Ninth Annual CAP Workshop on Derivative Securities and Risk Management

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"

Download .pdf poster with schedule of events


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.

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