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Seventh Annual CAP Workshop
on Mathematical Finance:
Theory, Practice and
Computation
Friday, December 1st, 2000
Columbia University, New York City.
(This web site was updated on October 20, 2000)
This year we will once again have another group of highly distinguished speakers in the usual informal workshop aimed at fostering communication between academia and industry. There will talks on new markets (credit, energy, and emerging markets) plus recent advances in interest rate models, computational methods, and other topics in mathematical finance. Details of the speakers and the talks will posted soon.
Workshop Poster(pdf)
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"
Organizers:
M. Broadie, P.
Glasserman, C. Heyde, S. Kou and K. Sigman
Past speakers in the workshop series.
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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