May 18, 2007Derivatives 2007: New Ideas, New Instruments, New Markets

NASDAQ DERIVATIVES RESEARCH PROJECT

Introducing

The NASDAQ Derivatives Research Project*

* A subsidiary of the NYU Salomon Center

May 18, 2007Derivatives 2007: New Ideas, New Instruments, New Markets

MISSION OF THE DRP

The primary goal of the NASDAQ Derivatives Research Project is to support research in Derivatives

• "Derivatives" is defined broadly, to include Risk Management, Financial Engineering, and other kinds of quantitative finance

• "Research" includes both information production and information dissemination

– information production [research grants, data and software]

– information dissemination [conferences big and small, DRP website,

student organizations, visiting scholars]

– both together [major support for the Stern Finance Ph.D. program]

• Key principle: The DRP seeks to promote intellectual connections and fruitful

interaction between the academic and real world research communities

May 18, 2007Derivatives 2007: New Ideas, New Instruments, New Markets

DRP CONFERENCES, BIG AND SMALL

Big Conferences

• "Risk Management: The State of the Art" (January 2000)

• "Derivatives 2003: Reports from the Frontiers (January 2003)

• "Derivatives 2007: New Ideas, New Instruments, New Markets"

(May 2007)

May 18, 2007Derivatives 2007: New Ideas, New Instruments, New Markets

DRP CONFERENCES, BIG AND SMALL

Smaller Conferences

• NASDAQ DRP Symposium Series (Friday afternoons)

– Jan 2006 "Credit Derivatives"– Feb 2006 "Trading Volatility"– April 2006 "Trading Correlation"– Jan 2007 "Securitization"

– Planned for 2007-08: "Risk Management," "EFTs"

• DRP "Sponsors' Days" (overview of finance research at Stern)

– next one planned for Spring 2008

May 18, 2007Derivatives 2007: New Ideas, New Instruments, New Markets

DRP RESEARCH SUPPORT

Support for Students and Scholars

• Doctoral Fellowships for Stern Ph.D. students

• Support for MBA Financial Engineering Association and newly launched undergraduate Quantitative Finance Society

• DRP Visiting Scholar

May 18, 2007Derivatives 2007: New Ideas, New Instruments, New Markets

DRP RESEARCH SUPPORT

Support for Derivatives Research

• Summer research grants for faculty

• Support for acquisition, development, and distribution of research data and tools

• Ad hoc support for promising projects

May 18, 2007Derivatives 2007: New Ideas, New Instruments, New Markets

DISSEMINATION OF KNOWLEDGE

• DRP Website (http://w4.stern.nyu.edu/salomon)

• DRP Newsletter

May 18, 2007Derivatives 2007: New Ideas, New Instruments, New Markets

DRP SPONSORS

Sincere thanks to our sponsors who have generously provided the funding to launch and sustain the Derivatives Research Project

– NASDAQ for their naming grant

– ISE for major sponsorship of the Derivatives 2007 conference

– and all of our other sponsors who have supported the DRP through the years