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IAFE Endorsed Event: Derivative Securites & Risk Managment Workshop

The International Association of Financial Engineers is pleased to endorse

The 15th Annual Workshop on
Derivative Securities & Risk Management

Friday, December 5th, 2008
Columbia University, Center for Financial Engineering and Center for Applied Probability
Location: Uris Hall, Room 301

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."

10:50-11:30 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."

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”

3:30-4:10 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

For additional information, click here.

$175 ($100 student)

Corporate & Institutional:


If paying by credit card, please click here.

If paying by check, make checks payable to:
Center for Financial Engineering, 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​