKIN (Director of Financial Engineering at HAP Capital LLC), ANDREW LESNIEWSKI (Managing Director and Head of Quantitative Research, Ellington Management Group), DILIP MADAN (Professor, Robert H. Smith School of Business, University of Maryland), FABIO MERCURIO (Bloomberg LP), 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)


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

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