OMI lecture series for young researchers - Event-Driven Finance

Mike Lipkin (Columbia University and Katama Trading LLC) will deliver a mini lecture series for young researchers of four 90 minute seminars with discussion time. They will be spread over a two week period.

Part 1 - Introduction to Events and Event-Driven Trading

Monday 14th October 2013 - 10:00-11:30 seminar followed by refreshments and discussion time

Part 2 - Pinning

Wednesday 16th October 2013 - 10:00-11:30 seminar followed by refreshments and discussion time

Part 3 - Earnings, Crashes, Expected vs. Unexpected Events

Monday 21st October 2013 - 11.15-12:30 seminar followed by refreshments and discussion time

Part 4 - Introduction to Take-Overs

Wednesday 23rd October 2013 - 10:00-11:30 seminar followed by refreshments and discussion time

Any approach to the pricing of options which begins with a stochastic model will be averaging over many related events.  The generic approach to pricing has been to begin this way- but what if we are interested in trading attendant to an event, for example, trading earnings announcements or crashes or changes in hard-to-borrowness? In these cases we must not average away the very singular event we wish to analyze.

This course will specifically concentrate on approaches to the modeling and pricing of securities in the presence of events

such as these.

Location:
Speaker(s):

Mike Lipkin (Columbia University and Katama Trading LLC)

Start date:
Monday, October 14, 2013 - 10:00
End date:
Wednesday, October 23, 2013 - 11:30

Register Online