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Harvard Statistics Summer Retreat
Course Topics
Opening Keynote Address: Investment Management in a Fluid World
Plenary Address: The Psychology of Trading
Closing Keynote Address: Predictability of Aggregate Stock Returns
Derivatives Trading
Risk Management
Monte Carlo Simulations
Bayesian Methods
High-Dimensional Volatility Estimation
Copula Models in Finance
Keynote Speakers:
- Opening: Mohamed A. El-Erian, President and CEO of Harvard
Management Company (HMC)
- Closing: John Y. Campbell, Harvard College Professor and
Morton L. and Carole S. Olshan Professor of Economics, a Board Member of HMC
Plenary Speaker:
- Andrew Lo, Harris & Harris Group Professor, MIT Sloan School of Management,
the Founder of AlphaSimplex Group, LLC
Industry Panel: Current Quantitative Challenges Facing Market Practitioners
- Moderator: Stephen Blyth, Vice President at HMC
- Panelists:
- Jim Gatheral, Managing Director at Merrill Lynch, Adjunct Professor at
Courant Institute NYU, Author of "The Volatility Surface: A Practitioner's Guide"
- Andrew Morton, Head of European Fixed Income, Lehman Brothers
- Emanuel Derman, Professor at Columbia University, Head of Risk at
Prisma Capital Partners, former Managing Director at Goldman Sachs
Instructors:
- Jose Blanchet, Assistant Professor, Department of Statistics, Harvard University
- Stephen Blyth, Vice President at Harvard Management Company
- Rustam Ibragimov, Assistant Professor, Department of Economics, Harvard University
- Jan Vecer, Associate Professor, Department of Statistics, Columbia University
- Samuel Kou, Associate Professor, Department of Statistics, Harvard University
- Yoonjung Lee, Assistant Professor, Department of Statistics, Harvard University
- Xiao-Li Meng, Professor and Chair, Department of Statistics, Harvard University
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