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09/15/06 Wall Street Recruiting practices |
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Speaker: Mr. Brad Young (Option Groups)
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Abstract: Wall Street's recruiting practices in areas of structured finance/securitization; there will be a ten-minutes Q&A session after the
presentation |
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09/29/06 VarT topic and Risk Management |
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Speaker: Mr.Peter Del Rio (Unicorn Income Fund) |
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Abstract: VaR Trending as a solution for the Basel II requirement to
address the risk management challenges of financial shocks and illiquidity. |
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| 10/19/06 The Flow and Importance of Data in
Financial Institutions |
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Speaker: Ms. Alessandra De Gregorio (FGS Capital) |
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Abstract: Data accessibility and reliability is today one of the most
important issues in financial institutions such as a hedge fund. Even before
creating models and doing research, analysts and researchers need to make
sure the data they are working with is correct. This makes the role of data
analyst a key role in the financial field. Knowing what types of error data
can have, and being able to spot and adjust those errors, are essential, and
sometimes undervalued skills. |
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10/27/06 Value at Risk, Concept and Applications
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Speaker: Mr. Bin Deng (AIG) |
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Abstract:The mathematics, methodologies, real-world applications and
pros and cons of VaR will be discussed. |
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11/03/06 My Life as a Quant |
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Speaker: Dr. Cal Johnson (Citigroup) |
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Abstract: My 26 years as a quant on Wall Street. I will try to review
the major theoretical advances that occurred during this period, from my
point of view as a practicing quant. |
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11/16/06 From student to Practicioner |
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Speaker: Mr. Phat Loc (Credit Suisse) |
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Abstract: I just wanted to share my experience on going from a
student studying derivatives to a practitioner using it. I will provided a
brief overview of derivatives business and where individuals with a
quantitative skill set can add value. |
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11/30/06 A Simple American Option Pricing Method on
Markov Processes |
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Speaker: Dr. Suneal Chaudhary, (University of Utah) |
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Abstract:This talk presents a fast, flexible numerical technique to
price American options and generate their value surface through time. The
method runs faster and more accurately than the standard CRR binomial method
in practical cases and calculates options on a considerably broader family
of new, useful underlying asset processes. |
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12/08/06 Cash and Synthetic CDO business |
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Speaker: Mr. Volkan Kurtas, Director - Structured
Credit Specialist & Asset Manager, (HVB Group). Dr. Moritz Hilf, Director -
Quantitative Analyst, (HVB Group) |
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Abstract:The presentation will cover the fast growing Cash CDO
(Collateralized Debt Obligation) market. The history, development and future
of the STRUCTURED CREDIT market in general and Cash CDOs in particular will
be discussed and the market players and their incentives and roles in the
market will be presented. |
