Friday
July 23, 2004
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Registration/Information - Empire Ballroom
8:30 - 5:30
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Plenary Session III - Grand Ballroom
8:45 - 10:15 |
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Chair: Eckhard Platen
Measuring risks and valuing options
(Abstract)
By: Martin Schweizer
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Perpetual defaultable callable convertible bonds
(Abstract)
By: L.C.G. Rogers
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Coffee Break - Empire Ballroom
10:15 - 10:45
Poster Presentations F/EB - Empire Ballroom
10:15 - 4:00
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Convexity of the optimal
stopping boundary for the American put option
(Abstract)
Author(s):
Erik Ekström
Presenting Author: Erik
Ekström
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The lookback American option
with finite horizon (Abstract)
Author(s):
Pavel Gapeev
Presenting Author: Pavel
Gapeev
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Accelerating Monte Carlo
Pricing of Path Dependent Options (Abstract)
Author(s):
Andreas Grau
Presenting Author: Andreas Grau
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Modelling Term Structures of
Default Probability by Structural Model with Time-dependent Target
Leverage Ratios (Abstract)
Author(s):
Ming-Xi Huang, C.H. Hui, C.F. Lo
Presenting Author: Ming-Xi Huang
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The Discrete Black-Scholes
Partial Differential Equation (Abstract)
Author(s): Miklavz Mastinsek
Presenting Author: Miklavz Mastinsek
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Portfolio Selection with
Transaction Costs and Delays (Abstract)
Author(s): Tim Maull, Jussi Keppo
Presenting Author: Tim Maull
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Parallel Session F1
10:45 - 12:15
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| F1/B: American Options - Burnham
Chair: Jan Vecer |
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Computational Solution of the
American Put using the Moving Free Boundary Method
(Abstract)
Author(s):
Michael Kelly
Presenting Author: Michael Kelly
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The American put and European
options near expiry, under Levy processes (Abstract)
Author(s):
Sergey Levendorskiy
Presenting Author: Sergey
Levendorskiy
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Asymptotic Analysis for
American Options on Alternative Stochastic Processes
(Abstract)
Author(s):
David Saunders, John Chadam
Presenting Author: David
Saunders
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| F1/GB: Options - Grand Ballroom
Chair: Ian Buckley |
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A Series Solution for
Bermudan Options (Abstract)
Author(s):
Ingmar Evers
Presenting Author: Ingmar Evers
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Matched asymptotic expansions
for discretely sampled barrier options (Abstract)
Author(s):
Sam Howison, Mario Steinberg
Presenting Author: Sam Howison
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Pricing a class of exotic
options via moments and SDP relaxations (Abstract)
Author(s):
Mihail Zervos, J.B.Lasserre, T.Prieto
Presenting Author: Mihail Zervos
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| F1/KA: Credit Risk - King Arthur
Chair: Craig Friedman |
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A Hidden Markov Model of
Default Interaction (Abstract)
Author(s):
Mark Davis, Martin Crowder, Giacomo Giampieri
Presenting Author: Giacomo Giampieri
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Pricing Vulnerable European
Options with Stochastic Default Barriers (Abstract)
Author(s):
Chi-Fai Lo, C.H. Hui, K.C. Ku
Presenting Author: Chi-Fai Lo
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Information-Driven Default
Contagion (Abstract)
Author(s):
Philipp Schoenbucher
Presenting Author: Philipp Schoenbucher
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| F1/S: Risk Management - Sullivan
Chair: Michael Gallmeyer |
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Risk-reward portfolio
selection and stochastic dominance (Abstract)
Author(s):
Enrico De Giorgi
Presenting Author: Enrico De Giorgi
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Satisfying Convex Risk Limits
by Trading (Abstract)
Author(s):
Traian Pirvu, Kasper Larsen, Steven E Shreve, Reha Tutuncu
Presenting Author: Traian Pirvu
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A new fast and accurate
method to calculate Value-at-Risk and other tail risk measures
(Abstract)
Author(s):
Tanya Tamarchenko, Rabi De
Presenting Author: Tanya
Tamarchenko
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| F1/SC: Optimal Consumption - St. Clair
Chair: Robert Elliott |
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On the tradeoff between
consumption and investment in incomplete financial
markets (Abstract)
Author(s):
Daniel Hernandez-Hernandez, Wendell H.
Fleming
Presenting
Author: Daniel Hernandez-Hernandez
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Futures Trading Model with
Transaction Costs (Abstract)
Author(s):
Karel Janecek, Steven E. Shreve
Presenting Author: Karel
Janecek
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The Merton Problem in an
Illiquid Financial Market (Abstract)
Author(s):
Surbjeet Singh, L.C.G. Rogers
Presenting Author: Surbjeet Singh
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| F1/W: Utility Theory - Wright
Chair: Gordan Zitkovic |
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Robust Utility Maximization
for Complete and Incomplete Market Models (Abstract)
Author(s): Anne Gundel
Presenting Author: Anne Gundel
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Optimal investments for
robust utility functionals (Abstract)
Author(s): Alexander Schied
Presenting Author: Alexander Schied
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Endogenous Risk Aversion and
Ockham's Razor (Abstract)
Author(s): Michael Stutzer
Presenting Author: Michael Stutzer
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Parallel Sessions F2
1:45 - 3:15
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| F2/B: American Options - Burnham
Chair: David Saunders |
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High Dimensional Radial
Barrier Options (Abstract)
Author(s):
Neil Firth, J. N. Dewynne
Presenting Author: Neil Firth
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Analytic American Option
Pricing: The Flat-Barrier Lower Bound (Abstract)
Author(s):
Alessandro Sbuelz
Presenting Author: Alessandro
Sbuelz
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Efficient Computation of
Hedging Parameters for Discretely Exercisable Options
(Abstract)
Author(s):
Stathis Tompaidis, Ron Kaniel, Alexander
Zemlianov
Presenting
Author: Stathis Tompaidis
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| F2/GB: Options - Grand Ballroom
Chair: Sam Howison |
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Entropic Calibration
Revisited (Abstract)
Author(s):
Ian Buckley, Dorje C Brody, Bernhard K
Meister
Presenting Author: Ian
Buckley
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Continuous time option
valuation with discrete hedging subject to transaction costs and
trading delays (Abstract)
Author(s):
Michael Marcozzi
Presenting Author: Michael
Marcozzi
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Asymptotic Option Pricing
under a Pure Jump Process (Abstract)
Author(s):
Seongjoo Song
Presenting Author: Seongjoo
Song
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| F2/KA: Credit Risk - King Arthur
Chair: Philipp Schoenbucher |
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A Financial Approach to
Machine Learning with Applications to Credit Risk
(Abstract)
Author(s):
Craig Friedman, Sven Sandow
Presenting Author: Craig Friedman and Sven
Sandow
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Liquidation Triggers and the
Valuation of Equity and Debt (Abstract)
Author(s):
Zvi Wiener, Dan Galai, Alon
Raviv
Presenting Author: Zvi
Wiener
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Modeling Credit
Risk (Abstract)
Author(s):
Yildiray Yildirim
Presenting Author: Yildiray
Yildirim
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| F2/SC: Optimization Problems - St.
Clair Chair: Jaksa Cvitanic
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optimal financing policies
via a stochastic control problem with exit time
(Abstract)
Author(s):
Roy Cerqueti
Presenting Author: Roy
Cerqueti
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A General Benchmark Model for
Stochastic Jump Sizes (Abstract)
Author(s):
Morten Mosegaard Christensen, Eckhard Platen
(UTS)
Presenting
Author: Morten Christensen
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Optimal Asset Allocation and
Ruin-Minimization Annuitization Strategies (Abstract)
Author(s):
Kristen Moore, Virginia R. Young, Moshe A.
Milevsky
Presenting
Author: Kristen S. Moore
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| F2/W: Utility Theory - Wright
Chair: Michael Stutzer |
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Optimal Portfolio Control for
Parabolic Type Infinite-dimensional Factor Model with Power
Utility (Abstract)
Author(s):
Shin Ichi Aihara, A. BAGCHI
Presenting Author: Shin Ichi
Alhara
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Pricing Claims on Non
Tradable Assets (Abstract)
Author(s):
Robert Elliott, John van der Hoek
Presenting Author: Robert
Elliott
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Utility Maximization with a
Stochastic Clock and an Unbounded (Abstract)
Author(s):
Gordan Zitkovic
Presenting Author: Gordan
Zitkovic
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Coffee Break - Empire Ballroom
3:15 - 3:45
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Parallel Sessions F3
3:45 - 5:15
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| F3/B: Volatility - Burnham
Chair: James Doran |
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Indifference pricing for
reciprocal affine stochastic volatility models
(Abstract)
Author(s):
Tom Hurd, Matheus Grasselli
Presenting Author: Tom Hurd
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On Asymptotic Pricing of
securities in a multivariate extension of Scotts stochastic
volatility model (Abstract)
Author(s):
Joerg Kampen, Joerg Kampen, Nicolae
Surulescu
Presenting
Author: Joerg Kampen
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Fractional Volatility Models
and Malliavin Calculus (Abstract)
Author(s):
Chi Tim Ng, Ngai Hang Chan
Presenting Author: Chi Tim Ng
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| F3/GB: Options - Grand Ballroom
Chair: Michael Kelly |
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Good-deal equilibrium pricing
bounds on option prices (Abstract)
Author(s):
Marie Chazal, Elyès Jouini
Presenting Author: Marie Chazal
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Comparison Theorem and Option
Pricing in the Presence of Jumps (Abstract)
Author(s):
Jan Vecer, Mingxin Xu
Presenting Author: Jan Vecer
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Expanding the Universe of
Exotic Options Closed Pricing Formulas in the Black and Scholes
Framework (Abstract)
Author(s):
Carlos Veiga
Presenting Author: Carlos Veiga
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| F3/KA: Credit Risk - King Arthur
Chair: Yevgeny Goncharov |
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Replication and Mean-Variance
Approaches to Pricing and Hedging of Credit Risk
(Abstract)
Author(s): Tomasz Bielecki, Monique Jeanblanc, Marek Rutkowski
Presenting Author: Tomasz R. Bielecki
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Markov Models for Interacting
Defaults and Counterparty Risk (Abstract)
Author(s):
Rudiger Frey, Jochen Backhaus
Presenting Author: Rudiger Frey
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Mean-variance hedging when
there are jumps (Abstract)
Author(s):
Andrew Lim, Thaisiri Watewai
Presenting Author: Andrew Lim
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| F3/S: Risk Management - Sullivan
Chair: Stan Uryasev |
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Drawdown Measure in Portfolio
Optimization (Abstract)
Author(s):
Alexei Chekhlov, Stanislav Uryasev,
Michael Zabarankin
Presenting
Author: Alexei Chekhlov
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Bayesian Analysis of
Stochastic Betas (Abstract)
Author(s):
Alexander Philipov, Gergana Jostova
Presenting Author: Gergana
Jostova
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A synthetic measure of
multivariate risk and its empirical implications for portfolio risk
management (Abstract)
Author(s):
Andrea Roncoroni, Stefano Galluccio
Presenting Author: Andrea
Roncoroni
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| F3/SC: Optimization Problems - St.
Clair Chair: Abel Cadenillas
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Optimal Portfolio Strategies
with Different Constraints : A Unified Treatment
(Abstract)
Author(s): Phelim Boyle, Weidong Tian
Presenting Author: Weidong Tian
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Optimal Portfolios with fixed
consumption and income streams (Abstract)
Author(s):
Ralf Korn, Martin Krekel
Presenting Author: Martin Krekel
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A Bayesian Learning Model of
Risk Taking by Fund Managers (Abstract)
Author(s): Ajay Subramanian, Ping Hu, Jayant
Kale
Presenting Author: Ajay
Subramanian
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| F3/W: Transaction Costs - Wright
Chair: Mark Davis |
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Necessary Conditions for the
Existence of Utility Maximizing Strategies under Transaction
Costs (Abstract)
Author(s): Paolo Guasoni, Walter Schachermayer
Presenting Author: Paolo Guasoni
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Efficient trading strategies
with transactions costs (Abstract)
Author(s): Vincent Porte, Elyès Jouini
Presenting Author: Vincent
Porte
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American Option Pricing with
Transact Costs (Abstract)
Author(s):
Valeri Zakamouline
Presenting Author: Valeri
Zakamouline
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