Saturday
July 24, 2004
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Registration/Information - Empire Ballroom
8:30 - 5:30
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Parallel Session S1
8:45 -
10:15
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S1/B: Volatility - Burnham
Chair: George Constantinides |
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Stochastic Volatility Models:
a Large Deviation Approach (Abstract)
Author(s):
Phelim Boyle, Shui Feng, Weidong
Tian
Presenting Author: Phelim
Boyle
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Robust Replication of
Volatility Derivatives (Abstract)
Author(s):
Roger Lee, Peter Carr
Presenting Author: Roger Lee
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Accurate Yield Curve
Scenarios Generation using Functional Gradient Descent
(Abstract)
Author(s):
Francesco Audrino, Fabio Trojani
Presenting Author: Francesco
Audrino
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| S1/GB: Options - Grand Ballroom
Chair: Uwe Wystup |
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The Spectral Decomposition of
the Option Value (Abstract)
Author(s):
Vadim Linetsky
Presenting Author: Vadim Linetsky
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Square-root process and Asian
options (Abstract)
Author(s):
Jayalaxshmi Nagaradjasarma, Angelos
Dassios
Presenting Author: Jayalaxshmi Nagaradjasarma
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Pricing of arithmetic Asian
options and basket options by conditioning on more than one
variable (Abstract)
Author(s):
Michèle Vanmaele, Deelstra Griselda,
Liinev Jan
Presenting
Author: Michele Vanmaele
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| S1/KA: Credit Risk - King Arthur
Chair: Damir Filipovic |
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Measuring Default Risk Premia
from Default Swap Rates and EDFs (Abstract)
Author(s):
Antje Berndt, Rohan Douglas, Darrell
Duffie, Mark Ferguson
Presenting
Author: Antje Berndt
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The Market Price of Credit
Risk (Abstract)
Author(s):
Kay Giesecke, Lisa Goldberg
Presenting Author: Kay Giesecke
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Measuring default premium
using the Cox process with shot noise intensity
(Abstract)
Author(s):
Jiwook Jang
Presenting Author: Jiwong Jang
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| S1/S: Electricity Risk - Sullivan
Chair: Valery Kholodnyi |
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Modelling of spot and futures
contracts in markets for electricity and weather
(Abstract)
Author(s):
Fred Espen Benth, Steen Koekebakker,
Jurate Saltyte-Benth
Presenting
Author: Fred Benth
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Pricing electricity risk by
interest rate methods (Abstract)
Author(s):
Juri Hinz, Lutz von Grafensein, Michel
Verschuere, Martina Wilhelm
Presenting
Author: Juri Hinz
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Pricing Options in
Electricity Markets (Abstract)
Author(s):
Tino Kluge
Presenting Author: Tino Kluge
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| S1/SC: Optimal Investment - St. Clair
Chair: Wolfgang Runggaldier |
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Explicit solution of a
stochastic irreversible investment problem and its moving
threshold (Abstract)
Author(s):
Ulrich Haussmann, Maria B. Chiarolla
Presenting Author: Ulrich
Haussmann
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Continuous-Time
Mean--Variance Portfolio Selection with Bankruptcy
(Abstract)
Author(s):
Hanqing Jin, Tomasz R. Bielecki, Stanley
R. Pliska, Xun Yu Zhou
Presenting
Author: Hanqing Jin
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Optimal portfolio choice with
discontinuous price processes and multiple regimes
(Abstract)
Author(s):
Andrew Lim, Thaisiri Watewai
Presenting Author: Thaisiri
Watewai
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| S1/W: Brownian Motion Models - Wright
Chair: Daniel Dufresne |
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Arbitrage in a Discrete
Version of the Wick Fractional Black-Scholes Market
(Abstract)
Author(s):
Christian Bender, Robert J. Elliott
Presenting Author: Christian
Bender
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An algorithm for early
detection of volatility change (Abstract)
Author(s):
Vladimir Dobric
Presenting Author: Vladimir
Dobric
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Multifractal Spectral
Analysis of 1987 Stock Market Crash (Abstract)
Author(s):
Cornelis A., Rossitsa Yalamova
Presenting Author: Rossitsa Yalamova
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Coffee Break - Empire Ballroom
10:15 - 10:45
Poster Presentations S/EB - Empire Ballroom
10:15 - 4:00
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Classification Using
Optimization: Application to Credit Ratings of Bonds
(Abstract)
Author(s):
Vladimir Bugera, Stanislav Uryasev,
Grigory Zrajevsky
Presenting
Author: Vladimir Bugera
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VaR and ES for linear
Portfolios with mixture of elliptically distributed risk
factors (Abstract)
Author(s):
Sadefo Kamdem Jules
Presenting Author: Sadefo Kamdem
Jules
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Measuring Provisions for
Collateralised Retail Lending (Abstract)
Author(s):
Po Kong Man, C.H. Hui, C.F. Lo,
T.C. Wong
Presenting Author: Po Kong
Man
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On testing for duration
clustering and diagnostic checking of models for irregularly spaced
transaction data (Abstract)
Author(s):
Maria Pacurar, Pierre Duchesne
Presenting Author: Maria
Pacurar
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A model of
investment, production and consumption (Abstract)
Author(s):
Tao Pang, Wendell Fleming
Presenting Author: Tao Pang
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Semi-Lagrange Time Integration for PDE Models of Asian Options (Abstract)
Author(s): Arthur Kevin Parrott
Presenting Author: Arthur Kevin Parrott
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How useful are volatility
options for hedging vega risk (Abstract)
Author(s):
Dimitris Psychoyios, George Skiadopoulos
Presenting Author: Dimitris
Psychoyios
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Parallel Sessions S2
10:45 - 12:15
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| S2/B: Volatility - Burnham
Chair: Tom Hurd |
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Option valuation in a
non-affine stochastic volatility jump diffusion model
(Abstract)
Author(s):
Griselda Deelstra, Ahmed Ezzine
Presenting Author: Griselda
Deelstra
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Properties of European and
American barrier options (Abstract)
Author(s):
Jonatan Eriksson
Presenting Author: Jonatan
Eriksson
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A simple calibration
procedure of stochastic volatility models with jumps by short term
asymptotics (Abstract)
Author(s):
Alexey Medvedev, Olivier Scaillet
Presenting Author: Alexey
Medvedev
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| S2/GB: Options - Grand Ballroom
Chair: Abdul Khaliq |
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Harmonic analysis methods for volatility computation (Abstract)
Author(s):
Emilio Barucci, Paul Malliavin, Maria Elvira Mancino
Presenting Author: Maria Elvira Mancino
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Pricing CEV moving barrier
options with time-dependent parameters – Lie algebraic
approach (Abstract)
Author(s):
Hoi-man Tang, C.F. Lo, C.H.
Hui
Presenting Author: Hoi-Man
Tang
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FX Instalment Options:
Pricing, Applications, Risk Management (Abstract)
Author(s):
Uwe Wystup, Susanne Griebsch
Presenting Author: Uwe Wystup, Susanne Griebsch
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| S2/KA: Credit Risk - King Arthur
Chair: Jean-Pierre Fouque |
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On Modeling Firm-Specific
Correlations between Bonds and Stocks (Abstract)
Author(s):
Li Chen, Damir Filipovic, H. Vincent
Poor
Presenting Author: Li
Chen
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Credit Derivatives in an
Affine Framework (Abstract)
Author(s):
Damir Filipovic, Li Chen
Presenting Author: Damir
Filipovic
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Infinite Factor Model for
Credit Risk (Abstract)
Author(s):
Thorsten Schmidt
Presenting Author: Thorsten
Schmidt
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| S2/S: Commodity Futures - Sullivan
Chair: Wojciech Szatzschneider |
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Modelling forward curves for
seasonal commodities (Abstract)
Author(s):
Svetlana Borovkova, Heylette Geman
Presenting Author: Svetlana
Borovkova
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Mean-Reverting and
Co-Integrated Energy Futures Curve Models for Pricing and Risk
Management (Abstract)
Author(s):
Alex Levin
Presenting Author: Alex Levin
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A Two-Factor Model for
Commodity Prices and Futures Valuation (Abstract)
Author(s):
Diana Ribeiro, Stewart Hodges
Presenting Author: Diana
Ribeiro
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| S2/SC: Optimal Portfolios - St. Clair
Chair: Ulrich Hausmann |
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Higher order numerical algorithms for the solution of some path dependent options pricing problems (Abstract)
Author(s): Maria R Nogueiras, Alfredo Bermudez, Carlos Vazquez
Presenting Author: Maria R Nogueiras
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Pathwise optimality for
benchmark tracking (Abstract)
Author(s):
Wolfgang Runggaldier, Paolo Dai Pra,
Marco Tolotti
Presenting
Author: Wolfgang Runggaldier
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Risk Control of Dynamic
Investment Models (Abstract)
Author(s):
William Ziemba, L. MacLean, Y.
Zhao
Presenting Author: Leonard
MacLean
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| S2/W: Brownian Motion Models - Wright
Chair: Yoshio Miyahara |
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The lognormal approximation
in financial computations (Abstract)
Author(s):
Daniel Dufresne
Presenting Author: Daniel Dufresne
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Detecting the presence of a
diffusion in asset prices (Abstract)
Author(s):
Cecilia Mancini
Presenting Author: Cecilia
Mancini
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On the Martingale Property of
Stochastic Exponentials (Abstract)
Author(s):
Bernard Wong, C. C. Heyde
Presenting Author: Bernard Wong
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Parallel Sessions S3
1:30 - 3:00
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| S3/B: Volatility - Burnham
Chair: Griselda Deelstra |
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A Complete Market Model for
Implied Volatility (Abstract)
Author(s):
Oliver Brockhaus
Presenting Author: Oliver Brockhaus
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Mispricing of S&P 500
Index Options (Abstract)
Author(s):
Jens Carsten Jackwerth, George M.
Constantinides, Stylianos Perrakis
Presenting Author: George
Constantinides
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A tale of two time scales:
Determing integrated volatility with noisy high-frequency
data (Abstract)
Author(s):
Lan Zhang, Per A. Mykland, Yacine
Ait-Sahalia
Presenting
Author: Lan Zhang
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| S3/GB: Options - Grand Ballroom
Chair: Michele Vanmaele |
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A parallel time stepping
approach using meshfree approximations for pricing options with
non-smooth payoffs (Abstract)
Author(s): Greg Fasshauer, A. Q. M. Khaliq, D. A. Voss
Presenting Author: Abdul Khaliq
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On the Valuation of Options
in Jump-diffusion Models by Variational Methods
(Abstract)
Author(s):
Vadim Linetsky, Liming Feng, Michael Marcozzi
Presenting Author: Liming Feng
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On an Alternative Approach to
Pricing General Barrier Options (Abstract)
Author(s):
Michael Suchanecki
Presenting Author: Michael
Suchanecki
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| S3/KA: Credit Risk - King Arthur
Chair: Kay Giesecke |
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Pricing Swap Credit Risk with
Copulas (Abstract)
Author(s): Umberto Cherubini
Presenting Author: Umberto
Cherubini
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Default and Volatility Time
Scales (Abstract)
Author(s):
Jean-Pierre Fouque, Ronnie Sircar, Knut
Sølna
Presenting
Author: Jean-Pierre Fouque
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Stochastic Cascades, Credit
Contagion, and Large Portfolio (Abstract)
Author(s):
Ulrich Horst
Presenting Author: Ulrich Horst
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| S3/S: Electricity/Environmental
Risks - Sullivan
Chair: Ehud Ronn |
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Valuation and Hedging of
Power-Sensitive Contingent Claims for Power with Spikes: a
Non-Markovian Approach (Abstract)
Author(s):
Valery Kholodnyi
Presenting Author: Valery
Kholodnyi
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Environment &Financial
Markets (Abstract)
Author(s):
Wojciech Szatzschneider, Monique Jeanblanc
Presenting Author: Wojciech Szatzschneider
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Pricing Power Derivatives: a
Two-Factor Jump-Diffusion Approach (Abstract)
Author(s):
Pablo Villaplana
Presenting Author: Pablo Villaplana
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| S3/SC: Optimal Portfolios - St. Clair
Chair: Leonard MacLean |
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Asymptotic Analysis of
Portfolio Trading with Transaction Costs (Abstract)
Author(s):
Petr Dostal
Presenting Author: Petr Dostal
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Sharpe Ratio as a Performance
Measure in a Multi-Period Setting (Abstract)
Author(s):
Ali Lazrak, Jaksa Cvitanic, Tan
Wang
Presenting Author: Ali
Lazrak
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Evolutionary Stable Stock
Markets (Abstract)
Author(s):
Klaus Reiner Schenk-Hoppé, Igor V.
Evstigneev, Thorsten Hens
Presenting Author: Klaus Reiner
Schenk-Hoppé
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| S3/W: Financial Models - Wright
Chair: Maurizo Pratelli |
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Beyond Single Factor Affine
Term Structure Models (Abstract)
Author(s):
Javier Gil-Bazo
Presenting Author: Javier
Gil-Bazo
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Generating Functions for
Stochastic Integrals (Abstract)
Author(s):
Stephan Lawi, C. Albanese
Presenting Author: Stephan Lawi
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By Force of Habit: An Exploration
of Asset Pricing Models using Analytic Methods.
(Abstract)
Author(s): Thomas Cosimano, Yu Chen, Alex Himonas
Presenting Author: Thomas Cosimano
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Coffee Break - Empire Ballroom
3:00 - 3:30
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Plenary Session IV - Grand Ballroom
3:30 - 5:00 |
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Chair: Tomas Björk
Evidence on Actual and Risk Neutral Default Intensities
(Abstract)
By: Darrell Duffie
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The Variance Gamma Model: Successes, Failures, Extensions and Selected Applications
(Abstract)
By: Dilip Madan
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Conference Dinner (Speaker: Professor Andrew Lo)
6:00 - 9:00
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Reception
6:00 - 7:00
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Seating
Start at 7:00
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