International Association for Quantitative Finance

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INTERNATIONAL ASSOCIATION FOR QUANTITATIVE FINANCE SENIOR FELLOWS About the IAQF, the GCARD’s Inaugural Professional Society Partner Phelim Boyle (formerly the IAFE) Wilfrid Laurier University The International Association for Quantitative Finance is the professional society dedicated to fostering the profession of quantitative finance by Douglas Breeden Duke University providing platforms for the discussion of cutting-edge and pivotal issues in the field. Michael Brennan Founded in 1992, the IAQF is composed of individual academics and practitioners from Manchester University UCLA banks, broker dealers, hedge funds, pension funds, asset management firms, technology Peter Carr firms, regulatory bodies, accounting, consulting and law firms, and universities across the NYU Tandon globe. John C. Cox MIT Sloan School of Management Through frank discussions of current policy issues, hosting programs to educate the Emanuel Derman finance community, and recognizing the outstanding achievements in the field, the IAQF Columbia University acts as a beacon for the development of quantitative finance. Throughout its history, the Darrell Duffie Stanford University IAQF’s pre-eminent leadership has positioned us to respond with savvy to the evolving Robert Engle needs of the financial engineering community. The IAQF’s programs – from our area- New York University specific committees to our evening forums to the Financial Engineer of the Year Award – John C. Hull are designed to provide our membership with uniquely valuable activities to enhance University of Toronto their work in the field. Jonathan Ingersoll Yale University Why Join the IAQF? Robert Jarrow Cornell University As ever more attention is focused on quantitative finance, the IAQF stands out as the Martin L. Leibowitz Morgan Stanley leading professional society with a mission to address the timely and innovative issues in Hayne Leland the field. Our membership represents an unmatched level of expertise. UC Berkeley Robert Litterman IAQF Members Enjoy: Kepos Capital • Access to exclusive content on our website Robert Litzenberger University of Pennsylvania This includes access to the entire archive of the IAQF’s former publication, the Andrew Lo Journal of Financial Engineering. MIT Sloan School of Management • Harry Markowitz Free attendance to IAQF Evening Forums Daiwa Securities Trust Co. The IAQF holds monthly talks and panel discussions on pressing topics in the field of Harry Markowitz Co. quantitative finance and the policy issues that are just around the corner. Leo Melamed Melamed & Associates • Discounts to IAQF-Endorsed Conferences Robert Merton As part of our educational mission, we endorse conferences that we believe our MIT Sloan School of Management membership would value. Conference fees can be exorbitant and the discounts that Richard Roll UCLA our members usually receive often saves them a dollar amount exceeding the price Mark Rubinstein of their IAQF membership. University of California Myron S. Scholes • Invitations to uro Annual Award Dinner Oak Hill Platinum Partners Our highest profile event, our Financial Engineer of the Year Award Dinner offers a Eduardo Schwartz unique opportunity to socialize with people making significant contributions to the UCLA field. William F. Sharpe Stanford University The IAQF offers Student, Academic, Young Practitioner and Practitioner Memberships, James H. Simons Renaissance Technologies Corp. as well as Academic Affiliate Memberships to Masters-level academic programs in Quantitative Finance/Financial Engineering/Mathematical Finance or similar fields of Oldrich Alfons Vasicek Moody’s Analytics concentration. For more information, please visit www.iaqf.org GLOBAL COMMODITIES APPLIED RESEARCH DIGEST | Professional Society Partnership | www.jpmcc-gcard.com | Summer 2018 141 .

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Speaker Biographies
The Quantitative Revolution and the Crisis: How Have Quantitative Financial Models Been Used and Misused Speaker Biographies Hugh Patrick is Director of the Center on Japanese Economy and Business at Columbia Business School, co-director of Columbia’s APEC Study Center, and R.D. Calkins Professor of International Business Emeritus. He joined the Columbia faculty in 1984 after some years as Professor of Economics and Director of the Economic Growth Center at Yale University. He has been a visiting professor at Hitotsubashi University, University of Tokyo, and University of Bombay. Professor Patrick has been awarded Guggenheim and Fulbright fellowships and the Ohira Prize. His professional publications include sixteen books and some sixty articles and essays. He is on the Board of Directors of the U.S. Asia Pacific Council and is a member of the Council of Foreign Relations. In November 1994, the Government of Japan awarded him the Order of the Sacred Treasure, Gold and Silver Star (KunnitôZuihôshô). He completed his B.A. at Yale University in 1951, earned M.A. degrees in Japanese Studies (1955) and Economics (1957) and a Ph.D. in Economics at the University of Michigan in 1960. Bruce Kogut is the Sanford C. Bernstein & Co. Professor of Leadership and Ethics and director of the Sanford C. Bernstein Center for Leadership and Ethics at Columbia Business School. He received his Ph.D. from the MIT Sloan School of Management and holds an honorary doctorate from the Stockholm School of Economics. Previously, he was on the faculties of the Wharton School of the University of Pennsylvania and INSEAD, and he has been a research fellow and visiting professor at the Rand Corporation, École Polytechnique, Social Science Research Center Berlin, Stockholm School of Economics, among others.
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Paul Wilmott Introduces Quantitative Finance
Paul Wilmott Introduces Quantitative Finance Second Edition Paul Wilmott Introduces Quantitative Finance Second Edition www.wilmott.com Copyright ≤ 2007 John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ, England Telephone (+44) 1243 779777 Email (for orders and customer service enquiries): [email protected] Visit our Home Page on www.wiley.com Copyright ≤ 2007 Paul Wilmott All Rights Reserved. No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning or otherwise, except under the terms of the Copyright, Designs and Patents Act 1988 or under the terms of a licence issued by the Copyright Licensing Agency Ltd, 90 Tottenham Court Road, London W1T 4LP, UK, without the permission in writing of the Publisher. Requests to the Publisher should be addressed to the Permissions Department, John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ, England, or emailed to [email protected], or faxed to (+44) 1243 770620. Designations used by companies to distinguish their products are often claimed as trademarks. All brand names and product names used in this book are trade names, service marks, trademarks or registered trademarks of their respective owners. The Publisher is not associated with any product or vendor mentioned in this book. This publication is designed to provide accurate and authoritative information in regard to the subject matter covered. It is sold on the understanding that the Publisher is not engaged in rendering professional services. If professional advice or other expert assistance is required, the services of a competent professional should be sought.
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A Simple Model for Pricing Securities with Equity, Interest-Rate, and Default Risk∗
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Course Syllabus
Course Syllabus University of Pennsylvania The Wharton School Operations, Information and Decisions Mathematical Modeling and its Application in Finance OIDD 353/653 – Spring 2018 Tuesday & Thursday, 3:00pm - 6:00pm January 11 – February 27, 2018 Room: TBD JMHH Office Hours: Tue & Thu 1:30-2:45pm or by appointment Professor Ziv Katalan Office: 3454 SHDH Phone (215) 898-7290 Cell (215) 715-5676 email: [email protected] Teaching Assistant: TBD Modern financial markets are marked by the widespread prevalence of new financial products, the importance of risk management, and the availability of powerful computational technology. Quantitative methods have become fundamental tools in the analysis and planning of financial operations. There are many reasons for this development: the emergence of a whole range of new and complex financial instruments, innovations in securitization, the increased globalization of the financial markets, the proliferation of information technology, and so on. In this class, we develop financial models and computational methods to solve pricing, hedging, and portfolio optimization problems that appear every day in financial markets. The emphasis is on a practical approach: we apply models and methods in a hands-on fashion to real problems, and simultaneously highlight their limitations in real situations. We develop techniques to price a wide array of equity derivatives, including path-dependent options and multi-asset options. We explore the related problems of hedging and risk management, and we address issues that arise in short and long term portfolio optimization. We construct models for the evolution of interest rates, to allow for the pricing and hedging of interest rate derivatives.
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Cutting-Edge Innovations in Derivatives Pricing, Hedging
Nobel Special 10th Annual Meeting Laureate Special Guest Address Discounts For Robert Engle, NYU Institutional Investors STERN SCHOOL OF BUSINESS & NOBEL Cutting-Edge Innovations In Derivatives LAUREATE Pricing, Hedging, Trading & Portfolio Management Plus! For Over 100+ Investment & Commercial Banks, Fund Managers, Speakers Including: Hedge Funds & Institutional Investors I Goldman Sachs I Renaissance Technologies Plus! Don’t Miss Presentations From These Renowned Global Financial Minds I Royal Bank Of Scotland I Merrill Lynch I Deutsche Bank I BNP Paribas I JPMorgan Chase I DrKW I Pioneer Alternative Investments I Abbey I NYU Stern School of Business I UBS I Societe Generale Peter Carr John Hull Riccardo Emanuel Derman, Nassim Taleb Robert Shiller, Bill Fung , , , , I Lehman Brothers Head of Quantitative Professor of Rebonato, Professor of Finance Founder Professor of Visiting Professor Research Derivatives & Risk Head of Group COLUMBIA EMPIRICA Economics LONDON I University of Toronto BLOOMBERG Management Market Risk UNIVERSITY CAPITAL YALE BUSINESS I HSBC UNIVERSITY ROYAL BANK OF UNIVERSITY SCHOOL I Clinton Group OF TORONTO SCOTLAND I Optioncity.net I Laurel Ridge Asset Management Plus! Expert Insights From These Leading Derivatives Practitioners I Citigroup I Mako Investment Managers I JD Capital Management I Uniqa Alternative Investments I Olsen I CONSOB I WestLB I Bloomberg I Moodys KMV I Willowbridge Associates I Freddie Mac Rajeev Misra, Andrew Harmstone, Rick Shypit, Martin St-Pierre, Jim Gatheral, Marek Musiela, Steve Ross,
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Implementation of the Black, Derman and Toy Model
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The Volatility Smile Emanuel Derman, Michael B
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A Foundation for Quantitative Finance: from Randomness Engineering to Financial Engineering”
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Models. Behaving. Badly
Derman_Models_i-218_PTR.indd 232 8/18/11 3:05 PM MODELS.BEHAVING.BADLY. ffirs.indd i 9/15/2011 4:45:51 PM ALSO BY EMANUEL DERMAN My Life as a Quant: Refl ections on Physics and Finance ffirs.indd ii 9/15/2011 4:45:52 PM MODELS.BEHAVING.BADLY. Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life EMANUEL DERMAN A John Wiley & Sons, Ltd., Publication ffirs.indd iii 9/15/2011 4:45:52 PM Th is edition fi rst published in 2011 Copyright © 2011 by Emanuel Derman Registered offi ce John Wiley & Sons Ltd, Th e Atrium, Southern Gate, Chichester, West Sussex, PO19 8SQ, United Kingdom For details of our global editorial offi ces, for customer services and for information about how to apply for permission to reuse the copyright material in this book please see our website at www.wiley.com. Th e right of Emanuel Derman to be identifi ed as the author of this work has been asserted in accordance with the Copyright, Designs and Patents Act 1988. First published in the United States by Free Press, A Division of Simon & Schuster, Inc. All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, except as permitted by the UK Copyright, Designs and Patents Act 1988, without the prior permission of the publisher. Wiley also publishes its books in a variety of electronic formats. Some content that appears in print may not be available in electronic books.
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Hayne Leland Selected As the Recipient of the 2016 IAQF/Northfield John C
For more information, please contact: Northfield Douglas Spencer +1-774-260-5560 [email protected] SENIOR FELLOWS IAQF Phelim Boyle David Jaffe Wilfrid Laurier University +1-646-736-0705 [email protected] Peter Carr New York University Hayne Leland Selected as the Recipient of the 2016 IAQF/Northfield John C. Cox Financial Engineer of the Year Award MIT Sloan School of Management Emanuel Derman December 2, 2016 – New York – The International Association for Quantitative Columbia University Finance (IAQF) and Northfield have named Hayne Leland, Professor of the Darrell Duffie Graduate School at the University of California, Berkeley's Haas School of Stanford University Business, the 2016 IAQF/Northfield Financial Engineer of the Year (FEOY). The Robert Engle award will be presented to Professor Leland on February 2, 2017, at the Yale NYU, Stern School of Business Club in New York City, during the IAQF/Northfield FEOY Award Gala Dinner. John C. Hull A pioneer in the field of modern corporate finance, Hayne Leland has led University of Toronto research on option pricing, capital structure and risk management and has Jonathan Ingersoll influenced the fields of banking, asset pricing, bond valuation, portfolio Yale University management, and portfolio insurance over nearly 50 years. Robert Jarrow Cornell University Upon his acceptance of the award Leland remarked, “To be selected to join Bob Litterman such a distinguished group of prior FEOY recipients is indeed a great honor. Kepos Capital That this honor is awarded by a committee of distinguished industry Robert Litzenberger professionals as well as academics brings me special pleasure, as I believe a University of Pennsylvania hallmark of good research is its ultimate usefulness to practitioners in the field.” Andrew Lo Northfield President Dan diBartolomeo agrees: “Professor Leland is one of a MIT Sloan School of Management small circle in the history of modern finance who has had a profound influence Harry Markowitz on both theory and practice across the entire range of investment Harry Markowitz Co.
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Certified Portfolio Manager (CPM®) Program
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