JSM 2004 Online Program

JSM Activity #CE_19C

This is the preliminary program for the 2004 Joint Statistical Meetings in Toronto, Canada. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2004); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

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Legend: = Applied Session, = Theme Session, = Presenter FRY = Fairmont Royal York, ICH = InterContinental Hotel, TCC = Metro Toronto Convention Center		Add To My Program
CE_19C	Tue, 8/10/04, 8:00 AM - 12:00 PM	FRY-Alberta
Modeling Financial Derivatives for the Management of Risk (1/2 Day Course) - Continuing Education - Course
ASA, Section on Risk Analysis
Instructor(s): Sean Chen, Fordham University
This half-day course introduces basic stochastic models for financial derivatives such as options and futures, which are important instruments in risk management, and the statistical issues involved in the implementation of these models. The story of financial derivatives is told from two perspectives, pricing and trading, which are balanced through Arbitrage Pricing Theory. The course combines theoretical and practical aspects of option pricing and trading, using real world examples for illustration. Statistical issues such as model diagnosis, volatility estimation, and computing/sampling methods are discussed. Prerequisite for the course is basic knowledge of probability theory, including mean, variance, conditional probability, normal distribution, binomial distribution.