Morgan Stanley Assesses Prospects for US and Europe

Via Zero Hedge.

Nash Distinguished Lecture Series

The Duality of Money - Walter Schachermayer

Noted mathematician Walter Schachermayer will give this year's Nash Lecture, titled "The Duality of Money." According to Schachermayer, the dual relationship between goods and their prices is a classical idea in economics. In his lecture, he will discuss current research on duality in modern and complex financial markets. Schachermayer is best known for combining functional analysis and stochastic analysis in the field of financial mathematics. He, with fellow mathematician Freddy Delbaen, proved the Fundamental Theorem of Asset Pricing in its general form. This theorem, first conjectured by economists in the 1970s, explains the relationship between the absence of arbitrage in financial markets and the existence of a probability measure that can be used to price derivative securities. Later, Schachermayer and Carnegie Mellon Professor Dmitry Kramkov established the definitive methodology for using duality to solve the problem of optimal investment in incomplete markets.

The talk will be at 4:30pm on Tuesday, September 7, in the Rashid Auditorium in the Hillman Center.

Allan Metzler Speaks

Allan Meltzer, University Professor of Political Economy at the Tepper School of Business, will talk about some of the lessons about Federal Reserve policy from his 2 volume study of Federal Reserve history. He will use the lessons to discuss reasons for the credit and economic crisis and to discuss reform proposals now under discussion in the Congress.

The talk is on Thursday, April 22 at 4:30 PM in PH 100.

Wall Street Bankers Channel Jerry Maguire

Law of Unintended Consequences.

[via Instapundit]

Interest Rate Swaps

Interest rate swaps are in the news. Does it count as news if it happened three years ago? I'm not sure, but anyway, there it is.

Summer Opportunites in Math Finance

The UT Austin math-finance group is organizing a summer school in math
finance this summer for advanced undergraduates and 1st-year graduate
students. The school will take place in Austin, June 19 - August 8,
2009. Everybody is welcome, space permitting, but we can only provide
financial support for a limited number of students who are US citizens
or permanent residents. More information can be found on the school
website

http://www.ma.utexas.edu/rtg/school2009

Computational Finance Information Session

On Monday, February 16, there will be an information session for students interested in the computational finance major and minor. The session starts at 7:00 in DH 2315. This letter
gives some more information about the program. At the information session, we will discuss the program, the application process for the major and answer any questions you may have.

BSCF Major Applications

The Spring 2009 deadline for applications to the BSCF major is
Monday, March 2. That is the Monday before the Mid-Semester Break.
Electronic applications may be sent to bscf@andrew.cmu.edu, or hard copies can
be put in Dr. Handron's mailbox in the Mathematical Sciences department office,
WEH 6113.

Economic Stimulus

What did John Maynard Keynes have to say?

A Cause for Concern?

These charts might be a reason to think twice before allowing the Fed to double down.

21-270: Market Efficiency

Market efficiency is not going to be something we give much thought to in 21-270, but if you are interested, this is an interesting data point.

The way it used to be

A view of the offices of Merrill Lynch, Fenner and Smith from November 1958. From the photographic archives of Life Magazine.

21-270: Bermuda Options

Yesterday in class someone asked about "Bermuda options," This occurred during the discussion of the difference between European options, which can be exercised only on the expiration date, and American options, which may be exercised at any time before expiration. Bermuda lies between America and Europe, and so, too, with Bermuda options, which may be exercised at certain fixed times before expiration (on the first of each month, for instance).

Bermuda options are generally not traded on exchanges. They are traded in the Over-the-Counter Market, wherein buyers and sellers can negotiate any terms of the contracts (such as which days the option can be exercised).

Other categories of over the counter options include Asian options, digital options (also called binary options or all-or-nothing options) and lookback options.

Futures In Finance

Thursday December 18, 2008 & Friday December 19, 2008

THIS EVENT IS IN NEW YORK CITY

LOCATION: Carnegie Mellon University New York City Facility at 55
Broad Street, NY, NY

This annual event is specifically geared towards students seeking
summer 2009 internships in and around New York City in the finance
industry. There will be a company site visit during the afternoon on
Thursday, December 18 to a financial firm (tentative Citigroup) and
an evening reception with Carnegie Mellon alums on the evening of
Thursday December 18, 2008. There will be one-on-one internship
interviews taking place on Friday December 19, 2008 at the Carnegie
Mellon facility on 55 Broad Street in New York City. Please note you
must submit your resume to TartanTRAK for all companies participating
in Futures in Finance.



PLEASE TAKE NOTE:

All travel, lodging, and meal accommodations (except reception with
appetizers on 12/18 and light breakfast on morning of 12/19) are the
responsibility of the individual student. DO NOT make travel
arrangements until you know you have an interview. If you are
unable to be in New York City on Dec. 18 & 19, 2008 please DO NOT
submit your resume to the companies in TartanTRAK for
consideration. If you have questions or need additional
information, please contact the Career Center at (412) 268-2064.



The full schedule of companies has not been determined. Please
CONTINUE TO MONITOR ON TartanTRAK!!



To Submit your resume for interview consideration:

* Log into TartanTRAK (if you do not have an account, e-mail Gerry
Marnell: gmarnell@andrew.cmu.edu)
* Go to 4th menu selection entitled JOBS FOR CARNEGIE MELLON
STUDENTS AND ALUMNI
* Click on the ADVANCED SEARCH tab
* Scroll to INTERVIEWS (OCR) INTERVIEW DATE
* Select Dates: Dec. 19, 2008 to Dec. 20, 2008

Participating companies to date:

-Deutsche Bank - Technology Analyst Intern

-Goldman Sachs - Operations Summer Analyst

-Highbridge Capital Management (HCM) - 2 positions

1) Systems Intern Hedge Fund

2) Development Intern Hedge Fund

-Jane Street Capital - Assistant Trader Summer Internship

-JP Morgan Chase - 2009 Summer Technology Analyst Development Program

-Merrill Lynch - 2009 Global Markets Analyst Program

-Mitsui Energy Risk Management - Summer Intern

-Morgan Stanley - Quantitative Finance Intern Program

-UBS - 2 Positions

1) Equities Summer Intern Program

2) Fixed Income Summer Intern Program

Don't Panic

Martin Mayer, in the Wall Street Journal, lists the Five Best books about panics in financial markets. "These works on financial meltdowns have lost none of their value," says Mayer.

David Fisher, in a letter to the Editor, adds one more.

Another Analysis of the Financial Crisis

In Forbes. This one is by our own Prof. Steve Shreve.

The BSCF Application Deadline Approaches

A reminder: The Fall 2008 deadline for applications to the BSCF major is Monday,October 13. That is the Monday before the Mid-Semester Break. Electronic applications may be sent to bscf@andrew.cmu.edu, or hard copies can be put in Dr. Handron's mailbox in the Mathematical Sciences department office, WEH 6113.

Financial Crisis Revisited

A few days ago I noted Theodore Seto's explanation of the current financial crisis. Today I'd like do point you to Megan McCardle's explanation. Here's one important bit:

What we need, fundamentally, is not simply stricter regulation or less greedy bankers. What we need is better economic theory of how these things play out, so that the regulators have better tools to assess and prevent systemic risk.[emphasis mine]

Thus is demonstrated the old adage: the flip-side of crisis is opportunity. At least for you finance students!

Financial Crisis

Theodore Seto, A professor of tax law and policy at Loyola Law School Los Angeles, has written a nice explanation of the causes of our current financial meltdown. It is fairly impartial in it's assessment, though clouded in a few aspects by the authors politics. Read the comments, and make your own assessment.

Nash Lecture: Dark Markets

NASH LECTURE: 4:30 P.M., McConomy Auditorium, University Center, Darrell
Duffie, Dean Witter Distinguished Professor of Finance, The Graduate School
of Business, Stanford University. A reception will follow in the Tepper
Grand Room.

TITLE: Dark Markets

ABSTRACT: Investors do not respond instantly to variation in risk-adjusted
expected returns across financial markets. As a result, asset returns may be
more sensitive in the short run to supply shocks than standard asset-pricing
theories would predict. After initial reactions to supply shocks or changes
in information, expected returns may revert together across markets more
slowly than standard theories would suggest. These lags vary with the
opaqueness of a market, and may reflect the time that it takes to become
aware of an investment opportunity, to find a suitable counterparty, and to
negotiate and execute a trade. This lecture will review evidence of "Dark
Markets" from a growing body of empirical research, citing examples from
insurance markets, bond markets, stock markets, and money markets, and will
suggest some conceptual approaches based on search theory.