Computational Finance 99
Mon, 30 Nov 1998 10:28:21 GMT
Computational Finance http://www.stern.nyu.edu/CF99
--- CF99 --- Leonard N. Stern School of Business
January 6 - 8, 1999 New York University
This message contains the program and registration form for CF99.
Please note that the deadline for early registration is December 1.
The sixth international conference Computational Finance 99 will be held
at NYU's Leonard N. Stern School of Business. CF99 is sponsored by the
New York University Salomon Center, the Center for Research on Informa-
tion Systems and the Department of Statistics and Operations Research.
Computational Finance has emerged as a genuinely cross-disciplinary
research meeting. CF99 is the sixth in a series of conferences that have
been sponsored by the California Institute of Technology and the London
Business School. In the past, this conference was called Neural Networks
in the Capital Markets (NNCM). The expanding set of computational tools
has moved this meeting from its original emphasis on neural network
techniques to a broad spectrum of different methodologies.
With several hundred attendees, this fully refereed conference has
become an international forum where original research in advanced
computational applications in finance is presented and discussed.
CF99 brings together decision makers and strategists from the
financial industries, with academics from finance, statistics,
economics, information systems and other disciplines.
>> The website of the conference is http://www.stern.nyu.edu/CF99 <<
The site should contain all the information you need to know about the
conference. The rest of this e-mail includes for your convenience
some highlights of the program and the registration form. For
questions, please see the FAQ part at the website.
Please register by December 1st, 1998, to avoid late charges.
Yaser S. Abu-Mostafa (Caltech) Blake LeBaron (Brandeis)
Andreas S. Weigend (NYU/Stern) Andrew W. Lo (MIT/Sloan)
[General and Organizational Chairs] [Program Co-Chairs]
CF99 TUTORIALS (January 6)
The four 2-hour tutorials are designed to inform the diverse group of
participants on a selection of the latest tools and research results:
o Forecasting Volatility
Prof. Stephen Figlewski (Stern School of Business, New York University)
o Hedge Fund Styles
Prof. David A. Hsieh (Fuqua School of Business, Duke University)
o Neuro-Dynamic Programming and Reinforcement Learning for Finance
Prof. Benjamin Van Roy (Stanford University)
o Data Snooping
Prof. Halbert White (University of California, San Diego)
CF99 PROGRAM (January 7 and 8)
o H. Gifford Fong (President of Gifford Fong Associates), and
o David E. Shaw (Chairman and CEO of D. E. Shaw & Co., Inc.).
Mutual Fund Styles Prof. Stephen Brown, New York
Asymptotically optimal importance sampling Prof. Paul Glasserman
and stratification for pricing path-dependent Columbia University
Safe and Effective Importance Sampling Prof. Art Owen, Statistics
Department, Stanford University
SELECTION OF CONTRIBUTED TALKS (full program at www.stern.nyu.edu/CF99)
What data should be used to price Mikhail Chernov, Pennsylvania
options? State Univ.
Eric Ghysels, Penn. St. Univ.
Nonparametric testing of ARCH for Peter Christoffersen, McGill
option pricing Jinyon Hahn, University of
Does volatility timing matter? Jeff Flemming, Rice University
Chris Kirby, Rice University
Barbara Ostdiek, Rice University
Real-time trading models with Ramazan Gencay, University of
heterogeneous expectations and the Windsor, visiting Olsen and
statistical properties of foreign Associates, et al.
Pricing stock options under stochastic George J. Jiang, University
volatility and interest rates with of Groningen
efficient methods of moments Pieter J. van der Sluis,
estimation University of Amsterdam
Option valuation with the genetic Christian Keber, University
programming approach of Vienna
Valuing American options by simulation: Francis A. Longstaff, UCLA
A simple least-squares approach
Volatility clustering in financial Thomas Lux, University of Bonn
markets: A Micro-simulation of Michele Marchesi, University
interacting agents of Cagliari
Dangers of data-driven inference: The Ryan Sullivan, UCSD
case of calendar effects in stock Allan Timmermann, UCSD
returns Halbert White, UCSD
Implementing trading strategies for N. Towers, London Business School
forecasting models A. N. Burgess, London Business
IN ADDITION, ABOUT 60 POSTERS PRESENTATION OF PAPERS WILL BE PART OF
For the full program and other details, please see the web site