DATE : Tuesday and Wednesday May 2 and 3, 2000
LOCATION : 55 Broad Street, New York City
INSTRUCTORS: Professors CHRIS HEYDE and STEVE KOU, Columbia University,
New York
THE COURSE
Delegates will leave this course with a detailed view of cutting edge
developments in
model building and statistical inference for pricing models. Enrollment
will be
restricted to a maximum of 20 delegates to facilitate communication
and informal
discussion.
Professors Heyde and Kou are leading researchers in the area and have
brought strong
statistical backgrounds and extensive empirical work on real data to
bear on modeling
problems of finance.
You will learn about:
* building finance models, Classsical models and their extensions to
imperfect
markets, Model robustness
* semimartingale models with no arbitrage opportunities
* long range dependence, non-semimartingale models and arbitrage opportunities
* quasi-likelihood methods of optimal inference for model characteristics
* heavy versus semi-heavy tailed (log) price distributions
* numerical pricing of exotic options, especially discrete barrier and lookback options
* pricing of interest rate derivatives, including spot rate models,
the HJM model, and
the market LIBOR model
* jump diffusion models and their closed form solutions for both equity
and interest
rate derivatives
DAY 1
8.30-9.00am Registration & Breakfast
9.00-10.30am Lecture 1 (Heyde). Building stochastic models in
finance. Martingales
and stochastic calculus.
10.30-11.00am Coffee break and informal discussion
11.00-12.30pm Lecture 2 (Kou). Basic Black-Scholes option Pricing and
its extension to
imperfect markets.
12.30-1.30pm Lunch (provided)
1.30-3.00pm Lecture 3 (Heyde). Time series methods. Introduction to
quasi-likelihood and
its applications in finance.
3.00-3.30pm Coffee break and informal discussion
3.30-5.00pm Lecture 4 (Kou). Numerical pricing of continuous and discrete
exotic options
DAY 2
8.30-9.00am Breakfast
9.00-10.30am Lecture 5 (Heyde). More advanced quasi-likelihood. Optimality
and precision
in estimation.
10.30-11.00am Coffee break and informal discussion
11.00-12.30pm Lecture 6 (Kou). Pricing of interest rate derivatives:
spot rate Models,
the HJM model, and the market LIBOR model
12.30-1.30pm Lunch (provided)
1.30-3.00pm Lecture 7 (Heyde & Kou) Overview of alternative pricing
models (1).
Subordinator and stochastic volatility formulations.
3.00-3.30pm Coffee break and informal discussion
3.30-5.00pm Lecture 8 (Heyde & Kou). Overview of alternative pricing
models (2).
Jump diffusion models and their closed form solutions for both
equity and interest
rate derivatives.
ABOUT THE INSTRUCTORS
PROFESSOR CHRIS HEYDE
Columbia University
Chris Heyde is Director of the Center for Applied Probability (CAP)
and Professor of
Statistics at Columbia University. He is Editor-in-Chief of "Journal
of Applied
Probability" and "Advances in Applied Probability", the premier international
journals
in their area. He has served as President of the Bernoulli Society
for Mathematical
Statistics and Probability, the theoretical arm of the International
Statistical
Institute. He is author, or editor, of more than 10 books and more
than 180 research
papers and he has been honored for this research by the awards of the
Pitman Medal
(1988), Hannan Medal (1994) and Lyle Medal (1995). He is a leading
international
authority on stochastic modeling and inference and he has recently
been focusing on
stochastic models in finance.
PROFESSOR STEVE KOU
Columbia University
Steve Kou is Assistant Professor in the Department of Industrial Engineering
and
Operations Research at Columbia, where he teaches Financial Engineering.
He is a
specialist in mathematical finance and is well-known internationally
for his research
on numerical pricing of discrete exotic options, such as discrete barrier
and lookback
options; option pricing in imperfect markets; market LIBOR models with
jump risk;
pricing of electricity options; and jump diffusion models and their
closed form solutions
for both equity and interest rate derivatives. Some of his results
have been widely used
in Wall Street, and have been incorporated into standard MBA textbooks,
such as the
textbook by John Hull.
WHO SHOULD ATTEND
This training course is specifically designed for quantitative researchers,
financial
engineers, analysts, and software developers. Students of financial
mathematics will
also find it highly beneficial.
COURSE MATERIALS
Each delegate will receive a copy of Professor Heyde's most recent book
"Quasi-Likelihood
and its Application. A General Approach to Optimal Parameter Estimation",
Springer, New
York, 1997. Some excerpts from reviews follow:
"The powerful message of this timely book is stated on page 10. "For
estimation of
parameters in stochastic systems of any kind, it has become increasingly
clear that it
is possible to replace likelihood-based techniques by quasi-likelihood
alternatives, in
which only assumptions about means and variances are made in order
to obtain estimators.
There is often little, if any, loss in efficiency..." Chris Heyde has
played a major role
in the development of QLE. Much of the work in this wonderful book
can be traced directly
or indirectly to his ideas. We are fortunate that he has added his
insight to this
authoritative work, which describes a field that has matured to the
point that it is now
ready to fulfill its promise of becoming a standard tool of statistical
analysis."
(P.I. Nelson in Journal of the American Statistical Association)
"When reading the book we really understand how deep and effective this
approach is when
solving diverse inference problems in a very satisfactory way.....In
a master style the
author demonstrates by example how a particular property can be developed
into a general
result....The book is written by one of the leading stochasticians
of our time." (J.
Stoyanov in Journal of Applied Mathematics and Stochastic Analysis).
CERTIFICATION
Delegates who complete the two days of instruction will recieve a formal
certificate from
the Center of Applied Probability of Columbia University recognizing
their achievement.
CAP TRAINING COURSE
REGISTRATION FORM
May 2, 3, 2000 at 55 Broad Street, New York
FIRST NAME:..............................................
FAMILY NAME:............................................
JOB TITLE/POSITION:.....................................
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COMPANY:...............................................
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THE REGISTRATION FEE IS: $1500
Your registration fee for the two day course includes Professor Heyde's
book together
with breakfast, lunch, and morning and afternoon refreshments on both
days.
If paying by credit card please complete the details below. Please debit my:
.......Visa, ........Mastercard (tick one)
Card No.:..............................................
Expiry date:...../...../.....
Account address if different from above:
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Signature:................................. Date...............
HOW TO BOOK
FAX: (212) 854-6989
EMAIL: cap@columbia.edu
To book, fax or email the completed form to CAP to obtain a registration
number. You
will be given a number, or a waiting list number and, if payment did
not accompany
the form, a payment due date. If payment is not received by the due
date the
reservation is forfeited and a space opens up for the next one on the
list.
Check should be made payable to 'CAP`.
Postal address:
Center for Applied Probability,
ATTENTION: Training Course, May 2000,
601 CEPSR,
Columbia University, Mail Code 8906,
530 West 120th Street, New York,
NY 10027.
CAP URL: http://www.cap.columbia.edu
CAP PHONE: (212) 854-6096
Please note that places are limited to 20 and these will be allocated
in order of
receipt as indicated above. You are advised to send your payment with
this booking
form in order to secure a place.
PAYMENT
Payment is required prior to the event. If you require an invoice, please
inform us at
the time of booking, stating whether you need an original or a fax
copy. We accept
company checks, made payable to 'CAP`.
CANCELLATION
A refund (less 10% administrative charge) will be made if notification
of cancellation
is received in writing two full weeks before the course begins. After
this date no refunds
can be given. A substitute delegate can be admitted at no extra charge.