SCIENTIFIC PROGRAM

Saturday, June 15, 2002

Morning Program
Plenary Addresses Conference Hall: Marika Capsis
8:30-9:30 am	Why Distinguishing Jumps from Volatility is Difficult Yacine Ait-Sahalia Chair: Eckhard Platen
9:45-10:45 am	Optimal security design and diversification in financial markets with non-tradeable risks Nicole El Karoui (Pauline Barrieu) Chair: Monique Jeanblanc
10:45-11:15 am	Break
11:15-12:15 pm	The Future of Energy Markets Vince Kaminski Chair: Dilip Madan
12:30-1:30 pm	A valuation algorithm for incomplete models Marek Musiela (Thaleia Zariphopoulou) Chair: Dieter Sonderman
Afternoon Program
4:00-5:00 pm	Poster Presentations and Social Hour Minos Conference Hall and Lida Terrace
Session 1 Conference Hall: Minos Chair: Dimitrios Konstantinides
5:00-6:30 pm	Boundaries of Predictability: Noisy Predictive Regressions Rossen Valkanov (Walter Torous)
	Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions Alexei V. Egorov (Haitao Li, Yuewu Xu)
	Bayesian model averaging when models are specified by moment conditions Eldar Nigmatullin
6:30-6:45 pm	Break
6:45-8:15 pm	Nonparametric tests for positive quadrant dependence Olivier Scaillet (Michel Denuit)
	Smooth transition regression models in UK stock returns Nektarios Aslanidis (Denise Osborn, Marianne Sensier)
	Stability tests for alpha and beta coefficients over bull and bear market conditions: evidence from the greek stock market John Chalikias (Anna Skentzou)
Session 2 Conference Hall: Lida Chair: Cornelis A. Los
5:00-6:30 pm	Asset and Liability Management for Insurance Policies with Guarantees Stavros Zenios (Andrea Consiglio, David Saunders)
	Matching and the estimated impact of interlisting Ryan Davies
	Robbins-Monro Algorithm, Variance Reduction Technique Bouhari Arouna
6:30-6:45 pm	Break
6:45-8:15 pm	Option-Implied Risk Aversion Estimates: Robustness and Patterns Robert Bliss (Nikolaos Panigirtzoglou)
	Corporate Financial Policies and Performance Around Currency Crises Vicente Pons (Arturo Bris, Yrjo Koskinen)
	Differential Geometry of Equivalent Martingale Measures in an Incomplete Market Yuan Gao (Kian Guan Lim, Kah Hwa Ng)
Session 3 Conference Hall: Apollo Chair: Stewart Hodges
5:00-6:30 pm	Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment until Bankruptcy Peter Lakner (Monique Jeanblanc)
	Choice of fixed or floating interest rate debt Svein-Arne Persson
	State Tameness: A New Approach for Credit Constraints Jaime Londoño
6:30-6:45 pm	Break
6:45-8:15 pm	Heavy Tails and Long Range Dependence in Subordinated Models Carlo Marinelli (Svetlozar Rachev)
	Properties of options on several underlying assets Johan Tysk (Svante Janson)
	Arbitrage Pricing Theory and Risk-neutral Measures Miklos Rasonyi
Session 4 Conference Hall: Ariadne Chair: Nizar Touzi
5:00-6:30 pm	Quadratic Volatility Smiles Haim Reisman
	A New Approach to Modeling The Dynamics of Implied Distributions: Evidence and Theory from the S&P 500 Options George Skiadopoulos (Nikolaos Panigirtzoglou)
	Summary Statistics of Implied Probability Density Functions Nikolaos Panigirtzoglou (Damien Lynch)
6:30-6:45 pm	Break
6:45-8:15 pm	Pricing and Hedging High-Dimensional American Options --- an Irregular Grid Approach Steffan Berridge (Hans Schumacher)
	Multivariate Extremes at Work for Portfolio Risk Measurement Eric Bouyé
	A mean-reverting stochastic volatility option-pricing model with an analytic solution Henrik Andersson
Session 5 Conference Hall: Evropi Chair: Peter Ritchken
5:00-6:30 pm	Forward Price Dynamics and Option Designs for Network Commodities Chris Kenyon (Giorgos Cheliotis)
	Modeling Growth Stocks via Size Distribution Samuel Kou (Steve Kou)
	Option Contracts in Supply Chains Apostolos Burnetas (Peter Ritchken)
6:30-6:45 pm	Break
6:45-8:15 pm	The Price of Power Craig Pirrong (Martin Jermakyan)
	A Class of Marked Point Processes for Modelling Electricity Prices Andrea Roncoroni (Hélyette Geman)
	Mean-Variance Hedging under Additional Market Information Frank Thierbach
Session 6 Conference Hall: Marika Capsis Chair: Tomasz Bielecki
5:00-6:30 pm	Markovian models for counterparty default risk and other default correlation products Mark Davis
	Copula-Dependent Default Risk in Intensity Models Philipp Schönbucher (Dirk Schubert)
	Modelling Dependent Defaults Rüdiger Frey (Alexander McNeil)
6:30-6:45 pm	Break
6:45-8:15 pm	The Defaultable Lévy Term Structure: Ratings and Restructuring Ernst Eberlein (Fehmi Özkan)
	Dependent Defaults and Credit Migrations Marek Rutkowski (Tomasz Bielecki)
	Modeling Credit Risk with Partial Information Yildiray Yildirim (Umut Cetin, Robert Jarrow, Philip Protter)
Social Event
9:00 pm	Gala Dinner: "Cretan Night" Souda Garden