2023 CISDM Conference: Black-Merton-Scholes Option Pricing: A 50-year Celebration and Looking Ahead

Fall 2023 CISDM Conference
Black-Merton-Scholes Option Pricing: A 50-year Celebration and Looking Ahead

We are delighted to share with you that the Center for International Securities and Derivative Markets (CISDM) is hosting a 1-day worldwide hybrid Zoom/offline conference on Friday, November 3, 2023, from 9 a.m. to 5 p.m., EDT, to celebrate the 50th anniversary year of the Black-Merton-Scholes option pricing. 

Myron Scholes will give the keynote speech at 2 p.m., EDT.  Many finance luminaries including Emanuel Derman, Robert Jarrow, John Hull, Douglas Breeden, Darrell Duffie, and George Constantinides will also give distinguished lectures.  

The event will be broadcast live through a Zoom webinar. We hope you can save the date and join this once-in-a-lifetime worldwide celebration of Black-Merton-Scholes Option pricing.  

While registration for this event is free, we encourage you to register early to be a part of the Zoom webinar, which will be limited to 1,000 people. This will allow you to participate in eight short Q & A sessions with all of the distinguished speakers. 

The speeches, papers and proceedings of this conference will be published in a special issue of the Journal of Alternative Investments, co-edited by Douglas Breeden, John Hull, and Sanjay Nawalkha.

Event Schedule

9:00 a.m. to 9:45 a.m.

Reflections on Fischer  

Emanuel Derman, Professor of Practice Emeritus, Financial Engineering Program, Columbia University   

9:45 a.m. to 10:45 a.m.

Arbitrage Pricing Theory 50 years after Black-Merton-Scholes  

Robert Jarrow, Ronald P. and Susan E. Lynch Professor of Investment Management, Cornell University  

10:45 a.m. to 11:45 a.m.

Hedging Barrier Options Using Reinforcement Learning 

John Hull, Maple Financial Professor of Derivatives and Risk Management, and Academic Director of the Financial Innovation Hub at Rotman, University of Toronto  

11:45 a.m. to 12:00 p.m.

Break   

12:00 p.m. to 12:45 p.m. (Online Lunch)

Stock Market Insurance Prices, B-L Skew, and the Equity Risk Premium 

Doug Breeden, William W. Priest Professor of Finance and former Dean of Duke University’s Fuqua School of Business, Duke University  

12:45 p.m. to 1 p.m.

Break   

1:00 p.m. to 2:00 p.m.

Dealer Capacity and US Treasury Market Functionality 

Darrell Duffie, Adams Distinguished Professor of Management and Professor of Finance, Stanford University   

2:00 p.m. to 3:00 p.m. (Keynote Speech)

Black-Scholes, Merton Option Technology and its Applications: More to Come 

Myron Scholes, Frank E. Buck Professor of Finance, Emeritus, Stanford University, and 1997 Nobel Laureate in Economic Sciences.  

3:00 p.m. to 4:00 p.m.

The Equivalent Expectation Measures Theory: Computing Risk and Returns of Contingent Claim Portfolios 

Sanjay Nawalkha, Professor of Finance, University of Massachusetts, Amherst.   

4:00 p.m. to 5:00 p.m.

Black-Merton-Scholes Option Pricing: A 50-year Celebration—Looking Ahead  

George Constantinides, Leo Melamed Professor of Finance, University of Chicago.