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Twelfth Annual CAP Workshop
on Derivative Securities and Risk Management
Friday, October 28, 2005
Columbia University,
New York City.
This year's workshop again features
a group of distinguished speakers in an informal setting aimed at fostering
communication between academia and industry.
SCHEDULE:
8:30-8:45 Coffee and Danish
8:45-9:00 Opening Remarks
9:00-10:30 Chris Rogers, Univ. of Cambridge
Deterministic stochastic optimal control
Peter Forsyth, Univ. of Waterloo
Dynamic Hedging Under Jump Diffusion with Transaction Costs
10:30-11:00 Coffee Break
11:00-12:30 Sam Howison, Univ. of Oxford
Old wine in new bottles: a matched asymptotic expansions approach to continuity
corrections for discrete sampling
Shijie Deng, Georgia Insititute of Technology
Pricing American-style Options and structured energy contracts by Adaptive
Simulation
12:30-2:00 Lunch Break
2:00-3:30 Pierre Collin-Dufresne, Goldman
Sachs
Modeling commodity futures: reduced-form vs. structural models
Timur Misirpashaev, Numerix
Analytical techniques for synthetic CDOs and credit portfolios
3:30-4:00 Coffee Break
4:00-5:30 Marco Frittelli, Univ.
of Milano
Risk measures and capital requirements for processes
Dev Joneja, Lehman Brothers
Pricing and Risk: Challenges for the Industry
5:30
Wine and Cheese Reception
REGISTRATION FEES:
Academic:
Before Oct. 12: $125 ($40 student)
On site: $175 ($100 student)
Corporate:
Before Oct. 12: $225
On site: $325
A light lunch will be provided, and a wine and cheese reception will be held at the end of the day.
REGISTRATION PROCEDURE:
Send Name, Title, Affiliation, Address and E-mail Address (as we prefer to acknowledge receipt of your registration by e-mail), along with a check or money order payable to Columbia University to the address below.
Or, to pay by credit card (MC or Visa ONLY), send the same information in an e-mail to the address below and, in addition, include CC#, Exp. Date, Name (as it appears on card), and Billing Address. If you prefer, you may FAX the information, or a legible (not too dark) copy of your credit card, to the FAX number listed below.
CONTACT:
E-mail: cap@columbia.edu
WWW: http://www.cap.columbia.edu/
Postal: Center for Applied Probability,
ATTENTION: Finance Workshop
331 Mudd Building, Columbia University,
Mail code 4704
500 West 120th Street, New York,
NY 10027
Phone: (212) 854-6096
FAX: (212) 854-8103
LOCATION:
Davis Auditorium
Fourth Floor Shapiro Center
Map
Organizers:
M. Broadie, E. Derman, 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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