Seventh Columbia Practitioners Conference in Mathematics of Finance
Saturday, October 4, 2003 Auditorium 308 Havemeyer Hall Columbia University
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ponsored by the Columbia University Program in Mathematics of Finance. Practitioners Conference grew out of Finance Practitioners Seminar at Columbia University Program in Mathematics of Finance. The aim is to bring together academics, practitioners and students, to discuss questions of current interest, and to suggest open problems.PROGRAM: Saturday, October 4, 2003
8:30-9:00 Registration, COFFEE
9:00-9:15 Welcome from organizers
9:15-9:45 Alexei Surkov (Deloitte Touche) Complex Credit Derivatives
9:45-10:15 Paolo Guasoni (Boston University and University of Pisa, Italy) Excursions in the Martingale Hypothesis
10:15-10:45 Coffee Break
10:45-11:15 Ali Hirsa (Morgan Stanley) TBA
11:15-11:45 Emanuel Derman (Columbia University) The Problem of the Volatility Smile
11:45-12:15 Coffee Break
12:15-12:45 Alexei Chekhlov (Thor Asset Management LLC) Optimal Hedging Using Stochastic Optimization
12:45-2:30 Catered Lunch
2:30-3:00 Patrick Hagan (Bloomberg LP) Callable Range Notes
3:00-3:30 Coffee Break
3:30-4:00 David DeRosa (Bloomberg News and DeRosa Research and Trading) Financial Contracts and Legal Ambiguity
4:00-4:30 Coffee Break
4:30-5:00 Kapil Jain (D.E.Shaw)
5:00-7:00 RECEPTION
Fees:
Registration Fees payment must be made by check or cash. Conference can not accept credit cards or travelers checks.
Academic: By October 3, $95 ($15 student).
On site, $115 ($20, student).
Corporate: By October 3, $175. On site, $195.
To attend, please send name, title, address and e-mail address, along with a check payable to "Mathematics of Finance Conferences", to
Mr. Laurent Breach Attn: Mathematics of Finance Practitioners Conference Department of Mathematics, Columbia University 2990 Broadway, Mailcode 4406 New York, NY 10027, USA email:
lrb@math.columbia.edu
Masters Program in Mathematics of Finance
http://www.math.columbia.edu/department/masters_finance.shtml