Program Committee: I.Karatzas, M.Smirnov. Organizing Committee: M.Smirnov, L.Breach
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, September 15, 2001
8:30-9:00 Registration, COFFEE
9:00-9:15 Welcome from organizers: prof. M.Smirnov
9:15-9:45 Eric Reiner (UBS Warburg) "A rapidly convergent expansion technique for Asian and basket options"
9:45-10:15 Vijay Pant and Weita Chang (PricewaterhouseCoopers) "Valuing options in illiquid markets: A comparison of methods"
10:15-10:45 Richard Klotz (Greenwich Capital) " Measuring Interest Rate Risk in Mortgage Backed Securities: Lognormal
versus Normal Interest Rate Models. "
10:45-11:15 Coffee Break
11:15-11:45 Robert Kissel(Instinet) "Mathematical Techniques for Evaluating Trading Strategies and Preserving Asset Value."
11:45-12:15 Alexei Chekhlov and Vladimir Trincher (Thor Asset Management Inc.), "Bubble Statistics: Analysis of the Latest Technology Market Correction
"
12:15-12:45 Patrick Hagan (Nomura U.S.) "Managing Smile Risk"
12:45-2:30 Lunch.
2:30-3:00 N. Chriss (President and COO of ICor Brokerage Inc)
"Rationale Risk Management for Risk Bids: work by Almgren and Chriss".
3:00-3:30 Igor Vaysburd (JP Morgan Chase) "Dynamic Investment Strategies: Portfolio Insurance versus Efficient Frontier"
3:30-4:00 Coffee Break
4:00-4:30 David DeRosa (President of DeRosa Research and Trading and Adjunct Professor of Finance, Yale School of Management)
"Innovations in World Monetary Policy"
4:30-5:00 Coffee Break
5:00-5:30 Alex Lipton (Deutsche Bank) "On some functionals of jump-diffusions and their applications to pricing path-dependent options and credit derivatives"
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 September 11, $95 ($20 student). On site, $115 ($40, student).
Corporate: By September 11, $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
Masters Program in Mathematics of Finance http://www.math.columbia.edu/department/masters_finance.shtml