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************************************************************************* GEORGIA INSTITUTE OF TECHNOLOGY SYMPOSIUM ON QUANTITATIVE AND COMPUTATIONAL FINANCE Friday, April 7th, 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 http://www.marc.gatech.edu/directions.html 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 & Young's Ontario Entrepreneur of the Year Award for Financial Services for the efforts in developing Algorithmics into one of the world's premier risk management companies. He also received a special citation at the National Entrepreneur of the Year Award for Knowledge Commercialization. ******************************* Alexander Eydeland Vice President, Head of Research Southern Company Energy Marketing L.P. Atlanta Alexander Eydeland is Vice President and Head of Research at Southern Company Energy Marketing. He is responsible for the development of analytical tools used in pricing, hedging and structuring energy derivative products and in managing energy assets. Prior to this he was an Associate Professor of mathematics at University of Massachusetts, Amherst, and then occupied various positions at research, trading and structuring departments at First Boston Corp., Lehman Brothers Inc., and Fuji Capital Markets Corp. He also holds a Ph.D. in Mathematics from Courant Institute of Mathematical Sciences. ******************************* Walter J. Muller III Senior Vice President Quantitative Finance Bank of America Atlanta Walter Muller is head of the Quantitative Finance Department at Bank of America. He has a Ph.D. from Massachusetts Institute of Technology in Mathematical Economics and has over 15 years experience in the marketplace. His group, Quantitative Finance, has responsibilities in Corporate Treasury, Risk Management, and Mortgage Servicing. These activities require model development for valuation, hedging, and risk aggregation; 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. *********************************************************************
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