SCIENTIFIC PROGRAM

Wednesday, June 12, 2002

Morning Program
Plenary Addresses Conference Hall: Marika Capsis
8:30-8:45 am	Opening Remarks
8:45-9:45 am	Probabilistic Aspects of Portfolio Analysis and Optimization Ioannis Karatzas (Robert Fernholz) Chair: Mark Davis
10:00-11:00 am	Microstructure and Asset Pricing Maureen O'Hara (David Easley) Chair: Sudipto Bhattacharya
11:00-11:30 am	Break
11:30-12:30 pm	The Market Prices of Risks in Fixed Income Markets Kenneth Singleton (Qiang Dai) Chair: Darrell Duffie
Afternoon Program
4:00-5:00 pm	Poster Presentations and Social Hour Minos Conference Hall and Lida Terrace
Session 1 Conference Hall: Minos Chair: Martin Schweizer
5:00-6:30 pm	Optimization with random horizon Monique Jeanblanc (Nicole El Karoui, Shaojuan Huang)
	Optimal consumption rules in the presence of durable and perishable goods Peter Bank (Nicole El Karoui, Frank Riedel)
	Optimal consumption from investment and random endowment in incomplete semimartingale markets Gordan Zitkovic (Ioannis Karatzas)
6:30-6:45 pm	Break
6:45-8:15 pm	Optimal solutions to utility maximization and to the dual problem Marco Frittelli
	Optimal Lifetime Consumption-Portfolio Strategies in Incomplete Markets under Homothetic Recursive Preferences Mark Schroder (Costis Skiadas)
	Information neutrality in the stochastic differential utility Ali Lazrak
Session 2 Conference Hall: Lida Chair: Peter Lakner
5:00-6:30 pm	Evolution of Portfolio Rules in Incomplete Markets Klaus Reiner Schenk-Hoppé (Thorsten Hens)
	The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory Jens Jackwerth (David P. Brown)
	On Pricing Kernels and Dynamic Portfolios Philippe Henrotte
6:30-6:45 pm	Break
6:45-8:15 pm	Market equilibrium with coherent measures of risk David Heath (Hyejin Ku)
	Arbitrage in Continuous Complete Markets Eckhard Platen
	Equilibrium Open Interest Dietmar Leisen (Kenneth Judd)
Session 3 Conference Hall: Apollo Chair: Ernst Eberlein
5:00-6:30 pm	Valuation of corporate bonds with stochastic default barrier Chi-fai Lo (C.H. Hui, H.C. Lee)
	Two-Factor Convertible Bonds Valuation Using the Method of Characteristics / Finite Elements Ana Bermudez (John Hatgioannides, Giovanni Barone-Adesi)
	Predicting Default Probabilities and Implementing Trading Strategies for Emerging Markets Bond Portfolios Andrea Berardi (Stefania Ciraolo, Michele Trova)
6:30-6:45 pm	Break
6:45-8:15 pm	Options on Bond Futures: Isolating the Risk Premium Robert Tompkins
	LIBOR-dynamics calibration to market volatilites and swap-rate distributional distance from the lognormal family Damiano Brigo (Fabio Mercurio, Francesco Rapisarda)
	Pricing the smile in a forward LIBOR market model Fabio Mercurio (Damiano Brigo, Francesco Rapisarda)
Session 4 Conference Hall: Ariadne Chair: Andrew Carverhill
5:00-6:30 pm	Implied Market Frictions and Term Structure of Interest Rates: The MinMax Approach. Ioulia Ioffe (Eliezer Prisman)
	Observational Equivalence of Discrete String Models and Market Models Antoon Pelsser (Jeroen Kerkhof)
	Arbitrage-Free Interpolation in Models of Market Observable Interest Rates Erik Schloegl
6:30-6:45 pm	Break
6:45-8:15 pm	Adaptive Binomial Model for Derivative Prices Bin Gao
	An Alternative Correlated Dynamics for Multivariate Option Pricing Francesco Rapisarda (Damiano Brigo, Fabio Mercurio)
	Hedging using simulation: a least squares approach Claudio Tebaldi
Session 5 Conference Hall: Evropi Chair: William Ziemba
5:00-6:30 pm	Mutual Fund Portfolio Choice in the Presence of Dynamic Flows Ron Kaniel (Julien Hugonnier)
	Hiring and Firing Fund Managers Sam Wylie
	Firm-Level Momentum: Theory and Evidence Jacob Sagi (Mark Seasholes)
6:30-6:45 pm	Break
6:45-8:15 pm	Default Risk with Managerial Control James Hodder (Thaleia Zariphopoulou)
	Risk management of non-maturing liabilities Michael Kalkbrener (Jan Willing)
	Stock Based Compensation: Firm-specific risk, Efficiency and Incentives Vicky Henderson
Session 6 Conference Hall: Marika Capsis Chair: Sudipto Battacharya
5:00-6:30 pm	Ownership Dynamics and Asset Pricing with a "Large Shareholder" Peter DeMarzo (Branko Urosevic)
	A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium Pascal Maenhout (Bernard Dumas)
	Asset Pricing in a Neoclassical Model with Limited Participation Qiang Dai
6:30-6:45 pm	Break
6:45-8:15 pm	Nonsophisticated traders in a competitive securities market equilibrium Gregory A. Willard (Mark Loewenstein)
	Equilibrium Option Pricing with Illiquid Underlying: Monopoly and Competition Between Market-Makers João Amaro de Matos (Paula Antão)
	Option Models and Trading Information Andrea Buraschi (Alexei Jiltsov)
Social Event
9:00 pm	Opening Night Dinner: "Tastes of Greece" Helios Pool Area