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. 
 

SCHEDULE:

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 

 

REGISTRATION FEES:

Academic: 
Before Oct. 12: $125 ($40 student) 
On site: $175 ($100 student)

Corporate: 
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.

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