CALL FOR PARTICIPANTS
The Center for Applied Probability at Columbia University
presents the
SEVENTH ANNUAL CAP WORKSHOP ON MATHEMATICAL FINANCE:
THEORY, PRACTICE AND COMPUTATION
Friday, December 1, 2000
Columbia University, New York City
This year we present another group of highly distinguished
speakers in the usual informal workshop aimed at fostering
communication between academia and industry.
SPEAKERS:
Mikhail Chernov--Columbia University
"Alternative Models for Stock Price Dynamics"
Michael Dempster--Cambridge University
"Wavelet-Based PDE Methods for Derivative Valuation"
Vladimir Finkelstein--Goldman Sachs
"Pricing Single Name Credit Derivatives"
David Heath--Carnegie Mellon
(TBA)
Vadim Linetsky--Northwestern University
"Eigenfunction Expansion Methods in Derivatives Pricing"
Alexander Lipton--Deutsche Bank
"Pricing and Risk-Managing Exotics on Assets with
Stochastic Volatility"
Ludger Overbeck--Deutsche Bank AG
"Credit Portfolio Modeling"
Ronnie Sircar--Princeton University
"Partial Hedging of Derivative Risk under Stochastic
Volatility"
REGISTRATION FEES:
Academic:
By Nov. 24: $110 ($30 student)
On site: $150 ($40 student)
Corporate:
By Nov. 24: $220
On site: $300
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 CAP to
the address below.
Or, to pay by credit card, 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:
Email: MAILTO:[log in to unmask]
WWW: http://www.cap.columbia.edu/
Postal: Center for Applied Probability
ATTENTION: Finance Workshop
601 CEPSR
Columbia University
Mail code 8906
530 West 120th Street
New York, NY 10027
Tel: (212) 854-6096
Fax: (212) 854-6989
LOCATION:
The conference will be held at the C.P. Davis Alumni
Auditorium, Morris A. Shapiro Center for Engineering and
Applied Science Research Room 412 (campus level) Columbia
University, New York City
ORGANIZERS:
M. Broadie, P. Glasserman, C. Heyde, S. Kou and K. Sigman.
Titles of all the speakers' talks and other information will
be available soon on the CAP website which will be updated
on a regular basis:
http://www.cap.columbia.edu/CAP-conferences.html
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CALL FOR PAPERS
ANNUAL RESEARCH CONFERENCE IN FINANCIAL RISK
12th - 14th July, 2001
Hyatt Regency Hotel, Budapest, Hungary
The International Association of Financial Engineers and the
Hungarian Association of Risk Managers jointly invite
members and colleagues to submit research papers and
applications for participation to the Annual Research
Conference in Financial Risk to be held in Budapest from
12th to 14th July,2001.
TOPIC AREAS:
Market Risk - Credit Risk - Liquidity Risk - Operational
Risk - Integrated Risk Management - Financial Data Analysis
and Statistics - Financial Engineering - Derivatives -
Simulation and Modelling
PAPER REVIEW COMMITTEE:
Giovanni Barone-Adesi, Universita della Svizzera
Italiana, Lugano
Jean-Philippe Bouchaud, Science & Finance, Levallois and CEA
Saclay, France
Peter Carr, Bank of America Securities
Ephraim Clark, Middlesex University, London
Michel Crouhy, Canadian Imperial Bank of Commerce
Michel Dacorogna, Zurich Re
Kevin Dowd, University of Nottingham Business School, UK
Paul Embrechts, ETH Zurich
Steve Figlewski, Stern School of Business, New York University
Dan Galai, Hebrew University, Jerusalem
Kostas Giannopoulos, University of Westminster, London
Ben Golub, BlackRock Financial Management
Stuart Hodges, Warwick University, UK
Farshid Jamshidian, NetAnalytic
Imre Kondor Raiffeisen, Bank and Eotvos University, Budapest
Jacques Pezier, Credit Agricole Lazarde Finance Products
Dan Rosen, Algorithmics
Mark Rubinstein, Haas School of Business, University of
California, Berkeley
John Ruzicka, University of Westminster, London
Barry Schachter, Caxton Corporation
Ton Vorst, Erasmus University, Rotterdam
Liuren Wu, Fordham University, New York
PAPER SUBMISSION:
For information concerning submission procedures and
deadlines please refer to the websites:
http://www.itcb.hu/conference2001
http://www.iafe.org
http://www.gloriamundi.org
REGISTRATION:
The pre-registration form and information about hotel
reservation and registration fees can be found at the same
websites.
Paper submission and pre-registration deadline:10 January
2001
ADDITIONAL INFORMATION:
For further information please contact:
Email: MAILTO:[log in to unmask]
Or
CONTACT: Prof. Imre Kondor
Raiffeisen Bank
Akademia u.6,H-1054
Budapest, Hungary
Tel: +36 1 484 4235
Fax: +36 1 484 4444
Email: MAILTO:[log in to unmask]
--
_____________________________________________________
Dr. Giulia Iori
(Lecturer in Mathematical Finance)
Department of Mathematics
King's College, London
Strand, London WC2R 2LS
Telephone: (44) 020 7848-
Fax: (44) 020 7848-2017
Email: [log in to unmask]
URL: //pc173.mth.kcl.ac.uk/~giulia
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