Eleventh Annual CAP Workshop on Derivative Securities and Risk Management

Friday, November 5, 2004
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:

Rama Cont, Ecole Polytechnique
Numerical Methods for Option Pricing Models with Jumps

David Hobson, Princeton University
Extending Figlewski's Option Pricing Formula

Michael Kalkbrener, Deutschebank
A Quantitative Framework for Measuring Risk and Profitability

Ozgur Kaya, Columbia University
Exact Simulation of Financial Models with Stochastic Volatility and other Affine Jump Diffusion Processes

Jussi Keppo, University of Michigan
Does the Market Risk Capital Requirement Affect Bank Behavior?

Roger Lee, Stanford University
Robust Hedging of Volatility Derivatives

Richard Martin, Credit Suisse First Boston
Developments in Credit Portfolio Theory

H. Eugene Stanley, Boston University
Understanding Large Movements in Stock Market Activity
 

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 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.

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:

Davis Auditorium
Fourth Floor Shapiro Center
Map

Organizers:

M. Broadie, E. Derman, 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)