Friday, November 1, 2002
Columbia University, New York City.
(This web site was updated on September 13, 2002)
This year's workshop again features a group of distinguished speakers in an informal setting aimed at fostering communication between academia and industry.
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"
Before Oct. 18: $100 ($40 student)
On site: $150 ($100 student)
Before Oct. 18: $200
On site: $300
A light lunch will be provided, and a wine and cheese reception will be held at the end of the day.
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 CAP 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.
Postal: Center for Applied Probability, ATTENTION: Finance Workshop
601 CEPSR, Columbia University, Mail code 8906
530 West 120th Street, New York, NY 10027
Phone: (212) 854-6096
FAX: (212) 854-8103
Warren Hall, Room 107
Columbia University, New York, NY
North-east corner of Amsterdam avenue and 115th street (entrance on Amsterdam)
M. Broadie, P. Glasserman, C. Heyde, S. Kou, and K. Sigman
Past speakers in the workshop series.