Third World Congress
July 21-24, 2004
Venue: InterContinental Hotel, Chicago, Illinois.
Organizer: Stanley R Pliska, University of Illinois at Chicago

Friday July 23, 2004

Registration/Information - Empire Ballroom
8:30 - 5:30
Plenary Session III - Grand Ballroom
8:45 - 10:15

Chair: Eckhard Platen

Measuring risks and valuing options   (Abstract)
  By: Martin Schweizer
  Perpetual defaultable callable convertible bonds   (Abstract)
  By: L.C.G. Rogers

Coffee Break - Empire Ballroom
10:15 - 10:45

Poster Presentations F/EB - Empire Ballroom
10:15 - 4:00
  Convexity of the optimal stopping boundary for the American put option   (Abstract)
  Author(s):  Erik Ekström       
  Presenting Author: Erik Ekström
  The lookback American option with finite horizon   (Abstract)
  Author(s):  Pavel Gapeev       
  Presenting Author: Pavel Gapeev
  Accelerating Monte Carlo Pricing of Path Dependent Options   (Abstract)
  Author(s):  Andreas Grau       
  Presenting Author: Andreas Grau
  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
  The Discrete Black-Scholes Partial Differential Equation   (Abstract)
  Author(s): Miklavz Mastinsek       
  Presenting Author: Miklavz Mastinsek
  Portfolio Selection with Transaction Costs and Delays   (Abstract)
  Author(s): Tim Maull, Jussi Keppo
  Presenting Author: Tim Maull

Parallel Session F1
10:45 - 12:15
F1/B: American Options - Burnham         Chair: Jan Vecer
  Computational Solution of the American Put using the Moving Free Boundary Method   (Abstract)
  Author(s):  Michael Kelly       
  Presenting Author: Michael Kelly
  The American put and European options near expiry, under Levy processes   (Abstract)
  Author(s):  Sergey Levendorskiy       
  Presenting Author: Sergey Levendorskiy
  Asymptotic Analysis for American Options on Alternative Stochastic Processes   (Abstract)
  Author(s):  David Saunders, John Chadam     
  Presenting Author: David Saunders

F1/GB: Options - Grand Ballroom         Chair: Ian Buckley
  A Series Solution for Bermudan Options   (Abstract)
  Author(s):  Ingmar Evers       
  Presenting Author: Ingmar Evers
  Matched asymptotic expansions for discretely sampled barrier options   (Abstract)
  Author(s):  Sam Howison, Mario Steinberg     
  Presenting Author: Sam Howison
  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

F1/KA: Credit Risk - King Arthur         Chair: Craig Friedman
  A Hidden Markov Model of Default Interaction   (Abstract)
  Author(s):  Mark Davis, Martin Crowder, Giacomo Giampieri
  Presenting Author: Giacomo Giampieri
  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
  Information-Driven Default Contagion   (Abstract)
  Author(s):  Philipp Schoenbucher       
  Presenting Author: Philipp Schoenbucher

F1/S: Risk Management - Sullivan         Chair: Michael Gallmeyer
  Risk-reward portfolio selection and stochastic dominance   (Abstract)
  Author(s):  Enrico De Giorgi       
  Presenting Author: Enrico De Giorgi
  Satisfying Convex Risk Limits by Trading   (Abstract)
  Author(s):  Traian Pirvu, Kasper Larsen, Steven E Shreve, Reha Tutuncu
  Presenting Author: Traian Pirvu
  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

F1/SC: Optimal Consumption - St. Clair         Chair: Robert Elliott
  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
  Futures Trading Model with Transaction Costs   (Abstract)
  Author(s):  Karel Janecek, Steven E. Shreve     
  Presenting Author: Karel Janecek
  The Merton Problem in an Illiquid Financial Market   (Abstract)
  Author(s):  Surbjeet Singh, L.C.G. Rogers
  Presenting Author: Surbjeet Singh

F1/W: Utility Theory - Wright         Chair: Gordan Zitkovic
  Robust Utility Maximization for Complete and Incomplete Market Models   (Abstract)
  Author(s): Anne Gundel
  Presenting Author: Anne Gundel
  Optimal investments for robust utility functionals   (Abstract)
  Author(s): Alexander Schied
  Presenting Author: Alexander Schied
  Endogenous Risk Aversion and Ockham's Razor   (Abstract)
  Author(s): Michael Stutzer
  Presenting Author: Michael Stutzer

Parallel Sessions F2
1:45 - 3:15
F2/B: American Options - Burnham         Chair: David Saunders
  High Dimensional Radial Barrier Options   (Abstract)
  Author(s):  Neil Firth, J. N. Dewynne     
  Presenting Author: Neil Firth
  Analytic American Option Pricing: The Flat-Barrier Lower Bound   (Abstract)
  Author(s):  Alessandro Sbuelz       
  Presenting Author: Alessandro Sbuelz
  Efficient Computation of Hedging Parameters for Discretely Exercisable Options   (Abstract)
  Author(s):  Stathis Tompaidis, Ron Kaniel,  Alexander Zemlianov  
  Presenting Author: Stathis Tompaidis

F2/GB: Options - Grand Ballroom         Chair: Sam Howison
  Entropic Calibration Revisited   (Abstract)
  Author(s):  Ian Buckley, Dorje C Brody,  Bernhard K Meister  
  Presenting Author: Ian Buckley
  Continuous time option valuation with discrete hedging subject to transaction costs and trading delays   (Abstract)
  Author(s):  Michael Marcozzi       
  Presenting Author: Michael Marcozzi
  Asymptotic Option Pricing under a Pure Jump Process   (Abstract)
  Author(s):  Seongjoo Song       
  Presenting Author: Seongjoo Song

F2/KA: Credit Risk - King Arthur         Chair: Philipp Schoenbucher
  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
  Liquidation Triggers and the Valuation of Equity and Debt   (Abstract)
  Author(s):  Zvi Wiener, Dan Galai,  Alon Raviv  
  Presenting Author: Zvi Wiener
  Modeling Credit Risk   (Abstract)
  Author(s):  Yildiray Yildirim       
  Presenting Author: Yildiray Yildirim

F2/SC: Optimization Problems - St. Clair         Chair: Jaksa Cvitanic
  optimal financing policies via a stochastic control problem with exit time   (Abstract)
  Author(s):  Roy Cerqueti       
  Presenting Author: Roy Cerqueti
  A General Benchmark Model for Stochastic Jump Sizes   (Abstract)
  Author(s):  Morten Mosegaard Christensen, Eckhard Platen (UTS)     
  Presenting Author: Morten Christensen
  Optimal Asset Allocation and Ruin-Minimization Annuitization Strategies   (Abstract)
  Author(s):  Kristen Moore, Virginia R. Young,  Moshe A. Milevsky  
  Presenting Author: Kristen S. Moore

F2/W: Utility Theory - Wright         Chair: Michael Stutzer
  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
  Pricing Claims on Non Tradable Assets   (Abstract)
  Author(s):  Robert Elliott, John van der Hoek     
  Presenting Author: Robert Elliott
  Utility Maximization with a Stochastic Clock and an Unbounded   (Abstract)
  Author(s):  Gordan Zitkovic       
  Presenting Author: Gordan Zitkovic

Coffee Break - Empire Ballroom
3:15 - 3:45

Parallel Sessions F3
3:45 - 5:15
F3/B: Volatility - Burnham         Chair: James Doran
  Indifference pricing for reciprocal affine stochastic volatility models   (Abstract)
  Author(s):  Tom Hurd, Matheus Grasselli     
  Presenting Author: Tom Hurd
  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
  Fractional Volatility Models and Malliavin Calculus   (Abstract)
  Author(s):  Chi Tim Ng, Ngai Hang Chan     
  Presenting Author: Chi Tim Ng

F3/GB: Options - Grand Ballroom         Chair: Michael Kelly
  Good-deal equilibrium pricing bounds on option prices   (Abstract)
  Author(s):  Marie Chazal, Elyès Jouini     
  Presenting Author: Marie Chazal
  Comparison Theorem and Option Pricing in the Presence of Jumps   (Abstract)
  Author(s):  Jan Vecer, Mingxin Xu     
  Presenting Author: Jan Vecer
  Expanding the Universe of Exotic Options Closed Pricing Formulas in the Black and Scholes Framework   (Abstract)
  Author(s):  Carlos Veiga       
  Presenting Author: Carlos Veiga

F3/KA: Credit Risk - King Arthur         Chair: Yevgeny Goncharov
  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
  Markov Models for Interacting Defaults and Counterparty Risk   (Abstract)
  Author(s):  Rudiger Frey, Jochen Backhaus
  Presenting Author: Rudiger Frey
  Mean-variance hedging when there are jumps   (Abstract)
  Author(s):  Andrew Lim, Thaisiri Watewai  
  Presenting Author: Andrew Lim

F3/S: Risk Management - Sullivan         Chair: Stan Uryasev
  Drawdown Measure in Portfolio Optimization   (Abstract)
  Author(s):  Alexei Chekhlov, Stanislav Uryasev,  Michael Zabarankin  
  Presenting Author: Alexei Chekhlov
  Bayesian Analysis of Stochastic Betas   (Abstract)
  Author(s):  Alexander Philipov, Gergana Jostova     
  Presenting Author: Gergana Jostova
  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

F3/SC: Optimization Problems - St. Clair         Chair: Abel Cadenillas
  Optimal Portfolio Strategies with Different Constraints : A Unified Treatment   (Abstract)
  Author(s): Phelim  Boyle, Weidong Tian
  Presenting Author: Weidong Tian
  Optimal Portfolios with fixed consumption and income streams   (Abstract)
  Author(s):  Ralf Korn, Martin Krekel
  Presenting Author: Martin Krekel
  A Bayesian Learning Model of Risk Taking by Fund Managers   (Abstract)
  Author(s): Ajay Subramanian, Ping Hu, Jayant Kale  
  Presenting Author: Ajay Subramanian

F3/W: Transaction Costs - Wright         Chair: Mark Davis
  Necessary Conditions for the Existence of Utility Maximizing Strategies under Transaction Costs   (Abstract)
  Author(s): Paolo Guasoni, Walter Schachermayer
  Presenting Author: Paolo Guasoni
  Efficient trading strategies with transactions costs   (Abstract)
  Author(s): Vincent Porte, Elyès Jouini
  Presenting Author: Vincent Porte
  American Option Pricing with Transact Costs   (Abstract)
  Author(s):  Valeri Zakamouline       
  Presenting Author: Valeri Zakamouline