Computational Finance 99

Computational Finance http://www.stern.nyu.edu/CF99 --- CF99 --- Leonard N. Stern School of Business January 6 - 8, 1999 New York University This message contains the program and registration form for CF99. Please note that the deadline for early registration is December 1. The sixth international conference Computational Finance 99 will be held at NYU's Leonard N. Stern School of Business. CF99 is sponsored by the New York University Salomon Center, the Center for Research on Informa- tion Systems and the Department of Statistics and Operations Research. Computational Finance has emerged as a genuinely cross-disciplinary research meeting. CF99 is the sixth in a series of conferences that have been sponsored by the California Institute of Technology and the London Business School. In the past, this conference was called Neural Networks in the Capital Markets (NNCM). The expanding set of computational tools has moved this meeting from its original emphasis on neural network techniques to a broad spectrum of different methodologies. With several hundred attendees, this fully refereed conference has become an international forum where original research in advanced computational applications in finance is presented and discussed. CF99 brings together decision makers and strategists from the financial industries, with academics from finance, statistics, economics, information systems and other disciplines. The site should contain all the information you need to know about the conference. The rest of this e-mail includes for your convenience some highlights of the program and the registration form. For questions, please see the FAQ part at the website. Please register by December 1st, 1998, to avoid late charges. Yaser S. Abu-Mostafa (Caltech) Blake LeBaron (Brandeis) Andreas S. Weigend (NYU/Stern) Andrew W. Lo (MIT/Sloan) [General and Organizational Chairs] [Program Co-Chairs] ________________________________________________________________________ CF99 TUTORIALS (January 6) The four 2-hour tutorials are designed to inform the diverse group of participants on a selection of the latest tools and research results: o Forecasting Volatility Prof. Stephen Figlewski (Stern School of Business, New York University) o Hedge Fund Styles Prof. David A. Hsieh (Fuqua School of Business, Duke University) o Neuro-Dynamic Programming and Reinforcement Learning for Finance Prof. Benjamin Van Roy (Stanford University) o Data Snooping Prof. Halbert White (University of California, San Diego) ________________________________________________________________________ CF99 PROGRAM (January 7 and 8) KEYNOTE SPEAKERS: o H. Gifford Fong (President of Gifford Fong Associates), and o David E. Shaw (Chairman and CEO of D. E. Shaw & Co., Inc.). INVITED TALKS: Mutual Fund Styles Prof. Stephen Brown, New York University Asymptotically optimal importance sampling Prof. Paul Glasserman and stratification for pricing path-dependent Columbia University options Safe and Effective Importance Sampling Prof. Art Owen, Statistics Department, Stanford University SELECTION OF CONTRIBUTED TALKS (full program at www.stern.nyu.edu/CF99) What data should be used to price Mikhail Chernov, Pennsylvania options? State Univ. Eric Ghysels, Penn. St. Univ. Nonparametric testing of ARCH for Peter Christoffersen, McGill University option pricing Jinyon Hahn, University of Pennsylvania Does volatility timing matter? Jeff Flemming, Rice University Chris Kirby, Rice University Barbara Ostdiek, Rice University Real-time trading models with Ramazan Gencay, University of heterogeneous expectations and the Windsor, visiting Olsen and statistical properties of foreign Associates, et al. exchange rates Pricing stock options under stochastic George J. Jiang, University volatility and interest rates with of Groningen efficient methods of moments Pieter J. van der Sluis, estimation University of Amsterdam Option valuation with the genetic Christian Keber, University programming approach of Vienna Valuing American options by simulation: Francis A. Longstaff, UCLA A simple least-squares approach Volatility clustering in financial Thomas Lux, University of Bonn markets: A Micro-simulation of Michele Marchesi, University interacting agents of Cagliari Dangers of data-driven inference: The Ryan Sullivan, UCSD case of calendar effects in stock Allan Timmermann, UCSD returns Halbert White, UCSD Implementing trading strategies for N. Towers, London Business School forecasting models A. N. Burgess, London Business School IN ADDITION, ABOUT 60 POSTERS PRESENTATION OF PAPERS WILL BE PART OF THE CONFERENCE. For the full program and other details, please see the web site http://www.stern.nyu.edu/CF99 ____________________________________________________________________________ =========================================================================