CALL FOR PARTICIPANTS
The Center for Applied Probability at Columbia University presents the
8th Annual CAP Workshop on Derivative Securities and Risk Management
Friday, November 9, 2001
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:
David Chasman, Sempra Energy Trading
"Managing 'Simple' and Not-So-Simple Energy Risk"
Steve Heston, Goldman Sachs
"The Expectations Puzzle in a Log-Linear Bond Model"
Michael Johannes, Columbia Business School
"The Impact of Jumps in Volatility and Returns"
Alan Lewis, Analytic Investment Management
"A Simple Option Formula for General Jump-Diffusion and other
Exponential Levy Processes"
Keynote Address:
Richard Sandor, Environmental Financial Products
"The Chicago Climate Exchange: Creating a Market for Greenhouse Gas
Emissions Trading"
Philipp Schoenbucher, Bonn University
"Pricing Exotic Credit Derivatives"
Nick Webber, University of Warwick
"Lattice Methods for Levy processes"
Zhifeng Zhang, Morgan Stanley
"Simulating Correlated Default Arrival Times and Pricing Basket Default Swaps"
REGISTRATION FEES:
Academic:
By Nov. 2: $110 ($30 student)
On site: $150 ($40 student)
Corporate:
By Nov. 2: $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 (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(a)columbia.edu
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
Phone: (212) 854-6096
FAX: (212) 854-6989
LOCATION:
Columbia University, New York City
Exact location TBA.
Check
http://www.cap.columbia.edu for updated information
ORGANIZERS:
M. Broadie, P. Glasserman, C. Heyde, S. Kou and K. Sigman.