THE QUANTster blog

NYC | Columbia

The Center for Applied Probability at Columbia University presents the 15th Annual Applied Probability Day (APD). IN HONOR OF CHRIS C. HEYDE

Saturday, June 28th, 2008, 9:00AM-6:00PM, Room 303, S.W. Mudd Building, 500 West 120th Street, Columbia University, New York City

REGISTRATION IS FREE, all are very welcome, please join.

SPEAKERS & SCHEDULE / Five (5) Speakers include:

David Pollard, Yale University, USA - Random chromatic numbers, some statistical folklore, and some
puzzling inequalities

Søren Asmussen, Aarhus University, Denmark - Failure probabilities for checkpointing and parallel computing

Steve Kou, Columbia University, USA - The Recent Financial Turmoil and Related Financial Engineering
Research Problems

J. Michael Steele, Wharton School, USA - Martingale Markets

Sidney Resnick, Cornell University, USA - Multivariate regular variation on 3 cones yields three theories

A reception will follow. We particularly warmly welcome all of those who remember Chris C. Heyde; his
students, his colleagues and his friends For further information please go to our web site:

http://www.cap.columbia.edu/ (UPDATED REGULARLY)

Directions and Parking: The Columbia campus on Morningside Heights is located at Broadway and 116th
Street in Manhattan.

http://www.cap.columbia.edu/parking_Mudd.html

Guests should enter the Columbia University campus via the main gates at 116th Street and Broadway.

There is no on-campus parking except for handicapped individuals with handicapped plates or handicapped parking permits. For information concerning parking for handicapped individuals, call the Public Safety
Office at (212) 854-2797.

Further guest parking information:

http://www.columbia.edu/about_columbia/parking.html

 For more information,  please contact Emmanuel Casuscelli, CAP Administrator

cap@columbia.edu

Boston | QWAFAFEW

Next Boston QWAFAFEW Meeting: Tuesday, 17 June 2008
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
[call 617-536-4630 for directions]
RSVP to Boston@QWAFAFEW.org

a QWAFAFEW discussion led by Sébastien Page, CFA
 
Topic: Correlations during Extreme Market Conditions
 
ABSTRACT
“A banker is someone who lends you an umbrella when the sun is shinning, and wants it back when it starts to rain”. –Attributed to Mark Twain

The same can be said of diversification. It shows up uninvited during bull markets, and disappears during crashes. We measure conditional correlations during extreme market conditions to assess the asymmetric nature of diversification. To control for the conditioning bias, we compare behavior in the tails of the empirical distribution with the multivariate normal distribution. We find that correlations increase significantly more on the downside than on the upside. Loss-averse investors not only seek diversification on the downside, they also seek high correlations (unification) on the upside. Unconditional correlations—and conventional portfolios construction approaches in general—fail to capture this obvious feature of investor preferences. We use Full-Scale Optimization to construct portfolios that are resilient to market crises and that limit diversification on the upside. Our findings have meaningful impact on the decision to diversify internationally and on optimal portfolio construction in general.

Guest fee for attendance is $30. Members attend at no charge. If you are not yet a member or have not paid your dues lately, you may pay your annual dues of $150 (your membership year starts on the day you pay).
You may bring cash or a check for either amount ($150 or $30) made out to "QWAFAFEW" and give it to our Treasurer, Hugh Crowther
 
Please let us know if you intend to come to the meeting. Walk-ins are always welcome; still, we greatly appreciate all RSVPs so that we can have adequate food and drink on hand.
 
Help needed.  We are always in need of people to arrive early for the meetings to help set up the seating and refreshments. If you are willing to help out please contact Hugh Crowther.
 
RSVP to:  Boston@QWAFAFEW.org

NYC | QWAFAFEW

QWAFAFEW MEETING / Tuesday, June 24th, 2008
 
“Dissecting and Interpreting Data”
 
Speakers: Mr. Jack Zwingli, CEO, Audit Integrity. Ms. Ronit Walny CFA, Director of Product Sales, MacroMarkets LLC
 
Venue and Time:
Tuesday, June 24th, 2008; 5:45 - 8:45 pm; Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St (between Madison & Vanderbilt), NY, NY
 
Admission:
$30 for Paid-Up Members of QWAFAFEW-NYC in 2008;
$40 for members of PRMIA, SQA, CQA, CAIA, any CFA society, and/or unemployed business grad students; $50 for all other RSVPs
 
To RSVP: Please send an e-mail nyc@qwafafew.org and put date of event in Subject Line along with the names, phone numbers, Organization Names for name tags, e-mails, and membership status for all attending.
 
ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC. Paper receipts are available upon request. FYI – For new members who wish to join for the SECOND HALF OF CALENDAR 2008 ONLY, dues are now $50. Bring a check with you to the meeting, or follow the instructions below:
 
AGENDA
5:45 - 6:25 pm Registration and Networking
6:25 - 6:35 pm Chapter Business – C. Michael Carty
6:35 - 7.10 pm – Jack Zwingli, Audit Integrity, “A New Approach to Earnings Quality: Measuring Corporate Integrity”
 
•         Integrity as Measured by Accounting & Governance Risk Metrics
•         Integrity Metrics That Best Measure Fraud Risk
•         Building a Taxonomy to Predict Fraudulent Behavior
•         The Link Between Fraud Risk and Equity Returns
 
7:15 - 7.30 pm Libation and networking break
7:30 – 8:15 pm – Ronit Walny, CFA, MacroMarkets LLC, “Dissecting the Yield Curve: Inflation Components and Beyond”

About our speakers: Jack Zwingli is Chief Executive Officer of Audit Integrity, a leading provider of independent research and risk management services. Prior to Audit Integrity, Jack led a multi-faceted, global business at Standard & Poor’s. As the senior executive of the Investment Services division of S&P, Jack transformed the business through product innovation and sales expansion, driving strong top and bottom-line growth. Prior to Audit Integrity, Jack led a multi-faceted, global business at Standard & Poor’s. As the senior executive of the Investment Services division of S&P, Jack transformed the business through product innovation and sales expansion, driving strong top and bottom-line growth. As CEO of Vantra Group, Inc., a software and ASP business providing online brokerage technology, Jack led the company to a market-leading position and successful sale. Jack holds a BS in Marketing from Indiana University and an MBA from Rutgers University.

Ronit Walny is Director of Product Sales for MacroMarkets LLC, the Provider of S&P/Case-Shiller Home Price Indices and MacroShares. Ronit is responsible for building product solutions to deal with major risks to investors. Prior to joining MacroMarkets in 2007, she handled sales responsibilities at BARRA for two years and had been in Fixed Income Trading and Portfolio Management at Northern Trust for five years. Ronit is a member of the New York Society of Securities Analysts.

ABOUT QWAFAFEW [quaff- a -few], the Quantitative Alliance For Applied Finance Economics & Wisdom,is an informal professional association with chapters in various states of functionality throughout the globe. A typical QWAFAFEW meeting includes topics of discussion on quantitatively oriented investment industry issues along with the opportunity to network, relax, and enjoy libations. Please visit www.qwafafew.org to learn more about the organization, its resources, and local chapter events. Our dress code, rules of “etiquette” and everything else are strictly casual.

Future QWAFAFEW-NYC Meetings (Other org. events below):
July 22nd, 2008 – “The Correlated Alpha Factors Blues”, Mary Ann Bartels, Merrill Lynch; New Paradigm for ETF Indexes”, C. Michael Carty, Benchmarks by Design
August 19th, 2008 – “Financial Health Conundrums”, Herbert Blank, Rapid Ratings International; “Outside-the-box Thinking For Risk Managers”, Navin Sharma, Oppenheimer Funds
September 23rd, 2008 – Ken Akoundi, Optima Funds Management; Bjorn Flesaker, Bloomberg LP
October 28th, 2008 –Elliott Noma, Asset Alliance LLC; James Q. Rice Spear Capital LLC
November 25th, 2008 – Matthew Rothman, Lehman Brothers. Gioel Molinari, ClariFi
December 30th 2008 – TBA

NYC | NYU

Advanced Risk and Portfolio Management, June 26-28, 2008 Courant Institute, Room 109, 251 Mercer Street, New York, NY 10012

Dr Attilio Meucci, CFA

The workshop covers all aspects of quantitative risk and portfolio management from the foundations to the newest developments:

- Multivariate statistics and stochastic processes - Multivariate estimation in non-normal markets - Market modeling - Pricing - Portfolio evaluation - Generalized risk decomposition - Advanced portfolio management techniques - Liquidity and transaction costs

The most advanced statistical and optimization techniques are introduced and thoroughly discussed by means of live MATLAB simulations, intuitive geometrical representations, figures and plenty of examples

The workshop is based on Dr. Meucci's bestseller Risk and Asset Allocation, Springer. Participants will receive a complimentary copy of the book and all the code used in the demos

AUDIENCE

Buy-side practitioners (portfolio managers and risk managers with solid quantitative background) will deepen and broaden their understanding of the recipes they implement everyday and will learn the most cutting-edge techniques

Academics and sell-side practitioners (traders, financial engineers, quantitative analysts, research teams) will understand the big-picture and the details of buy-side finance in a concise, quantitative language to them familiar

REGISTRATION

Register at www.cims.nyu.edu/~arpm2008 <http://www.cims.nyu.edu/%7Earpm2008>

For questions or inquiries, please email arpm2008@cims.nyu.edu or call
1 - (212) 998 3194

NYC | New York Quantitative Finance Seminar

****RSVP here: http://www.cfe.columbia.edu/misc-pages/RSVP-NYQF.html ****

The Center for Financial Engineering at Columbia University is pleased to invite you to the forthcoming New York Quantitative Finance Seminar http://www.cfe.columbia.edu/seminars/NY_Quantitative_Finance/ on Thursday, May 29, 2008, 5.30 PM-7:00 PM for a presentation by Jesper Andreasen, Danskebank on Interest Rate Models: the Past, the Present, the Future

 http://www.cfe.columbia.edu/seminars/NY_Quantitative_Finance/

We survey the development of interest rate models over the  past 3 decades from short rate models, over Markov functional models  and Libor market models to Markov HJM models. The focus is on  application to derivatives pricing and practical issues of calibration  and numerical implementation will be discussed.

 VENUE: Park Avenue Plaza, 55 East 52nd Street, 11th floor.
 An ID will be needed to access the auditorium (lower level).

 A cocktail will be served after the seminar.

About the speaker: Before recently joining Danskebank, Jesper Andreasen headed the Fixed Income Quantitative Research Department at Bank of America in London covering interest rate and hybrid derivatives. Jesper has also held positions in the quantitative research departments of Nordea, Bank of America, and General Re Financial Products. Jesper's research interest include: term structure modeling, volatility smiles, and numerical methods. In 2001 Jesper received Risk Magazine's Quant of the Year award. Jesper holds a PhD in Mathematical Finance from Aarhus University, Denmark.

The New York Quantitative Finance Seminar is a forum for discussion of new  results and insights coming from quantitative modeling in finance and risk  management, for the New York quantitative finance community.

The New York Quantitative Finance Seminar  is brought to you by Center for Financial Engineering, Columbia University and NYU Courant Institute of Mathematical Sciences and sponsored by Blackrock, JP Morgan, Standard and Poor's, Finance Concepts, Europlace Institute of Finance

Organizing committee: Andrew ABRAHAMS ( JP Morgan ) Marco AVELLANEDA ( NYU Courant Institute)  Rama CONT ( Columbia University )  Emanuel DERMAN ( Columbia University )  Craig FRIEDMAN ( Standard and Poor's)  Bernard LEE (BlackRock)

Paris| The Center for Financial Engineering

The Center for Financial Engineering at Columbia University is  pleased to announce the forthcoming conference on

New Directions in Quantitative Finance

Paris, 19-21 May 2008

http://www.cfe.columbia.edu/announcements/New_Directions_in_QF_Workshop/

This workshop will bring together leading international experts and young researchers  to discuss emerging issues in derivatives modeling, portfolio optimization and risk management, with the aim of stimulating interaction between participants and ignite collaborations between US and French researchers.

Topics include: derivative pricing and hedging, risk measurement, credit risk modeling, portfolio optimization, Monte Carlo methods in finance, quantitative modeling in corporate finance

The confernce will take place at Reid Hall, Columbia University's campus in Paris:
4 rue de Chevreuse 75006 PARIS
http://www.reidhall.com/

* List of speakers:

René Aid (Electricité de France)
Marco Avellaneda (New York University)
Bruno Bouchard (Université de Paris Dauphine) Yann Braouezec (Ecole Sup. d'Ing. Léonard de Vinci, France) Mark Broadie (Columbia University) Stephane CREPEY (Universite d'Evry, France) Luciano Campi (Université de Paris Dauphine) Bruno Dupire (Bloomberg LP) Umut Cetin (London School of Economics) Romain Deguest (Columbia University/Ecole Polytechnique) Romuald Elie (Université de Paris Dauphine) David Fournie (Columbia University) Alfred Galichon (Ecole Polytechnique) Emmanuel Gobet (InP Grenoble - ENSIMAG) Jun-ya Gotoh (Tsukuba University) Pierre Henry-Labordère (Société Générale) Ying Jiao (Ecole Sup. d'Ing. Léonard de Vinci, France) Jean-Michel Lasry (Calyon) Andreea Minca (Ecole Polytechnique) Amal Moussa (Columbia University) Serguei Novak (Middlesex University) Olivier Pironneau (Universite de Paris 6) Peter Tankov (Université Denis Diderot) Stan Uryasev (University of Florida) Ekaterina Voltchkova (Université de Toulouse)

* Programme:  http://www.fiquam.polytechnique.fr/XColumbia.html

* Registration: Registration is free but limited to 100 participants.

Please register online at: http://www.fiquam.polytechnique.fr/registration.html

Center for Financial Engineering | Columbia University, New York

http://www.cfe.columbia.edu/

NYC | QWAFAFEW

QWAFAFEW / PRMIA JOINT MEETING

Tuesday, May 27, 2008

“The State of the ETF Industry in Its 15th Year” –  A Panel Discussion”

Moderated by: Kathleen Moriarty, Katten Law

Panelists include: Marvin Appel, Appel Asset Management; Michael Carty, Benchmarks by Design; Anthony Dudzinski, XShares Advisors; Thomas Haines, NYSE Euronext; Michael Jabara, Citigroup and Shirley Petersen, Mergent

Venue and Time: Tuesday, May 27th, 5:45 - 8:45 pm; Patrick Conway's Pub & Restaurant (downstairs) 40 E 43rd St (between Madison & Vanderbilt), NY, NY

To RSVP (No later than 7 PM EDT on Mon. May 25 – Memorial Day): Please send an e-mail nyc@qwafafew.org and put date of event in Subject Line. Please include whether you are a QWAFAFEW member (including if you intend joining at the door), a PRMIA Sustaining Member, or neither, along with the names, phone numbers, Organization Names for name tags, e-mails, and zip codes for all attending. Please RSVP as we are expecting a large crowd and cannot guarantee admission otherwise.

Admission: $30 for SUSTAINING MEMBERS of PRMIA and/or Paid-Up Members of QWAFAFEW-NYC in 2008 (must have already paid dues for 2008 or pay with admission for this meeting) who RSVP.

$50 for all other RSVPs +$20 more than the above at the door for non-RSVPs (only if availability permits)

ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC. Paper receipts are available upon request. Remember, 2008 Membership dues are now $90. Bring a check with you to the meeting, or follow the instructions below.

QWAFAFEW - NYC Chapter, e-mail: nyc@qwafafew.org website: www.qwafafew.org/New York Chapter 

AGENDA  5:45 - 6:25 pm Registration and Networking

6:25 - 6:35 pm  - A Brief Intro to the Joint PRMIA/QWAFAFEW Meeting from the two organization chapter Presidents, James Tunkey and C. Michael Carty

6:35 - 7.15 pm – Insights from the Panel - Our moderator and panelists will spend no more than 5 minutes apiece introducing themselves and their organizations, what they do, what insights they’ve gleaned over the time of their industry experiences, and favorite anecdotes (if applicable, no more than one person) they wish to share.

7:15 - 7.30 – Libation and networking break

7:30 – 8:30 - Panel Discussion moderated by Kathleen Moriarty in Q & A format covering recent events, specific issues, quandaries, and insights for the future.

About our Moderator: Kathleen H. Moriarty concentrates her practice in financial services matters. She has extensive experience in the establishment and representation of exchange-traded investment companies (ETFs) and was instrumental in the early development of the structure, creation and registration of SPDRs. Ms. Moriarty has also advised clients on the establishment of various other U.S. ETFs, including iShares, VIPERS, ProShares and WisdomTree. Ms. Moriarty regularly advises foreign entities and delegations from both public and private sectors with respect to the regulation and operation of U.S. ETFs. She has also represented a variety of market participants in connection with the creation, structuring and development of other derivative securities and non-investment company exchange traded vehicles (ETVs), such as the streetTRACKS GOLD TRUST. Ms. Moriarty received her A.B. from Smith College in 1975 and her J.D. from the University of Notre Dame Law School in 1980. She is admitted to practice in New York. She is a member of the ABA Federal Regulation of Securities Subcommittee on Investment Companies and Investment Advisors and the Regulation of Futures and Derivative Instruments Committee, as well as a member of The Women’s Investment Management Forum. Ms. Moriarty is the author of several articles relating to ETFs and ETVs and a frequent lecturer at both industry and legal conferences. She sits on the editorial board of the Journal of Indexes. Ms. Moriarty was named a New York Super Lawyer in 2006 and 2007.

About our Panelists: Marvin Appelis CEO of Appel Asset Management Corporation and the author of the book, Investing with Exchange-Traded Funds Made Easy.

Michael Cartyis Founding Principal of Benchmarks-by-Design and President of the NYC Chapter of QWAFAFEW. Anthony Dudzinski serves as president of Xshares Group LLC and chief operating officer of Xshares Advisors LLC. Prior to that, he had been COO for M. H. Myerson & Co.

Thomas Hainesis Managing Director of the ETF and Indexes Group at NYSE Euronext. Michael Jabarais a Closed-End Funds & ETF Research Analyst at Citigroup Investment Research.

Shirley Petersen is currently Vice President of Index Licensing for Mergent Inc. after having served many years in a similar capacity with Standard and Poor’s Corporation.

QWAFAFEW [quaff- a -few], the Quantitative Alliance For Applied Finance Economics & Wisdom, is an informal professional association with chapters in various states of functionality throughout the globe.  A typical QWAFAFEW meeting includes topics of discussion on quantitatively oriented investment industry issues along with the opportunity to network, relax, and enjoy libations. Please visit www.qwafafew.org to learn more about the organization, its resources, and local chapter events. Our dress code, rules of “etiquette” and everything else are strictly casual.

Future QWAFAFEW-NYC Meetings (Other org. events below):

June 24th, 2008 – Jack Zwingli, Audit Integrity; “Dissecting the Yield Curve: Inflation Components and Beyond”, Ronit Walny, MacroMarkets

July 22nd, 2008 – “The Correlated Alpha Factors Blues”, Mary Ann Bartels, Merrill Lynch; New Paradigm for ETF Indexes”, C. Michael Carty, Benchmarks by Design

August 19th, 2008 – Herbert Blank, Rapid Ratings International; Navin Sharma, Oppenheimer Funds

September 23rd, 2008 – Ken Akoundi, Optima Funds Management; Bjorn Flesaker, Bloomberg LP

October 28th, 2008 –Elliott Noma, Asset Alliance LLC; James Q. Rice Spear Capital LLC

November 25th, 2008 – Matthew Rothman, Lehman Brothers

Gioel Molinari, ClariFi

December 30th 2008 – TBA

Chicago Events

Other Professional Group Events in Chicago...
May 1st / Eurex Quant Seminar
May 5th / “The Long and Short of 130/30”
May 6th / “Risk Management for Fund of Funds: the Quest for Transparency”
May 15th / Sixth Annual Midwest Open Your Hearts to the Children Benefit
June 17th / Spikes and Calls: Commodity Markets in 2008

Please see full details for each event below...

May 1, 2008 / Eurex Quant Seminar / Dr. Salih Neftci on Volatility
Eurex will once again offer free seminars for quantitative analysts and quant-based traders.
In these seminars, Dr. Neftci will explore the structure of implied vola surfaces for Eurex's popular options, the Euro-Bund, Euro-Bobl and Euro-Schatz, as well as the correlations between them.

Learn how Dr. Neftci compares the LIBOR market model to the more practical models used by many proprietary trading houses. Dr. Neftci's lectures are hands-on. He'll show you how to construct these surfaces and how to exploit related trading opportunities on a Bloomberg® terminal.

Each seminar will be followed by a cocktail reception where you will have the chance to meet Dr. Neftci and network with other attendees.


Location: Swissotel / The Alpine Room (lower level) / 323 East Wacker Drive / Chicago, IL 60601
Seminar: 3:30 p.m. - 5:30 p.m.
Cocktail Reception: 5:30 p.m. - 7:30 p.m.
Please RSVP to: mailto:eurex-events-us@eurexchange.com
Include in the Subject line: I will attend in Chicago on May 1, 2008.

The sponsors for this event are Advantage Futures, Equinix and Deutsche Börse Systems.

*********************************************************************

May 5, 2008  “The Long and Short of 130/30” / Presented by the CFA Society of Chicago

This luncheon panel will provide valuable insight regarding the structure of 130/30 funds, the pension fund investor experience, the choices of fundamental and quantitative strategies, and the empirical track record of this new investment structure.

Date and Location: Monday, May 5, 2008
12:00 - 1:30 pm / The Standard Club / 320 S. Plymouth Court
Speakers:  Scott Bondurant, Long Short Equity Strategist & Executive Director - UBS Global Asset Management;  Paul V. Doane, Chief Executive and Chief Investment Officer - Arkansas Teacher Retirement System;  Robert H. Kramer, CFA, Founder and Managing Director - Chicago Equity Partners. Moderated by Keith Black, CFA, Associate - Ennis Knupp & Associates;  Introductions by Gordon Scott, CFA, Portfolio Manager - Rail-Splitter Capital Management, LLC

For more information please visit:
http://www.cfachicago.org/apps/eve_detail.asp?eve_ID=295

*********************************************************************

May 6, 2008  / “Risk Management for Fund of Funds: the Quest for Transparency”

Presented by Vivian J. Lee-Shiue, Managing Director of Commonfund

In today's volatile environment, it is becoming increasingly crucial to understand and actively monitor the detailed investments and trends within a portfolio. However, for a Fund-of-Funds that invests in hedge funds and alternative investments, this can be difficult as many fund managers will often not provide this level of detail to its investors. Join Vivian Lee-Shiue, Managing Director, Risk Management of The CommonFund, as she describes risk management and monitoring techniques that can be used in today's environment in the quest for portfolio transparency.

Time: 3:30 - 5:00 pm
Location:  DePaul Center / 1 E. Jackson Blvd, Room 8010 / Chicago

For questions about the event please call 312-362-8826 or visit: www.finance.depaul.edu/arditti

  *********************************************************************

May 15, 2008 / Sixth Annual Midwest Open Your Hearts to the Children Benefit

Hedge Funds Care (HFC), established in 1998, is an alliance of alternative investment industry professionals committed to protecting children from abuse and neglect. The group includes money managers, investors, prime brokers, attorneys, accountants and information providers. Funds are raised through annual Open Your Heart to the Children Benefits, held around the globe, and distributed locally to community-based nonprofit organizations that provide:

Prevention services to at-risk children and families.
Treatment for children who have been physically or sexually abused.
Support services to non-offending family members of children who have been abused.
Prevention through training to enhance awareness and understanding of abuse and neglect for children, parents, and community members.
Training for community members such as teachers, social workers, hospital/medical staff and religious leaders on recognition of abuse and reporting of abuse.
Research on best practices in child welfare.
Legal Advocacy to children in crisis.

To date, HFC has raised over $27.5 million through our annual benefits across the U.S. and internationally.  In the Midwest alone, HFC has distributed over $2.6 million in 73 grants to 38 social service programs in the greater Chicago and Minneapolis/St. Paul areas.

Date & Time:  Thursday, May 15th at 5:30 p.m.

Location: Millennium Park Rooftop Terrace / 201 E. Randolph / Chicago

For more information please visit: www.hedgefundscare.org.

To register for this event, please do so by May 8th via the following link:
http://www.hedgefundscare.org/2008/sixth-annual-chicago-open-your-heart-to-the-children-benefit/

*********************************************************************

Save the Date: June 17, 2008

Spikes and Calls: Commodity Markets in 2008

The IMF reported a cumulative 10 percent increase in 2008 in its commodity price index. This follows a 30 percent increase in 2007. A recent Google search on the phrase “commodity price boom” captures some of the repercussions of higher commodity prices – the search generates 22,100 hits.

Please join us on Tuesday, June 17, when three distinguished speakers will share their insights on commodity markets.

PRESENTERS AND TOPICS

Robert Tesar, Director of Commodity Futures & Options, Global Markets & Investment Banking, Merrill Lynch. “CTAs, Hedge Funds and Commodity Index Funds”

Gerald R. Jensen, Ph.D., CFA, Professor of Finance, Northern Illinois University
(joint research with Mitchell Conover and Jeffrey Mercer)
“Commodity Futures and Style Investing”

Hilary Till, Principal, Premia Capital Management, LLC; and Research Associate, EDHEC Risk and Asset Management Research Centre
“Case Studies and Risk Management in Commodity Futures Trading”

Location: Deloitte & Touche LLP / 111 S. Wacker Drive / Chicago, IL 60606-4301

NYC | QWAFAFEW

Tuesday, April 22nd, 2008

A Special Event: “The Inefficient Market for Quantitative Investment Professionals - More Than Just Showing Up”

Venue and Time:
Tuesday, April 22nd, 2008, 5:45 - 8:45 pm
Patrick Conway's Pub & Restaurant (downstairs)
40 E 43rd St (between Madison & Vanderbilt), NY, NY

To RSVP: Please e-mail nyc@qwafafew.org and put date of event in Subject Line. Please include the names, phone numbers, Organization Names for name tags, e-mails, and zips for all attending. Please RSVP so we can give Conway’s good estimates and avoid needing to charge a higher fee at the door.

Admission:
$30 for Paid-Up Members of QWAFAFEW-NYC in 2008 (must have already paid dues for 2008 or pay with admission for this meeting)

$40 for Members of the following investing-related organization (any CFA society, CAIA, CQA, FAMMS, PRMIA, or any other QWAFAFEW chapter; members of the financial press and full-time business students also may pay this reduced rate).

$50 for non-members of QWAFAFEW or any of the above affiliates. Dress code and everything else about QWAFAFEW is casual.
 
ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC. Paper receipts are available upon request. Remember, 2008 Membership dues are now $90. Bring a check with you to the meeting, or follow the instructions below.

QWAFAFEW - NYC Chapter, e-mail: nyc@qwafafew.org website: www.qwafafew.org/New York Chapter 

Administrator: Moira Hand, moira727@yahoo.com

Please send checks for Membership Dues to:
Herb Blank, QWAFAFEW Steering Committee
c/o QED International Associates, Inc.
708 3rd Avenue, 23rd Floor,
NY , NY 10017
hblank@qwafafew.org; (917) 992-7852

To get on Mailing List: transfer the following to your browser and click
http://www.qwafafew.org/phplist/lists/?p=subscribe&id=1

AGENDA
5:45 - 6:25 pm Registration and Networking

6:25 - 6:30 pm Chapter Business, C. Michael Carty, Chapter President

6:30 - 7.15 pm –
A Play in One Act about the inefficient Market for Smart People written by Brooke Allen, Maple Securities, USA

Smart People like participating in inefficient markets because they are rewarded for their efforts in ways that efficient markets don't permit. We investigate creative ways for Smart People to behave in the marketplace for brains and talent.

Featured players include: Suzanne – Joan Barber; Briana – Erin Cronican; Walt – Dennis Holland; Roger – Richard B. Watson

7:15 - 7.45 - During the break when refreshments will be available as always, we will also partake in “The Game” created by Mr. Allen. Prizes will be awarded to those who qualify.

7:45 – 8:30 - Panel Discussion with Human Resource Experts
Panelists: (partial list)
Sally Eisenberg, AVP of HR and Corporate Accounting, SPARX.
Maria Fornaro, HR manager at a manufacturer in the aviation industry.
Howard Leifman, Ph.D., HR Consultant (www.howardleifman.com)
----------------------------
About our speaker:
Brooke Allen is Head of the Quantitative Trading Group of Maple Securities USA. He also is an Educator and Guest Speaker at Rutgers Education Technology Center. Brooke has run Maple’s quantitative portfolio continuously since 1996 and spent most of the prior ten years involved in developing and exploring quantitative trading strategies and technologies at major sell-side institutions.

He recently wrote “In Person: Hiring In a Dysfunctional Job Market” for a Career Development section for Science magazine.  He has great interest in being of service to the generations that are coming up behind him and is particularly interested in helping young people first entering the job market and those in mid-life who are facing career changes.

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NYC | Columbia

FINANCIAL ENGINEERING PRACTITIONERS SEMINAR AT COLUMBIA UNIVERSITY

We are pleased to invite you to hear Reuven Brenner at the Financial Engineering Practitioners Seminar. Sponsored by: D E Shaw & Co., Guzman & Company, ISE, Murex, Prisma Capital Partners

The Financial Engineering Practitioners Seminar meets on Monday evenings from 6:00 pm to 7:30 pm, and is followed by a reception and refreshments. The seminars are open to the public and we welcome attendees from industry and academia.

See the fall and spring seminar schedule at:

www.ieor.columbia.edu/seminars/financialengineering/2007-2008/

For directions to the seminar please see below: The Financial Engineering Practitioners Seminar is held at 412 Schapiro CEPSR in Davis Auditorium on Columbia University's Morningside Campus. Enter through campus at 116th Street and then walk north. Davis Auditorium is located in the Schapiro Center towards the north end of the Morningside campus. Please click below for a map of the campus:

www.columbia.edu/cu/aboutcolumbia/maps/index.html

A WORLD OF CHANCE: Betting on Religion, Games, Wall Street

Date: 04-14-2008
Start Time: 6:00pm
End Time: 7:30pm
Speaker: Reuven Brenner, McGill University
Location: 412 Schapiro CEPSR, Davis Auditorium

ABSTRACT: The book shows how some societies created more chances for their members, and as a result, prospered. The book looks at events through the prism of risk-taking, of games of chance, of futures and of financial markets, and shows how religion, politics, law and finance interacted to bring about the situation we find ourselves today. It turns out that gamblers and risk-takers - furious attacks against them from many quarters notwithstanding -brought to life businesses and institutions that "corrected the future faster" and allowed the rest of society to have more options. It also turns out that games of chance have been unique financial instruments, serving at times as sources of capital, and at other times as the only means to "make it" when all else failed.

with G.A. Brenner and Aaron Brown, forthcoming Cambridge UP, 2008

BIO: During the last twenty years, Reuven Brenner has been working with companies such as Bank of America, Knowledge Universe, EEN (Education Entertainment Network), Bell Canada, BCI, Repap Enterprises on strategic and financial problems, as well as with investors, money asset managers and investment banks in Canada, the US, and Mexico. He has been also involved in the private equity markets as partner in Match Strategic Partners, identifying emerging opportunities for acquisition and investment for their own accounts and those of institutional investors. Brenner also served on various boards, and holds the Repap Chair at McGill's Faculty of Management.

He is the author of eight books and numerous articles, examining what makes companies and countries leapfrog others - or fall behind. Number eight, titled A World of Chance (with Gabrielle Brenner and Aaron Brown) is due by Cambridge UP in 2008. He has been a contributor to The Wall Street Journal, Forbes, National Post (Canada), Financial Times, Strait Times (Singapore), Asia Times, Dow Jones and Le Figaro (Paris).The Wall Street Journal, Financial Times, London Times, Boston Globe, New York Times, Asia Times, Smart Money reviewed his works, and Forbes' columnists put two of his books in their all time recommended list.

There have also been TV and radio programs in Canada and the US covering his work. Brenner has given speeches around the world, and debated, among others, Paul Volcker, Mike Milken, Jack Kemp, Pedro Aspe and Gil Diaz (Mexico's previous and present Finance Ministers), Yaakov Neeman (Israel's previous Finance Minister), and in Quebec, Henri-Paul Rousseau, Steve Jarislowsky, among others. In 1995, Quebec's government asked him to be member of a commission, whose mandate was to examine all aspects of Quebec's possible separation. He was also asked to testify before US Congressional Commissions and Canada's Senate's Banking and Finance Committee.

Forbes Global dedicated the cover story, titled "Leapfrogging," to Brenner's endeavors in the August 8, 1998 issue. Other honors included the Killam Award (1992); the 1995 "Masters and Mavericks of Modern Economics," dedicating a chapter to his works; and the Royal Society electing him as "Fellow"(1999).

Brenner was born in Rumania and immigrated to Israel in 1962.He served in the Israeli army between 1966-69, during the Six-Day War, and again during the 1973 Yom Kippur War. It was a Fulbright fellowship that enabled him to come to the US in 1977 for three years, combined with an invitation from the University of Chicago. The grant and invitation were a consequence of Brenner's work (with Shaul Bronfeld) in designing securities (indexed bonds) in Israel, work for which the Hebrew University awarded him a Ph.D.He lives in Canada since 1980. He is fluent in English, French, Hebrew, Hungarian and understands Rumanian.

San Francisco | QWAFAFEW

Our next meeting will be April 8 at 5:30 pm at the London Wine Bar.  Please use the Acteva link below to register for the meeting or pay your 2008 dues.  Note that if you have already paid your 2008 dues you do not need to register.

https://www.acteva.com//booking.cfm?bevaID=157047

Topic:  The Shadow of Disaster: How did catastrophes that did not happen influence the value premium?

Speaker:  Kenton K. Yee, JD, PhD, Mellon Capital Management, Columbia Business School

Peso problems create opportunities as well as the potential for devastating mistakes.
By playing on perceptions that determine prices, they cause high risk premia, time- varying and excess volatility, excess sensitivity to news, and Fischer Black’s leverage effect. I extend the dividend discount model to incorporate the looming question: Will bad turn worst? The resulting model highlights the concept that peso problems usually – but not always – have greater deleterious impact on stocks of lesser duration (value stocks) than those with greater duration (growth stocks). The implications provide insight into the behavior of the Fama and French portfolios during market extremes.

NYC / Columbia

RSVP here: http://www.cfe.columbia.edu/misc-pages/RSVP-NYQF.html

The Center for Financial Engineering at Columbia University is pleased to invite you to the forthcoming New York Quantitative Finance Seminar

http://www.cfe.columbia.edu/seminars/NY_Quantitative_Finance/

on Thursday, March 27, 2008, 5.30 PM-7:00 PM, for a presentation by Jim Gatheral, Merrill Lynch and Courant Institute

'Developments in Volatility Derivatives Pricing'

http://www.cfe.columbia.edu/seminars/NY_Quantitative_Finance/

Over the last two years, we have seen increased trading in both options on VIX and options on variance swaps. Also, there has been increased interest in modeling volatility with more than just one factor (Lorenzo Bergomi's two-factor model for example); rather than model instantaneous or implied volatility, the current tendency is to model variance swaps (or curves). Hans Buehler has derived consistency conditions on variance curve models in general, concentrating on the so-called Double Heston model in numerical examples. Bergomi's model on the other hand has (double) lognormal dynamics.In this talk, we place the Double Heston and Double Lognormal models in their historical context, explain Buehler's consistency condition and explore implications for the pricing of VIX options. We see that market pricing of VIX options excludes Heston dynamics but is roughly consistent with lognormal dynamics. Finally, we extract time series of the two volatility factors from historical option prices and compare statistical and risk-neutral parameters, finding that many of the unrealistic features of one-factor stochastic volatility models are eliminated.

VENUE: Park Avenue Plaza, 55 East 52nd Street, 11th floor.
An ID will be needed to access the auditorium (lower level).

A cocktail will be served after the seminar.

About the speaker: Jim Gatheral is a Managing Director at Merrill Lynch and an Adjunct Professor at the Courant Institute of Mathematical Sciences, NYU. Dr Gatheral obtained a Ph.D. in theoretical physics from Cambridge University in 1983. A veteran of derivatives markets, Dr Gatheral has been involved in all of the major derivative product areas as bookrunner, risk manager and quantitative analyst in London, Tokyo and New York. Between 1996 and 2005, Dr Gatheral led the Equity Quantitative Analytics Group at Merrill Lynch. His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. Dr Gatheral is a frequent speaker at both practitioner and academic conferences around the world. His recent bestselling book, 'The Volatility Surface: A Practitioner's Guide' has become a standard reference for practitioners, academics and students alike

The New York Quantitative Finance Seminar is a forum for discussion of new results and insights coming from quantitative modeling in finance and risk management, for the New York quantitative finance community.

The New York Quantitative Finance Seminar is organized by Center for Financial Engineering, Columbia University and NYU Courant Institute of Mathematical Sciences and sponsored by
Blackrock, JP Morgan, Standard and Poor's, Finance Concepts, Europlace Institute of Finance

NYC | Columbia

The Center for Financial Engineering at Columbia University announces the forthcoming

Workshop on Market Liquidity

(3.19.08 - registration for this event is now closed due to space constraints)

Columbia University, New York, April 4th 2008

The recent financial market crisis has brought the subject of market liquidity into the forefront of discussions on financial markets.

What causes market illiquidity? How can liquidity be measured? How does liquidity affect asset pricing? How should risk managers take liquidity into account? The objective of this one-day workshop is to bring together a panel of experts in quantitative finance and financial economics in order to discuss the state of the art in research on some of these delicate and difficult issues.

Topics:

- Liquidity risk measurement and management

- Market microstructure and order book dynamics

- Asset pricing in illiquid markets

- Economic modeling of liquidity

Speakers: Carlo Acerbi (AbaxBank, Milan), Rama Cont (Columbia University), Doyne Farmer (Santa Fe Institute), Michael Johannes (Columbia University), Donald F. Mango (Guy Carpenter & Co), Til Schuermann (Federal Reserve), Sasha Stoikov (Columbia University), Gary Venter (Guy Carpenter & Co)

Website:   www.cfe.columbia.edu/

Inquiries:  cfe@columbia.edu

Registration: Registration is free of charge, but compulsory. Space is limited. To register please send an email with title "CFE REG" to emc2135@columbia.edu with your full name and institutional affiliation.

Directions: Davis Auditorium is located within the Schapiro Center, which can be found on the interactive map below: www.columbia.edu/about_columbia/map/

Scientific Committee: Mark Broadie, Rama Cont, Michael Johannes.

Sponsored by: Europlace Institute of Finance, ERM-II, Towers Perrin

Schedule: 9:00 Introduction, 9:10-9:45 Michael JOHANNES (Columbia Graduate School of Business) Thoughts on the liquidity crisis, 9.45-10:45 Til SCHUERMANN (Federal Reserve Board) Banks as liquidity providers of second-to-last resort, 10.45-11.15 Break, 11:15-12:00 Gary VENTER (Guy Carpenter & Co) Practitioner Confusions about Incomplete Markets Examples from Insurance, 12:00-12:45 Rama CONT (Columbia University IEOR Dept) Liquidity, feedback effects and correlation risk, 12:45-2:00 Lunch Break, 2:00-2:45 Carlo ACERBI (Abaxbank, Italy) A coherent formalism for measuring liquidity risk, 2.45-3.30 Sasha STOIKOV (Columbia University IEOR Dept) More than indifferent: High-frequency trading in a limit order book, 3.30-4:00 Break, 4:00-4.45 Doyne FARMER (Santa Fe Institute), 4.45-5.30 Donald MANGO (Guy Carpenter & Co) The Reinsurance Market: an In-Depth Look at a Low Liquidity Market for Risk. 5:30 Discussion. Cocktail. www.cfe.columbia.edu/announcements/Market_Liquidity_Workshop/index.html

Boston / QWAFAFEW

http://www.qwafafew.org/boston-20080311

Next Boston QWAFAFEW Meeting: Tuesday, 11 March 2008
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
[call 617-536-4630 for directions]
RSVP to Hugh@QWAFAFEW.org

a QWAFAFEW discussion led by Roger Edelen, BC

Topic: Agency Costs of Institutional Trading

ABSTRACT
Under the typical institutional trading arrangement a portfolio manager makes the trade decision and a trading desk executes the trade, with execution performance evaluated against a benchmark such as the volume weighted average price (VWAP). We develop a model which shows that this arrangement gives the trader an incentive to maintain a relatively low ask quote when valuations rise to expedite sell trades and a relatively high bid quote when valuations fall to expedite buy trades. This process inhibits information assimilation giving rise to price-adjustment delays. We provide empirical support for this argument with several previously undocumented cross sectional and time series facts about price-adjustment delays.

Guest fee for attendance is $30. Members attend at no charge. If you are not yet a member or have not paid your dues lately, you may pay your annual dues of $150 (your membership year starts on the day you pay). You may bring cash or a check for either amount ($150 or $30) made out to "QWAFAFEW" and give it to our Treasurer, Hugh Crowther. Please let us know if you intend to come to the meeting. Walk-ins are always welcome; still, we greatly appreciate all RSVPs so that we can have adequate food and drink on hand. Help needed.  We are always in need of people to arrive early for the meetings to help set up the seating and refreshments. If you are willing to help out please contact Hugh Crowther.

2008 Boston QWAFAFEW Schedule
(names are Steerage Committee members in charge of the program)
                                 
2008
                                     
April 15                                         Jarrod Wilcox presents
May 20                                                               Dan Rie
June 17                                                      Mark Kritzman
July 15                                                        John Minahan
August 19                                              Dan diBartolomeo
September 16                                            John Nagorniak
October 21          André Perold arranged by Evan Schulman
November 18                                                             TBD
December 16                                             Michael Wilcox
   

San Francisco / QWAFAFEW

Please join us for our next meeting on March 17 at the London Wine Bar
at 5:30 pm. 

Speaker:  Diane Garnick, Investment Strategist, INVESCO

Topic:  Accounting Changes Change More Than Just Accounting

You can register for the meeting using the Acteva link below:

http://www.acteva.com/booking.cfm?bevaid=148951

Denver / QWAFAFEW

We are pleased to announce our third event of 2008. On Wednesday, March 19th, Jennifer Bender of Barra Inc. will present "New Insights into Short Extension Strategies" & "Market Dislocation". Please see details below.

Date/Time: Wednesday, March 19, 2008 at 6PM
Location: Via Trattoria (Located on Wynkoop between 18th and 19th in LoDo)

6PM: Networking, hors d’oeuvres (including vegetarian options), and complimentary wine; 6:30PM: Presentation
Admission: $10 Members; $35 Guests
RSVP: Secure your seat by sending your admission check to the address below by March 12, 2008.
Address: QWAFAFEW Denver, PO BOX 19013, Boulder CO 80308
Questions: Email Denver@qwafafew.org

Presentation: “New Insights into Short Extension Strategies” & “Market Dislocation”
Speaker: Jennifer Bender 

Ms. Bender is a Vice President in Applied Research at MSCI Barra, where she works on portfolio management and risk related research for asset owners and investment managers. Previously Ms. Bender was a quantitative analyst at State Street Associates.  Ms. Bender's research areas in addition to risk management and portfolio theory include investor behavior, market microstructure, market efficiency and asset pricing. Ms. Bender has held research assistantships at Harvard Business School and MIT, and spent four years as an economist for Standard & Poor's DRI.  Ms. Bender holds a PhD and MS from Brandeis University in International Economics and Finance. 

Presentation Summaries: New Insights into Short Extension Strategies

We look beyond the conceptual advantages of active extension strategies to focus on some of the important implementation challenges: What is the optimal leverage ratio given a set of expected returns and risk targets and will the optimal leverage ratio change over time? What are some of the key differences between 130/30 and a strategy based on long market exposure combined with a 30/30 market neutral  strategy? Performance attribution for 130/30 strategies is yet another challenge, and we will highlight some important issues. These are just some of the questions critical to institutional investors moving further into the active extension world.

Market “Dislocation”

High volatility regimes share an unnerving quality that drives many market participants to take quick action. Importantly, there are significant structural differences between turbulent periods that can be analyzed with factor models. We examine three such periods: the sub-prime mortgage crisis (2007), the bursting of the internet bubble (2000), and the rouble default and collapse of Long Term Capital Management (1998). We show how factor models provide information required by both asset managers and asset owners to make effective decisions in a crisis

NYC / Columbia

FINANCIAL ENGINEERING PRACTITIONERS SEMINAR AT COLUMBIA UNIVERSITY

We are pleased to invite you to hear Kenneth A. Posner, of Morgan Stanley, at the Financial
Engineering Practitioners Seminar sponsored by: D E Shaw & Co., Guzman & Company, ISE, Murex, Prisma Capital Partners

The Financial Engineering Practitioners Seminar meets on Monday evenings from 6:00 pm to 7:30 pm, and is followed by a reception and refreshments. The seminars are open to the public and we welcome attendees from industry and academia.

See the fall and spring seminar schedule at:

www.ieor.columbia.edu/seminars/financialengineering/2007-2008/

For directions to the seminar please see below: The Financial Engineering Practitioners Seminar is held at 412 Schapiro CEPSR in Davis Auditorium on Columbia University's Morningside Campus.
Enter through campus at 116th Street and then walk north. Davis Auditorium is located in the Schapiro Center towards the north end of the Morningside campus. Please click below for a map of the campus:

www.columbia.edu/cu/aboutcolumbia/maps/index.html

-----------------------------------------
The subprime mortgage crisis of 2007:  Anatomy of a market failure

Date: 03-10-2008
Start Time: 6:00pm
End Time: 7:30pm
Speaker: Kenneth A. Posner, Morgan Stanley
Location: 412 Schapiro CEPSR, Davis Auditorium

ABSTRACT

As home prices soared in 2004-5, consumers, realtors, mortgage lenders, homebuilders, and investment banks all benefited.  But few thought the good times would last -- after all, everyone had learned to recognize a bubble when they saw one.  If that's the case, how did mortgage losses turn
out so large, and why do we find ourselves today confronting a major financial crisis?  This presentation will survey the damage resulting from the subprime mortgage crash and provide a possible explanation for the magnitude of the surprise which may be relevant to investors and risk managers in other markets.

BIO: Kenneth Posner is a managing director and head of the mortgage finance and specialty finance equity research team. Prior to joining the Equity Research department in 1995, Ken worked in Morgan Stanley's investment banking group, where he focused on commercial real estate transactions. He previously served as a captain of infantry in the US Army, and was airborne and
ranger qualified. Ken earned a B.A. from Yale University in 1985 and an M.B.A. with honors from the University of Chicago Graduate School of Business in 1991. He is a Certified Public Accountant and holds the Chartered Financial Analyst and Financial Risk Manager designations.

New York Quantitative Finance Seminar

****RSVP here: http://www.cfe.columbia.edu/misc-pages/RSVP-NYQF.html ****

The Center for Financial Engineering at Columbia University is pleased to invite you to the forthcoming New York Quantitative Finance Seminar

http://www.cfe.columbia.edu/seminars/NY_Quantitative_Finance/

on Thursday, February 28, 2008, 5.30 PM-7:00 PM . for a presentation by Dr Robert FERNHOLZ, INTECH on " Modeling equity market behavior'

http://www.cfe.columbia.edu/seminars/NY_Quantitative_Finance/

Abstract stock markets are stochastic models that exhibit some of the properties of real stock markets. In these markets, the stock capitalizations are modeled by Brownian motions with drift and variance processes that depend on the market weights or the ranks of the stocks. We assume that the stocks pay no dividends, and that there are no splits or mergers. We study a number of market properties, including long-term stability, the existence of arbitrage, and the distribution of capital.

The simplest market models, those that appear in classical finance, have constant drift and variance parameters. While these models can be useful for studying short-term phenomena, they are unstable over the long term, and, hence, unsuitable for long-term analysis. In fact, in a market of stocks with constant drift and variance parameters, after the passage of time virtually all the market capital will become concentrated into single stocks. For long-term stability, variable drift and variance processes are needed, and we consider abstract markets that are stabilized either by volatility or by the use of parameters that are based on rank.

Volatility-stabilized markets are abstract markets in which the variance of the stocks is greater for smaller stocks. This property holds for real stock markets, and we show that it results in a form of long-term stability. In some of these markets, the greater volatility of the smaller stocks can be exploited by portfolios that systematically overweight these stocks, and this creates an opportunity for arbitrage.

Markets of stocks with drift and variance parameters that depend on rank can also be stable over the long term. Roughly speaking, if the lower-ranked stocks drift upward faster than the larger stocks, then the market will be stable over the long term. We can create markets of this type that have stable capital distributions similar to the capital distributions of real stock markets, however, the dynamic behavior of these markets is likely to be quite complicated, and there are many open questions regarding them.

VENUE:  BlackRock Auditorium, Park Avenue Plaza, 55 East 52nd Street, 11th floor. An ID will be needed to access the auditorium (lower level). A cocktail will be served after the seminar.

About the speaker: Dr. Robert Fernholz is founder and Co-Chief Investment Officer of INTECH, an institutional equity manager and subsidiary of the Janus Capital Group that has used mathematical investment strategies since 1987.  Dr. Fernholz received his Ph.D. in Mathematics from Columbia University, and has served on the faculty of Princeton University and the City University of New York. In 2002 Dr. Fernholz published the research monograph "Stochastic Portfolio Theory" (Springer-Verlag), which provides a general mathematical framework for equity investment.

The New York Quantitative Finance Seminar is a forum for discussion of new results and insights coming from quantitative modeling in finance and risk management, for the New York quantitative finance community. The New York Quantitative Finance Seminar  is organized by The Center for Financial Engineering, Columbia University and NYU Courant Institute of Mathematical Sciences and sponsored by: Blackrock, JP Morgan, Standard and Poor's, Finance Concepts, Europlace Institute of Finance.

Organizing committee: Andrew ABRAHAMS ( JP Morgan ), Marco AVELLANEDA ( NYU Courant Institute) Rama CONT ( Columbia University ) Emanuel DERMAN ( Columbia University ) Craig FRIEDMAN ( Standard and Poor's) Bernard LEE (BlackRock)

The New York Quantitative Finance Seminar

http://www.cfe.columbia.edu/seminars/NY_Quantitative_Finance/

NYC / Columbia

FINANCIAL ENGINEERING PRACTITIONERS SEMINAR AT COLUMBIA UNIVERSITY

We are pleased to invite you to hear Gur Huberman at the Financial Engineering Practitioners Seminar. Sponsored by: D E Shaw & Co., Guzman & Company, ISE, Murex, Prisma Capital Partners.

The Financial Engineering Practitioners Seminar meets on Monday evenings from 6:00 pm to 7:30 pm, and is followed by a reception and refreshments. The seminars are open to the public and we welcome attendees from industry and academia. See the fall and spring seminar schedule at:

www.ieor.columbia.edu/seminars/financialengineering/2007-2008/

For directions to the seminar please see below: The Financial Engineering Practitioners Seminar is held at 412 Schapiro CEPSR in Davis Auditorium on Columbia University's Morningside Campus. Enter through campus at 116th Street and then walk north. Davis Auditorium is located in the Schapiro Center towards the north end of the Morningside campus. Please click below for a map of the campus:

www.columbia.edu/cu/aboutcolumbia/maps/index.html

-----------------------------------------

Performance Maximization of Actively Managed Funds

Date: 02-25-2008
Start Time: 6:00pm
End Time: 7:30pm
Speaker: Gur Huberman, Columbia University - Graduate School of Business
Location: 412 Schapiro CEPSR, Davis Auditorium

ABSTRACT

If asset returns are unpredictable, only access to payoffs outside the benchmark space enables a fund manager to deliver superior returns relative to a set of benchmarks. Superior performance of a fund return is measured by its Sharpe ratio or by its appraisal ratio, which indicates the statistical significance of the fund's alpha. Explicit formulas for the trading strategy that maximizes the performance ratios and for the consequent ratios themselves are derived. The performance-maximizing strategy is shown to be a variant of a buy-write strategy, which can be implemented by taking long positions in the benchmark assets and writing options on them. The manager's ability to generate superior performance is discussed extensively under the assumption that he can trade the benchmark assets and derivatives on them as frequently as he wishes but has no superior ability to predict returns or access to additional assets.

BIO

Gur Huberman is the Robert G. Kirby Professor of Behavioral Finance at the Graduate School of Business of Columbia University. Previously, Mr. Huberman taught at Tel Aviv University and at the University of Chicago. He holds a Ph.D. from Yale University.

Mr. Huberman has published over forty articles in professional journals, including the American Economic Review, the Journal of Political Economy, and the Journal of Finance. His primary research interests include Behavioral Finance, Portfolio Theory, Return-Risk tradeoffs, Money Management and Retirement Savings.

Boston | QWAFAFEW

http://www.qwafafew.org/boston-20080219

Next Boston QWAFAFEW Meeting: Tuesday, 19 February 2008
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
[call 617-536-4630 for directions]
RSVP to Boston@QWAFAFEW.org
 

a QWAFAFEW discussion led by: Van Harlow, FMR

Topic: Demographic Changes and Economic Growth

ABSTRACT
Using an extensive population database developed by the United Nations, this study examines the historical and projected age structures of a large number of countries. More importantly, it explores the links of country-specific demographic characteristics to the intertemporal and cross-sectional performance of asset markets and economies. Significant relationships are found between various determinants of age structure and changes in age structure and future economic growth. Based on these relationships, forecasts of economic growth are developed for 42 countries using medium-variant projections of long-term fertility rates and child mortality.