14th Annual Workshop on Derivative Securities & Risk Management
11/09/2007
The Center for Applied Probability (CAP) and the Center for Financial Engineering at Columbia University present:
The 14th Annual Workshop on Derivative Securities & Risk Management
Friday, November 9th, 2007, Columbia University, New York City
Location: Davis Auditorium, 4th Floor Shapiro Center)
9AM--6PM
Speakers:
Rene Carmona (Professor, Operations Research & Financial Engineering,
Princeton University)
"Local Volatility Dynamic Models"
Bruno Dupire (Senior Researcher, Bloomberg LP)
"H2: a New Concept in Risk Management"
Andrey Itkin (Head of Quantitative Strategies, Volant Trading & Adjunct Professor, Rutgers University)
"Pricing Swaps and Options on QuadraticVariation under Stochastic Time Change Models"
Damiano Brigo (Managing Director, Q-SCI, DerivativesFitch)
"Default Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model"
Lasse Pedersen (Professor of Finace, NYU Stern School of Business)
Presenting his Latest Research on Liquidity Risk - Topic To be Announced
Sebastien Bossu (Vice-President, Equity Derivatives Structuring, Dresdner Kleinwort)
"Equity Correlation Swaps: A New Approach For Modelling & Pricing"
Luca Capriotti (Global Modelling & Analytics Group, Credit Suisse)
"Efficient Risk Management in Monte Carlo"
William Goetzmann (Professor of Finance, Yale School of Management)
"Optimal Disclosure and Operational Risk: Evidence from Hedge Fund Registration"
A light lunch will be provided, and a wine and cheese reception will be held
at the end of the day.
A full schedule with more details (registration details, directions to the
Columbia, hotels etc. ) is updated on the CAP website:
http://www.cap.columbia.edu/CAP-MF07.html
REGISTRATION FEES:
Academic:
$175 ($100 student)
Corporate & Institutional:
$325
CONTACT:
E-mail: emc2135@columbia.edu <mailto:emc2135@columbia.edu>
Tel: 212.854.8404