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 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@wald.stat.columbia.edu (Chris Heyde, Director of CAP) 
sigman@ieor.columbia.edu (Karl Sigman, Secretary of CAP)


500 W. 120th St., 918 Mudd, New York, NY 10027    212-854-2905                
©2014 Columbia University