COLUMBIA-JAFEE MATHEMATICS OF FINANCE CONFERENCE. October 8-9, 2004

Columbia University

International Affairs Building, 6th Floor Dag Hammarskoeld Lounge

Sponsored by the Departments of Mathematics and Statistics at Columbia University, and by JAFEE, the Japanese Association of 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 Master of Arts in Mathematics with Specialization in the Mathematics of Finance, which is co-sponsored by the two Departments.

Conference Organizers:

Takaki Hayashi, Ioannis Karatzas, Mikhail Smirnov, Jan Vecer, Peter Bank, Mihai Sirbu

PROGRAM: Friday, October 8, 2004

8:30-9:00 Registration, COFFEE
9:00-9:20 Welcome from the organizers.
9:20-10:00 Yuji YAMADA (Tsukuba University) Option valuation and hedging with cumulants using multinomial lattice and finite difference approximations
10:00-10:40 Coffee Break
10:40-11:20 Ioannis KARATZAS (Columbia University) Arbitrage and Diversity in Equity Markets
11:20-11:50 Coffee Break
11:50-12:30 Hidetoshi NAKAGAWA (Tokyo Institute of Technology) Analyses of Mortgage-Backed Securities Based on Unobservable Prepayment Cost Processes. 12:30-1:10 Ryozo MIURA (Hitotsubashi University) Non-Parametric Statistics and Exotic Options Based on Them
1:10-2:30 Lunch Break.
2:30-3:00 Nobuhiro NAKAMURA (Hitotsubashi University) Numerical Approach to Asset Pricing Models with Stochastic Differential Utility
3:00-3:30 Patrick HAGAN (Bloomberg) Callable Range Notes
3:30-4:00 Steve KOU (Columbia University)
4:00-4:30 Coffee Break
4:30-5:00 Mingxin XU (U of North Carolina at Charlotte) Risk measure pricing and hedging in incomplete markets
5:00-5:30 Adrian BANNER (INTECH) Atlas Models of Equity Markets
5.30-6.00
6:00-6:30 Coffee Break/Wine

PROGRAM: Saturday, October 9, 2004

8:30-9:00 Registration, COFFEE
9:00-9:20 Welcome from the organizers.
9:20-10:00 Alexey Surkov (Deloitte) Valuation Issues in Exotic Credit Derivatives
10:00-10:40 Alexei Chekhlov (Thor Asset Management) Drawdown Measure in Portfolio Optimization
10:40-11:20 Mikhail Smirnov (Columbia U) Dynamic Risk Allocation
11:20-11:50 Coffee Break
11:50-12:30 Eric Reiner (UBS) The Characteristic Curve Approach to Arbitrage-Free Time Interpolation of Volatility
12:30-2:30 Lunch.
2:30-3:15 David DeRosa (DeRosa Research and Trading, Bloomberg)
3:15-3:45 Coffee Break
3:45-4:30 Stan Uryasev (University of Florida) Pricing of Options in Incomplete Market: Regression with Constraints
4:30-5:00 Coffee Break
5:00-5:45 Ali Hirsa (Caspian Capital Management)
5:45-7:00 RECEPTION: Sushi, Dinner Buffet. Wine

Registration Fees

Academic: By October 7, $95 ($15 student). On site, $150 ($25  student).
Corporate: By October 7, $195. On site, $295

To attend, please send name, title, address and e-mail address, along with a check payable to "Mathematics of Finance Conferences", (we are unable at this time to accept credit cards).

Please register me now!!!

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.

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