Certified Portfolio Management. Curriculum
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1 Day I: Monday June 8, 2009 Time Activity Presenter(s) 8:00 8:45AM Breakfast Check-in 8:45 9:15AM Welcome Address Overview of Program and Logistics Soulaymane Kachani Jenny Mak 9:15 10:45AM I.1 10:45 11:00AM Break 11:00 12:30PM I.2 Option Theory and Practice, Part I Review of basic derivatives pricing theory: Forward contracts. Put-Call Parity. Binomial Trees. Local Volatility. Continuous-time models of asset prices. Black-Scholes Option Theory and Practice, Part II Option trading and variance swaps: Key concepts behind Black-Scholes. Black-Scholes in practice. Managing an option book. Trading volatility. PL path-dependency. Variance swaps Lunch 12:30 2:00PM I.3 Key Note Speaker: My Life as a Quant 2:00 2:15PM Break 2:15 3:45PM I.4 3:45 4:00PM Break 4:00 5:30PM I.5 Option Theory and Practice, Part III Beyond Black-Scholes The Black-Scholes model theory vs. reality Hedging errors The problem of the volatility smile Models that can explain the smile Intuition Mathematics Consequences for hedging and valuation Asset Allocation, Part I Modern investment management. Active Portfolio Management. Step-by-step guide to Black Litterman PMI Sebastien Bossu Sebastien Bossu Garud Iyengar Drinks and dinner with:, Garud Iyengar and Sebastien Bossu 1
2 Day II: Tuesday June 9, 2009 Time Activity Presenter(s) 8:15 9:00AM Breakfast Check-in 9:00 9:15AM Concert Review of Previous Day Garud Iyengar 9:15 10:45AM II.1 10:45 11:00AM Break 11:00 12:30PM II.2 12:30 2:00PM II.3 2:00 2:15PM Break 2:15 3:45PM II.4 3:45 4:00PM Break 4:00 5:30PM II.5 Asset Allocation, Part II Black-Litterman approach: Three years of practical experience. Portfolio construction using multiple risk models. How Stale is your risk model Risk Management Risk Measures: Value at Risk beyond. Other risk topics: Systemic Risk, Financial Contagion, Feedback Effects and Correlation Breakdowns Lunch Key Note Speaker: An Evolutionary Perspective of Finance: Past, Present and Future Data Analysis Empirical analysis of asset prices: heavy tails, test of the predictability of stock returns. Financial time series: ARMA, stochastic volatility, and GARCH models. Regression models: linear regression and test of CAPM, nonlinear regression and fitting of term structures Credit Derivatives, Theory and Practice Quantitative modeling of credit risk. Pricing of single-name credit derivatives (credit default swaps) and collateralized debt obligations (CDOs). Secondgeneration structures. The here and now, and the future Drinks and dinner with: Steve Kou, Rama Cont and Leon Tatevossian Garud Iyengar Rama Cont Steve Kou Leo Tilman Steve Kou Leon Tatevossian 2
3 Day III: Wednesday June 10, 2009 Time Activity Presenter(s) 8:15 9:00AM Breakfast Check-in 9:00 9:15AM Concert Review of Previous Day Rama Cont 9:15 10:45AM III.1 10:45 11:00AM Break 11:00 12:30PM III.2 Portfolio Insurance Policies (portfolio management strategies which allow a leveraged exposure to the upside movements of an underlying fund or index while trying to hedge against downside moves) Option based portfolio insurance. Constant proportion portfolio insurance. Credit CPPI. Gap risk. Examples. Portfolio insurance and the 1987 crash Hedge Fund Management Critical managerial aspects and characteristics of hedge funds and hedge fund industry: legal regulations, strategies, risk management, performance evaluation Lunch 12:30 2:00PM III.3 Key Note Speaker: Behavioral Finance 2:00 2:15PM Break 2:15 3:45PM III.4 Foreign Exchange Foreign exchange market s functioning and mechanics. Spot transactions in major and emerging markets exchange rates. Forward foreign exchange market. Interest parity. Use of forwards in speculation and hedging. Carry trade. Currency options. 3:45 4:00PM Break 4:00 5:30PM Panel Discussion: Future of Finance III.5 5:30 6:00PM Closing Remarks Presentation of Certificates Rama Cont Leon Metzger Gur Huberman David DeRosa Panelists: (moderator), Leon Metzger, David DeRosa, Leo Tilman (Tentative), + 1 or 2 other panelists + PMI Soulaymane Kachani Jenny Mak PMI 3
4 Reading List: Module Readings I.1 I.2 1. Options, Futures Other Derivatives by John C. Hull, Prentice-Hall International 2. Paul Wilmott Introduces Quantitative Finance, 2nd edition by Paul Wilmott, Wiley 3. Finance and Derivatives: Theory and Practice by Sébastien Bossu and Philippe Henrotte, Wiley I.3 I.4 1. My Life as a Quant : Reflections on Physics and Finance by, Wiley, I.5 II.1 1. Modern Investment Management: An Equilibrium Approach by Bob Litterman 2. Active Portfolio Management by Grinold and Kahn 3. Step-by-step guide to Black Litterman by Idzorek (paper attached) 4. Black-Litterman approach: Three years of practical experience (paper attached) 5. Portfolio construction using multiple risk models (paper attached) 6. How Stale is your risk model (paper attached) II.2 1. Quantitative Risk Management: Concepts, Techniques and Tools by McNeil, Frey, and Embrechts 2. Risk Management Insurance, by Niehaus, McGraw-Hill Harrington II.3 1. Financial Darwinism: Create Value or Self-Destruct in a World of Risk by Leo M. Tilman (Author), Edmund Phelps (Foreword) II.4 1. Analysis of Financial Time Series by R. Tsay, Wiley II.5 1. Credit Derivatives Synthetic Structures: A Guide to Instruments and Applications, 2nd Edition by Janet M. Tavakoli, Wiley 2. Credit Derivatives and Structured Credit - A guide for investors by Richard Bruyere, Regis Copinot, Loic Fery, Christophe Jaeck, Thomas Spitz, Gabrielle Smart, and Rama Cont, Wiley III.1 1. Theory of Constant Proportion Portfolio Insurance. Journal of Economic Dynamics and Control 16, nos. 3-4 (July-October 1992): André F. Perold and Fischer Black. 2. Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices. Rama Cont and Peter Tankov. To appear in: Mathematical Finance (2009) III.2 1. The Black Swan: The Impact of the Highly Improbable by Nassim Nicholas Taleb 2. Against the Gods: The Remarkable Story of Risk by Peter L. Bernstein 3. When Genius Failed: The Rise and Fall of Long-Term Capital Management by Roger Lowenstein 4. The Prudent Investor's Guide to Hedge Funds: Profiting from Uncertainty and Volatility by James P. Owen III.3 1. Behavioral Finance and Markets by Gur Huberman, Cognitive Processes and Economic Behavior, Ed. Dimitri, Nicola, Marcello Basili, and Itzhak Gilboa. New York: Routledge, 2003 III.4 1. Central Banking and Monetary Policy in Emerging-Markets Nations by David DeRosa, Research Foundation of the CFA Institute. Chapters 4 and 5 (book attached) 2. Options on Foreign Exchange by David DeRosa 4
5 Faculty Bios: (Modules I.3, I.4 and III.5) Professor joined 's Industrial Engineering and Operations Research Department in Prior to joining Columbia, he was a managing director at Goldman Sachs, where he was head of the quantitative strategies group in the equities division, and then head of quantitative risk strategies in firm-wide risk. He is best known for his work on the Black-Derman-Toy interest-rate model and for developing local volatility models of the implied volatility smile. He was the IAFE/Sungard Financial Engineer of the Year in Professor Derman's research interests include quantitative finance, financial engineering, derivatives valuation, volatility models, and risk management. He has published in numerous journals including the Financial Analysts Journal, RISK, The Journal of Portfolio Management, and the Journal of Derivatives. His recent memoir, My Life as a Quant: Reflections on Physics and Finance, was published in 2004 and was selected as one of Business Week's top ten books of the year. Sebastien Bossu (Modules I.1 and I.2) Professor Sebastien Bossu is currently a Visiting Research Fellow of the Center for Financial Engineering at. He previously worked as an Equity Derivatives structurer for JPMorgan and Dresdner Kleinwort in London. He is a graduate of The University of Chicago, HEC Paris and Université Paris-6, and the author of two textbooks, including 'Finance and Derivatives' translated into English by John Wiley Sons. Rama Cont (Modules II.2 and III.1) Professor Rama Cont joined s IEOR Department in 2006, after previous positions as CNRS research scientist at Centre de Mathématiques Appliquées, Ecole Polytechnique (France), and visiting professor at Princeton University. His research focuses on stochastic modeling and computational methods in finance, inverse problems and model uncertainty, random graphs and social networks. Professor Cont has taught courses at various academic institutions in Europe and the U.S. including: Ecole Polytechnique, Université de Paris VI, Sorbonne, Princeton, Osaka University, Université Paris- Dauphine, and HEC. He has also worked as a consultant for several financial institutions on topics ranging from the optimal design of maritime transport contracts to numerical methods for pricing exotic options. Currently, Professor Cont is the Editor in Chief of the Encyclopedia of Quantitative Finance and the director of the Center for Financial Engineering at. 5
6 Faculty Bios (continued): David DeRosa (Modules III.4 and III.5) David DeRosa is president of DeRosa Research and Trading, Inc. He is an Adjunct Professor of Industrial Engineering and Operations Research at and an Adjunct Professor of Finance and Fellow of the International Center for Finance at the Yale School of Management. He received his Ph.D from the Graduate School of Business of the University of Chicago in finance and economics and his A.B. in economics from the College of the University of Chicago. Professor DeRosa is the author of "In Defense of Free Capital Markets / The Case Against A New International Financial Architecture" (Bloomberg Press 2001), "Options on Foreign Exchange", second edition (Wiley 2000), "Managing Foreign Exchange Risk" (Irwin 1996), and is the editor of Currency Derivatives (Wiley 1998). Professor DeRosa serves on the boards of directors of several major hedge fund: Rubicon Fund Management, BlueCrest Capital International, GSA Capital Management, and the Children s Investment Fund. Gur Huberman (Module III.3) Professor Huberman is the Robert G. Kirby Professor of Behavioral Finance at Columbia Business School. Previously, he taught at Tel Aviv University and at the University of Chicago. He holds a Ph.D. from Yale University. Professor 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. Garud Iyengar (Modules I.5 and II.1) Professor Garud Iyengar joined s Industrial Engineering and Operations Research Department in Professor Iyengar teaches courses in asset allocation, asset pricing, simulation and optimization. He is currently the Director of Undergraduate Programs, as of July, Professor Garud Iyengar s research interests include convex optimization, robust optimization, queuing networks, combinatorial optimization, mathematical and computational finance, communication and information theory. He has published in numerous journals including IEEE Transactions on Information Theory, Mathematics of Operations Research, Mathematical Programming, IEEE Transactions on Signal Processing, and IEEE Transactions on Communication Theory. 6
7 Faculty Bios (continued): Soulaymane Kachani Professor Kachani is the Director of Executive Education at the Department of Industrial Engineering Operations Research at. He is also the Director of M.S. Programs in Engineering Management Systems, Industrial Engineering and Operations Research. Professor Kachani teaches courses in the areas of corporate finance, industrial economics, operations consulting, pricing and logistics. He was the recipient of the Distinguished Faculty Teaching Award in He conducts research in the fields of dynamic pricing, logistics, supply chain management, and transportation analysis. Prior to joining Columbia, Professor Kachani worked as a senior consultant in the Boston office of McKinsey Company. Steve Kou (Modules II.2 and II.4) Professor Steven Kou joined 's Industrial Engineering and Operations Research Department in 1998, and he teaches courses in financial engineering, stochastic models, and probability and statistics. Prior to joining Columbia, Professor Kou was a professor in the Department of Statistics at the University of Michigan. Professor Kou's research interests include mathematical and computational finance, and applied probability. He has published in numerous journals including Management Science, Mathematical Finance, Advances in Applied Probability, Annals of Applied Probability, Statistica Sinica, and Finance and Stochastics. In terms of financial engineering, Professor Kou is well known for his research on the double exponential jump diffusion model, models for growth stocks, the numerical pricing of discrete path-dependent options, market LIBOR models with jump risk, and option pricing in incomplete markets. His results have been widely used on Wall Street, and have been incorporated into standard M.B.A. textbooks, such as the textbook by John Hull. Leon Metzger (Modules III.2 and III.5) Leon M. Metzger, an Adjunct Professor at Columbia and NYU and consultant to the financial services industry, was associated with Paloma Partners Management Company for 18 years, most recently as its vice chairman and chief administrative officer. An expert witness on hedge fund matters, he also has developed and taught hedge fund courses at Wharton and Yale. Metzger has testified before Congress on capital markets, and has appeared as an expert on valuations and hedge funds before the CFTC, SEC, Treasury, IRS, GAO, and IOSCO. He has an MBA from Harvard and BS in economics from Wharton. 7
8 Faculty Bios (continued): Leon Tatevossian (Module II.5) Leon Tatevossian, an Adjunct Professor at, has nineteen years of experience in the fixed-income capital markets, including positions as a trader, quantitative strategist, derivatives modeler, and market-risk analyst. He is currently a marketing consultant to a newly-launched fixed-income macro hedge fund. Until November 2007, Leon was a principal and senior trader in an internal structured-credit hedge fund at Banc of America Securities. His prior experience includes strategist/modeler roles in US Treasury securities, US agencies, interest-rate derivatives, and mortgage-backed securities. From , Leon traded US agency securities at Citicorp Securities, and he was a credit-derivatives trader at ABN AMRO from He was a derivatives analyst in the Firmwide Risk Department at Goldman Sachs from Leo Tilman (Module II.3) Leo M. Tilman is President of L.M. Tilman Co., a strategic advisory firm that serves governments, financial institutions, corporations, and institutional investors worldwide. L.M. Tilman Co. helps its clients create real and lasting economic value in finance and is headquartered in New York City. Prior to founding the firm, Mr. Tilman held senior positions with BlackRock as well as Bear Stearns, where he was Chief Institutional Strategist and Senior Managing Director. Mr. Tilman teaches finance at his graduate as well as undergraduate alma mater. He is the author of Financial Darwinism: Create Value or Self-Destruct in a World of Risk (Wiley, 2008), co-author of The Risk Paradigm (forthcoming from Oxford, 2009), co-author of Risk Management (Wiley, 2000), and editor of Asset/Liability Management of Financial Institutions (Institutional Investor, 2003). Mr. Tilman is a contributing editor of The Journal of Risk Finance and a frequent speaker at leading business schools and conferences worldwide. He serves on the advisory board of the Center on Capitalism and Society at and on the board of directors of Atlantic Partnership. Mr. Tilman was honored by the World Economic Forum as a Young Global Leader, joining a select group of executives, public figures and intellectuals recognized for their professional accomplishments, commitment to society and potential to contribute to shaping the future of the world. 8
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