Robert F. Engle, who heads the Financial Econometrics area within the Salomon Center, and a 2003 Nobel Laureate in Economics, is scheduled to speak. Dr. Engle received the Nobel Prize for his scholarship on volatility and development of the ARCH model, which is widely used to measure risk. He addressed random fluctuations over time, or volatility, as a significant force that impacts the value and risk of financial instruments.
The symposium's keynote address will be made by Stephen A. Ross, the Franco Modigliani Professor of Finance and Economics at the Massachusetts Institute of Technology. Dr. Ross invented the arbitrage pricing theory, the theory of agency, and co-invented the risk-neutral pricing and the binomial model for derivatives pricing.
Until recently, options trading and exchanges attracted modest academic attention. The advent of electronic options trading as exemplified by ISE, and the ability to electronically capture transactional data needed to create financial models to analyze various situations facing options trading, has increased academia's interest in equity derivatives. It is hoped the NYU Stern-ISE-IAFE Symposium can serve the same role in the US options market as similar conferences serve in addressing major questions facing the equity and fixed income markets.
Additional information and a symposium agenda are available at: http://www.stern.nyu.edu/salomon/NYU-ISE_brochure5.pdf
