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Symposium on Trading Correlation

 
Since the advent of the Black-Scholes model, options traders have focused heavily on volatility as the key unknown determinant of option value.   Wall Street firms today commonly refer to their options positions as the "volatility book."  But with more classes of derivatives, like options on indexes and collateralized debt obligations, being based on the behavior of portfolios of risky securities, the correlations among them become important, as well.  Firms now also need to have "correlation books" and trading strategies based on correlation models.
 
The NASDAQ Derivatives Research Project is very pleased to present a symposium on this timely topic of trading correlation.  The four speakers, each of whom has a broad knowledge of the area, from theoretical research at the highest level to execution strategies on the trading desk, will describe modeling and trading derivatives for which correlation is a critical factor.
 
 
Date:
Friday, April 21, 2006                                                                    
Location:
New York University
Stern School
of Business
Kaufman Management Center
Room 1-70
44 West Fourth Street
New York, NY  10012
Direction to Stern  
For directions and maps, click here
Registration        
Admission is free, but please RSVP to the Salomon Center
(salomon@stern.nyu.edu, 212-998-0700)
 
PROGRAM
3:00
 
PANEL DISCUSSION ON TRADING CORRELATION
 
 
 
 
      
Marco Avellaneda, Professor of Mathematics, NYU Courant Institute
 
 
 
 
 
Silverio Foresi and Adrien Vesval, Goldman Sachs Asset Management   Presentation
 
 
 
 
 
 
 
 
5:15
 
Reception