Leading thinker on derivatives headlines CU-sponsored conference in NYC

By Linda Myers

The leading North American conference on derivative financial markets takes place in New York City's financial hub this weekend, April 25 and 26. The opening speaker is Stephen Ross, the inventor of arbitrage pricing theory (APT) and other findings that have helped change the way people think about investing. One Nobel laureate in economics said of Ross: "Listen carefully. Everything he says is like gold."

Ross' latest ideas and other empirical results in futures, options, new forms of pricing models and risk management will be shared at the 13th Annual Conference on Derivatives. It is sponsored by Cornell's Theory Center and Johnson Graduate School of Management and The Mathworks, and will take place at the New York Information Technology Center, 55 Broad St., 4th floor.

For information on the agenda, see this Web site: http://www.ctc-manhattan.com/13th-derivatives.

"Derivatives play a central role in the management of risks in all areas of investment and finance," said Peter Mansfield, senior research associate at the Cornell Theory Center. "Industry practitioners often face challenging problems that, in many cases, are solvable by new and emerging techniques developed by academics, and many academics are interested in understanding the real problems facing industry. This two-way exchange of ideas ensures that the conference continues to be one of the very best forums for discussing derivatives and their application to a wide range of problems across all areas of investment and finance.

The conference leads off Friday, April 25, at 8:30 a.m. with a talk by Ross, the Franco Modigliani Professor of Finance and Economics at the Massachusetts Institute of Technology, titled "Compensation, Incentives and the Duality of Risk Aversion and Riskiness." Ross is best-known for his groundbreaking APT, which showed that stock returns are related to a number of macroeconomic factors and not just to the overall volatility of the market. He is credited by colleagues with changing the way Wall Street thinks about academia. In addition to his academic duties, he oversees a portfolio of about $3 billion worldwide as co-chair of Roll and Ross Asset Management Corp., a quantitative financial management firm he co-founded.

Ross' talk begins session one of the conference's six sessions, which each have three presenters who are practitioners and scholars from around the world in the field of derivative markets.

Thomas Russo, vice chairman and chief legal officer of Lehman Brothers, is the keynote speaker at the Friday evening dinner, which starts at 6 p.m. Closing remarks will be Saturday, April 26, at noon by Stuart Turnbull of Lehman Brothers.