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.
|8:30-8:45||Coffee and Danish|
Chris Rogers, Univ. of Cambridge
Deterministic stochastic optimal control
Peter Forsyth, Univ. of Waterloo
Dynamic Hedging Under Jump Diffusion with Transaction Costs
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
Pierre Collin-Dufresne, Goldman Sachs
Modeling commodity futures: reduced-form vs. structural models
Timur Misirpashaev, Numerix
Analytical techniques for synthetic CDOs and credit portfolios
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|
Before Oct. 12: $125 ($40 student)
On site: $175 ($100 student)
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.
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.
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
Fourth Floor Shapiro Center
M. Broadie, E. Derman, P. Glasserman, C. Heyde, S. Kou, and K. Sigman
Past speakers in the workshop series.