Computational Finance 99

[Andrea Gaunersdorfer]

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)

  KEYNOTE SPEAKERS:

   o H. Gifford Fong (President of Gifford Fong Associates), and

   o David E. Shaw (Chairman and CEO of D. E. Shaw & Co., Inc.).


  INVITED TALKS:

  Mutual Fund Styles                      Prof. Stephen Brown, New York
                                          University

  Asymptotically optimal importance sampling     Prof. Paul Glasserman
  and stratification for pricing path-dependent  Columbia University
  options

  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
University
  option pricing                          Jinyon Hahn, University of

                                          Pennsylvania

  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.
  exchange rates

  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
School


IN ADDITION, ABOUT 60 POSTERS PRESENTATION OF PAPERS WILL BE PART OF
THE CONFERENCE.

For the full program and other details, please see the web site

http://www.stern.nyu.edu/CF99

____________________________________________________________________________
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