NYU Stern


The NASDAQ OMX Derivatives Research Project


Presents

Derivatives 2013:The State of the Art
40 Years after the Black-Scholes-Merton Model

Friday, October 11, 2013
NYU Stern School of Business
New York City



This year is the 40th anniversary of the celebrated paper by Fischer Black and Myron Scholes, and Robert Merton’s compendious Theory of Rational Option Pricing, that launched modern derivatives theory. We are eager to celebrate that milestone and delighted that both Scholes and Merton, along with Steve Ross who has also made many major contributions to the field, will share their thoughts on how derivatives theory and practice have developed since 1973 and where it is headed. The program will also feature presentations of current work by some of the most active and influential researchers in the field today, and a “practitioners” panel discussion among several people who have been involved in the real world of derivatives trading and regulation at the highest levels.
 

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

Location:
NYU Stern School of Business
John A. Paulson Auditorium
40 West 4th Street
New York, NY 10012


PROGRAM
 
8:00Registration and Continental Breakfast
8:45Welcome, Opening Remarks
Peter Henry, Dean, NYU Stern School of Business
Stephen Figlewski, Professor of Finance, NYU Stern School of Business; Director of the NASDAQ OMX Derivatives Research Project [Video]
9:00SESSION I:  CURRENT RESEARCH PRESENTATIONS
Chair: Sanjiv Das, William and Janice Terry Professor of Finance, Santa Clara University's Leavey School of Business

"Dynamic Relative Valuation,” Liuren Wu, Professor of Economics and Finance, Baruch College, Zicklin School of Business [Presentation] [Video]

"Contingent Capital, Tail Risk, and Debt-Induced Collapse," Paul Glasserman, Jack R. Anderson Professor of Business, Columbia University [Presentation] [Video]

"The Risk Premia Embedded in Index Options," Torben Andersen, Nathan S. and Mary P. Sharp Distinguished Professor of Finance, Northwestern University, and Viktor Todorov, Associate Professor of Finance, Northwestern University [Presentation] [Video]
10:30Break
11:00SESSION II: CURRENT RESEARCH PRESENTATIONS
Chair: Dan Galai,Sigma Investment House, and Abe Gray Professor of Finance and Business Administration, Hebrew University [Video]

" Modeling Tail Risk: From Black-Scholes to Black Swans, and Back," Rama Cont, Professor of Mathematics & Chair of Mathematical Finance, Imperial College, London [Presentation] [Video]

"The FVA Debate,” John C. Hull, Maple Financial Professor of Derivatives and Risk Management, Rotman School of Management, University of Toronto, [Presentation] and Alan D. White, Peter L. Mitchelson/SIT Investment Associates Foundation Chair in Investment Strategy and Professor of Finance, Rotman School of Management, University of Toronto [Presentation] [Video]

“Deflation Risk,” Francis A. Longstaff, Allstate Professor of Insurance and Finance, Anderson School of Management, UCLA [Presentation] [Video]
12:45Lunch
2:00KEYNOTE PANEL: FORTY YEARS LATER:  WHERE ARE WE AND WHERE ARE WE HEADED?
Chair: George M. Constantinides, Leo Melamed Professor of Finance, University of Chicago

Introduction
Matthew Richardson, NYU Stern
Frank Hatheway, NASDAQ OMX
[Video]
 
Panel Discussion [Video]
Myron S. Scholes, Frank E. Buck Professor of Finance, Emeritus, Stanford University Graduate School of Business
Robert C. Merton, School of Management Distinguished Professor of Finance, M.I.T. Sloan School of Management
Stephen A. Ross, Franco Modigliani Professor of Financial Economics, M.I.T. Sloan School of Management
3:30Break
4:00PRACTITIONERS PANEL: DERIVATIVES IN THE REAL WORLD
Chair: Vineer Bhansali, Managing Director, PIMCO

Panel Discussion [Video]
James A. Overdahl
, Partner, Delta Strategy Group, LLC [Presentation]
Bluford Putnam, Chief Economist, CME Group
Frank Hatheway, Chief Economist, The NASDAQ OMX Group, Inc.
Evan Picoult, Managing Director, Franchise Risk Architecture at Citigroup and Adjunct Professor at the Columbia Business School
5:30Cocktail Reception
6:30Dinner for Speakers and Honored Guests