Department of Industrial Engineering & Operations Research at Columbia University & Portfolio Management Institute Certified Portfolio Management Curriculum Day I: Monday June 8, 2009
Time
8:00 – 8:45AM
8:45 – 9:15AM
Activity
Breakfast & Check-in
Welcome Address
Overview of Program and Logistics
9:15 – 10:45AM
I.1
Option Theory and Practice, Part I
10:45 – 11:00AM
11:00 – 12:30PM
I.2
Break
Option Theory and Practice, Part II
12:30 – 2:00PM
I.3
2:00 – 2:15PM
2:15 – 3:45PM
I.4
Lunch
Key Note Speaker: My Life as a Quant
Break
Option Theory and Practice, Part III
Beyond Black-Scholes
Presenter(s)
Soulaymane Kachani
Jenny Mak
Emanuel Derman
PMI
Sebastien Bossu
Review of basic derivatives pricing theory: Forward
contracts. Put-Call Parity. Binomial Trees. Local
Volatility. Continuous-time models of asset prices.
Black-Scholes
Sebastien Bossu
Option trading and variance swaps: Key concepts
behind Black-Scholes. Black-Scholes in practice.
Managing an option book. Trading volatility. P&L
path-dependency. Variance swaps
Emanuel Derman
Emanuel Derman
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
3:45 – 4:00PM
4:00 – 5:30PM
I.5
Break
Asset Allocation, Part I
Garud Iyengar
Modern investment management. Active Portfolio
Management. Step-by-step guide to Black Litterman
Drinks and dinner with: Emanuel Derman, Garud Iyengar and Sebastien Bossu
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Department of Industrial Engineering & Operations Research at Columbia University & Portfolio Management Institute Certified Portfolio Management Curriculum Day II: Tuesday June 9, 2009
Time
8:15 – 9:00AM
9:00 – 9:15AM
9:15 – 10:45AM
II.1
Activity
Breakfast & Check-in
Concert Review of Previous Day
Asset Allocation, Part II
10:45 – 11:00AM
11:00 – 12:30PM
II.2
Break
Risk Management
12:30 – 2:00PM
II.3
Lunch
Key Note Speaker: An Evolutionary
Perspective of Finance: Past, Present and
Future
Break
Data Analysis
2:00 – 2:15PM
2:15 – 3:45PM
II.4
3:45 – 4:00PM
4:00 – 5:30PM
II.5
Presenter(s)
Garud Iyengar
Garud Iyengar
Black-Litterman approach: Three years of practical
experience. Portfolio construction using multiple risk
models. How Stale is your risk model
Risk Measures: Value at Risk & beyond. Other risk
topics: Systemic Risk, Financial Contagion,
Feedback Effects and Correlation Breakdowns
Rama Cont
Steve Kou
Leo Tilman
Steve Kou
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
Break
Credit Derivatives, Theory and Practice
Leon Tatevossian
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
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Department of Industrial Engineering & Operations Research at Columbia University & Portfolio Management Institute Certified Portfolio Management Curriculum Day III: Wednesday June 10, 2009
Time
8:15 – 9:00AM
9:00 – 9:15AM
9:15 – 10:45AM
III.1
Activity
Breakfast & Check-in
Concert Review of Previous Day
Portfolio Insurance Policies (portfolio
Presenter(s)
Rama Cont
Rama Cont
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
10:45 – 11:00AM
11:00 – 12:30PM
III.2
Break
Hedge Fund Management
12:30 – 2:00PM
III.3
2:00 – 2:15PM
2:15 – 3:45PM
III.4
Lunch
Key Note Speaker: Behavioral Finance
Break
Foreign Exchange
3:45 – 4:00PM
4:00 – 5:30PM
III.5
Break
Panel Discussion: Future of Finance
5:30 – 6:00PM
Closing Remarks
Presentation of Certificates
Leon Metzger
Critical managerial aspects and characteristics of
hedge funds and hedge fund industry: legal
regulations, strategies, risk management,
performance evaluation
Gur Huberman
David DeRosa
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
Panelists: Emanuel Derman
(moderator), Leon Metzger,
David DeRosa, Leo Tilman
(Tentative), + 1 or 2 other
panelists + PMI
Soulaymane Kachani
Jenny Mak
Emanuel Derman
PMI
Department of Industrial Engineering & Operations Research at Columbia University & Portfolio Management Institute Certified Portfolio Management Curriculum Reading List:
Module
I.1 & I.2
I.3 & I.4
I.5 & II.1
II.2
II.3
II.4
II.5
III.1
III.2
III.3
III.4
Readings
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
1. My Life as a Quant : Reflections on Physics and Finance by Emanuel Derman, Wiley,
2004
2. http://www.ederman.com/new/docs/gs-local_volatility_surface.pdf
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)
1. Quantitative Risk Management: Concepts, Techniques and Tools by McNeil, Frey, and
Embrechts
2. Risk Management & Insurance, by Niehaus, McGraw-Hill Harrington
1. Financial Darwinism: Create Value or Self-Destruct in a World of Risk by Leo M. Tilman
(Author), Edmund Phelps (Foreword)
1. Analysis of Financial Time Series by R. Tsay, Wiley
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
1. Theory of Constant Proportion Portfolio Insurance. Journal of Economic Dynamics and
Control 16, nos. 3-4 (July-October 1992): 403-426. 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) http://ssrn.com/abstract=1021084
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
1. Behavioral Finance and Markets by Gur Huberman, Cognitive Processes and Economic
Behavior, 1-14. Ed. Dimitri, Nicola, Marcello Basili, and Itzhak Gilboa. New York: Routledge,
2003
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
Department of Industrial Engineering & Operations Research at Columbia University & Portfolio Management Institute Certified Portfolio Management Curriculum Faculty Bios:
Emanuel Derman
(Modules I.3, I.4 and III.5)
Professor Emanuel Derman joined Columbia University's Industrial Engineering and Operations Research
Department in 2003. 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 2000.
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 Columbia University. 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 Columbia University’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 ParisDauphine, 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 Columbia University.
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Department of Industrial Engineering & Operations Research at Columbia University & Portfolio Management Institute Certified Portfolio Management Curriculum 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 Columbia University 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 Columbia University’s Industrial Engineering and Operations Research
Department in 1998. Professor Iyengar teaches courses in asset allocation, asset pricing, simulation and
optimization. He is currently the Director of Undergraduate Programs, as of July, 2008.
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
Department of Industrial Engineering & Operations Research at Columbia University & Portfolio Management Institute Certified Portfolio Management Curriculum Faculty Bios (continued):
Soulaymane Kachani
Professor Kachani is the Director of Executive Education at the Department of Industrial Engineering &
Operations Research at Columbia University. 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
2005. 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 Columbia University'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
Department of Industrial Engineering & Operations Research at Columbia University & Portfolio Management Institute Certified Portfolio Management Curriculum Faculty Bios (continued):
Leon Tatevossian
(Module II.5)
Leon Tatevossian, an Adjunct Professor at Columbia University, 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 1994-95, Leon
traded US agency securities at Citicorp Securities, and he was a credit-derivatives trader at ABN AMRO
from 1997-2000. He was a derivatives analyst in the Firmwide Risk Department at Goldman Sachs from
2000-03.
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 Columbia University—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 Columbia University 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