Leonard N. Stern School of Business New York University

Computational Finance (CF99) January 6, 1999 (Tutorials) January 7 - 8 (Conference)

The sixth international conference Computational Finance (CF99) 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 Information 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. In the last few years, the conference has seen papers covering many different computational techniques including: statistical machine learning, Monte Carlo simulation, data mining, knowledge discovery, bootstrapping, genetic algorithms, nonparametric methods, information theory and fuzzy logic. Applications in many different areas are welcome, including but not limited to: risk management, asset allocation, dynamic trading and hedging strategies, forecasting, numerical solutions of derivative PDEs, exotic options and trading cost control.

Studies may cover any major international financial market including equity, foreign exchange, bond, commodity and derivatives. The conference emphasizes in-depth analysis and comparative evaluation with established approaches.

CF99 will have two distinguished keynote speakers, Gifford Fong, Chairman, and CEO of Gifford Fong Associates, and David E. Shaw, PhD, Chairman and CEO of D. E. Shaw & Co., Inc. The conference also features several invited speakers sharing their expertise from both the academic and applied perspectives.

CF99 begins with a full day of tutorials designed to inform the diverse group of participants on a selection of the latest tools and research results. This year's tutorials feature the following speakers:

Professor Stephen Figlewski, Finance Department, Stern School of Business, New York University Professor Halbert White, Economics Department, University of California, San Diego Professor David A. Hsieh, Finance Department, Fuqua School of Business, Duke University Professor Benjamin van Roy, Engineering Economic Systems Department, Stanford University

The conference will have several talk and poster sessions for accepted papers. A selection of the presentations will be invited to appear in a volume published by Kluwer Academic Publishers.

Submissions to CF99:

Authors who wish to present papers should submit four copies along with full contact information, including e-mail addresses, to:

CF99 / Andreas Weigend Information Systems Department Leonard N. Stern School of Business New York University 44 W 4th St., MEC 9-171 New York, NY 10012, USA

E-mail: cf99@stern.nyu.edu Web: www.stern.nyu.edu/cf99

All submissions must be received by August 31st., 1998. Full papers are preferred, but extended abstracts clearly stating the results are acceptable. Only original, relevant research work will be accepted.

Registration material will be put up on the Web at www.stern.nyu.edu/cf99 in August. Deadline for early registration is December 1, 1998.

Conference Chairs:

General Chair

Y. S. Abu-Mostafa, Caltech Organizational Chair A. S. Weigend, NYU Stern Program Co-chairs B. LeBaron, University of Wisconsin A. W. Lo, MIT Sloan

Organizing Committee:

A. Atiya, Cairo University J. Cowan, University of Chicago R. Gencay, University of Windsor M. Jabri, Sydney University J. E. Moody, Oregon Graduate Institute C. E. Pedreira, Catholic Univ. PUC-Rio A.-P. N. Refenes, London Business School M. Steiner, Universitaet Augsburg D. Tavella, Align Risk Analysis A. Timmermann, U.of Calif., San Diego H. White, Univ. of California, San Diego L. Xu, Chinese University of Hong Kong

The Stern School:

Founded in 1900, the Stern School has grown into one of the most highly ranked business schools in the world. A talented and diverse student body benefits in many ways from Stern's long-standing excellence, top faculty and its central New York City location. Stern offers several specializations in computational finance that include a highly quantitative MBA financial engineering track, an MS in statistics with specialization in financial engineering, and PhD programs in the fields of finance, statistics and information systems. Further conferences, symposia and workshops at Stern for 1999 include Derivatives: What's New?; Market Risk: Advances and Challenges; and Data Mining in Finance. =========================================================================