27-28 March 1999 Columbia-JAFEE Conference on the Mathematics of Finance

Saturday-Sunday, 27-28 March 1999

Auditorium 308 Havemeyer Hall
Columbia University

*Please note the change of date and place compared to the first announcement*

Sponsored by the Departments of Mathematics and Statistics at ColumbiaUniversity, and by JAFEE, the Japanese Association for Financial Econometrics and Engineering.

The aim of the Conference will be to bring together distinguished academics and practitioners who are at the forefront of this rapidly evolving field, to discuss questions of great current interest, and to suggest open problems. The Conference is also an important educational component of the recently launched Master of Arts in Mathematics, with specialization in the Mathematics of Finance, which is co-sponsored by the two Departments.

Professors Jaksa Cvitanic (cj@stat.columbia.edu), Ioannis Karatzas (ik@math.columbia.edu) and Takeaki Kariya (kariya@kk.iij4u.or.jp) are the Conference organizers.

PROGRAM

Saturday, 27 March
 
 8:30- 9:00    Registration

 9:00- 9:15    Welcome

 9:15-10:00    Ph. BOYLE (University of Waterloo, Ontario)
               "The Catch 22 of Security Pricing"

10:00-10:45    P. EMBRECHTS (ETH, Zurich)
               "Insurance Analytics: Actuarial Tools in Financial
               Risk-Management"

10:45-11:15    Coffee Break

11:15-12:00    J. SIDENIUS (SE Bank, Stockholm)
               "Aspects of Market-Models for Term-Structure Dynamics"

12:00-12:45    N. KUNITOMO  (University of Tokyo)
               "Pricing Options under Stochastic Interest Rates: a new
               Approach"

12:45- 2:30    Lunch Break
 
 2:30- 3:15    I. PIKOVSKY (Morgan Stanley Dean Witter)
               "Brownian Bridge Techniques for Valuing Path-Dependent
               Options in a Monte-Carlo Framework"

 3:15- 4:00    J. AKAHORI (Ritsumeikan University)
               "On Quasi-Gaussian Interest-Rate Models"

 4:00- 4:30    Coffee Break

 4:30- 5:15    A. LO (MIT)
               "Foundations of Technical Analysis: Computational
                Algorithms, Statistical Inference, and Empirical Analysis"

 5:15- 6:30    RECEPTION
 

Sunday, 28 March
 
 
 9:00-10:00    G. PAPANICOLAOU (Stanford University)
               "Multiple-Scale Models in Derivative Pricing"

10:00-10:45    W. SCHACHERMAYER (University of Technology, Vienna)
               "The Asymptotic Elasticity of Utility Functions and Optimal
                Investment in Incomplete Markets"

10:45-11:15    Coffee Break

11:15-12:00    M. BROADIE (Columbia University)
               "Recent Developments in Computational Finance"

12:00-12:45    J. CVITANIC (Columbia University)
               "On Dynamic Measures of Risk"
 
12:45- 2:30    Lunch Break
 
 2:30- 3:15    E. REINER (UBS Warburg Dillon Read)
               "Convolution Methods for Exotic Options"

 3:15- 4:00    H. TSURUMI (Rutgers University)
               "Bayesian Estimation of ARMA-GARCH Models for weekly
                Foreign Exchange-Rates"

 4:00- 4:30    Coffee Break

 4:30- 5:15    P. CARR (NationsBank Montgomery Securites, NY)
               "Closed Form Option Valuation with Smiles"
 

Support for the Conference is also provided by the Center for Applied Probability at Columbia, NLI (Nippon Life Insurance) Research Institute, DKB Financial Products (New York), and Daiwa Securities. Additional sponsorship will be sought, particularly from corporate sponsors.

Registration Fees

Academic: By 22 March, $135 ($50 student). On site, $165 ($60, student).
Corporate: By 22 March, $220. On site, $270.

To attend, please send name, title, address and e-mail address, along with a cheque payable to "Mathematics of Finance Conferences", to

Mr. Laurent Breach
Attn: Mathematics of Finance Conference
Department of Mathematics, Columbia University
2990 Broadway, Mailcode 4406
New York, NY 10027, USA
email: lrb@math.columbia.edu

Please contact Mr. Breach for additional information about the Conference.

Travel and Accommodations Information