Columbia Practitioners Conference on the Mathematics of Finance
Saturday, September 25, 1999

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, 25 September 1999

8:30-9:00  Registration, COFFEE

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

9:15-9:45  N. CHRISS (Goldman Sachs)
"Optimal exercise of portfolio transactions"

9:45-10:15 A. MATYTSIN (J.P. Morgan)
"Volatility Derivatives"

10:15-10:45  B. FLESAKER (Bear Stearns)
"Credit Risk and Derivatives"

10:45-11:15  Coffee Break

11:15-11:45 A.CHEKHLOV (TrendLogic)
"Dynamic portfolio management methods in statistical and technical trading."

11:45-12:15 E. DERMAN (Goldman Sachs)
"Fear, Greed and Moderation in Volatility Markets"

12:15-12:45  R. KLOTZ (Greenwich Capital)
"Practical Problems with Building Fixed Income Value-At-Risk Models"

12:45-2:30 Lunch.

2:30-3:00 J.GATHERAL (Merrill Lynch)
"Volatility and hedging errors"

3:00-3:30 S. ESIPOV (Centre Solutions-Zurich Group)
"On P/L distributions of Dynamic Hedging Strategies"

4:00-4:30 Coffee Break

4:30-5:00 P.CARR (BankAmerica)
"Derivatives of Derivative Securities"

5:00-5:30 V. FINKELSTEIN (J.P.Morgan)
"Emerging markets derivatives"

5:30-7:00 RECEPTION: Food and drinks

Registration Fees

Academic: By 20 September, $95 ($50 student). On site, $115 ($60, student).
Corporate: By 20 September, $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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This page was last modified on Thursday, 08-April-1999