Deadline for submissions: September, 30 2002.
Only PDF files will be accepted. To submit a file for the Electronic Conference Proceedings: Click on the title below for which you are submitting a paper. The papers are in alphabetical order by (original) presenter. |
Stochastic Hyperbolic Dynamics for Infinite-dimensional Forward Rates and Option Pricing
Shin Ichi Aihara, Arunabha Bagchi
Why Distinguishing Jumps from Volatility is Difficult
Yacine Ait-Sahalia
Equilibrium Option Pricing with Illiquid Underlying: Monopoly and Competition Between Market-Makers
Joăo Amaro de Matos, Paula Antăo
Pricing of Implied Volatility Derivatives: a Risk Neutral Model for Market Implied Volatility
Emanuele Amerio, Gianluca Fusai, Antonio Vulcano
Hedging Errors and Mispecified Volatility
Iliana Anagnou, Stewart Hodges
A mean-reverting stochastic volatility option-pricing model with an analytic solution
Henrik Andersson
Optimal Stopping Problems and Investment Models
Vadim Arkin, Alexander Slastnikov
Robbins-Monro Algorithm, Variance Reduction Technique
Bouhari Arouna
Smooth transition regression models in UK stock returns
Nektarios Aslanidis, Denise Osborn, Marianne Sensier
Optimal Portfolios with Monitoring, Private Benefits of Control, and Budget Constraints
Vladimir Atanasov
Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option
Anna Rita Bacinello
Optimal consumption rules in the presence of durable and perishable goods
Peter Bank, Nicole El Karoui, Frank Riedel
Discrete and continuous time approximations of the optimal exercise boundary of American options
Antonella Basso, Martina Nardon, Paolo Pianca
Spotting Special Spillovers
Dirk Baur, Robert Jung
Utility-Based Hedging and Valuation - a Constructive Approach via Reaction-Diffusion Systems
Dirk Becherer
Predicting Default Probabilities and Implementing Trading Strategies for Emerging Markets Bond Portfolios
Andrea Berardi, Stefania Ciraolo, Michele Trova
The Tunisian stock market responses to macroeconomic announcements
Nejla Bergaoui, Abdelwahed Trabelsi
Two-Factor Convertible Bonds Valuation Using the Method of Characteristics / Finite Elements
Ana Bermudez, John Hatgioannides, Giovanni Barone-Adesi
Pricing and Hedging High-Dimensional American Options --- an Irregular Grid Approach
Steffan Berridge, Hans Schumacher
Minimal variance hedging for fractional Brownian motion
Francesca Biagini, Bernt Řksendal
Finite Dimensional Markovian Realizations for Stochastic Volatility Forward Rate Models
Tomas Björk, Camilla Landen, Lars Svensson
Option-Implied Risk Aversion Estimates: Robustness and Patterns
Robert Bliss, Nikolaos Panigirtzoglou
On optimization of dividend flow for a company with positive liquidation value
Elena Boguslavskaya
Stochastic targets with mixed diffusion processes
Bruno Bouchard
Multivariate Extremes at Work for Portfolio Risk Measurement
Eric Bouyé
LIBOR-dynamics calibration to market volatilites and swap-rate distributional distance from the lognormal family
Damiano Brigo, Fabio Mercurio, Francesco Rapisarda
Implied Monte Carlo
Oliver Brockhaus
Option Models and Trading Information
Andrea Buraschi, Alexei Jiltsov
Option Contracts in Supply Chains
Apostolos Burnetas, Peter Ritchken
Implied Volatility Smiles
Jérôme Busca, Henri Berestycki, Rama Cont, Igor Florent
Executive Stock Options with Effort Disutility and Choice of Volatility
Abel Cadenillas, Jaksa Cvitanic, Fernando Zapatero
Closed Formulae for Super-Replication Prices with Discrete Time
Laurence Carassus, Emmanuel Gobet, Emmanuel Temam
Predictability and the Dynamics of Long Forward Rates
Andrew Carverhill
Mean-Variance Hedging with Proportional Transaction Costs
Ales Cerny
Stability tests for alpha and beta coefficients over bull and bear market conditions: evidence from the greek stock market
John Chalikias, Anna Skentzou
Production Planning and Inventory Investment for a Monopolistic Firm
Marie Chazal, Elyčs Jouini
Improper Stochastic Integrals in the Fundamental Theorems of Asset Pricing
Alexander Cherny, Albert Shiryaev
Feasible Volatility Smiles and their Implied Probability Distributions for Asset Prices
Iain Clark
Dynamics of implied volatility surfaces: an empirical study
Rama Cont, Jose da Fonseca
A Combinatorial Approach for Pricing Parisian Options
Massimo Costabile
Asset Pricing in a Neoclassical Model with Limited Participation
Qiang Dai
Matching and the estimated impact of interlisting
Ryan Davies
Markovian models for counterparty default risk and other default correlation products
Mark Davis
A note on completeness in "large financial markets"
Marzia De Donno
An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios
Enrico De Giorgi
Optimal Design of the Guarantee for Defined Contribution Funds
Griselda Deelstra, Martino Grasselli, Pierre-François Koehl
Ownership Dynamics and Asset Pricing with a "Large Shareholder"
Peter DeMarzo, Branko Urosevic
CAPM Empirical Problems and the Distribution of Returns
Francois Desmoulins-Lebeault
Options' Implied PDFs: Addressing Theoretical Issues with a New Non-Parametric method and Empirical Data
George Dikos, Daniel Giamouridis
A Rating-based Model for Credit Derivatives
Raphael Douady, Monique Jeanblanc
Stochastic models for implied volatility surfaces
Valdo Durrleman, Rama Cont
The Defaultable Lévy Term Structure: Ratings and Restructuring
Ernst Eberlein, Fehmi Özkan
Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions
Alexei V. Egorov, Haitao Li, Yuewu Xu
Properties of American Option Prices
Erik Ekström
Optimal security design and diversification in financial markets with non-tradeable risks
Nicole El Karoui, Pauline Barrieu
A Markov chain approximation scheme for an investment-consumption problem with intertemporal substitution and Lévy driven stock prices
Said Elghanjaoui, Kenneth Hvistendahl Karlsen
Learning under Ambiguity
Larry Epstein, Martin Schneider
Detecting and modeling tail dependence
Gianna Figŕ-Talamanca, Fabio Bellini
Affine Processes and Applications in Finance
Damir Filipovic, Darrell Duffie, Walter Schachermayer
Valuing Exotic Derivatives with Jump Diffusions: The Case of Basket Options
Dimitris Flamouris, Daniel Giamouridis
Modelling Dependent Defaults
Rüdiger Frey, Alexander McNeil
Optimal solutions to utility maximization and to the dual problem
Marco Frittelli
An Examination of Heterogeneous Beliefs with a Short Sale Constraint
Michael Gallmeyer, Burton Hollifield
A market model for illiquid bond options consistent with the swaption smile
Stefano Galluccio
Adaptive Binomial Model for Derivative Prices
Bin Gao
Differential Geometry of Equivalent Martingale Measures in an Incomplete Market
Yuan Gao, Kian Guan Lim, Kah Hwa Ng
How can asset allocation benefit from a complex piece of information ?
Nicolas Gaussel, Fabrice Baudoin
On the relation between approximation rates of stochastic integrals and properties of its integrands
Stefan Geiss, Christel Geiss
On Bachelier's predecessors
Hans-Joachim Girlich
Optimal strategies for a stable class of utility functions in a multi-factor framework
Martino Grasselli, Griselda Deelstra, Pierre-François Koehl
Some optimal stopping problems with non-trivial boundaries for pricing exotic options
Xin Guo
Contingent Claim Pricing Using Probability Distortion Operators: Methods from Insurance Risk Pricing and their Relationship to Financial Theory
Mahmoud Hamada, Michael Sherris
Market equilibrium with coherent measures of risk
David Heath, Hyejin Ku
Stock Based Compensation: Firm-specific risk, Efficiency and Incentives
Vicky Henderson
On The Equivalence of Floating and Fixed-strike Asian Options
Vicky Henderson, Rafal Wojakowski
On Pricing Kernels and Dynamic Portfolios
Philippe Henrotte
An Optimal Consumption Problem for Factor Dependent Models
Daniel Hernandez-Hernandez, Wendell H. Fleming
Initial Curves for Interest Rate Models: the Importance of Consistency
Stefano Herzel, Flavio Angelini
Option Price Comparisons in a Jump-Diffusion Model
David Hobson, Vicky Henderson
Default Risk with Managerial Control
James Hodder, Thaleia Zariphopoulou
Simulating the Evolution of the Implied Distribution
Stewart Hodges, George Skiadopoulos
The effect of nonnormality on the market model in the class of elliptical distributions
Jiro Hodoshima
The portfolio selection problem via Hellinger processes
Tom Hurd, Tahir Choulli
On the Error in the Monte Carlo Pricing of Some Familiar European Path-Dependent Options
Per Hörfelt
Implied Market Frictions and Term Structure of Interest Rates: The MinMax Approach.
Ioulia Ioffe, Eliezer Prisman
Robust portfolio selection problems
Garud Iyengar, Donald Goldfarb
The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory
Jens Jackwerth, David P. Brown
The Importance of the Loss Function in Option Pricing
Kris Jacobs, Peter Christoffersen
Optimization with random horizon
Monique Jeanblanc, Nicole El Karoui, Shaojuan Huang
On valuation before and after tax in "no arbitrage" models - tax neutrality in the discrete time model
Bjarne Astrup Jensen
Aggregation of heterogeneous beliefs and adjusted CCAPM
Elyčs Jouini, Clotilde Napp
To a theory of financial markets with friction
Yuri Kabanov , Christophe Stricker
The OAS Approach and the Martingale Measure for Mortgage Prepayment
Yusho Kagraoka
Estimating and interpreting zero coupon and forward rates: Australia, 1992 - 2001
Petko Kalev, Brett Inder
Risk management of non-maturing liabilities
Michael Kalkbrener, Jan Willing
Optimal portfolios for logarithmic utility
Jan Kallsen, Thomas Goll
Coupled Lattice Efficiency Analysis of Mortgage-backed Securities
Andrew Kalotay, Deane Yang
The Future of Energy Markets
Vince Kaminski
Mutual Fund Portfolio Choice in the Presence of Dynamic Flows
Ron Kaniel, Julien Hugonnier
Probabilistic Aspects of Portfolio Analysis and Optimization
Ioannis Karatzas, Robert Fernholz
Black-Scholes formula for security markets with delayed response
Yuriy Kazmerchuk, Anatoly Swishchuk, Jianhong Wu
Forward Price Dynamics and Option Designs for Network Commodities
Chris Kenyon, Giorgos Cheliotis
Model Risk and Regulatory Capital
Jeroen Kerkhof, Bertrand Melenberg, Hans Schumacher
Efficient hedging in incomplete markets under model uncertainty
Michael Kirch
A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall
Irene Klein, Friedrich Hubalek, Josef Teichmann
Optimal portfolios with bounded Capital-at-Risk
Claudia Kluppelberg
Two-sided Estimates for Ruin Probability under Constant Interest Force: by Reduction from the Non-interest Case
Dimitrios Konstantinides, Qi He Tang, Gurami Tsitsiashvili
Modeling Growth Stocks via Size Distribution
Samuel Kou, Steve Kou
Default Boundary Problem
Alexander Kreinin, Ian Iscoe
Extremes of Multivariate Stationary Diffusions in Finance: A Data Analysis
Andreas Kunz
Game Contingent Claims in Incomplete Markets
Christoph Kühn
Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment until Bankruptcy
Peter Lakner, Monique Jeanblanc
Asymmetric Information and Imperfect Competition in a Continuous Time Multivariate Security Model
Guillaume Lasserre
Information neutrality in the stochastic differential utility
Ali Lazrak
Equilibrium Open Interest
Dietmar Leisen, Kenneth Judd
Hedging American call options with insufficient initial funds
Shlomo Levental, Anatolli V. Skorohod
Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates
Haitao Li, Yongmiao Hong
On the distributional distance between the LIBOR and the swap market models.
Jan Liinev, Damiano Brigo
Towards a self-consistent theory of stochastic volatility
Pierre-Louis Lions
Valuation of corporate bonds with stochastic default barrier
Chi-fai Lo, C.H. Hui, H.C. Lee
State Tameness: A New Approach for Credit Constraints
Jaime Londońo
Measuring Financial Cash Flow and Term Structure Dynamics
Cornelis A. Los
Time to Wealth Goals in Capital Accumulation
Leonard MacLean, William Ziemba, Yuming Li
Making Markov Martingales Meet Marginals: With Explicit Constructions
Dilip Madan, Marc Yor
A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium
Pascal Maenhout, Bernard Dumas
Waiting-times and returns in high-frequency financial data: an empirical study
Francesco Mainardi, Marco Raberto, Enrico Scalas
Estimation of the characteristics of jump of a general poisson-diffusion model
Cecilia Mancini
Nonlinear filtering and estimation of latent factors in short rate models
Pranab K. Mandal, Dmitri Danilov
Heavy Tails and Long Range Dependence in Subordinated Models
Carlo Marinelli, Svetlozar Rachev
Efficient HJM Approximations of LIBOR Market Models
Dunstan Marris, Gerald Salkin, Nicos Christofides, Allan Lane
Real Option Games with Incomplete Information and Spillovers
Spiros Martzoukos, Eleftherios Zacharias
Pricing the smile in a forward LIBOR market model
Fabio Mercurio, Damiano Brigo, Francesco Rapisarda
Optimal risk control under excess of loss reinsurance
Mnif Mohamed, Agnes Sulem
Change detection of stochastic volatility processes
Gábor Molnár-Sáska , Zsuzsanna Vágó, László Gerencsér
On Preferences and Arbitrage
Pierpaolo Montana
A valuation algorithm for incomplete models
Marek Musiela, Thaleia Zariphopoulou
Monte-Carlo approximation of minimum entropy measures
Laurent (Anh) Nguyen, Benjamin Jourdain
Bayesian model averaging when models are specified by moment conditions
Eldar Nigmatullin
A Jump-Diffusion Derivative Pricing Model Arising Within the Heath-Jarrow-Morton Framework
Christina Nikitopoulos, Carl Chiarella
Asset pricing using a form of evolution
Rimas Norvaisa
Microstructure and Asset Pricing
Maureen O'Hara, David Easley
Risk Based Valuation of CDO structures
Ludger Overbecjk
Optimal Supervision and Depositor Preference Laws
Henri Pagčs, Joăo Santos
Summary Statistics of Implied Probability Density Functions
Nikolaos Panigirtzoglou, Damien Lynch
Observational Equivalence of Discrete String Models and Market Models
Antoon Pelsser, Jeroen Kerkhof
Choice of fixed or floating interest rate debt
Svein-Arne Persson
Volatility forecasting performances of SVOL and AJD models for very volatile markets
Rosanna Pezzo, Maria-Cristina Uberti
A quantization algorithm for multidimensional stochastic control problems with applications to finance
Huyen Pham, Gilles Pages
The Price of Power
Craig Pirrong, Martin Jermakyan
Arbitrage in Continuous Complete Markets
Eckhard Platen
Risk sensitive portfolio optimization with transaction costs
Stanley Pliska, Tomasz Bielecki, Jean Philippe Chancelier, Agnes Sulem
Corporate Financial Policies and Performance Around Currency Crises
Vicente Pons, Arturo Bris, Yrjo Koskinen
A note on the pricing and hedging of volatility derivatives
Avraam Rafailidis, Sam Howison, Henrik Rasmussen
An Alternative Correlated Dynamics for Multivariate Option Pricing
Francesco Rapisarda, Damiano Brigo, Fabio Mercurio
Arbitrage Pricing Theory and Risk-neutral Measures
Miklos Rasonyi
Everything is not lost ... The Model Control Variate Methodology
Adil Reghai, Bernard Bergeron
Quadratic Volatility Smiles
Haim Reisman
Calibration of heavy-tailed economic time series
Zoltan Reppa, Laszlo Gerencser, Gyorgy Michaletzky
Optimal management of risks in defined-benefit pension funds
Juan Pablo Rincón-Zapatero, Ricardo Josa-Fombellida
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes
Marcel Rindisbacher, Jerome Detemple, Rene Garcia
Pricing and Hedging in the Swaption Market
Peter Ritchken, Rong Fan, Anurag Gupta
A Class of Marked Point Processes for Modelling Electricity Prices
Andrea Roncoroni, Hélyette Geman
Coherent Risk Minimization of Derivatives in Multiperiod Models
Berend Roorda, Jacob Engwerda, Hans Schumacher
Dependent Defaults and Credit Migrations
Marek Rutkowski, Tomasz Bielecki
Valuation and Optimal Exercise Time for the Banxico Put Option
Patricia Saavedra, Begońa Fernández
Firm-Level Momentum: Theory and Evidence
Jacob Sagi, Mark Seasholes
Nonparametric tests for positive quadrant dependence
Olivier Scaillet, Michel Denuit
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
Walter Schachermayer
Evolution of Portfolio Rules in Incomplete Markets
Klaus Reiner Schenk-Hoppé, Thorsten Hens
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
Erik Schloegl
Credit Risk in a Random Field Context
Thorsten Schmidt
Endogenous interest rate dynamics in asset markets
John Schoenmakers, Oliver Reiß, Martin Schweizer
Optimal Lifetime Consumption-Portfolio Strategies in Incomplete Markets under Homothetic Recursive Preferences
Mark Schroder, Costis Skiadas
The Laplace transform approach to valuing exotic options: the case of the Asian option
Michael Schroeder, Peter Carr
Copula-Dependent Default Risk in Intensity Models
Philipp Schönbucher, Dirk Schubert
Dynamic minimization of worst conditional expectation of shortfall under partial information
Jun Sekine
On the dynamical programming equation of risk sensitive control problem associated to an optimal investment model
Shuenn-Jyi Sheu, Hidehiro Kaise
A Wealth-Dependent Investment Opportunity Set: Its Effect on Optimal Portfolio Decisions
Gyoocheol Shim, Hyeng Keun Koo, Sung Sub Choi, Thaleia Zariphopoulou
The Market Prices of Risks in Fixed Income Markets
Kenneth Singleton, Qiang Dai
Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
Ronnie Sircar, Thaleia Zariphopoulou
A New Approach to Modeling The Dynamics of Implied Distributions: Evidence and Theory from the S&P 500 Options
George Skiadopoulos, Nikolaos Panigirtzoglou
The Dynamics of Implied Distributions
George Skiadopoulos, Nikolaos Panigirtzoglou
Decisionmetrics: A decision based approach to econometric modelling
Spyros Skouras
Risk Sensitive Portfolio Optimization with Completely and Partially Observed Factors
Lukasz Stettner
Exponential Utility Maximization
Christophe Stricker, Yuri Kabanov
Decision Risk Reductions for Stock Indices
Wolfgang Stummer
Option Pricing on Stock Mergers or Acquisitions
Ajay Subramanian
Environment and Finance
Wojciech Szatzschneider, Monique Jeanblanc
Causality and Cointegration in Stock Markets: The Case of Latin America
Benjamin Miranda Tabak, Eduardo Jose Aruajo Lima
Hedging using simulation: a least squares approach
Claudio Tebaldi
On the Term Structure of Interest Rates
Josef Teichmann, Damir Filipovic
Monte Carlo Euler approximation of HJM term structure financial models
Raul Tempone, Georgios E. Zouraris, Thomas Björk, Anders Szepessy
Mean-Variance Hedging under Additional Market Information
Frank Thierbach
Loglinear stock valuation based on accounting information
Rex Thompson, Susan Riffe, Randy Beatty
A new algorithm for hedging large portfolios of derivative instruments
Stathis Tompaidis
Tax Management Strategies with Multiple Risky Assets
Stathis Tompaidis, Michael Gallmeyer, Ron Kaniel
Options on Bond Futures: Isolating the Risk Premium
Robert Tompkins
On the Malliavin approach to the computation of conditional expectations
Nizar Touzi, Bruno Bouchard
First-mover advantages and the strategic exercise of real options
Andrianos Tsekrekos
Entry, exit and activation probability in a two-player real options game
Andrianos Tsekrekos, Mark Shackleton, Rafal Wojakowski
Modelling Multivariate Returns
Reha Tutuncu, Stefano Herzel, Catalin Starica
Properties of options on several underlying assets
Johan Tysk, Svante Janson
Volatility time and properties of option prices
Johan Tysk, Svante Janson
Some Optimal Stopping Problems Concerning Maximum Processes
Mikhail Urusov
Boundaries of Predictability: Noisy Predictive Regressions
Rossen Valkanov, Walter Torous
A General Fractional White Noise Theory and Applications to Finance
John van der Hoek, Robert J. Elliott
Bounds for the price of discretely sampled arithmetic Asian options
Michčle Vanmaele, Jan Dhaene, Griselda Deelstra, Jan Liinev, Marc Goovaerts
Shortfall risk minimization in the binomial model
Tiziano Vargiolu, Gino Favero
Bond Market Clearing
Oldrich Alfons Vasicek
A Simple Theory of Asset Pricing Under Model Uncertainty
Tan Wang, Leonid Kogan
Estimating long range dependence: finite sample properties and confidence intervals
Rafal Weron
Nonsophisticated traders in a competitive securities market equilibrium
Gregory A. Willard, Mark Loewenstein
Hedging non-tradeable risk with instantaneous forward contracts
Rafal Wojakowski
Pricing Jump Risk with Utility Indifference
Lixin Wu, Min Dai
Hiring and Firing Fund Managers
Sam Wylie
Heston's Stochastic Volatility Model Applied to Foreign Exchange Options
Uwe Wystup
Pricing Asian Options in a Semimartingale Model
Mingxin Xu, Jan Vecer
Topologically Pseudo-complete System of Bond Price Processes, and Application to the LIBOR Market Model
Takashi Yasuoka
Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk
Ali Bora Yigitbasioglu
Modeling Credit Risk with Partial Information
Yildiray Yildirim, Umut Cetin, Robert Jarrow, Philip Protter
Prices and Portfolio Choices in Financial Markets: Theory and Experimental Evidence
William Zame, Peter Bossaerts, Charles Plott
Utility Maximising Entropy and Thermodynamic Equilibrium
Tomasz Zastawniak, Wojciech Slomczynski
Asset and Liability Management for Insurance Policies with Guarantees
Stavros Zenios, Andrea Consiglio, David Saunders
VaR Approximation
Ziyu Zheng, Denis Talay
Capital Growth with Security
William Ziemba, Leonard MacLean, Yonggan Zhao, Rafael Sanegre
Optimal consumption from investment and random endowment in incomplete semimartingale markets
Gordan Zitkovic, Ioannis Karatzas
Weighted local time for fractional Brownian motion and applications to finance
Bernt Řksendal, Yaozhong Hu, Donna Mary Salopek