NEW YORK UNIVERSITY SALOMON CENTER

The NASDAQ Derivatives Research Project
Presents
DERIVATIVES 2007: NEW IDEAS, NEW INSTRUMENTS, NEW MARKETS

Friday, May 18, 2007
NYU Stern School of Business
New York City

Sponsored by:

In 1973, Black and Scholes published their seminal article on option pricing, which launched academic finance into modern derivatives theory, and the Chicago Board Options Exchange introduced exchange trading of standardized option contracts, which launched the modern options marketplace. Since then, derivatives has been an area of extraordinary growth and development in both theory and practice. Moreover, unlike most academic disciplines, the gulf between theory and practice and between professors and practitioners - is unusually narrow for derivatives. Advances in theoretical understanding of derivatives have rapidly seen practical application in the marketplace, and at the same time, market innovations have stimulated new theory and academic research.

This conference will focus on some of the most significant recent developments in this important and exciting area. We are delighted to have a group of speakers who are recognized as being among the foremost intellectual leaders in the field. Most have had highly successful careers in both academics and the real world.

As a principal in a highly successful hedge fund, following a stellar academic career, our Keynote Speaker, Myron Scholes, exemplifies this synthesis of theory and practice.

The morning sessions will cover new kinds of derivatives based on credit risk, on real estate, and on energy, and new models of the underlying returns processes with stochastic volatility and correlation, or non-diffusive jumps. Complementing the academic-style presentations will be speakers who will discuss the issues that arise in translating theoretical advances into implementable trading and risk management strategies.

The afternoon will be devoted to two panel discussions. The first features a group of speakers all of whom have been at the pinnacle of academic achievement and are now doing the same in the real world of trading and risk management. The second panel brings together a group of prominent market professionals to share their views on the future of trading technology and the rapidly evolving derivatives marketplace.

Conference Organizer:
Stephen Figlewski
Professor of Finance, New York University

CONFERENCE VIDEO PROCEEDINGS

WELCOME AND OPENING REMARKS
	Stephen Figlewski, NYU Video ¦ Bio
	Steven Bloom, NASDAQ Video ¦ Bio
SESSION I: NEW IDEAS
	Chair: Peter Carr, Bloomberg L.P./New York University Bio
	John Hull and Alan D. White, University of Toronto "Dynamic Models of Portfolio Credit Risk: A Simplified Approach" Video ¦ Slides Presentation ¦ Bio
	Liuren Wu, Baruch College Video ¦ Slides Presentation ¦ ¦ Bio
	Michel Crouhy, NATIXIS "Managing the Newest Derivatives Risks" Video ¦ Slides Presentation ¦ ¦ Bio
	Thierry Bollier, WestLB "Model-Based Trading in the Real World" Video ¦ Slides Presentation ¦ ¦ Bio
SESSION II: NEW INSTRUMENTS
	Chair: Lasse Pedersen, New York University Bio
	Robert F. Engle, New York University "Implied Volatility Correlations" Video ¦ Slides Presentation ¦ ¦ Bio
	Robert J. Shiller, Yale University "Real Estate Derivatives" Video ¦ Slides Presentation ¦ ¦ Bio
	Ehud I. Ronn, University of Texas at Austin "Energy Derivatives after . . . Dec. 2, 2001" Video ¦ Slides Presentation ¦ ¦ Bio
LUNCH
	Keynote Speaker Myron S. Scholes, Chairman, Platinum Grove Asset Management, L.P. Video ¦ Bio
SESSION III: PANEL DISCUSSION ON "DERIVATIVES THEORY AND PRACTICE: WHERE ARE WE? WHERE ARE WE GOING NEXT?"
	Chair: Richard Lindsey, Callcot Group Bio
	Emanuel Derman, Columbia University "Valuation and Its Discontents" Video ¦ Slides Presentation ¦ ¦ Bio
	Robert Litzenberger, Executive Director, Azimuth Trust Video ¦ Bio
	Sanford J. Grossman, Chairman, CEO and President, Quantitative Financial Strategies, Inc. Bio
	Myron S. Scholes, Platinum Grove Asset Management, L.P. Video ¦ Bio
SESSION IV:PANEL DISCUSSION ON "THE DERIVATIVES MARKETPLACE: TRANSACTIONS TECHNOLOGY IN FLUX"
	Chair: Mark P. Kritzman, Windham Capital Management, LLC Bio
	Chester S. Spatt, Chief Economist, Securities and Exchange Commission "The Derivatives Marketplace: Transaction Technology in Flux" Video ¦ Slides Presentation ¦ Bio
	Frank M. Hatheway, Chief Economist, The NASDAQ Stock Market Inc. "The Derivatives Marketplace: Transaction Technology in Flux" Video ¦ Bio
	David Krell, President and CEO, International Securities Exchange Video ¦ Bio
	Q & A Video

CONFERENCE AGENDA (pdf document)
MAY 18TH