gt symposium on qcf , april 7 please share the following announcement with your associates .
georgia institute of technology symposium on
quantitative and computational finance
friday , april 7 th , 2000
auditorium of marc bldg . on the georgia tech campus
sponsored by
the dupree college of management ,
the college of engineering school of industrial and systems engineering ,
and the college of sciences school of mathematics .
program :
12 : 30 - 12 : 40 welcome
michael thomas , provost of georgia tech
12 : 40 - 12 : 45 introduction of the first speaker
12 : 45 - 1 : 30 walter j . muller iii , bank of america
" interest rate models for pricing fixed income
securities "
1 : 30 - 1 : 40 q & a and introduction of the second speaker
1 : 40 - 2 : 25 steven l . allen , chase manhattan bank
" management of market risk - - what can we learn
from the experiences of 1997 and 1998 ? "
2 : 25 - 2 : 45 break
2 : 45 - 2 : 50 introduction of the third speaker
2 : 50 - 3 : 35 billy thornton , invesco capital management
" optimal portfolio construction and risk control "
3 : 35 - 3 : 45 q & a and introduction of the fourth speaker
3 : 45 - 4 : 30 ron dembo , algorithmics , inc .
" measuring the risk of a large financial institution "
4 : 30 - 4 : 40 q & a and introduction of the fifth speaker
4 : 40 - 5 : 25 alexander eydeland , southern company energy marketing l . p .
" energy derivatives "
5 : 25 - 5 : 40 closing / extra time
5 : 45 - 6 : 30 reception
short biographies of the speakers are given below .
registration :
there is no charge for attendance at the symposium .
however , space is limited , so we do encourage you to
let us know that you will be attending . please send the
following information before wednesday , april 5 , 2000 .
conference : " qcf "
first name :
last name :
company / institution :
department :
address :
city :
state / province :
zip / postal code :
phone :
fax :
email :
to
robert kertz
e - mail : kertz @ math . gatech . edu
fax : 404 - 894 - 4409
* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
lodging :
you can make your own hotel arrangements with one of the many hotels in
town . some hotels close by tech ' s campus are :
holiday inn express ( 404 - 881 - 0881 ) ,
days inn , 683 peachtree street ( 404 - 874 - 9200 ) ,
renaissance hotel , w . peachtree street ( 404 - 881 - 6000 ) ,
marriott courtyard , 1132 techwood drive ( 404 - 607 - 1112 ) , and
regency suites , 975 west peachtree street ( 404 - 876 - 5003 ) .
in all cases , ask about the georgia tech rate .
* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
location :
the conference will be held in the first floor auditorium of the
manufacturing research center ( marc bldg . ) , 813 ferst drive ,
on the georgia tech campus in atlanta , georgia .
map :
a map of campus can be found on the web at http : / / gtalumni . org . the
conference is in the manufacturing research center ( # 126 on the map ) ,
which is the rectangular building directly north of the groseclose
building ( # 56 on the map ) and the instructional center ( # 55 on the map ) .
directions :
( additonal directions can be found at the website
associated with the marc building )
by marta : take the north - south marta train ( $ 1 . 50 ) to the north avenue
exit . the station is on the northeast corner of west peachtree and north
avenue . walk west along north avenue past the varsity and over the
expressway . after the football stadium , take the steps up and enter the
campus . walk diagonally across the campus and ask some students where to
find the manufacturing research center .
by car , if you are entering atlanta from i - 20 or while traveling north on
i - 75 or i - 85 :
i - 75 and i - 85 merge in atlanta to form i - 75 / 85 . ( if you are on i - 20 , go
north on i - 75 / 85 in the center of atlanta . ) exit the expressway at exit
100 which is the spring street and west peachtree street exit . turn left
at the second light onto west peachtree street . turn left at the first
light onto north avenue . travel west on north avenue and follow the signs
to the " center for the arts " . these signs will ask you to turn right onto
tech parkway which is the second traffic light along the gt campus , then
turn right at the first light , and then you are forced to turn either
right or left onto ferst drive . now go to the parking directions section
below .
by car , if you are entering atlanta while traveling south on i - 75 or
i - 85 :
i - 75 and i - 85 merge in atlanta to form i - 75 / 85 . exit the expressway at
exit 100 which is the north avenue exit . turn right at the top of the
ramp onto north avenue . travel west on north avenue and follow the signs to
the " center for the arts . " these signs will ask you to turn right onto tech
parkway which is the second traffic light along the gt campus , then turn
right at the first light , and then you are forced to turn either right or
left onto ferst drive . now go to the parking directions section below .
parking directions :
turn right onto ferst street , then turn left into the student center
driveway which is the second driveway on your left . there is a fee of $ 4 .
walk north past the instructional center to the manufacturing research
center .
for further information , please contact
professor robert kertz
by email at kertz @ math . gatech , edu ,
by fax at 404 - 894 - 4409 ,
by phone at 404 - 894 - 4311 or
by regular mail at
professor robert kertz
school of mathematics
georgia institute of technology
atlanta , ga 30332 - 0160 .
* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
biographies of speakers
steven l . allen
managing director , market risk management for derivatives
chase manhattan bank , new york
steve allen is a managing director in the market risk management group of
the chase manhattan bank , heading the derivatives product team . he began
his career in 1967 with chase , where his assignments included deputy director
of management science and manager of modeling and systems for the asset -
liability committee . from 1981 through 1991 , he was director of research for
chase ' s trading activities , in charge of the development of models and
analytics . his risk management career began in 1991 with the north american
division of union bank of switzerland , where he was market risk manager for
fixed income products . he took his current position in 1995 with chemical
bank , rejoining chase by benefit of merger .
steve studied mathematics as an undergraduate at columbia college and as a
graduate student at new york university ' s courant institute . he currently
teaches risk management in the masters program in mathematics in finance at
courant . he is co - author of " valuing fixed income investments and derivative
securities " .
* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
ron s . dembo
president and chief executive officer
algorithmics , inc .
toronto
ron dembo is president and chief executive officer of algorithmics , inc . ,
a leading provider of innovative enterprise - wide financial risk management
software , which he founded in 1989 . before founding algorithmics ,
he created and managed a group at goldman sachs responsible for
fixed income optimization modeling . prior to that , he held several
positions in academia . from 1976 to 1986 , he served as an assistant and
associate professor of operations research in computer science at
yale university , and as a visiting professor for operations research at
the massachusetts institute of technology .
dr . dembo obtained a ph . d . in operations research from the university of
waterloo , ontario ( 1975 ) . he has written and published over 50 technical
papers on finance and mathematical optimization and holds two patents
for portfolio replication . his latest book on risk , " seeing tomorrow :
weighing financial risk in everyday life , which he co - authored with
andrew freeman , was published in may 1998 by wiley in the u . s . in october
of 1998 , dr . dembo was honored with ernst model review ; and
price verification .
* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
billy thornton
director of quantitative research
invesco capital management
1360 peachtree street
atlanta , ga 30309
billy thornton is a partner at invesco and director in the
quantitative research group .
billy began his career in 1979 as a management consultant at
andersen consulting , before joining bellsouth as a regulatory
economic analyst in 1981 . billy next moved into academia as a
finance professor teaching corporate finance for the undergraduate ,
graduate and executive programs at goizueta school of business ,
emory university . while a professor at emory , he spent a year as
a visiting scholar at the federal reserve bank of atlanta researching
special projects . continuing to teach corporate finance , billy joined
clark atlanta university in 1995 . during this time , he also worked as
a consultant with watson wyatt worldwide performing asset allocation
consulting , and executive education and training .
billy joined invesco in 1998 to head invesco ' s department of quantitative
research . his team of analysts performs statistical modeling , researches
investment strategies , and sets risk management controls .
billy earned a b . s . in mathematics from clark atlanta university in 1977
and an m . s . in statistics from carnegie - mellon university in 1979 . he
graduated from harvard university , earning a ph . d in financial economics
in 1989 jointly from the harvard business school and harvard department
of economics , and also receiving his m . s . in business economics in 1987 .
billy was a member of both leadership atlanta , class of 1994 , and
leadership georgia , class of 1996 .
gt symposium on qcf , april 7
please share the following announcement with your associates .
georgia institute of technology symposium on
quantitative and computational finance
friday , april 7 th , 2000
auditorium of marc bldg . on the georgia tech campus
sponsored by
the dupree college of management ,
the college of engineering school of industrial and systems engineering ,
and the college of sciences school of mathematics .
program :
12 : 30 - 12 : 40 welcome
michael thomas , provost of georgia tech
12 : 40 - 12 : 45 introduction of the first speaker
12 : 45 - 1 : 30 walter j . muller iii , bank of america
" interest rate models for pricing fixed income
securities "
1 : 30 - 1 : 40 q & a and introduction of the second speaker
1 : 40 - 2 : 25 steven l . allen , chase manhattan bank
" management of market risk - - what can we learn
from the experiences of 1997 and 1998 ? "
2 : 25 - 2 : 45 break
2 : 45 - 2 : 50 introduction of the third speaker
2 : 50 - 3 : 35 billy thornton , invesco capital management
" optimal portfolio construction and risk control "
3 : 35 - 3 : 45 q & a and introduction of the fourth speaker
3 : 45 - 4 : 30 ron dembo , algorithmics , inc .
" measuring the risk of a large financial institution "
4 : 30 - 4 : 40 q & a and introduction of the fifth speaker
4 : 40 - 5 : 25 alexander eydeland , southern company energy marketing l . p .
" energy derivatives "
5 : 25 - 5 : 40 closing / extra time
5 : 45 - 6 : 30 reception
short biographies of the speakers are given below .
registration :
there is no charge for attendance at the symposium .
however , space is limited , so we do encourage you to
let us know that you will be attending . please send the
following information before wednesday , april 5 , 2000 .
conference : " qcf "
first name :
last name :
company / institution :
department :
address :
city :
state / province :
zip / postal code :
phone :
fax :
email :
to
robert kertz
e - mail : kertz @ math . gatech . edu
fax : 404 - 894 - 4409
* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
lodging :
you can make your own hotel arrangements with one of the many hotels in
town . some hotels close by tech ' s campus are :
holiday inn express ( 404 - 881 - 0881 ) ,
days inn , 683 peachtree street ( 404 - 874 - 9200 ) ,
renaissance hotel , w . peachtree street ( 404 - 881 - 6000 ) ,
marriott courtyard , 1132 techwood drive ( 404 - 607 - 1112 ) , and
regency suites , 975 west peachtree street ( 404 - 876 - 5003 ) .
in all cases , ask about the georgia tech rate .
* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
location :
the conference will be held in the first floor auditorium of the
manufacturing research center ( marc bldg . ) , 813 ferst drive ,
on the georgia tech campus in atlanta , georgia .
map :
a map of campus can be found on the web at http : / / gtalumni . org . the
conference is in the manufacturing research center ( # 126 on the map ) ,
which is the rectangular building directly north of the groseclose
building ( # 56 on the map ) and the instructional center ( # 55 on the map ) .
directions :
( additonal directions can be found at the website
associated with the marc building )
by marta : take the north - south marta train ( $ 1 . 50 ) to the north avenue
exit . the station is on the northeast corner of west peachtree and north
avenue . walk west along north avenue past the varsity and over the
expressway . after the football stadium , take the steps up and enter the
campus . walk diagonally across the campus and ask some students where to
find the manufacturing research center .
by car , if you are entering atlanta from i - 20 or while traveling north on
i - 75 or i - 85 :
i - 75 and i - 85 merge in atlanta to form i - 75 / 85 . ( if you are on i - 20 , go
north on i - 75 / 85 in the center of atlanta . ) exit the expressway at exit
100 which is the spring street and west peachtree street exit . turn left
at the second light onto west peachtree street . turn left at the first
light onto north avenue . travel west on north avenue and follow the signs
to the " center for the arts " . these signs will ask you to turn right onto
tech parkway which is the second traffic light along the gt campus , then
turn right at the first light , and then you are forced to turn either
right or left onto ferst drive . now go to the parking directions section
below .
by car , if you are entering atlanta while traveling south on i - 75 or
i - 85 :
i - 75 and i - 85 merge in atlanta to form i - 75 / 85 . exit the expressway at
exit 100 which is the north avenue exit . turn right at the top of the
ramp onto north avenue . travel west on north avenue and follow the signs to
the " center for the arts . " these signs will ask you to turn right onto tech
parkway which is the second traffic light along the gt campus , then turn
right at the first light , and then you are forced to turn either right or
left onto ferst drive . now go to the parking directions section below .
parking directions :
turn right onto ferst street , then turn left into the student center
driveway which is the second driveway on your left . there is a fee of $ 4 .
walk north past the instructional center to the manufacturing research
center .
for further information , please contact
professor robert kertz
by email at kertz @ math . gatech , edu ,
by fax at 404 - 894 - 4409 ,
by phone at 404 - 894 - 4311 or
by regular mail at
professor robert kertz
school of mathematics
georgia institute of technology
atlanta , ga 30332 - 0160 .
* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
biographies of speakers
steven l . allen
managing director , market risk management for derivatives
chase manhattan bank , new york
steve allen is a managing director in the market risk management group of
the chase manhattan bank , heading the derivatives product team . he began
his career in 1967 with chase , where his assignments included deputy director
of management science and manager of modeling and systems for the asset -
liability committee . from 1981 through 1991 , he was director of research for
chase ' s trading activities , in charge of the development of models and
analytics . his risk management career began in 1991 with the north american
division of union bank of switzerland , where he was market risk manager for
fixed income products . he took his current position in 1995 with chemical
bank , rejoining chase by benefit of merger .
steve studied mathematics as an undergraduate at columbia college and as a
graduate student at new york university ' s courant institute . he currently
teaches risk management in the masters program in mathematics in finance at
courant . he is co - author of " valuing fixed income investments and derivative
securities " .
* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
ron s . dembo
president and chief executive officer
algorithmics , inc .
toronto
ron dembo is president and chief executive officer of algorithmics , inc . ,
a leading provider of innovative enterprise - wide financial risk management
software , which he founded in 1989 . before founding algorithmics ,
he created and managed a group at goldman sachs responsible for
fixed income optimization modeling . prior to that , he held several
positions in academia . from 1976 to 1986 , he served as an assistant and
associate professor of operations research in computer science at
yale university , and as a visiting professor for operations research at
the massachusetts institute of technology .
dr . dembo obtained a ph . d . in operations research from the university of
waterloo , ontario ( 1975 ) . he has written and published over 50 technical
papers on finance and mathematical optimization and holds two patents
for portfolio replication . his latest book on risk , " seeing tomorrow :
weighing financial risk in everyday life , which he co - authored with
andrew freeman , was published in may 1998 by wiley in the u . s . in october
of 1998 , dr . dembo was honored with ernst model review ; and
price verification .
* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
billy thornton
director of quantitative research
invesco capital management
1360 peachtree street
atlanta , ga 30309
billy thornton is a partner at invesco and director in the
quantitative research group .
billy began his career in 1979 as a management consultant at
andersen consulting , before joining bellsouth as a regulatory
economic analyst in 1981 . billy next moved into academia as a
finance professor teaching corporate finance for the undergraduate ,
graduate and executive programs at goizueta school of business ,
emory university . while a professor at emory , he spent a year as
a visiting scholar at the federal reserve bank of atlanta researching
special projects . continuing to teach corporate finance , billy joined
clark atlanta university in 1995 . during this time , he also worked as
a consultant with watson wyatt worldwide performing asset allocation
consulting , and executive education and training .
billy joined invesco in 1998 to head invesco ' s department of quantitative
research . his team of analysts performs statistical modeling , researches
investment strategies , and sets risk management controls .
billy earned a b . s . in mathematics from clark atlanta university in 1977
and an m . s . in statistics from carnegie - mellon university in 1979 . he
graduated from harvard university , earning a ph . d in financial economics
in 1989 jointly from the harvard business school and harvard department
of economics , and also receiving his m . s . in business economics in 1987 .
billy was a member of both leadership atlanta , class of 1994 , and
leadership georgia , class of 1996 .
