Cultural Events
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Friday morning has been set aside
to allow conference attendees
to enjoy local cultural events and excursions. Information
may be found at
Cultural Events.
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Afternoon Program
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Session 1
Conference Hall: Minos
Chair: Stanley Pliska
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| 4:30-6:00 pm |
Option Price Comparisons in a Jump-Diffusion Model
David Hobson
(Vicky Henderson)
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Coherent Risk Minimization of Derivatives in Multiperiod Models
Berend Roorda
(Jacob Engwerda, Hans Schumacher)
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Closed Formulae for Super-Replication Prices with Discrete Time
Laurence Carassus
(Emmanuel Gobet, Emmanuel Temam)
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| 6:00-6:15 pm |
Break
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| 6:15-7:45 pm |
VaR Approximation
Ziyu Zheng
(Denis Talay)
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Efficient hedging in incomplete markets under model uncertainty
Michael Kirch
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A Simple Theory of Asset Pricing Under Model Uncertainty
Tan Wang
(Leonid Kogan)
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Session 2
Conference Hall: Lida
Chair: Tom Vorst
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| 4:30-6:00 pm |
A Rating-based Model for Credit Derivatives
Raphael Douady
(Monique Jeanblanc)
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The Laplace transform approach to valuing exotic options: the case of the Asian option
Michael Schroeder
(Peter Carr)
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Pricing Asian Options in a Semimartingale Model
Mingxin Xu
(Jan Vecer)
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| 6:00-6:15 pm |
Break
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| 6:15-7:45 pm |
Hedging American call options with insufficient initial funds
Shlomo Levental
(Anatolli V. Skorohod)
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Some optimal stopping problems with non-trivial boundaries for pricing exotic options
Xin Guo
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Heston's Stochastic Volatility Model Applied to Foreign Exchange Options
Uwe Wystup
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Session 3
Conference Hall: Apollo
Chair: Lane Hughston
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| 4:30-6:00 pm |
Dynamics of implied volatility surfaces: an empirical study.
Rama Cont
(Jose da Fonseca)
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Pricing of Implied Volatility Derivatives: a Risk Neutral Model for Market Implied Volatility
Emanuele Amerio
(Gianluca Fusai, Antonio Vulcano)
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Risk Based Valuation of CDO structures
Ludger Overbecjk
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| 6:00-6:15 pm |
Break
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| 6:15-7:45 pm |
Simulating the Evolution of the Implied Distribution
Stewart Hodges
(George Skiadopoulos)
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Implied Volatility Smiles
Jérôme Busca
(Henri Berestycki, Rama Cont, Igor Florent)
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Stochastic models for implied volatility surfaces
Valdo Durrleman
(Rama Cont)
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Session 4
Conference Hall: Ariadne
Chair: Tomas Bjork
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| 4:30-6:00 pm |
Bond Market Clearing
Oldrich Alfons Vasicek
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Endogenous interest rate dynamics in asset markets
John Schoenmakers
(Oliver Reiß, Martin Schweizer)
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Topologically Pseudo-complete System of Bond Price Processes, and Application to the LIBOR Market Model
Takashi Yasuoka
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| 6:00-6:15 pm |
Break
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| 6:15-7:45 pm |
Pricing and Hedging in the Swaption Market
Peter Ritchken
(Rong Fan, Anurag Gupta)
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A market model for illiquid bond options consistent with the swaption smile
Stefano Galluccio
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Efficient HJM Approximations of LIBOR Market Models
Dunstan Marris
(Gerald Salkin, Nicos Christofides, Allan Lane)
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Session 5
Conference Hall: Evropi
Chair: Wolfgang Runggaldier
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| 4:30-6:00 pm |
A quantization algorithm for multidimensional stochastic control problems with applications to finance
Huyen Pham
(Gilles Pages)
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Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes
Marcel Rindisbacher
(Jerome Detemple, Rene Garcia)
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Monte Carlo Euler approximation of HJM term structure financial models
Raul Tempone
(Georgios E. Zouraris, Thomas Björk, Anders Szepessy)
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| 6:00-6:15 pm |
Break
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| 6:15-7:45 pm |
On the Malliavin approach to the computation of conditional expectations
Nizar Touzi
(Bruno Bouchard)
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Monte-Carlo approximation of minimum entropy measures
Laurent (Anh) Nguyen
(Benjamin Jourdain)
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On the Error in the Monte Carlo Pricing of Some Familiar European Path-Dependent Options
Per Hörfelt
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Session 6
Conference Hall: Marika Capsis
Chair: David Heath
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| 4:30-6:00 pm |
Making Markov Martingales Meet Marginals: With Explicit Constructions
Dilip Madan
(Marc Yor)
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Weighted local time for fractional Brownian motion and applications to finance
Bernt Øksendal
(Yaozhong Hu, Donna Mary Salopek)
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A General Fractional White Noise Theory and Applications to Finance
John van der Hoek
(Robert J. Elliott)
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| 6:00-6:15 pm |
Break
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| 6:15-7:45 pm |
Affine Processes and Applications in Finance
Damir Filipovic
(Darrell Duffie, Walter Schachermayer)
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Stochastic targets with mixed diffusion processes
Bruno Bouchard
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Improper Stochastic Integrals in the Fundamental Theorems of Asset Pricing
Alexander Cherny
(Albert Shiryaev)
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