Derivatives 2007: New Ideas, New Instruments, New Markets
The NASDAQ Derivatives Research Project
Presents
Derivatives 2007: New Ideas, New Instruments, New Markets
Friday, May 18, 2007
NYU Stern School of Business
New York City
Sponsored by:
In 1973, Black and Scholes published their seminal article on option pricing, which launched academic finance into modern derivatives theory, and the Chicago Board Options Exchange introduced exchange trading of standardized option contracts, which launched the modern options marketplace. Since then, derivatives has been an area of extraordinary growth and development in both theory and practice. Moreover, unlike most academic disciplines, the gulf between theory and practice and between professors and practitioners - is unusually narrow for derivatives. Advances in theoretical understanding of derivatives have rapidly seen practical application in the marketplace, and at the same time, market innovations have stimulated new theory and academic research.
This conference will focus on some of the most significant recent developments in this important and exciting area. We are delighted to have a group of speakers who are recognized as being among the foremost intellectual leaders in the field. Most have had highly successful careers in both academics and the real world.
As a principal in a highly successful hedge fund, following a stellar academic career, our Keynote Speaker, Myron Scholes, exemplifies this synthesis of theory and practice.
The morning sessions will cover new kinds of derivatives based on credit risk, on real estate, and on energy, and new models of the underlying returns processes with stochastic volatility and correlation, or non-diffusive jumps. Complementing the academic-style presentations will be speakers who will discuss the issues that arise in translating theoretical advances into implementable trading and risk management strategies.
The afternoon will be devoted to two panel discussions. The first features a group of speakers all of whom have been at the pinnacle of academic achievement and are now doing the same in the real world of trading and risk management. The second panel brings together a group of prominent market professionals to share their views on the future of trading technology and the rapidly evolving derivatives marketplace.
Conference Organizer:
Stephen Figlewski
Professor of Finance, New York University
Location:
New York University
Stern School of Business
Schimmel Auditorium, Upper Concourse
40 West Fourth Street
New York, NY 10012
Directions:
For directions and maps, click here
This conference will focus on some of the most significant recent developments in this important and exciting area. We are delighted to have a group of speakers who are recognized as being among the foremost intellectual leaders in the field. Most have had highly successful careers in both academics and the real world.
As a principal in a highly successful hedge fund, following a stellar academic career, our Keynote Speaker, Myron Scholes, exemplifies this synthesis of theory and practice.
The morning sessions will cover new kinds of derivatives based on credit risk, on real estate, and on energy, and new models of the underlying returns processes with stochastic volatility and correlation, or non-diffusive jumps. Complementing the academic-style presentations will be speakers who will discuss the issues that arise in translating theoretical advances into implementable trading and risk management strategies.
The afternoon will be devoted to two panel discussions. The first features a group of speakers all of whom have been at the pinnacle of academic achievement and are now doing the same in the real world of trading and risk management. The second panel brings together a group of prominent market professionals to share their views on the future of trading technology and the rapidly evolving derivatives marketplace.
Conference Organizer:
Stephen Figlewski
Professor of Finance, New York University
Location:
New York University
Stern School of Business
Schimmel Auditorium, Upper Concourse
40 West Fourth Street
New York, NY 10012
Directions:
For directions and maps, click here
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Note: Video file sizes are large (between 100 and 250 megabytes). There is typically a fairly long wait after you click on a video before it starts to play. Please be patient. |
Program:
| 8:15 | Registration and Continental Breakfast |
| 8:45 | Welcome and Opening Remarks Stephen Figlewski, NYU Stern Video Steven Bloom, NASDAQ Video |
| 9:00 |
SESSION I: NEW IDEAS |
| 10:30 | Refreshment Break |
| 11:00 |
SESSION II: NEW INSTRUMENTS |
| 12:30 | Lunch Keynote Speaker: Myron S. Scholes, Chairman, L.P. Video |
| 2:00 | SESSION III: PANEL DISCUSSION ON "DERIVATIVES THEORY AND PRACTICE: WHERE ARE WE? WHERE ARE WE GOING NEXT?" Chair: Richard Lindsey, Callcott Group Myron S. Scholes, Platinum Grove Asset Management, L.P. Video Sanford J. Grossman, Chairman, CEO and President, Quantitative Financial Strategies, Inc. Robert Litzenberger, Executive Director, Azimuth Trust Video Emanuel Derman, Columbia University "Valuation and Its Discontents" Slides Presentations Video |
| 3:30 | Refreshment Break |
| 4:00 |
SESSION IV: PANEL DISCUSSION ON "THE DERIVATIVES MARKETPLACE: TRANSACTIONS TECHNOLOGY IN FLUX" |
| 5:15 | Wrap Up |
| 5:30 | Cocktail Reception |
SPEAKERS BIO
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STEVEN BLOOM
THIERRY F. BOLLIER
Thierry Bollier is formerly Managing Director, Head Hedge Funds Investment at WestLB. Thierry obtained his Ph.D. in Finance from the Sloan School of Management at the Massachusetts Institute of Technology. Initially, he pursued an academic career in capital markets, option pricing and international finance (1984-1987). He managed quantitative research groups in support of proprietary trading (mainly in FI RV, mortgage and credit arbitrage) and of derivatives and exotic product business between 1987 and 2002 at several top-tier financial institutions and one large hedge fund (1995-1998). He became Managing Director in 1993 as part of Salomon Brothers’ Fixed Income Derivatives business, where he ran quantitative research for both derivatives and FI arbitrage businesses globally. He was a co-creator of Swapco, Salomon Brothers AAA derivatives subsidiary, and in the early 90s he published and created methods to quantify, mitigate, and capitalize counterparty risk in large and complex derivatives portfolios. Most recently, prior to joining WestLB, he was a founding partner of a multi-strategy hedge fund (Archeus Capital Management, reached $2.7 bio AUM in May 2005), in charge of RV strategies in structured credit trading, a member of the Investment Committee. He also oversaw quantitative methods and risk management. He joined WestLB in June 2006 to head the HF investment group.
PETER CARR
Peter Carr is the Head of Quantitative Financial Research at Bloomberg LP, where his group is responsible for all facets of the business operation relating to modeling and analytics. He is also the Director of the Masters in Math Finance program at NYU's Courant Institute. Prior to his current positions, he headed equity derivative research groups for six years at Banc of America Securities and at Morgan Stanley. His prior academic positions include 4 years as an adjunct professor at Columbia University and 8 years as a finance professor at Cornell University. Since receiving his PhD. in Finance from UCLA in 1989, he has published extensively in both academic and industry-oriented journals. He is currently the treasurer of the Bachelier Finance Society and a practitioner director for the Financial Management Association. Peter is also an associate editor for 8 academic journals related to mathematical finance and derivatives. He has given numerous talks at both practitioner and academic conferences. He is also credited with numerous contributions to quantitative finance including: co-inventing the variance gamma model, inventing static and semi-static hedging of exotic options, and popularizing variance swaps and corridor variance swaps. Peter has recently won awards from Wilmott Magazine for “Cutting Edge Research'' and from Risk Magazine for “Quant of the Year''.
MICHEL CROUHY
Michel Crouhy is Head of Research and Development at NATIXIS. He has the bankwide oversight on all quantitative research and the development of new products and applications supporting the trading and structuring businesses. He is also responsible for implementing a bankwide RAROC system. He is the founder and President of the IXS Foundation for Quantitative Finance which subsidies academic research and world class events in the area of quantitative finance.
Formerly he was Senior Vice President, Business Analytic Solutions, in the Risk Management Division, at CIBC (Canadian Imperial Bank of Commerce). He was responsible for the development of risk measurement methodologies and models for market, credit (corporate and retail), operational risk and economic capital attribution, as well as customer behavior analytics. His responsibilities also included the approval of all pricing, balance sheet, risk and capital related models. He was also in charge of the RAROC (Economic Capital Attribution) and Operational Risk groups.
He is a member of The Professional Risk Managers’ International Association’s (PRMIA) Blue Ribbon Panel, and of the International Association of Financial Engineers (IAFE).
Prior to his current position at CIBC, Michel Crouhy was a Professor of Finance at the HEC School of Management in Paris, where he was also the founder and director of the M.S. HEC in International Finance, the first M.S. program in Financial Engineering. He has been a visiting professor at the Wharton School and at UCLA. Dr. Crouhy holds a Ph.D from the Wharton School and is Doctoris Honoris Causa from the University of Montreal.
He is the author and co-author of several books, the most recent ones being “Risk Management” (McGraw-Hill - 2001), “The Essentials of Risk Management” (McGraw-Hill - 2006) and has published extensively in academic journals in the areas of banking, options, risk management and financial markets. He is also Associate Editor of the Journal of Derivatives, the Journal of Credit Risk, Asia-Pacific Financial Markets, the Journal of Operational Risk and is on the editorial board of the Journal of Risk.
EMANUEL DERMAN
Emanuel Derman (www.ederman.com) is a professor at Columbia University and director of their program in financial engineering, and is also the Head of Risk at Prisma Capital Partners, a fund of funds. His book, My Life as A Quant: Reflections on Physics and Finance was published by Wiley in September 2004, and was one of Business Week’s top ten books of the year for 2004.
Dr Derman obtained a Ph.D. in theoretical physics from Columbia University in 1973. Between 1973 and 1980 he did research in theoretical particle physics, and from 1980 to 1985 he worked at AT&T Bell Laboratories.
In 1985 Dr Derman joined Goldman Sachs' fixed income division where he was one of the co-developers of the Black-Derman-Toy interest-rate model. From 1990 to 2000 he led the Quantitative Strategies group in the Equities division, where they pioneered the study of local volatility models and the volatility smile. He was appointed a Managing Director of Goldman Sachs in 1997. In 2000 he became head of the firm’s Quantitative Risk Strategies group. He retired from Goldman, Sachs in 2002.
Dr Derman was named the IAFE/Sungard Financial Engineer of the Year 2000, and was elected to the Risk Hall of Fame in 2002.
ROBERT F. ENGLE
Robert Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.
Professor Engle is an expert in time series analysis with a longstanding interest in the analysis of financial markets. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models. Professor Engle’s interest in financial econometrics covers equities, interest rates, exchange rates and option pricing. He is currently developing methods to analyze large systems of assets, real-time volatility, market microstructure and extreme market movements. He has published more than 100 academic papers and authored four books. His articles have appeared in such publications as Econometrica, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of the American Statistical Association, American Economic Review, Journal of Political Economy, Journal of Finance, Review of Financial Studies, Journal of Financial Economics. Before joining NYU Stern in 2000, Professor Engle was Chancellor's Associates Professor and Economics Department Chair at the University of California, San Diego, and as an associate professor at the Massachusetts Institute of Technology. He received his bachelor of science in physics from Williams College and his master of science in physics and doctor of philosophy in economics from Cornell University. STEPHEN FIGLEWSKI
Stephen Figlewski is a Professor of Finance at the New York University Leonard N. Stern School of Business, where he has been since 1976. He holds a B.A. in Economics from Princeton University and a Ph.D in Economics from the Massachusetts Institute of Technology. He has published extensively in academic journals, especially in the area of financial futures and options. He is the founding Editor of The Journal of Derivatives and an Associate Editor for several other journals. He also edits the Financial Economics Network's two "Derivatives" series published over the Internet. He is the director of the NYU Stern School Derivatives Research Project, a research initiative that supports applied and theoretical research on derivatives and promotes intellectual interchange between academics and practitioners in derivatives, risk management, and financial engineering.
Professor Figlewski has also spent time on Wall Street. He was a Vice President at the First Boston Corporation, in charge of research on equity derivative products, and was at one time a member of the New York Futures Exchange and a Competitive Options Trader at the New York Stock Exchange.
SANFORD J. GROSSMAN
Sanford J. Grossman is Chairman and Chief Executive Officer of Quantitative Financial Strategies, Inc. Dr. Grossman earned his B.A. in 1973, M.A. in 1974 and Ph.D. in 1975, all in Economics, from the University of Chicago. He has held academic appointments at Stanford University, the University of Chicago, Princeton University (as the John L. Weinberg Professor of Economics) and at the Wharton School of Business, where he was Steinberg Trustee Professor of Finance (a title now held in Emeritus). He was also the Director of the Wharton Center for Quantitative Finance (1994 – 1999). In 1988, Dr. Grossman founded Quantitative Financial Strategies, Inc. (“QFS”), a systematic investment management firm.
In addition, Dr. Grossman was an Economist with the Board of Governors of the Federal Reserve System (1977-78), and was a Public Director of the Chicago Board of Trade (1992-96). He has been a Director, Vice President, and in 1994, President of the American Finance Association.
Dr. Grossman’s research has spanned the analysis of information in securities markets, corporate structure, property rights, and optimal dynamic risk management. He has published widely in leading economic and business journals, including American Economic Review, Journal of Econometrics, Econometrica and Journal of Finance.
In 1987, Dr. Grossman was awarded the John Bates Clark Medal by the American Economic Association for his original contributions to economic research. His papers have won The Roger F. Murray Prize awarded by the Q-Group, Graham and Dodd Scroll from Financial Analysts Journal, and a Mathematical Finance 1993 Best Paper Award. Dr. Grossman received the 1996 Leo Melamed Prize from the University of Chicago Graduate School of Business for outstanding scholarship by a professor. In 2002, Dr. Grossman was recognized by the University of Chicago with its Professional Achievement Citation.
Currently, Dr. Grossman applies his rigorous scientific approach to improving and developing QFS’s quantitative investment models in the currency, global macro and fixed income sectors. QFS has current assets under management of $3 billion and over 30 employees.
FRANK M. HATHEWAY
Frank M. Hatheway is Chief Economist of the Nasdaq Stock Market Inc., and is responsible for a variety of projects and initiatives to support the Nasdaq market and improve its market structure. Prior to joining Nasdaq, Dr. Hatheway was a finance professor at Penn State University and a researcher in market microstructure. He has authored academic articles in the Journal of Finance, Journal of Financial Intermediation and other leading finance journals. Dr. Hatheway has served as an Economic Fellow and Senior Research Scholar with the U.S. Security and Exchange Commission. Dr. Hatheway received his Ph.D. in Economics from Princeton University.
John Hull
John Hull is the Maple Financial Group Professor of Derivatives and Risk Management in the Joseph L. Rotman School of Management at the University of Toronto. He is an internationally recognized authority on derivatives and has many publications in that area. Recently his research has been concerned with credit risk, executive stock options, volatility surfaces, market risk, and interest rate derivatives. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull-White interest rate model. He has acted as consultant to many North American, Japanese, and European financial institutions.
He has written three books “Risk Management and Financial Institutions” (new this year), "Options, Futures, and Other Derivatives" (now in its sixth edition) and "Fundamentals of Futures and Options Markets" (now in its fifth edition). The books have been translated into many languages and are widely used in trading rooms throughout the world. He has won many teaching awards, including University of Toronto's prestigious Northrop Frye award, and was voted Financial Engineer of the Year in 1999 by the International Association of Financial Engineers.
In addition to the University of Toronto, Dr. Hull has taught at York University, University of British Columbia, New York University, Cranfield University, and London Business School. Earlier in his career he worked as a corporate planning analyst with British Shoe Corporation. He is an Associate Editor of eight academic journals.
DAVID KRELL
David Krell is a founder and President & CEO of ISE. From 1997 to 1998, he was Chairman and co-founder of K-Squared Research, LLC, a financial services consulting firm. From 1984 to 1997, Mr. Krell was Vice President, Options and Index Products, of the New York Stock Exchange where he managed marketing, systems and new product introductions for the division. From 1981 to 1984, Mr. Krell was First Vice President at the Chicago Board Options Exchange, responsible for the management and operation of the Marketing and Sales Division. Mr. Krell was also a Vice President of Merrill Lynch from 1978 to 1981 and founded its Managed Options Service.
Mr. Krell is active in numerous industry groups. He was a Director on the Board of the International Federation of Technical Analysts, a president of the Market Technicians Association and a Director on the Board of The Options Clearing Corporation. Mr. Krell formerly was an Adjunct Professor at Rutgers University Graduate School of Management and at the Graduate School of Baruch College. He has taught, coordinated and directed numerous seminars and workshops at the New York Institute of Finance. MARK P. KRITZMAN
Mark P. Kritzman is President and CEO of Windham Capital Management, LLC. He also serves as a Senior Partner of State Street Associates and teaches a financial engineering course at MIT’s Sloan School. Mr. Kritzman serves on the boards of the Institute for Quantitative Research in Finance, the International Securities Exchange, and The Investment Fund for Foundations; and on the editorial boards of Emerging Markets Review, the Financial Analysts Journal, the Journal of Alternative Investments, the Journal of Asset Management, the Journal of Derivatives, and the Journal of Investment Management. Mr. Kritzman has written numerous articles for academic and professional journals and is the author of six books including Puzzles of Finance and The Portable Financial Analyst. He has an MBA with distinction from New York University and a CFA designation.
RICHARD R. LINDSEY
Richard R. Lindsey is president and CEO of the Callcott Group, LLC, a quantitative consulting group, where he is the principal responsible for directing research activities and advisory services. He is the Chairman of the International Association of Financial Engineers.
For eight years Dr. Lindsey was president of Bear, Stearns Securities Corporation and a member of the Management Committee of The Bear Stearns Companies, Inc. Before joining Bear Stearns, Dr. Lindsey served as the Director of Market Regulation for the U.S. Securities and Exchange Commission and as the Chief Economist of the SEC. He was a finance professor at the Yale School of Management before joining the SEC.
Dr. Lindsey has served on several corporate and not-for-profit boards, including those of the International Stock Exchange, Strike Technologies, New Hedge Fund Corporation, and the Options Clearing Corporation where he was the vice-chairman.
Dr. Lindsey has done extensive work in the areas of market micro-structure and the pricing of derivative securities. He has held the positions of Visiting Academic at the Nikko Research Institute in Tokyo, Japan, and Visiting Economist at the New York Stock Exchange. He has a B.S. in Chemical Engineering from Illinois Institute of Technology, an M.S. in Chemical Engineering from Berkeley, an M.B.A. from the University of Dallas, and a Ph.D. in Finance from the University of California, Berkeley.
ROBERT LITZENBERGER
Robert Litzenbergeris currently an Executive Director at Azimuth Asset Management, LLC where he manages the Select fund. He previously served as firmwide Risk Manager at Goldman, Sachs & Co. where he was responsible for the development, implementation and monitoring of Goldman's global risk management system as well as for setting and monitoring risk limits firm wide. Bob was also charged with meeting with Goldman's trading leaders (encompassing a large and diverse grouping of financial strategies, instruments and markets including equities, fixed income and commodities), assessing and monitoring their market risk for each, and subsequently making comprehensive recommendations regarding his findings to Goldman's Risk Committee. Prior to this, Bob served as Director of Derivative Research and Quantitative Modeling at Goldman. Previously, he served as Director of Research and Chief Economist at AIG-Financial Products where he worked on the development, pricing, and hedging of customized derivative products, developed valuation and hedging models, and determined all risk management procedures for new activities.
Bob is co-author of Foundations of Financial Economics (1988), and has published more than 50 articles in leading academic finance journals. Since 1986, he has taught finance at the Wharton School of the University of Pennsylvania where he held the Edward Hopkinson Chair in Investment Banking. He is currently a Professor Emeritus. Before joining the Wharton faculty, Bob was the C.O.G. Miller Distinguished Professor of Finance at the Stanford Graduate School of Business. He is a former President of the American Finance Association.
Bob holds a Ph.D. from University of North Carolina, an M.B.A from University of Pennsylvania, and a B.A. from Wagner College.
LASSE HEJE PEDERSEN
Lasse Heje Pedersen is a Charles Schaefer Associate Professor of Finance at the Stern School of Business at NYU, a research fellow at CEPR and NBER, and academic consultant for the Federal Reserve Bank of New York. Professor Pedersen received his Ph.D. from the Stanford Graduate School of Business, and his B.S. and M.S. in Mathematics-Economics from University of Copenhagen.
Professor Pedersen's research focuses on how security prices are affected by illiquidity. His papers study the impact of liquidity risk, predatory trading, asymmetric information, search and bargaining, short-selling through securities lending, and credit risk. Professor Pedersen has published papers in the Econometrica, Journal of Finance, Journal of Financial Economics, and Review of Financial Studies, and won the NYSE Award for Best Paper on Equity Trading at the WFA, 2002 and 2003, the Barclays Global Investors Award 2003, and was selected to the Review of Economic Studies Tour, 2001. EHUD I. RONN
Ehud I. Ronn is a Professor of Finance at the University of Texas at Austin, holds the Jack S. Josey Professorship in Energy Studies, and is Director of the Center for Energy Finance Education and Research at the McCombs School of Business. Dr. Ronn obtained his B.Sc. and M.Sc. in Economics at the Technion, the Israel Institute of Technology, and his Ph.D. in Finance from Stanford University. He has published articles on investments, interest rate-sensitive instruments and energy derivatives in the academic and practitioner literature, including Journal of Finance, Journal of Business, American Economic Review and Energy & Power Risk Management. Prior to joining the University of Texas at Austin in July 1988, Dr. Ronn was a faculty member of the business schools at the University of California, Berkeley, and the University of Chicago. While on a two-year 1991 - '93 leave of absence from the University of Texas, Dr. Ronn served as Vice President, Trading Research Group at Merrill Lynch & Co., where he was responsible for the valuation and hedging of a wide array of interest rate-sensitive securities, from callable bonds to exotic options. Since 1993, he has served as consultant to government agencies, an insurance company, investment banks, risk advisory firms and an energy-derivative software vendor in the interest-rate and energy-commodity arenas. In the energy-consulting area, Dr. Ronn has addressed the multiple issues of Risk Assessment; Construction of Optimal Hedge Portfolios; VAR and CVAR; Dual-Fuel Options; Valuation of Load-Following Services; Modeling Energy Prices and Pricing Monthly and Daily Options; and the Valuation and Optimal Management of Storage Facility. Dr. Ronn has addressed practitioner as well as academic audiences at energy-finance conferences and training courses.
MYRON S. SCHOLES
Myron S. Scholes is Chairman of Platinum Grove Asset Management, formerly known as Oak Hill Platinum Partners, an alternative investment fund, specializing in liquidity provision services to the global wholesale capital markets. Professor Scholes is the Frank E. Buck Professor of Finance Emeritus, at the Stanford University Graduate School of Business since 1996.
Professor Scholes is currently a director of the Chicago Mercantile Exchange, Dimensional Fund Investors mutual funds, and American Century (Mountain View) mutual funds.
Professor Scholes is widely known for his seminal work in options pricing, capital markets, tax policies and the financial services industry. He is widely published in academic journals. He is co-originator of the Black-Scholes options pricing model, which is the basis of the pricing and risk-management technology that is used to value and to manage the risk of financial instruments around the world. For this work, he was awarded the Alfred Nobel Memorial Prize in Economic Sciences in 1997.
He was the Frank E. Buck Professor of Finance at the Stanford University Graduate School of Business from 1983 to 1996, and a Senior Research Fellow at the Hoover Institution from 1987 to 1996. He received a Ph.D. in 1969 from the University of Chicago where he served as the Edward Eagle Brown Professor of Finance in the Graduate School of Business from 1974 – 1983 and where he was the Director of the Center for Research in Security Prices from 1976 – 1983. He was an Assistant and Associate Professor of Finance at M.I.T.’s Sloan School of Management from 1969 to 1974.
Professor Scholes is a member of the Econometric Society and served as President of the American Finance Association in 1990. Professor Scholes has honorary doctorate degrees from the University of Paris, France, McMaster University, Canada, Louvain University, Belgium and Wilfrid Laurier University, Canada.
Professor Scholes has consulted widely with many financial institutions, corporations and exchanges and continues to lecture for many organizations around the world. He was a principal and limited partner at Long-Term Capital Management, L.P., an investment management firm, from 1993-1998. From 1991 – 1993, he was a Managing Director at Salomon Brothers, a member of Salomon’s risk management committee, and as Co-Head of its Fixed Income Derivatives Sales and Trading Department was instrumental in building Salomon Swapco, its derivatives intermediation subsidiary, and in expanding its derivative sales and trading group.
Robert J. Shiller
Robert J. Shiller is the Stanley B. Resor Professor of Economics, Department of Economics and Cowles Foundation for Research in Economics, Yale University, and fellow at the International Center for Finance, Yale School of Management. He received his B. A. from the University of Michigan in 1967 and his Ph.D. in economics from the Massachusetts Institute of Technology in 1972. He has written on financial markets, financial innovation, behavioral economics, macroeconomics, real estate, statistical methods, and on public attitudes, opinions, and moral judgments regarding markets.
His 1989 book Market Volatility (MIT Press) is a mathematical and behavioral analysis of price fluctuations in speculative markets. His 1993 book Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks (Oxford University Press) proposes a variety of new risk-management contracts, such as futures contracts in national incomes or in real estate that would permit the management of risks to standards of living. His book Irrational Exuberance (Princeton 2000, Broadway Books 2001, 2nd edition Princeton 2005, and in 15 foreign language editions) is an analysis and explication of speculative bubbles, with special reference to the stock market and real estate. His book The New Financial Order: Risk in the 21st Century (Princeton University Press, 2003, 2004, and in 8 foreign language editions) is an analysis of an expanding role of finance, insurance, and public finance in our future.
He has been research associate, National Bureau of Economic Research since 1980, and has been co-organizer of NBER workshops: on behavioral finance with Richard Thaler since 1991, and on macroeconomics and individual decision making with George Akerlof since 1994.
He served as Vice President of the American Economic Association, 2005 and President of the Eastern Economic Association, 2006-07. He writes a column "Finance in the 21st Century" for Project Syndicate, which publishes around the world.
CHESTER SPATT
Chester Spatt joined the Securities and Exchange Commission as Chief Economist in July 2004. He is the Mellon Bank Professor of Finance at the Tepper School of Business at Carnegie Mellon University and Director of its Center for Financial Markets, where he has taught since 1979. He earned his Ph.D. in economics from the University of Pennsylvania and his undergraduate degree is from Princeton University. Professor Spatt is a well-known scholar studying financial economics with broad interests in financial markets. For example, he has been a leading expert on the design of security markets in various settings, mortgage valuation, and taxation and investment strategy. His co-authored 2004 paper in the Journal of Finance on asset location won TIAA-CREF's Paul Samuelson Award for the Best Publication on Lifelong Financial Security. He has served as Executive Editor and one of the founding editors of the Review of Financial Studies, President and a member of the Founding Committee of the Society for Financial Studies, President of the Western Finance Association, and is currently an Associate Editor of several finance journals. He also has served as an expert for the Federal Energy Regulatory Commission (FERC) in its investigation of market manipulation in the Western energy markets in 2000 and 2001.
LIUREN WU
Liuren Wu is an Associate Professor of Finance at the Zicklin School of Business, Baruch College. Before he joined Zicklin in 2003, he worked at Fordham University as an assistant professor for five years. His major research interests include option pricing, term structure modeling, market microstructure, and international finance. Liuren has published several papers in top finance journals such as the Journal of Finance, the Journal of Financial Economics, and the Journal of Financial and Quantitative Analysis.
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