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NYU workshop: Recent Developments in Derivatives Pricing

Andy Nguyen

Andy Nguyen

Joined
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A special $99 registration link for Quantnet members will be emailed exclusively through our newsletter.
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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), 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), 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)

A special $99 registration link for Quantnet members will be emailed exclusively through our newsletter. Non students can sign up at IAFE member discount rate.
Sign up for the newsletter HERE​
 
Wow... this weekend has been insane and we are only in our first week in the Baruch MFE program. After yesterday's IAFE Conference, today we had the chance to be at the NYU Conference 2010 - Recent Developments is Derivatives Pricing honoring Dilip Madan and presented by Petter Kolm, director of the Math in Finance Program at Courant Institute.

While very technical, the material was very interesting. Presenters were all experts, with many years of experience in their field and considered few of the top. These included Peter Carr, Andrey Itkin, Andrew Lesniewski including Baruch's Liuren Wu. The presentations included topics such as "The local variance gamma model", "Leverage effect and volatility feedback in index options", "Risk management of CMOs" and much more.

The conference will continue tomorrow with a full day of Dilip Madan. Looking forward to that.

Details and pictures will soon be posted.

Thanx again to Quantnet for the invitation to the conference ... Keep up the good work!

Can't wait for what's next...
http://www.quantnet.com/forum/album.php?albumid=30
 
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