Friday, October 28, 2005
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.
8:30-8:45 Coffee and Danish
8:45-9:00 Opening Remarks
9:00-10:30 Chris Rogers, Univ. of Cambridge
Deterministic stochastic optimal control
Peter Forsyth, Univ. of Waterloo
Dynamic Hedging Under Jump Diffusion with Transaction Costs
10:30-11:00 Coffee Break
11:00-12:30 Sam Howison, Univ. of Oxford
Old wine in new bottles: a matched asymptotic expansions approach to continuity corrections for discrete sampling
Shijie Deng, Georgia Insititute of Technology
Pricing American-style Options and structured energy contracts by Adaptive Simulation
12:30-2:00 Lunch Break
2:00-3:30 Pierre Collin-Dufresne, Goldman Sachs
Modeling commodity futures: reduced-form vs. structural models
Timur Misirpashaev, Numerix
Analytical techniques for synthetic CDOs and credit portfolios
3:30-4:00 Coffee Break
4:00-5:30 Marco Frittelli, Univ. of Milano
Risk measures and capital requirements for processes
Dev Joneja, Lehman Brothers
Pricing and Risk: Challenges for the Industry
5:30 Wine and Cheese Reception
Before Oct. 12: $125 ($40 student)
On site: $175 ($100 student)
Before Oct. 12: $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.
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.
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
Fourth Floor Shapiro Center
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)