Twelfth Annual CAP Workshop on Derivative Securities and Risk Management

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


Davis Auditorium
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)