NYU Stern



The NASDAQ OMX Derivatives Research Project

 
Presents

 

DERIVATIVES 2009: LOOKING TOWARDS THE FUTURE

 
Friday, November 6, 2009
NYU Stern School of Business
New York City
 
The current financial crisis has had a major impact on the derivatives field and it is not clear where things are going from here. It will be a year since the crisis broke open last September, making it a good time to gather and think about the implications for the future. Academics have had our models "stress tested," let us say, and we have learned a lot from this natural experiment about how our financial markets actually work. At the very least, we have acquired some interesting new data points to look at. For practitioners, their entire world has been stress tested and the repercussions are pervasive.

The conference will be a one-day event featuring presentations of new research, as well as discussions focused on the changing environment for both academics and practitioners and how we should respond to it. For academics: How should academic derivatives modeling incorporate what we have learned in the crisis? What new insights have we obtained and what new research directions will develop from them? For practitioners: What long term changes are needed in the derivatives marketplace, the regulatory environment, and the practice of trading? How well do the current plans for restructuring the system meet the needs of the marketplace?

Conference Organizer:
Stephen Figlewski
Professor of Finance, NYU Stern School of Business

Program:

8:00 Registration and Continental Breakfast
8:45 Welcome
Matthew Richardson, Director of the Salomon Center (video)
Stephen Figlewski, Director of the NASDAQ OMX Derivatives Research Project (video)
9:00 SESSION I: RETHINKING DERIVATIVES MODELS
Chair: Michel Crouhy, NATIXIS(video)
Lasse H. Pedersen, NYU Stern School of Business (video)
Francis A. Longstaff, UCLA (video)
Robert F. Engle, NYU Stern School of Business (video)
10:30 Refreshment Break
11:00 SESSION II: THE FUTURE OF DERIVATIVES RESEARCH
Chair: Marti Subrahmanyam, NYU Stern School of Business (video)
Pierre Collin-Dufresne, Columbia Business School (video)
René M. Stulz, Ohio State University (video)
John C. Hull
, University of Toronto (video) 
12:30 Lunch
Stephen Figlewski, Keynote Address Introduction (video) 
Keynote Speaker: Darrell Duffie, Stanford University (video)
Darrell Duffie - Q & A (video)
2:15 SESSION III: RETHINKING DERIVATIVES IN THE REAL WORLD
Chair: Alan D. White, University of Toronto and Eric R. Dinallo, NYU Stern School of Business; Former Superintendent of New York State Insurance Department (video)
Robert J. Shiller
, Yale University (video)
Viral V. Acharya, NYU Stern School of Business (video not available)
Garry O'Connor, Chief Product Officer, IDCG (video)
Q & A (video)
3:45 Refreshment Break
4:00 SESSION IV: THE FUTURE OF THE DERIVATIVES MARKETPLACE
Chair: Doug Costa, Susquehanna International Group, LLP (video)
Myron S. Scholes, Platinum Grove Asset Management (video not available)
James A. Overdahl, Chief Economist, SEC (video)
Eric Noll, Executive Vice President, NASDAQ OMX (video)
Q & A Session (video)
5:15 Reception