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Columbia University Faculty & Speakers
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CPM® Columbia University Faculty & Speakers

Jose Blanchet - Understanding How Black Swan Events Evolve

Professor Jose Blanchet joined the IEOR Department in 2008, he received his Ph.D. in Management Science and Engineering from Stanford University in 2004. Prior to joining Columbia he was a faculty member in the Statistics Department at Harvard University, where he taught for nearly four years. Professor Blanchet worked for two years at Protego Financial Advisors, a leading investment bank in Mexico. Blanchet's interests include applied probability, computational finance, MCMC, queueing theory, rare-event analysis, simulation methodology, and risk theory.

Richard Clarida- Marco Investing

Professor Richard H. Clarida is the C. Lowell Harriss Professor of Economics and Professor of International Affairs at Columbia University. He has taught at Columbia since 1988, and before that taught at Yale. From February 2002 until June 2003, Professor Clarida served as the Assistant Secretary of the United States Treasury for Economic Policy, a position that required confirmation by the US Senate. In that position, he served as Chief Economist for the Treasury Department, reporting directly to the Treasury Secretary, and advising him on a wide range economic policy issues, including the US and global economic prospects, international capital flows, corporate governance, and the maturity structure of US debt. In June 2003 Treasury Secretary John Snow presented Professor Clarida with The Treasury Medal in recognition for his record of outstanding service to the Treasury Department. From 1997 until 2001, Professor Clarida served as chairman of the Department of Economics at Columbia University.

Siddhartha Dastidar- Equity Valuation in Today's Economy

Dr. Siddhartha Dastidar is an Adjunct Professor at the Department of Industrial Engineering & Operations Research at Columbia University. He teaches courses on capital markets and investments and equity valuation.
Dr. Dastidar has fifteen years of experience in the financial services industry, both buy-side and sell-side, across asset classes and regions. As part of the Quantitative Portfolio Strategies team at Lehman and Barclays, he has advised large institutional clients on portfolio construction, management and risk budgeting issues. He was also the chief equity derivatives strategist at Newedge, owned by Societe Generale. At present, he belongs to Brigade Capital, a USD 16 billion credit hedge fund, where he has been responsible for coming up with portfolio construction, risk and quantitative frameworks. After his MBA, he has also worked in emerging market private equity for 3 years.

Emanuel Derman- My Life as a Quant
Option Theory & Practice, Part III

Professor Emanuel Derman joined Columbia University's Industrial Engineering and Operations Research Department in 2003. Prior to joining Columbia, he was a managing director at Goldman Sachs, where he was head of the quantitative strategies group in the equities division, and then head of quantitative risk strategies in firm-wide risk. He is best known for his work on the Black-Derman-Toy interest-rate model and for developing local volatility models of the implied volatility smile. Professor Derman's research interests include quantitative finance, financial engineering, derivatives valuation, volatility models, and risk management. His recent memoir, My Life as a Quant: Reflections on Physics and Finance, was published in 2004 and was selected as one of Business Week's top ten books of the year.

David DeRosa- Option Theory & Practice, Part I & II Foreign Exchange

David DeRosa is president of DeRosa Research and Trading, Inc. He is also an Adjunct Associate Professor of Finance at Columbia University’s Fu Foundation School of Engineering and Applied Science where he teaches courses in financial modeling and derivatives. He has also served as an Adjunct Professor of Finance and Fellow of the International Center for Finance at the Yale School of Management (1996-2010). He received his Ph.D from the Graduate School of Business of the University of Chicago in finance and economics and his A.B. in economics from the College of the University of Chicago. DeRosa serves on the boards of directors of Rubicon Fund Management, BlueCrest Capital International, the Children’s Investment Fund, Pendragon Event Driven Fund, GSA Capital Management, OneWall Advisors, and the JPS Credit Opportunities Fund.

Ray Fisman- Politics of Global Financial Markets

Professor Raymond Fisman is the Lambert Family Professor of Social Enterprise and co-director of the Social Enterprise Program at the Columbia Business School. Professor Fisman received his Ph.D. in Business Economics at Harvard University. He worked as a consultant in the Africa Division of the World Bank for a year before moving to Columbia in 1999. Professor Fisman’s research - on topics ranging from corruption to racial preferences in dating to the impact of corporate philanthropy - has been published in leading economics journals, including the American Economic Review, Journal of Political Economy, and Quarterly Journal of Economics.

Paul Glasserman- Retail Structured Products: Views, Valuation, Volatility

Professor Paul Glasserman is the Jack R. Anderson Professor of Business at Columbia Business School,where he has been on the faculty since 1991. His research focuses on risk management, the pricing of derivative securities, and Monte Carlo simulation. Prior to joining Columbia, Glasserman was with Bell Laboratories; he has also held visiting positions at Princeton University, NYU, and the Federal Reserve Bank of New York. During the 2011-2012 academic year, he is on leave from Columbia and working at the U.S. Office of Financial Research, a new agency created by the Dodd-Frank Act. Professor Glasserman's publications include the book Monte Carlo Methods in Financial Engineering (Springer, 2004), which received the 2006 Lanchester Prize and the 2005 I-Sim Outsanding Publication Award.

James Grant- Bringing back the Gold Standard

James Grant, financial journalist and historian, is the founder and editor of Grant’s Interest Rate Observer, a twice-monthly journal of the investment markets. Among his books is the newly published Mr. Speaker! The Life and Times of Thomas B. Reed, the Man Who Broke the Filibuster (Simon & Schuster). He is, in addition, the author of five books on finance and financial history: Bernard M. Baruch: The Adventures of a Wall Street Legend (Simon & Schuster, 1983), Money of the Mind (Farrar, Straus & Giroux, 1992), Minding Mr. Market (Farrar, Straus & Giroux, 1993) and The Trouble with Prosperity (Times Books, 1996), and Mr. Market Miscalculates (Axios Press, 2008). His John Adams: Party of One, a biography of the second president of the United States was published in March 2005 by  Farrar, Straus & Giroux.

Martin Haugh - Risk Management
Fixed Income, Part 1: Fixed Income Analysis & Derivatives

Professor Martin Haugh originally joined the Department of Industrial Engineering and Operations Research at Columbia University in January 2002 after completing his PhD in Operations Research from MIT. He was a faculty member in the IEOR Department until June 2005 and during this time his teaching and research focused on financial engineering. Between 2005 and 2009, Professor Haugh worked in the hedge fund industry in both New York and London, specializing in equity and credit derivatives. He returned to academia and the IEOR department in July 2009. His current research interests include financial engineering and risk management. Professor Haugh also holds Master of Science degrees from the University of Oxford and University College Cork.

Garud Iyengar - Asset Allocation

Professor Garud Iyengar is the Chairman of Columbia University's Industrial Engineering and Operations Research Department where he has been a faculty member since 1998. Professor Iyengar teaches courses in asset allocation, asset pricing, simulation and optimization. Professor Iyengar’s research interests include convex optimization, robust optimization, queuing networks, combinatorial optimization, mathematical and computational finance, communication and information theory. He has published in numerous journals including IEEE Transactions on Information Theory, Mathematics of Operations Research, Mathematical Programming, IEEE Transactions on Signal Processing, and IEEE Transactions on Communication Theory.

Soulaymane Kachani

Professor Soulaymane Kachani is Vice Dean at the School of Engineering and Applied Science, in charge of the School’s undergraduate, graduate, executive, online and global programs. He joined Columbia in 2003 and has served as the Director of Master's Programs and the Director of Executive Education at the Department of Industrial Engineering & Operations Research since 2008.
Professor Kachani serves on the Columbia University Senate, where he is a member of the University Senate Executive Committee and the Chair of the University Senate Budget Committee. Prior to joining Columbia, he worked as a senior consultant at McKinsey & Company.

Tim Leung  - Option Theory & Practice, Part II

Tim Leung joined Columbia University's IEOR Department in July 2011. He's also an affiliated faculty member of The Center for Financial Engineering and Institute for Data Sciences & Engineering. Previously, he had been an Assistant Professor of Applied Mathematics & Statistics at Johns Hopkins University since September 2008. His research area is Financial Engineering, with focus on the valuation and hedging of complex financial derivatives, such as employee stock options and exchange-traded fund (ETF) options. Professor Leung's research has been funded by the National Science Foundation (NSF), and published in journals, such as Finance & Stochastics, Mathematical Finance, Quantitative Finance, and SIAM Journal on Financial Mathematics. He has also given talks at numerous universities, conferences, investment banks and hedge funds. At Columbia University, Professor Leung teaches the core courses for the M.S. program in Financial Engineering (MSFE), including IEOR E4706: Foundations of Financial Engineering and IEOR E4703: Monte Carlo Simulation. He also teaches the MSFE elective IEOR E4710: Term Structure Models.

 

Jenny Mak

Dr. Jenny Mak joined Columbia IEOR in 2003, providing leadership to the Department, specifically in the areas of academic and faculty affairs, financial planning, alumni and employer relations, professional development, executive education, and human resources. She teaches the IEOR professional development courses and related workshops for Columbia Engineering. Dr. Mak is a four time graduate of Columbia University. She received a Doctor of Education in adult learning and leadership from Teachers College, Columbia University. She also holds a Master of Arts in Higher and Postsecondary Education, Master of International Affairs, and Bachelor of Science in Industrial Engineering from Columbia University. Her research interests include intellectual and ethical development of college students, Asian student development, and adult learning. She conducts research in and wrote her doctoral thesis investigating the intellectual and ethical development of graduate students from mainland China. Prior to joining Columbia, Dr. Mak served as a senior consultant in Deloitte Consulting. She also worked at D. E. Shaw & Co. as a technology consultant.

Phil Maymin - Behavioral Finance

Professor Philip Maymin is Assistant Professor of Finance and Risk Engineering at the NYU School of Engineering. He is also the founding managing editor of Algorithmic Finance. He holds a Ph.D. in Finance from the University of Chicago, a Master's in Applied Mathematics from Harvard University, and a Bachelor's in Computer Science from Harvard University. He also holds a J.D. and is an attorney-at-law admitted to practice in California. Professor Maymin has been a portfolio manager at Long-Term Capital Management, Ellington Management Group, and his own hedge fund, Maymin Capital Management. He has also been an award-winning journalist, a policy scholar for a free market think tank, a Justice of the Peace, a Congressional candidate, a columnist, and the author of several books. He was a finalist for the 2010 Bastiat Prize for Online Journalism. He has also been a consultant for several NBA teams and is the co-founder and co-editor-in-chief of the Journal of Sports Analytics. others, and his textbook Financial Hacking was recently published by World Scientific.

Fred Meissner - Technical Analysis

Fred Meissner, CMT is the founder and President of The FRED Report. His professional career spans 27 years in the investment business. He has a multifaceted background encompassing market analysis, trading strategies/portfolio management and business development/relationship management in diverse environments. He is known as a creative and intuitive thinker who leverages extensive knowledge of financial markets and economic trends to consistently generate significant profits. A team builder and leader who has a track record of successfully guiding groups towards organizational goals, Fred has high multicultural awareness and knowledge of international business practices acquired through extensive travel and education abroad.

Tano Santos - Value Investing

Professor Tano Santos is the David L. and Elsie M. Dodd Professor of Finance at the Columbia Business School, which he joined in 2003. He is the co-director, with Bruce Greenwald, of the Heilbrunn Center for Graham and Dodd Investing. From 1996 to 2003 he was at the finance group of the Graduate School of Business of the University of Chicago (now the University Of Chicago Booth School Of Business). He is member of the National Bureau of Economic Research (NBER) and the Centre for Economic Policy Research (CEPR) as well as of all the major professional organizations. Professor Santos obtained his Ph.D. from the Department of Economics of the University of Chicago. His thesis was concerned with the economic determinants of financial innovations as well as the effect that these have on the credit quality of market participants and of pre-existing financial markets. Professor Santos’s research is divided in three areas. A first area of interest is concerned with the role of financial intermediaries in markets. Specifically Professor Santos has studied whether intermediaries, such as derivatives exchanges, competing for volume June drive the credit quality of market participants below or above optimal levels and thus whether regulatory intervention is required to restore efficiency. His recent work in this area focuses on the role of the private provision of liquidity in financial crisis and the role and efficiency of the public provision of liquidity.

 


Karl Sigman - Optimization and Simulation for Presidential Elections

Professor Karl Sigman joined Columbia University’s Industrial Engineering and Operations Research Department in 1987. Professor Sigman was the recipient of the Distinguished Faculty Teaching Award both in 1998 and in 2002. He teaches courses in stochastic models, financial engineering, and queueing theory. Before joining Columbia, Professor Sigman was
a postdoctoral associate at the Mathematical Sciences Institute at Cornell University. As of July 2011, Professor Sigman is currently the Director of Undergraduate Programs. Professor Karl Sigman’s research interests include queueing theory, stochastic networks, point processes, insurance risk, and economics. He has published in numerous journals including Stochastic Processes and Their Applications, Queueing Systems, Journal of Applied Probability, and Mathematics of Operations Research.

 

Cliff Stein - Optimization for Internet Advertising

Professor Clifford Stein he has been a faculty member since 2001 in the Department of Industrial Engineering and Operations Research. He also holds an appointment as Professor of Computer Science at Columbia. His research interests include the design and analysis of algorithms, combinatorial optimization, operations research, network algorithms, scheduling, algorithm engineering and internet algorithms. Prior to joining Columbia, he spent nine years as a professor in the Dartmouth College Department of Computer Science. Professor Stein has published over 60 scientific papers and occupied a variety of editorial positions including the journals ACM Transactions on Algorithms, Mathematical Programming, Journal of Algorithms, SIAM Journal on Discrete Mathematics and Operations Research Letters.

Leon Tatevossian - Fixed Income, Part II: Credit Derivatives, Theory & Practice

 

Leon Tatevossian is a director in Group Risk Management at RBC Capital Markets, LLC, where he covers market risk for asset-backed and commercial mortgage-backed securities trading. He is also an associate in the Financial Engineering Program at Columbia's IEOR Department and a fellow/adjunct instructor in the Mathematics in Finance Program at NYU’s Courant Institute of Mathematical Sciences. Leon has twenty-six years of experience in the fixed-income capital markets, including positions as a trader, quantitative strategist and derivatives modeler. His product background includes US Treasury securities, US agency securities, interest-rate derivatives, mortgage-backed securities, and credit derivatives.

 

Leo M. Tilman - Risk Intelligene: A Darwinian Survival Kit for the New Journal

Leo M. Tilman is President of Tilman & Company, a strategic advisory firm that serves corporations, financial institutions, governments, and institutional investors worldwide. Through thought leadership and actionable solutions, Tilman & Company helps its clients create lasting value for the benefit of all stakeholders. Prior to founding the firm, he held senior positions with BlackRock and Bear Stearns, where he was Chief Institutional Strategist and Senior Managing Director. Mr. Tilman teaches finance at Columbia University and is the author of three books translated into foreign languages: Financial Darwinism (2009), Asset/Liability Management (2003), and Risk Management (2000).


David Yao - Option Theory & Practice, Part I & II

Professor David Yao has been on the faculty of Columbia University since 1983. His teaching and research interests are in stochastic models and financial engineering. At Columbia IEOR, he has helped establish several masters programs, including the MSFE program. Professor Yao is an IEEE Fellow, and INFORMS Fellow, and a recipient of many awards, including the Outstanding Paper Prize (2003) from the Society for Industrial and Applied Mathematics, the Franz Edelman Award (1999) from the Institute for Operations Research and Management Sciences (INFORMS), the Outstanding Technical Achievement Award (1999) from IBM, the Guggenheim Fellowship (1991/92) from the Guggenheim Foundation, and the Presidential Young Investigator Award (1987-92) from the National Science Foundation.


Shannon Zimmerman - Using Morningstar Tools to Measure Risk in Mutual Funds

Mr. Shannon Zimmerman is Associate Director of Active Funds Research for Morningstar. He covers the Oakmark funds, John Hancock, and Legg Mason’s ClearBridge offerings, among others. He also serves as director of training for fund research, responsible for overseeing the fund analyst training program and coordinating efforts among Morningstar's U.S. and international analysts..


 

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