Saturday,   June 15, 2002

4:00-5:00 pm    Minos Conference Hall and Lida Terrace

Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option
Anna Rita Bacinello

The Tunisian stock market responses to macroeconomic announcements
Nejla Bergaoui (Abdelwahed Trabelsi)

On optimization of dividend flow for a company with positive liquidation value
Elena Boguslavskaya

Implied Monte Carlo
Oliver Brockhaus

Production Planning and Inventory Investment for a Monopolistic Firm
Marie Chazal (Elyès Jouini)

Optimal Design of the Guarantee for Defined Contribution Funds
Griselda Deelstra (Martino Grasselli, Pierre-François Koehl)

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)

Detecting and modeling tail dependence
Gianna Figà-Talamanca (Fabio Bellini)

The effect of nonnormality on the market model in the class of elliptical distributions
Jiro Hodoshima

Estimating and interpreting zero coupon and forward rates: Australia, 1992 - 2001
Petko Kalev (Brett Inder)

Two-sided Estimates for Ruin Probability under Constant Interest Force: by Reduction from the Non-interest Case
Dimitrios Konstantinides (Qi He Tang, Gurami Tsitsiashvili)

Extremes of Multivariate Stationary Diffusions in Finance: A Data Analysis
Andreas Kunz

Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates
Haitao Li (Yongmiao Hong)

Optimal risk control under excess of loss reinsurance
Mnif Mohamed (Agnes Sulem)

Everything is not lost ... The Model Control Variate Methodology
Adil Reghai (Bernard Bergeron)

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)

Loglinear stock valuation based on accounting information
Rex Thompson (Susan Riffe, Randy Beatty)

Modelling Multivariate Returns
Reha Tutuncu (Stefano Herzel, Catalin Starica)

Some Optimal Stopping Problems Concerning Maximum Processes
Mikhail Urusov

Estimating long range dependence: finite sample properties and confidence intervals
Rafal Weron