Columbia-JAFEE Conference on the Mathematics of Finance

Final Anouncement

The Departments of Mathematics and Statistics at Columbia University, and JAFEE (the Japanese Association for Financial Econometrics and Engineering) are please to announce that the

2nd Columbia-JAFEE Conference On the Mathematics of Finance

took place on Sunday-Monday, 5-6 April 1998, in the C.P.Davis Auditorium, 412 Schapiro Hall at Columbia University. The aim of the Conference is to bring together 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's of Arts in Mathematics track, with specialization in the Mathematics of Finance, which is co-sponsored by the two Departments.

PROGRAM

Sunday, 5 April 1998

8:30 - 9:00 Registration

9:00 - 9:15 Welcome

9:15 - 10:10 S. ROSS (Yale University) "Topics in Finance"

10:10 - 10:40 Coffee Break

10:40 - 11:35 M. AVELLANEDA (Courant Institute, NYU & Morgan Stanley, NY) "Model Calibration and Model Risk"

11:35 - 12:30 D. CUOCO (Wharton School, University of Pennsylvania) "A martingale characterization of consumption and portfolio choices with margin requirements"

12:30 - 2:00 Lunch Break

2:00 - 3:00 C. ROGERS (University of Bath, England) "A study of liquidity effects"

3:00 - 4:00 H. KONNO (Tokyo Institute of Technology) "Stochastic dominance and skewness model"

4:00 - 4:30 Coffee Break

4:30 - 5:30 D. TALAY (INRIA, Sophia-Antipolis) "Approximation of some path-dependent options"

5:30 - 6:30 RECEPTION

Monday, 6 April 1998

9:00 - 10:00 H. LELAND (Haas School, University of California at Berkeley) "Multiple asset rebalancing in the presence of transaction costs and capital gains taxes"

10:00 - 10:30 Coffee Break

10:30 - 11:30 H. KALLAL (Salomon Brothers, New York) "Efficient trading strategies in the presence of transaction costs"

11:30 - 12:30 S. KUSUOKA (University of Tokyo) "Super-replication costs for American options with transaction costs, and supermartingale problems"

12:30 - 2:00 Lunch Break

2:00 - 3:00 R. DEMBO (Algorithmics Inc., Toronto, Ontario) "Optimal Portfolio Replication"

3:00 - 4:00 Y. MIYAHARA (Department of Economics, Nagoya City University) "On canonical martingale measures of jump-type price processes in incomplete asset markets"

4:00 - 4:30 Coffee Break

4:30 - 5:30 D. SONDERMANN (University of Bonn, Germany) "Some methodological aspects of modeling interest rate uncertainty"

The event is being co-sponsored by the Departments of Mathematics and Statistics at Columbia University, and by JAFEE, with additional support from 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 sources. Professors Jaksa Cvitanic (cj@stat.columbia.edu), Ioannis Karatzas (ik@math.columbia.edu, ik@stat.columbia.edu) and Takeaki Kariya (cr00055@ srv.cc.hit-u.ac.jp) are the program organizers.

Registration Fees:

Corporate: By 31 March, $200. On site, $250.
Academic: By 31 March, $120 ($40 student). On site, $150 ($50 student).

Please send name, title 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
e-mail: lrb@math.columbia.edu

A second announcement will be made available, as soon as the program has been finalized.

Read about last year's conference.