Saturday, January 29, 2000

Columbia Practitioners Conference on the Mathematics of Finance

Columbia Practitioners Conference on the Mathematics of Finance
Saturday, January 29, 2000

Auditorium 308 Havemeyer Hall
Columbia University

Program Committee: I.Karatzas, J.Cvitanic, M.Smirnov.
Organizing Committee: M.Smirnov
Sponsored 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, 29 January 2000

8:30-9:00  Registration, COFFEE

9:00-9:15  Welcome from organizers: prof. M.Smirnov

9:15-9:45  G. GEORGIEV (J.P.Morgan)
" Basket deals and the "Black-Scholes" of Credit Derivatives"

  • PPT File of the talk

    • 9:45-10:15  R. KLOTZ (Greenwich Capital)
    "Model Risks"

    10:15-10:45 A. MATYTSIN (J.P. Morgan)
    "Perturbative Analysis of Volatility Smiles"

  • PDF File of the talk

    • 10:45-11:15  Coffee Break

    11:15-11:45 Alexei CHEKHLOV (TrendLogic Associates), Stan URYASEV and M. ZABARANKIN (University of South Florida)
    "Portfolio Optimization with Drawdown Constraints"

  • PPT File of the talk

    • 11:45-12:15 N. CHRISS (President and COO of ICor Brokerage Inc)
    "A modern portfolio theory approach to stochastic volatility" (joint work w Jonathan Goodman (Courant) and Alex Kontorovich (Princeton))

    12:15-12:45 Stephen DEMOURA (Sheridan Investments and U of Chicago)
    "On a New Class of Term Structure Models"

    12:45-2:30 Lunch.

    2:30-3:00 Chrif YOUSSFI (Merrill Lynch)
    "Convexity adjustment for volatility swaps under stochastic volatility".

  • PPT File of the talk

    • 3:00-3:30 Christian GILLES (Bear Stearns)
    " Modeling the state-price deflator and the term structure of interest rates"

  • PDF File of the talk

    • 3:30-4:00 Coffee Break

    4:00-4:30 P.CARR (BankAmerica)
    "An Alternative Approach for Valuing Continuous Cash Flows"

  • Peter Carr's Homepage and papers

    • 4:30-5:00 Coffee Break

    5:00-5:30 David DeRosa (President of DeRosa Research and Trading and Adjunct Professor of Finance, Yale School of Management)
    "Reflections on Mathematical Finance Year 2000"

    5:30-7:00 RECEPTION: Sushi, Dinner Buffet, wine and drinks

    Registration Fees

    Payment must be made by check or cash ONLY. Conference can not accept credit cards or travellers checks.

    Academic: By 21 January, $95 ($50 student). On site, $115 ($60, student).
    Corporate: By 21 January, $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

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

    Travel and Accommodations Information

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