Genesis
The Center for Applied Probability (CAP) was formally established in late 1993 after some years of ad hoc operation. Activities have included the organization of:

• Ten successful Applied Probability Day (APD) meetings (Spring 1992-present) with high profile speakers,
• Eight substantial Workshop on Mathematical Finance conferences (Fall 1994-present), bringing together practitioners from the finance industry and academics from a diversity of different schools and departments,
• A Semester of Probability "Probability Towards 2000" in the Fall of 1995 that included an international symposium by the same name,
• A Stochastic Networks Workshop: Stability and Rare Events,
• Summer School in Applied Probability
• Various short courses on topical areas,
• Educational Programs,
• CAP-Springer-Verlag Volumes,
• A CAP Colloquium series in which invited speakers give a one-hour talk.

Program
The Center aims to provide an active program of workshops and short courses in topical or developing areas in addition to maintaining the now well-established Applied Probability Day.

• Only activities whose interest spans several groups are supported.
• The Center also provides expert consulting advice either on a collaborative research or on a commercial basis.
• Proposals for activities to be sponsored by the Center are welcome and may be directed to any member of the Management Committee.

• Chris C. Heyde, Statistics ÷ Director
• Karl Sigman, Industrial Engineering and Operations Research ÷ Secretary
• Awi Federgruen, Management Science and Operations Management ÷ Representative, Graduate School of Business
• Ioannis Karatzas, Mathematics÷ Representative, Graduate School of the Arts and Sciences
• David D. Yao, Industrial Engineering and Operations Research ÷ Representative, School of Engineering and Applied Science

• Mark Broadie: Option Pricing, Portfolio Selection and Investments, Numerical Methods
• Sid Browne: Stochastic Control, Asset Allocation and Portfolio Theory, Risk Management, Stochastic Games.
• Joel E. Cohen: Probability, Stochastic processes, Population dynamics
• Edward G.  Coffman
• Rama Cont: Stochastic Modeling and Computational Methods in Finance, Inverse Problems and Model Uncertainty, Random Graphs and Social Networks
• George Deodatis: Risk analysis and management of civil infrastructure systems subjected to natural and technological hazards, stochastic mechanics
• Cyrus Derman: Markovian Decision Processes, Reliability
• Robert S. Erikson: Political Science
• Awi Federgruen: Dynamic Programming, Markov Decision Processes, Logistics and Distribution
• Guillermo Gallego: Stochastic Inventory, Dynamic Programming, Optimal Control
• Paul Glasserman: Simulation, Queueing, Inventory
• Takaki Hayashi: Financial Engineering; Derivatives Pricing/ Hedging, Risk Management, Investment Technology
• Marc Henry: Time Series, Econometric Theory
• Chris C. Heyde: Stochastic Modeling, The Effects of Randomness in Systems, Large Sample Behavior, Estimation of System Parameters
• Garud Iyengar: Stochastic Optimization, Applied Probability, Mathematical Finance, Information Theory, Communication Networks.
• Predrag Jelenkovic
• Ioannis Karatzas: Probability, Random Processes, Optimization, Mathematical Economics
• Steve Kou: Simulation Theory, Mathematical Statistics, Applied Stochastic Processes, and Mathematical and Computational Finance
• Aurel A. Lazar: Resource Allocation and Networking Games, Multiple Time Scales and Subexponentiality,Telecommunications
• Victor de la Pena: Probability, Martingales, De-Coupling Methods
• Jay Sethuraman: Scheduling, Discrete Optimization and its Applications, and Applied Probability
• Yongzhao Shao: Probability, Stochastic Optimization, Empirical Processes and their Applications, Limit Theorems, Statistical Estimation
• Lawrence Shepp: Probabilistic, combinatorial, and statistical analysis of problems in physics and engineering, Computer tomography, Mathematical finance, Genetics
• Karl Sigman: Queueing Theory, Stability Theory, Point Processes, Risk Theory
• Suresh Sundaresan: Fixed Income Markets, Term Structure Theory, Auctions, Design and Valuation of Debt Contracts, Derivative Markets and Risk Management
• Joseph Traub:Information Based Complexity, Limits to Scientific Knowledge, Average Case Analysis, Financial Computations
• Garrett van Ryzin: Queueing Systems and Control, Stochastic Optimization, Logistics and Yield Management Applications
• Jan Vecer: Financial Engineering, Option Pricing, Stochastic Optimal Control, Risk Management, Stochastic Processes
• Ward Whitt: Stochastic processes, Queueing networks, Telecommunication applications
• Henryk Wozniakowski: Computer Science, Complexity of Continuous Problems, Financial Computations
• David D. Yao: Stochastic Models, Queues and Queueing Networks, Discrete Event Systems, Manufacturing and Telecommunication Applications

• Marco Avellaneda: (Courant Institute, New York U.) Partial differential equations, Mathematical finance
• Ward Whitt: (AT&T Bell Labs) Stochastic processes, Queueing networks, Telecommunication applications

• IBM Research

• Reade Ryan: (PhD, Courant, NYU, 1996) Stochastic differential equations, Long range dependence
• Andrew Lim: (2000), stochastic differential equations, mathematical finance/financial engineering
• Wonjae Chang:  (2001) (TBA)

 

 
 
 
 
 
 
 

CAP 601 CEPSR Columbia University 530 West 120th Street Mail Code: 8906  NY, NY 10027 USA PHONE: (212) 854-6096 FAX: (212) 854-6989 EMAIL: cap@columbia.edu