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@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.