Saturday, October 7, 2000Columbia Practitioners Conference on the Mathematics of Finance |
Columbia Practitioners Conference on the Mathematics of Finance
Auditorium 308 Havemeyer Hall
Columbia University
Program Committee: I.Karatzas, 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, October 7, 2000
8:30-9:00 Registration, COFFEE
9:00-9:15 Welcome from organizers: prof. M.Smirnov
9:15-9:45 Marcello MINENNA (CONSOB - Italian Securities and Exchange Comission)
" A Supervisory Perspective on Insider Ttrading. Estimating the Value of Information"
9:45-10:15 Chrif YOUSSFI(Joint Work with Jim GATHERAL) (Merrill Lynch)
"The Rational of the Volatility Surface"
10:15-10:45 Bob FERNHOLZ (CIO INTECH)
"Portfolio Generating Functions"
10:45-11:15 Coffee Break
11:15-11:45 Mikhail SMIRNOV (Columbia University),
"Nonlinear Portfolio Insurance and Changes in Portfolio Return Distributions and Drawdowns"
11:45-12:15 Robert KISSEL(INSTINET)
"Determining an Optimal Trading Strategy to Best Preserve Asset Value"
12:15-12:45 Andrew MATYTSIN (Merrill Lynch)
"Valuation of Liquidity"
12:45-2:30 Lunch.
2:30-3:00 Peter CARR (Bank of America) (Joint work with Liuren WU, Fordham U)
"The Finite Moment Log-Stable Distribution and Option Pricing"
3:00-3:30 Weita CHANG, Vijay PANT (Pricewaterhouse Coopers)
An Empirical Comparison of Methods Incorporating Fat Tails in Value at Risk Models
3:30-4:00 Coffee Break
4:00-4:30 Joe Zou (Goldman Sachs) TBA
4:30-5:00 Coffee Break
5:00-5:30 TBA
5:30-7:00 RECEPTION: Sushi, Dinner Buffet. Wine: Indigo Hills 1997, Mendocino County Chardonnay, Indigo Hills 1995 Paso Robles Cabernet Sauvignon, Freixenet Cordon Negro Brut.
Registration Fees
Payment must be made by check or cash ONLY. Conference can not accept credit cards or travelers checks.
Academic: By 5 October, $95 ($45 student). On site, $115 ($60, student).
Corporate: By 5 October, $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