Workshop on Mathematical Finance

Columbia-JAFEE* Conference On the Mathematics Of Finance
*(the Japanese Association for Financial Engineering and Econometrics)


Will take place on April 6-7 1997, in the C.P. Davis Alumni Auditorium, Room 412 Schapiro Hall, at Columbia University. The aim of the Conference will be to bring together distinguished academics and practitioners who are at the forefront of this rapidly evolving field, and to discuss such important research issues as measures of risk, transaction costs, pricing and hedging in incomplete and constrained markets, convertible callable bonds, quantile and transfer options, implied volatility, etc. Invited s peakers who have already confirmed their participation include:

N. Chriss (Morgan Stanley, New York)
E. Derman (Goldman Sachs, New York)
D. Heath (Cornell University, Ithaca, NY)
I. Karatzas (Columbia University, New York)
T. Kariya (Hitotsubashi University, Tokyo)
J. Langsam (Morgan-Stanley, NY)
R. Miura (Hitotsubashi University, Tokyo)
S. Pliska (University of Illinois, Chicago)
M. Schweizer (Technische Universitaet, Berlin)
H. Shirakawa (Tokyo Institute of Technology)
S. Shreve (Carnegie Mellon UNiversity, Pittsburgh, PA).


Please contact for further information.




 
Tentative Program



Sunday, 6 April 1997
9:00 - 9:10 Welcome
9:10 - 10:00 D. Heath (Cornell University, Ithaca)
Measures of Risk for use in Regulation
10:00 - 10:30 Coffee Break
10:00 - 11:30 E. Derman (Goldman-Sachs, NY)
Modelling Implied Index Volatilities
11:30 - 12:30 S. Pliska (University of Illinois, Chicago)
Risk-Sensitive Portfolio Management
12:30 - 2:00 Lunch Break
2:00 - 3:00 S. Shreve (Carnegie-Mellon University, Pittsburgh)
Convertible Callable Bonds
3:00 - 4:00 T. Kariya (Hitotsubashi University, Tokyo)
Valuation of Time-Deposit Saving with Transfer Option
4:00 - 4:30 Coffee Break
4:30 - 5:30 N. Chriss (Morgan-Stanley, NY)
Optimal Liquidation Models


Monday, 7 April 1997
9:00 - 10:00 J. Langsam (Morgan-Stanley, NY)
A Research Wish-List: Research Needs at the Bank Level
10:00 - 10:30 Coffee Break
10:00 - 11:30 M. Schweizer (Technische Universitaet, Berlin)
Pricing and Hedging in a Mean-Variance Framework
11:30 - 12:30 R. Miura (Hitotsubashi University, Tokyo)
A few developments on Quantile Options
12:30 - 2:00 Lunch Break
2:00 - 3:00 I. Karatzas (Columbia University, NY)
Pricing and Hedging under Constraints
3:00 - 4:00 H. Shirakawa (Tokyo Institute of Technology)
Computation of the Analytical Solution for the Optimal Portfolio Problem under Transaction Costs
4:00 - 4:30 Coffee Break
4:30 - 5:30 M. Davis (Mitsubishi Capital, London)
To Be Announced


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