CAP Workshop Series on Mathematical Finance:
Theory, Practice and Computation
 

2003 Speakers:

• Robert Jarrow, (Cornell): A Reduced Form Theory of the Firm
• Marco Avellaneda, (NYU): A market-induced mechanism for stock pinning
• Jean-Pierre Fouque, (North Carolina State): Multiscale stochastic volatility
• Kay Giesecke, (Cornell): The Market Price of Credit Risk
• Vicky Henderson, (Princeton): A comparison of q-optimal option prices in a stochastic volatility model with correlation
• David Li, (Citigroup): Pricing and hedging synthetic CDO transactions
• Vladimir Piterbarg, (Bank of America): Pricing and hedging callable Libor exotics in forward Libor models
• Barry Schacter, (SAC Capital): Problems of performance measurement in hedge funds

2002 Speakers:

• Alan Brace, (BNP Paribas): Markovian Models in the Stochastic Implied Volatility Framework
• Pierre Collin-Dufresne, (Carnegie-Mellon University): Generalizing the Affine Framework to HJM and Random Field Models
• Jaksa Cvitanic, (University of Southern California): An Intertemporal Model of Active Portfolio Management
• Craig Friedman, (Standard & Poors): Learning Models for Credit Risk
• Martin Haugh, (Columbia University): Hedging Financial Risks in Supply Chain Management
• Marco Naldi, (Lehman Brothers): CDO Analysis: Beyond the CADR Assumption
• Dmitry Pugachevsky, (Bear Stearns): Efficient Modeling of Default Correlations
• Carlos Sin, (UBS Warburg): Interest Rate Models that are Stable Under Measure Change

2001 Speakers:

• Philipp Schoenbucher, (Bonn University): Pricing Exotic Credit Derivatives
• Zhifeng Zhang, (Morgan Stanley): Simulating Correlated Default Arrival Times and Pricing Basket Default Swaps
• David Chasman, (Sempra Energy Trading): Managing 'Simple' and Not-So-Simple Energy Risk
• Richard Sandor, (Environmental Financial Products): The Chicago Climate Exchange:  Creating a Market for Greenhouse Gas Emissions Trading
• Michael Johannes, (Columbia Business School): The Impact of Jumps in Volatility and Returns
• Alan Lewis, (OptionCity.net): A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes
• Nick Webber, (University of Warwick): Lattice Methods for Levy Processes
• Steve Heston, (Goldman Sachs): The Expectations Puzzle in a Log-Linear Bond Model
• Phelim Boyle, (University of Waterloo): Monte Carlo Methods for Asset Allocation

2000 Speakers:

• Vladimir Finkelstein, (Goldman Sachs): Pricing Single Name Credit Derivatives(pdf)
• Ludger Overbeck, (Deutsche Bank AG): Credit Portfolio Modeling
• Michael Dempster, (Cambridge University): Wavelet-Based PDE Methods for Derivative Valuation(pdf
• Vadim Linetsky, (Northwestern University): Eigenfunction Expansion Methods in Derivatives Pricing(pdf)
• David Heath, (Carnegie Mellon): Equivalent Martingale Measures and Lévy's Theorem(pdf of slides)  (pdf of thesis)
• Alexander Lipton, (Deutsche Bank): Pricing and Risk-Managing Exotics on Assets with Stochastic Volatility(pdf)
• Ronnie Sircar, (Princeton University): Partial Hedging of Derivative Risk under Stochastic Volatility(g-zip)
• Mikhail Chernov, (Columbia University): Alternative Models for Stock Price Dynamics

1999 Speakers:

• Robert Engle, (University of California San Diego and NYU): CAViaR: Conditional Value at Risk By Regression Quantiles
• Simon Babbs, (Bank One): Conditional Gaussian Models of the Term Structure of Interest Rates
• Silverio Foresi, (Goldman, Sachs & Co): Affine Models of the Term Structure: Implementation of  Derivative Pricing via Arrow-Debreu Prices
• Francis Diebold, (Wharton): Range-Based Estimation of Stochastic Volatility Models, with Application to Exchange Rate Dynamics
• David Modest, (Long Term Capital Management): LTCM: An Internal Perspective
• John Hull, (University of Toronto): Forward rate volatilities, swap rate volatilities, and the implementation of the LIBOR market model
• John Schoenmakers, (Weierstrass Institute): Log-normal Approximation and Robust Calibration of a Multi-Factor LIBOR Market Model (paper1, paper2)
• Jesper Andreasen, (General Re Financial Products):  Jump-Diffusion Processes: Volatility Smile Fitting and     Numerical Methods for Pricing (talk)
• Peter Forsyth, (University of Waterloo): Pricing path dependent options: the curse of interpolation
• Steve Kou, (Columbia University): A Jump Diffusion Model for Option Pricing with the Property of High Peak and Heavy Tails
• Joe Zhou, (Goldman Sachs): Valuing Options on Baskets of Stocks and Forecasting the Shape of Volatility Skews--A Practitioner's Approach (paper, talk)
• Geert Bekaert, (Columbia University): International Asset Allocation with Time-varying Correlations
• Dick Jefferis, (Koch Industries): Weather Derivatives and Industrial Risk Management
• Helyette Geman, (ESSEC): Weather, Electricity, and Insurance Derivatives (talk)

1998 Speakers:

• Kaushik Amin (Lehman Brothers, New York): Emerging Market Derivatives
• Leif Anderson (General Re Financial Products): Volatility Skews and Extensions of the Libor Market Model
• Eric Briys (Lehman Brothers, London): Early Default, Absolute Priority Rule Violations and The Pricing of Risky Fixed Rate Debt
• Alexander Eydeland (Southern Energy): Pricing Power Derivatives
• Pat Hagan (Banque Paribas): Equivalent Black Volatilities
• Chris Heyde (Columbia University): Statistical Realities for Financial Time Series
• Vincent Kaminski (Enron): Value-at-Risk for Portfolios of Energy Derivatives
• Damien Lamberton (Universite de Marne la Vallee): Random Walk Approximation and Option Prices
• Bill Morokoff (Goldman Sachs): Applications of the Brownian Bridge to Derivatives Pricing and Risk
• Art Owen (Stanford University): Safe and Effective Importance Sampling
• Louis Scott (Morgan Stanley): The Pricing of Default Options and Credit Derivatives
• L.A.Shepp (Rutgers University): Option Pricing Without Completeness and Non-arbitrage
• Stuart Turnbull (Queen's University and CIBC): The Intersection Market and Credit Risk

• O. Cheyette (Barra): Implied Prepayments
• G. Constantinides (U. of Chicago): Transaction Costs and the Pricing of Derivatives Perspective and Recent Developments
• F. Delbaen (ETH, Zurich): Arbitrage Theory and Martingale Problems
• R. Engle (U. of California, San Diego): Time and the Price Impact of a Trade
• S. Figlewski (New York U.): The Adaptive Mesh Model: A New Approach to Efficient Option Pricing
• S. Grossman (U. of Pennsylvania, Wharton School): Aspects of Portfolio Insurance
• F. Jamshidian (Sakura Capital Markets): LIBOR and Swap Market Models and Measures
• M. Musiela (U. of New South Wales): Exotic Interest Rate Options
• A. Pelsser (ABN-Amro Bank): Pricing Double Barrier Options using Analytical Inversion of Laplace Transforms"
• R. Rebonato (Barclays Bank): Correlation, Instantaneous Volatility and the Evolution of the Term Structure of Volatilities in the Pricing of Interest-Rate Options
• P. Ritchken (Case Western U.): Pricing Options Under Generalized GARCH and Stochastic Volatility Processes
• Y. Ait Sahalia (U. of Chicago): Nonparametric Risk Management and Implied Risk Aversion
• J. Sidenius (SimCorp): Examining Multi-factor Market Models

• P. Bloomfield (Merrill Lynch)
• P. Carr (Morgan Stanley)
• J. Detemple (McGill U., Canada)
• P. Embrechts (ETH, Switzerland)
• B. Flesaker (Bear Stearns)
• G.Chichilnisky (Columbia University)
• H. Leland (U. Calif. Berkeley)
• A. Lo (MIT)
• E. Peters (Pan Agora Asset Mgmt)
• E. Reiner (UBS Securities)
• S. Ross (Yale U.)
• W.Segal (Dept. Housing and Urban Development, Washington)
• S. Shreve (Carnegie Mellon U.)

• Mark Davis (Mitsubishi Finance): Option hedging and risk-constrained portfolios
• Emmanuel Derman (Goldman Sachs): Financial Modeling on Wall Street: A Physicist's perspective
• Raphael Douady (Ecole Normale Superiere and Societe Generale): Infinite dimensional models for the yield curve (Exploiting the smoothness)
• Hans Fö llmer (Humboldt U.): Different approaches to incompleteness
• Marco Frittelli (U. Milan, Italy): Valuation principle in security markets models with frictions
• Paul Glasserman (Columbia U.): Pricing American options by simulation
• Michael Hieb (UBS Securities): Practical issues in risk management
• Lane Hughston (Merril Lynch):
• Dilip Madan (U. Maryland): Estimation of risk neutral and statistical densities using the variance gamma process
• Antonio Paras (New York U.): Managing the volatility risk of exotic derivatives with vanilla options: uncertain volatility model (UVM)
• Eckhard Platen (Australian National U.): An attempt to explain the interest rate term structure
• Wolfgang Runggaldier (U. Padua, Italy): Bond markets when prices are driven by general marked point processes
• John van der Hoek (U. Adelaide, Australia): Evaluation of American options using a method of lines
• Paul Wilmott (Oxford U.): Research in mathematical finance at Oxford University
• Joe Zhou (Bear, Sterns & Co. Inc.): A basic model of commodity price behaviour

• M. Avellaneda (Courant Institute, New York U.): Valuation and dynamical hedging of derivative securities in the presence of transaction costs: binomial and lognormal models
• P. Boyle (U. Waterloo, Canada) : Quasi-random Monte Carlo
• M. Broadie (Columbia U.): American option valuation: new bounds, approximations, and a comparison of existing methods
• S. Browne (Columbia U.): Optimal investment policies for a firm with a random risk process
• P. Carr (Cornell U.): Fast accurate valuations of American options
• D. Heath (Cornell U.): Modeling the random evolution of the term structure of interest rates: the HJM framework
• R. Mark (Canadian Imperial Bank of Commerce): Risk management
• A. Mirabelli (Kidder Peabody): Pricing mortgages
• E. Platen (Australian National U.): Application of stochastic numerical methods in derivative pricing
• R. Skora (Sumitomo Bank Capital Markets): Measuring credit risk in derivative transactions
• S. Sundaresan (Columbia U.): Design and valuation of debt contracts
• J. Traub (Columbia U.): Computational complexity of high dimensional integration with applications to finance
• W. Willinger (Bellcore): FBM modeling of stock prices and some of the implications for option pricing

For general CAP inquiries:
chris@wald.stat.columbia.edu (Chris Heyde, Director of CAP)
sigman@ieor.columbia.edu (Karl Sigman, Secretary of CAP)

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