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)
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)
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"
M. Broadie, P. Glasserman, C. Heyde, S. Kou and K. Sigman