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

Saturday July 24, 2004

Registration/Information - Empire Ballroom
8:30 - 5:30
Parallel Session S1
8:45 - 10:15
S1/B: Volatility - Burnham         Chair: George Constantinides
  Stochastic Volatility Models: a Large Deviation Approach   (Abstract)
  Author(s):  Phelim  Boyle, Shui Feng,  Weidong Tian  
  Presenting Author: Phelim Boyle
  Robust Replication of Volatility Derivatives   (Abstract)
  Author(s):  Roger Lee, Peter Carr     
  Presenting Author: Roger Lee
  Accurate Yield Curve Scenarios Generation using Functional Gradient Descent   (Abstract)
  Author(s):  Francesco Audrino, Fabio Trojani     
  Presenting Author: Francesco Audrino

S1/GB: Options - Grand Ballroom         Chair: Uwe Wystup
  The Spectral Decomposition of the Option Value   (Abstract)
  Author(s):  Vadim Linetsky       
  Presenting Author: Vadim Linetsky
  Square-root process and Asian options   (Abstract)
  Author(s):  Jayalaxshmi Nagaradjasarma, Angelos Dassios
  Presenting Author: Jayalaxshmi Nagaradjasarma
  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

S1/KA: Credit Risk - King Arthur         Chair: Damir Filipovic
  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
  The Market Price of Credit Risk   (Abstract)
  Author(s):  Kay Giesecke, Lisa Goldberg     
  Presenting Author: Kay Giesecke
  Measuring default premium using the Cox process with shot noise intensity   (Abstract)
  Author(s):  Jiwook Jang       
  Presenting Author: Jiwong Jang

S1/S: Electricity Risk - Sullivan         Chair: Valery Kholodnyi
  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
  Pricing electricity risk by interest rate methods   (Abstract)
  Author(s):  Juri  Hinz, Lutz von Grafensein,  Michel Verschuere,  Martina Wilhelm
  Presenting Author: Juri Hinz
  Pricing Options in Electricity Markets   (Abstract)
  Author(s):  Tino Kluge       
  Presenting Author: Tino Kluge

S1/SC: Optimal Investment - St. Clair         Chair: Wolfgang Runggaldier
  Explicit solution of a stochastic irreversible investment problem and its moving threshold   (Abstract)
  Author(s):  Ulrich Haussmann, Maria B. Chiarolla     
  Presenting Author: Ulrich Haussmann
  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
  Optimal portfolio choice with discontinuous price processes and multiple regimes   (Abstract)
  Author(s):  Andrew Lim, Thaisiri Watewai
  Presenting Author: Thaisiri Watewai

S1/W: Brownian Motion Models - Wright         Chair: Daniel Dufresne
  Arbitrage in a Discrete Version of the Wick Fractional Black-Scholes Market   (Abstract)
  Author(s):  Christian Bender, Robert J. Elliott     
  Presenting Author: Christian Bender
  An algorithm for early detection of volatility change   (Abstract)
  Author(s):  Vladimir Dobric       
  Presenting Author: Vladimir Dobric
  Multifractal Spectral Analysis of 1987 Stock Market Crash   (Abstract)
  Author(s):  Cornelis A., Rossitsa Yalamova   
  Presenting Author: Rossitsa Yalamova

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

Poster Presentations S/EB - Empire Ballroom
10:15 - 4:00
  Classification Using Optimization: Application to Credit Ratings of Bonds   (Abstract)
  Author(s):  Vladimir Bugera, Stanislav Uryasev,  Grigory Zrajevsky  
  Presenting Author: Vladimir Bugera
  VaR and ES for linear Portfolios with mixture of elliptically distributed risk factors   (Abstract)
  Author(s):  Sadefo Kamdem Jules       
  Presenting Author: Sadefo Kamdem Jules
  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
  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
  A model of investment, production and consumption   (Abstract)
  Author(s):  Tao Pang, Wendell Fleming     
  Presenting Author: Tao Pang
  Semi-Lagrange Time Integration for PDE Models of Asian Options   (Abstract)
  Author(s): Arthur Kevin Parrott
  Presenting Author: Arthur Kevin Parrott
  How useful are volatility options for hedging vega risk   (Abstract)
  Author(s):  Dimitris Psychoyios, George Skiadopoulos     
  Presenting Author: Dimitris Psychoyios

Parallel Sessions S2
10:45 - 12:15
S2/B: Volatility - Burnham         Chair: Tom Hurd
  Option valuation in a non-affine stochastic volatility jump diffusion model   (Abstract)
  Author(s):  Griselda Deelstra, Ahmed Ezzine     
  Presenting Author: Griselda Deelstra
  Properties of European and American barrier options   (Abstract)
  Author(s):  Jonatan Eriksson       
  Presenting Author: Jonatan Eriksson
  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

S2/GB: Options - Grand Ballroom         Chair: Abdul Khaliq
  Harmonic analysis methods for volatility computation   (Abstract)
  Author(s):  Emilio Barucci, Paul Malliavin, Maria Elvira Mancino
  Presenting Author: Maria Elvira Mancino
  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
  FX Instalment Options: Pricing, Applications, Risk Management   (Abstract)
  Author(s):  Uwe Wystup, Susanne Griebsch     
  Presenting Author: Uwe Wystup, Susanne Griebsch

S2/KA: Credit Risk - King Arthur         Chair: Jean-Pierre Fouque
  On Modeling Firm-Specific Correlations between Bonds and Stocks   (Abstract)
  Author(s):  Li Chen, Damir Filipovic,  H. Vincent Poor  
  Presenting Author: Li Chen
  Credit Derivatives in an Affine Framework   (Abstract)
  Author(s):  Damir Filipovic, Li Chen
  Presenting Author: Damir Filipovic
  Infinite Factor Model for Credit Risk   (Abstract)
  Author(s):  Thorsten Schmidt       
  Presenting Author: Thorsten Schmidt

S2/S: Commodity Futures - Sullivan         Chair: Wojciech Szatzschneider
  Modelling forward curves for seasonal commodities   (Abstract)
  Author(s):  Svetlana Borovkova, Heylette Geman     
  Presenting Author: Svetlana Borovkova
  Mean-Reverting and Co-Integrated Energy Futures Curve Models for Pricing and Risk Management   (Abstract)
  Author(s):  Alex Levin       
  Presenting Author: Alex Levin
  A Two-Factor Model for Commodity Prices and Futures Valuation   (Abstract)
  Author(s):  Diana Ribeiro, Stewart Hodges     
  Presenting Author: Diana Ribeiro

S2/SC: Optimal Portfolios - St. Clair         Chair: Ulrich Hausmann
  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
  Pathwise optimality for benchmark tracking   (Abstract)
  Author(s):  Wolfgang  Runggaldier, Paolo Dai Pra,  Marco Tolotti  
  Presenting Author: Wolfgang Runggaldier
  Risk Control of Dynamic Investment Models   (Abstract)
  Author(s):  William Ziemba, L. MacLean,  Y. Zhao  
  Presenting Author: Leonard MacLean

S2/W: Brownian Motion Models - Wright         Chair: Yoshio Miyahara
  The lognormal approximation in financial computations   (Abstract)
  Author(s):  Daniel Dufresne       
  Presenting Author: Daniel Dufresne
  Detecting the presence of a diffusion in asset prices   (Abstract)
  Author(s):  Cecilia Mancini       
  Presenting Author: Cecilia Mancini
  On the Martingale Property of Stochastic Exponentials   (Abstract)
  Author(s):  Bernard Wong, C. C. Heyde
  Presenting Author: Bernard Wong

Parallel Sessions S3
1:30 - 3:00
S3/B: Volatility - Burnham         Chair: Griselda Deelstra
  A Complete Market Model for Implied Volatility   (Abstract)
  Author(s):  Oliver Brockhaus       
  Presenting Author: Oliver Brockhaus
  Mispricing of S&P 500 Index Options   (Abstract)
  Author(s):  Jens Carsten Jackwerth, George M. Constantinides,  Stylianos Perrakis  
  Presenting Author: George Constantinides
  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

S3/GB: Options - Grand Ballroom         Chair: Michele Vanmaele
  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
  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
  On an Alternative Approach to Pricing General Barrier Options   (Abstract)
  Author(s):  Michael Suchanecki       
  Presenting Author: Michael Suchanecki

S3/KA: Credit Risk - King Arthur         Chair: Kay Giesecke
  Pricing Swap Credit Risk with Copulas   (Abstract)
  Author(s): Umberto  Cherubini
  Presenting Author: Umberto Cherubini
  Default and Volatility Time Scales   (Abstract)
  Author(s):  Jean-Pierre  Fouque, Ronnie Sircar,  Knut Sølna  
  Presenting Author: Jean-Pierre Fouque
  Stochastic Cascades, Credit Contagion, and Large Portfolio   (Abstract)
  Author(s):  Ulrich Horst       
  Presenting Author: Ulrich Horst

S3/S: Electricity/Environmental Risks - Sullivan         Chair: Ehud Ronn
  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
  Environment &Financial Markets   (Abstract)
  Author(s):  Wojciech Szatzschneider, Monique Jeanblanc
  Presenting Author: Wojciech Szatzschneider
  Pricing Power Derivatives: a Two-Factor Jump-Diffusion Approach   (Abstract)
  Author(s):  Pablo Villaplana       
  Presenting Author: Pablo Villaplana

S3/SC: Optimal Portfolios - St. Clair         Chair: Leonard MacLean
  Asymptotic Analysis of Portfolio Trading with Transaction Costs   (Abstract)
  Author(s):  Petr Dostal       
  Presenting Author: Petr Dostal
  Sharpe Ratio as a Performance Measure in a Multi-Period Setting   (Abstract)
  Author(s):  Ali Lazrak, Jaksa Cvitanic,  Tan Wang  
  Presenting Author: Ali Lazrak
  Evolutionary Stable Stock Markets   (Abstract)
  Author(s):  Klaus Reiner Schenk-Hoppé, Igor V. Evstigneev,  Thorsten Hens  
  Presenting Author: Klaus Reiner Schenk-Hoppé

S3/W: Financial Models - Wright         Chair: Maurizo Pratelli
  Beyond Single Factor Affine Term Structure Models   (Abstract)
  Author(s):  Javier Gil-Bazo       
  Presenting Author: Javier Gil-Bazo
  Generating Functions for Stochastic Integrals   (Abstract)
  Author(s):  Stephan Lawi, C. Albanese     
  Presenting Author: Stephan Lawi
  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

Coffee Break - Empire Ballroom
3:00 - 3:30

Plenary Session IV - Grand Ballroom
3:30 - 5:00

Chair: Tomas Björk

Evidence on Actual and Risk Neutral Default Intensities   (Abstract)
  By: Darrell Duffie
  The Variance Gamma Model: Successes, Failures, Extensions and Selected Applications   (Abstract)
  By: Dilip Madan

Conference Dinner (Speaker: Professor Andrew Lo)
6:00 - 9:00
6:00 - 7:00
Start at 7:00