Tenth Annual CAP Workshop on Derivative Securities and Risk Management

Friday, November 7, 2003
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.
 

SPEAKERS:

KEYNOTE SPEAKER:
Robert Jarrow, Cornell
    "A Reduced Form Theory of the Firm"

Marco Avellaneda, NYU
    "A market-induced mechanism for stock pinning"
Jean-Pierre Fouque, North Carolina State
    "Multiscale stochastic volatility"
Kay Giesecke, Cornell
    "The Market Price of Credit Risk"
Vicky Henderson, Princeton
    "A comparison of q-optimal option prices in a stochastic volatility model with correlation"
David Li, Citigroup
    "Pricing and hedging synthetic CDO transactions"
Vladimir Piterbarg, Bank of America
    "Pricing and hedging callable Libor exotics in forward Libor models"
Barry Schacter, SAC Capital
    "Problems of performance measurement in hedge funds"
 

Download .pdf poster with schedule of events
 

REGISTRATION FEES:

Academic:
Before Oct. 24: $125 ($40 student)
On site: $175 ($100 student)

Corporate:
Before Oct. 24: $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.

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
331 Mudd Building, Columbia University, Mail code 4704
500 West 120th Street, New York, NY 10027
Phone: (212) 854-6096
FAX: (212) 854-8103

LOCATION:

Schermerhorn Hall
Room 501
Map

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)