Advancing the Field of Quantitative Finance
formerly the IAFE

Event: The Future of Risk Management
Date: November 20, 2009

Columbia University,

Uris Hall, Room 142

The International Association of Financial Engineers is pleased to endorse

The 16th Annual Workshop on Derivative Securities & Risk Management


Hosted by
The Center for Financial Engineering and The Center for Applied Probability (CAP) at Columbia University
Friday, November 20th, 2009,

Columbia University, New York City
Location: URIS HALL, Room 142 

9:00 AM - 6:00 PM

IAFE Members only: Receive a 25% discount on your registration with proof of membership.

E-mail Donella Crosgnach for more details and to register.



Michael Gordy (Federal Reserve)

"Constant Proportion Debt Obligations:  A Post-Mortem Analysis of Rating Models"

Jakub Jurek (Princeton)

"The Pricing of Investment Grade Credit Risk during the Financial Crisis"

Michael Pykhtin (Federal Reserve)

"Counterparty Credit Risk Modeling"

Thomas Russo (Patton Boggs, former Vice-Chairman of Lehman Brothers)

"The Regulation of Derivatives - Past, Present and Future"

Vadim Linetsky (Northwestern)

"Modeling Dependent Jumps: A Multivariate Time Change Approach"

Nihat Altintas (Credit Suisse)

"Execution Costs in Automated Trading"

Robert Ferstenberg (Morgan Stanley)

"Execution Risk"

Ciamac Moallemi (Columbia University)

"Cost of Latency"


A light lunch will be provided, and a wine and cheese reception will be held at the end of the day.


EARLY REGISTRATION - On or before Thursday, November 12th

$100 ($50 student)

Corporate & Institutional:



$175 ($100 student)

Corporate & Institutional:


For more information visit the conference website.