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NYSE Liffe and the Foundation organised a special conference to mark the 25th anniversary of the first options exchange in Europe.
Prof. E. Derman
'Laughter in the Dark: The problem of Volatility Smile'
Emanuel Ferman is the former head of the quantitative strategies group of Goldman Sachs.
Mr J. Dobber
'From the first options exchange in Europe to a leading derivatives exchange in the world.'
Jan Dobber is Partner and Director of Optiver, a leading international market maker and trading company.
Dr. F. Jamshidian
'Applications of the Black-Scholes formula to Credit Default Swaptions'
Dr Farshid Jamshidian is a quantitative research co-ordinator at NIB Capital Bank, specialising in the development of derivatives valuation models for customised marketing and trading purposes.
Prof. A. C. F. Vorst
'Option pricing and dividends'
Ton Vorst is global head of modelling and product analysis at ABN-AMRO bank in Amsterdam and part-time professor at Erasmus University in Rotterdam.