Eighth Annual CAP Workshop on Derivative Securities and Risk Management

(download .pdf poster)

Friday, November 9th, 2001
Columbia University, New York City.
(This web site was updated on November 5, 2001)

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.
 

SCHEDULE:

Opening Remarks  8:45-9:00

9:00- 9:40        Philipp Schoenbucher, Bonn University
                       "Pricing Exotic Credit Derivatives" based on "A Libor market model with default risk" and "Copula-dependent defaults in intensity models"
9:40-10:20       Zhifeng Zhang, Morgan Stanley
                        "Simulating Correlated Default Arrival Times and Pricing Basket Default Swaps"

10:20-10:50     Break

10:50-11:30     David Chasman, Sempra Energy Trading
                        "Managing 'Simple' and Not-So-Simple Energy Risk"
11:30-12:10     Keynote Address:
                        Richard Sandor, Environmental Financial Products
                        "The Chicago Climate Exchange:  Creating a Market for Greenhouse Gas Emissions Trading"

12:10-1:30       Lunch

1:30-2:10         Michael Johannes, Columbia Business School
                        "The Impact of Jumps in Volatility and Returns"
2:10-2:50         Alan Lewis, OptionCity.net
                      "A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes"
2:50-3:30         Nick Webber, University of Warwick
                      "Lattice Methods for Levy Processes"

3:30-4:00         Break

4:00-4:40         Steve Heston, Goldman Sachs
                      "The Expectations Puzzle in a Log-Linear Bond Model"
4:40-5:20         Phelim Boyle, University of Waterloo
                        "Monte Carlo Methods for Asset Allocation"

5:20-6:00         Wine and cheese reception

REGISTRATION FEES:

Academic:
By Nov. 2: $110 ($30 student)
On site: $150 ($40 student)

Corporate:
By Nov. 2: $220
On site: $300

A light lunch will be provided, and a wine and cheese reception will be held at the end of the day.

REGISTRATION PROCEDURE:

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.

CONTACT:

E-mail: cap@columbia.edu
WWW: http://www.cap.columbia.edu/
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) 854-6989

LOCATION:

***Note:  This is a different location from previous years***

L107 Warren Hall
115th Street and Amsterdam Ave.
Columbia University, New York City
 

Organizers:

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

Past speakers in the workshop series.

For general CAP inquiries:
(Chris Heyde, Director of CAP)
(Karl Sigman, Secretary of CAP)