CAP TRAINING COURSE : PRICING MODELS, THE EMPIRICAL REALITIES, STATISTICAL INFERENCE AND NUMERICAL METHODS

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:.....................................

DEPARTMENT:.............................................

COMPANY:...............................................

APPROVING MANAGER:.....................................

ADDRESS:...............................................

.......................................................

CITY/POSTCODE:........................................

TELEPHONE:............................................

FAX:..................................................

EMAIL:................................................
 
 

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:

......................................................

......................................................
 

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.