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Meetup Location RSVPs
Oct 08 21 2008 6:00 PM

9 attended (est.) – 4.00 4.001

Please note this scheduled meeting has been changed from the discussion meeting at our regular place in midtown to an IAFE event on TUESDAY!

This is to accommodate more time for individuals to read on the below project details to construct a volatility surface for the next meeting.

Research project: "Creating a volatility surface"
Please see projects for further details.
http://nyfinancialengineer.wikispaces.com/Projects

Please read up and attempt as best you can to create a volatility surface using the existing specs for next meeting after this Tuesday.

In the meantime I've found an interesting talk given by the IAFE that we can attend as a group.
Please see below for details and do not forget to register online!!!


--------------------------------
Hedging Illiquid Assets

A Liquidity Risk Committee Event
Tuesday, October 21st
Goldman Sachs
32 Old Slip
New York

5:30 Registration
6:00 Program Begins
7:30 Reception

Presentation By:
Peter Rappaport, JP Morgan Securities

Discussant:
Steve Allen, Fellow, Masters in Mathematics in Finance Program, Courant Institute, New York University and IAFE Board Member

Hedging in liquid markets requires no hard choices: the hedge ratio is the same whether designed for a day or a quarter, and quarterly value at risk is simply a scaled-up version of daily. This equivalence has enabled financial institutions with long time horizons to manage earnings at risk on a daily basis. Following this “liquid markets” recipe in illiquid markets can be disastrous.

Recent experience in the U.S. leveraged loan market illustrates: the hedge that looks best over a day is nevertheless very risky over a quarter. In fact, it is five times more risky than the best hedge over a quarterly horizon. On top of this, a liquid markets perspective underpredicts by 50% the capital required by this hedge over a quarterly horizon. These and other pitfalls result because the relationship between the fundamentals of the asset and hedge only emerges in the long run; in the short run it is masked by stale prices. In other words, in illiquid markets, the long run is not simply the sum of short runs. Risk management must make the hard choice of whether to hedge for the short or long run.

Registration:

This event is free, but registration is limited. All attendees must register by 5pm on Monday, October 20. Please click here or visit www.iafe.org to register for this event.

Goldman Sachs
New York, NY, 10005

8 Yes
0 Maybe

Sep 08 11 2008 7:00 PM

11 attended (est.) – 5.00 5.003

We are continuing our theme based meeting style.

This week Devon will be presenting an informative session on a Quantitative Finance topic.

Research project: "How Long to Hold Winners and Losers"

Devon will be presenting his project along with an introduction to research and theory thus far.
Background information that may enrich the presentation is below as "Project 1"

http://nyfinancialengineer.wikispaces.com/Projects

A Q&A session will follow the presentation.

Refreshments to be served. ($7 fee veggie and meat options)

Cost: $7.00

Only members of this Group can view the location for this Meetup

10 Yes
0 Maybe

Aug 08 7 2008 7:00 PM

8 attended (est.) – 5.00 5.003

We are continuing our theme based meeting style.

This week Saif will be presenting an informative session on Credit Default Swaps.

He will be covering:

The Credit Default Swap
-----------------------------

-Definition of CDS
-Uses and rationale behind the CDS
-Types of CDS
-Life cycle / Market mechanics
-Pricing

A Q&A session will follow the presentation.

Refreshments to be served.

Cost: $5.00

Only members of this Group can view the location for this Meetup

7 Yes
1 Maybe

Jul 08 17 2008 7:00 PM

4 attended (est.) – 3.50 3.503

Note: This meetup may need to be rescheduled to next Thursday (17th) !!

Please note I am unable to update the website from work so please check your email before 5 pm today for confirmation of whether the meeting is on.

Likely we will continue with brain teasers, discuss the job market and potential speakers to come in.

Refreshments to be served.

sascha

Cost: $5.00

Only members of this Group can view the location for this Meetup

4 Yes
1 Maybe

Jul 08 10 2008 7:00 PM

4 attended (est.) – No rating yet

Note: This meetup may need to be rescheduled to next Thursday (17th) !!

Please note I am unable to update the website from work so please check your email before 5 pm today for confirmation of whether the meeting is on.

Likely we will continue with brain teasers, discuss the job market and potential speakers to come in.

Refreshments to be served.

sascha

Cost: $5.00

Only members of this Group can view the location for this Meetup

4 Yes
5 Maybe

Jun 08 12 2008 7:00 PM

7 attended (est.) – 4.00 4.002

A friend and colleague of mine has offered a new meeting location that will hopefully be a little more stable. It is a conference room at the consulting company we both work for.

It's very important for us to remain an independent group, so he has promised there is no intention of setting a meeting agenda. He and I both wish to attend as members of the group and not as representatives of any other agency unless explicitly invited by the group to do so.
We had a vote on whether to have meetings at this location and the vote was passed. Should there be concerns in the future please let me know about them anytime and we can have another vote.

I feel great about this meeting location as finally we have a place that will have guaranteed seating, sufficient quietness without waitresses pestering us for new orders.

The "Interview Questions" worked very well for us last time so I thought we'd continue along that theme.

Whether you are interviewing or hiring, interview word problems are a common technique used to assess the problem solving ability of potential candidates.

My recommendation is that all attendees pick an interesting and/or common problem used in interviews you have participated in. Print the problem out on 8.5" x 11" paper and make about 10 copies for the group.

We will go through each problem and attempt to answer it collectively and discuss why this problem is/is not a useful gauge for assessing candidate problem solving abilities and what you or an employer would look for in terms of solving "intractable" problems.

Great sources are the Wilmott online forums, "Heard On the Street" by Timothy Crack and of course your experiences interviewing and being interviewed.

Looking forward to seeing you soon,


Location :

370 Seventh Avenue
Suite 422
New York, NY 10001
Phone: (212) 279-1550
Fax: (212) 279-1556
Map
http://maps.google.com/maps?f=q&hl=en&geocode=&q=370+Seventh+Avenue+,+manhattan,+ny&sll=40.668107,-73.981011&sspn=0.006787,0.014591&ie=UTF8&ll=40.750768,-73.992255&spn=0.006778,0.014591&z=16&iwloc=addr
Suggested Agenda:

1-introductions
introduce yourself and the nature of your background and interest in financial engineering
Let us know also what you would like to get from group meetings and the group in general
2-group discussion on interview questions 45 mins
participants who have brought interview questions will then "chair" the question and/or participate
in the problem solving of an interesting interview question.
3-projects discussion 15 mins
progress on group projects. Discussion of the most useful projects type of projects to be working on.
4-scheduling for recruiter visits 15 mins
We decided every few meetings to invite recruiting firms.

Cost: $5.00

Only members of this Group can view the location for this Meetup

6 Yes
3 Maybe

Mar 08 27 2008 5:30 PM

7 attended (est.) – 4.50 4.503

The International Association of Financial Engineers and
The Fischer Black Memorial Foundation are pleased to invite you to

How I Became A Quant: New York
Leading Professionals Give Personal Views of Their Careers in Quantitative Finance


Thursday, March 27, 2008

Goldman Sachs
180 Maiden Lane
New York

5:30PM Registration; 6:00PM Program Begins
7:30PM Reception


Panelists:

Stephen Cash, Bank of America
Bjorn Flesaker, Bloomberg
Dan Rosen, R2 Financial Technologies and The Fields Institute

Moderator:
Pierre Colin-Dufrense, Goldman Sachs

Registration:
This event is free to attend, but space is limited. All attendees must register by 5pm on Wednesday, March 26th.

To register for this event please visit this link or visit www.iafe.org.


Sponsored by: 7 City Learning

Event Description:

The recent explosive growth in quantitative finance has led mathematics, physics, computer science and engineering students of all levels to wonder whether a career or an advanced degree in quantitative finance is right for them. With the rapid increase in sophisticated quantitative and computational techniques employed in financial firms there has been increasing demand for students with highly quantitative backgrounds to work in the financial field and an increase in advanced degree programs covering these topics.

These forums are designed to give a personal view of the world of quantitative finance from the point of view of quantitative finance professionals with varying specialties. Without formulas or Microsoft Power Point, our panelists will share their own experiences and engage in a moderated discussion with plenty of time to answer student questions. A reception for students and panelists

These are free events for students, but we do encourage all guests to consider membership to the IAFE. Student memberships are only $25 a year. Please click here to learn more or to sign up for membership.

http://www.iafe.org/03272008.html

Goldman Sachs
New York, NY, 10038

7 Yes
2 Maybe

Feb 08 7 2008 6:30 PM

9 attended (est.) – 5.00 5.001

Welcome back to the group's first meeting of 2008 and first meeting for a few months.
Things have settled down quite a bit for me in terms of time I'm able to contribute to organizing, and I'd like to again invite folks to participate in regular group meetings.

I thought it would be a great idea to get the momentum going again if we were to focus on something relevant as well as fun that would encourage group participation and benefit everyone across instruments and markets.

Whether you are interviewing or hiring, interview word problems are a common technique used to assess the problem solving ability of potential candidates.

My recommendation is that all attendees pick an interesting and/or common problem used in interviews you have participated in. Print the problem out on 8.5" x 11" paper and make about 10 copies for the group.

We will go through each problem and attempt to answer it collectively and discuss why this problem is/is not a useful gauge for assessing candidate problem solving abilities and what you or an employer would look for in terms of solving "intractable" problems.

Great sources are the Wilmott online forums, "Heard On the Street" by Timothy Crack and of course your experiences interviewing and being interviewed.

Looking forward to seeing you soon,


Location :

Cafe Fuego
9 St. Mark's Place
NY, NY 10003
212.677.7300
3rd Ave & St. Marks

http://maps.google.com/maps?f=q&hl=en&geocode=&q=cafe+fuego&sll=37.0625,-95.677068&sspn=28.887524,59.765625&ie=UTF8&ll=40.729389,-73.987534&spn=0.006732,0.014591&z=16&iwloc=A&om=1

http://cooperbricolage.pbwiki.com/

Suggested Agenda:

1-introductions
introduce yourself and the nature of your background and interest in financial engineering
Let us know also what you would like to get from group meetings and the group in general
2-group discussion on interview questions 45 mins
participants who have brought interview questions will then "chair" the question and/or participate
in the problem solving of an interesting interview question.
3-projects discussion 15 mins
progress on group projects. Discussion of the most useful projects type of projects to be working on.
4-scheduling for recruiter visits 15 mins
The contracting firm I work for (as a contractor, not recruiter!) :-), is interested in meeting with the group for employment and training opportunities. I'd like to discuss what they have availability and gauge interest for a potential visit.

Cafe Fuego
New York, NY, 10003

9 Yes
2 Maybe

Jan 08 24 2008 7:00 PM

8 attended (est.) – No rating yet

Quant guru Mark Joshi course on Libor Market Model

24-25th January 2008
The Ada Lovelace Room
The Institute of Physics
76 Portland Place, London, UK

No location was chosen for this Meetup

8 Yes
1 Maybe

Aug 07 23 2007 6:30 PM

2 attended (est.) – 5.00 5.001


Location : (thanks Devon!)

Cafe Fuego
9 St. Mark's Place
NY, NY 10003
212.677.7300
3rd Ave & St. Marks

http://maps.google.com/maps?f=q&hl=en&geocode=&q=cafe+fuego&sll=37.0625,-95.677068&sspn=28.887524,59.765625&ie=UTF8&ll=40.729389,-73.987534&spn=0.006732,0.014591&z=16&iwloc=A&om=1

http://cooperbricolage.pbwiki.com/

Suggested Agenda:

1-introductions 15 mins
2-discussion on other projects to pursue 10 mins
3-career resource discussion 10 mins
4-scheduling for recruiter visits 10 mins

Cafe Fuego
New York, NY, 10003

1 Yes
0 Maybe

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