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

Thursday July 22, 2004

Registration/Information - Empire Ballroom
8:00 - 5:30
Parallel sessions T1
8:45 - 10:15
T1/B: Options - Burnham         Chair: Peter Bank
  Valuing Real Options without a Perfect Spanning Asset   (Abstract)
  Author(s):  Vicky Henderson        
  Presenting Author: Vicky Henderson
  Optimal Static-Dynamic Hedges for Barrier Options   (Abstract)
  Author(s):  Aytac Ilhan, Ronnie Sircar     
  Presenting Author: Aytac Iihan
  Neutral Derivative Pricing in Incomplete Markets   (Abstract)
  Author(s):  Christoph Kuehn, Jan Kallsen     
  Presenting Author: Christoph Kuehn

T1/GB: Options - Grand Ballroom         Chair: Lan Zhang
  A Multinomial Approximation of American Option Prices in a Levy Process Model   (Abstract)
  Author(s):  Ross Maller, David Solomon,  Alex Szimayer  
  Presenting Author: Ross Maller
  Pricing American Options: a Variance Reduction Technique for the Longstaff-Schwartz Algorithm   (Abstract)
  Author(s):  Nicola Moreni       
  Presenting Author: Nicola Moreni
  Correcting for Simulation Bias in Monte Carlo methods to value Exotic options in Models driven by Lévy processes   (Abstract)
  Author(s):  Claudia Ribeiro, Nick Webber     
  Presenting Author: Claudia Ribeiro

T1/KA: Interest Rate Modeling - King Arthur         Chair: Jaya Bishwal
  Impulse Response Analysis and Immunization in Affine Term Structure Models   (Abstract)
  Author(s):  Martino Grasselli, Claudio Tebaldi     
  Presenting Author: Martino Grasselli
  Pricing Swaptions in Affine Term Structure Models   (Abstract)
  Author(s):  David Schrager, A. A. J. Pelsser     
  Presenting Author: David Schrager
  Solvable affine term structure models   (Abstract)
  Author(s):  Claudio Tebaldi, Martino Grasselli     
  Presenting Author: Claudio Tebaldi

T1/S: Risk Measures - Sullivan         Chair: Robert Kimmel
  Risk measures and capital requirements for processes   (Abstract)
  Author(s):  Giacomo Scandolo       
  Presenting Author: Giacomo Scandolo
  Distribution-Invariant Dynamic Risk Measures   (Abstract)
  Author(s):  Stefan Weber       
  Presenting Author: Stefan Weber
  Portfolio Analysis with General Deviation Measures   (Abstract)
  Author(s):  Michael Zabarankin, R. Tyrrell Rockafellar,  Stanislav Uryasev  
  Presenting Author: Stan Uryasev

T1/SC: Optimization Problems - St. Clair         Chair: Jiongmin Yong
  Optimal impulse control for a multidimensional cash management system with nonlinear cost functions   (Abstract)
  Author(s):  Stefano Baccarin       
  Presenting Author: Stefano Baccarin
  Optimal Dividend Policy with Mean-Reverting Cash Reservoir   (Abstract)
  Author(s):  Abel  Cadenillas, Sudipto Sarkar,  Fernando Zapatero  
  Presenting Author: Abel Cadenillas
  Optimal Contracts and Principal-Agent Problems in Continuous Time   (Abstract)
  Author(s):  Jaksa Cvitanic, Abel Cadenillas,  Fernando Zapatero  
  Presenting Author: Jaksa Cvitanic

T1/W: Statistical Models - Wright         Chair: Craig Nolder
  The integral of a geometric Brownian motion is indeterminate by its moments   (Abstract)
  Author(s):  Per Hoerfelt       
  Presenting Author: Per Hoerfelt
  Geometric Brownian Motion of Skorohod Type as a Canonical Model for Assets with Correlated Returns and Heavy Tails   (Abstract)
  Author(s):  Andrew Lyasoff       
  Presenting Author: Andrew Lyasoff
  Optimal Statistical Decisions About Some Alternative Financial Models   (Abstract)
  Author(s):  Wolfgang Stummer, Igor Vajda     
  Presenting Author: Wolfgang Stummer

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

Poster Presentations T/EB - Empire Ballroom
10:15 - 4:00
  An anlysis of the doubling strategy: The countable case   (Abstract)
  Author(s):  Mark Fisher, Christian Gilles     
  Presenting Author: Mark Fisher
  Bridging the Gap Between Financial and Actuarial Pricing   (Abstract)
  Author(s):  Nicolas Gaussel, Marie Pascale Leonardi     
  Presenting Author: Nicolas Gaussel
  Valuation of European Call Options with Transaction Costs under Jump Diffusion Process   (Abstract)
  Author(s):  Aurele Houngbedji       
  Presenting Author: Aurele Houngbedji
  Capital Stock Assessment with Three Equation Dynamic Model   (Abstract)
  Author(s):  Jan Kodera, Vaclava Pankova     
  Presenting Author: Jan Kodera
  A General Pricing Model for Time-changed Levy Processes   (Abstract)
  Author(s):  Seng Yuen Leung       
  Presenting Author: Seng Yuen Leung
  Analysis of equilibrium financial markets in continuous time   (Abstract)
  Author(s):  Stefan Alex Popovici       
  Presenting Author: Stefan Alex Popovici
  Intraday options trading and liquidation scenarios   (Abstract)
  Author(s): Igor Kliakhandler, Asitha Kodippili
  Presenting Author: Igor Kliakhandler

Parallel Sessions T2
10:45 - 12:15
T2/B: Options - Burnham         Chair: Mihail Zervos
  The Swing option on the stock market   (Abstract)
  Author(s):  Martin Dahlgren, Ralf Korn     
  Presenting Author: Martin Dahlgren
  Hedging under the Minimal Potential Measures   (Abstract)
  Author(s):  Massimo Masetti       
  Presenting Author: Massimo Masetti
  The Valuation of Callable Contingent Claims with Applications   (Abstract)
  Author(s):  Katsushige Sawaki, Susumu Seko     
  Presenting Author: Katsushige Sawaki

T2/GB: Replication - Grand Ballroom         Chair: Ales Cerny
  Arbitrage-Free bounds for basket options   (Abstract)
  Author(s):  David Hobson, Peter Laurence,  Tai-Ho Wang  
  Presenting Author: David Hobson
  On Utility Based Super Replication Prices   (Abstract)
  Author(s):  Mark Owen       
  Presenting Author: Mark Owen
  Superreplication of options on several underlying assets   (Abstract)
  Author(s):  Johan Tysk, Erik Ekström,  Svante Janson  
  Presenting Author: Johan Tysk

T2/KA: Interest Rate Modeling - King Arthur         Chair: Martino Grasselli
  A Self exciting threshold term structure model   (Abstract)
  Author(s):  Marc Decamps, Marc Goovaerts,  Wim Schoutens  
  Presenting Author: Marc Decamps
  Invariance Tests of Forward Rate Models   (Abstract)
  Author(s):  Malene Jensen, Bent Jesper Christensen     
  Presenting Author: Malene Jensen
  Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications   (Abstract)
  Author(s):  Niklas Wagner, Markus Junker,  Alex Szimayer  
  Presenting Author: Niklas Wagner

T2/S: Risk Studies - Sullivan         Chair: Ajay Subramanian
  No Arbitrage Conditions and Liquidity   (Abstract)
  Author(s):  Fabian Astic, Nizar Touzi     
  Presenting Author: Fabian Astic
  Liquidity Discovery and Asset Pricing   (Abstract)
  Author(s):  Michael Gallmeyer, Burton Hollifield,  Duane Seppi  
  Presenting Author: Michael Gallmeyer
  Optimal Portfolio Delegation when Parties have different Coefficients of Risk Aversion   (Abstract)
  Author(s):  Kasper Larsen       
  Presenting Author: Kasper Larsen

T2/SC: Optimization Problems - St. Clair         Chair: Andrew Lim
  Optimal Stopping Problems for Asset Management   (Abstract)
  Author(s):  Masahiko Egami, Savas Dayanik     
  Presenting Author: Masahiko Egami
  Optimal bank capital with costly recapitalization   (Abstract)
  Author(s):  Jussi Keppo, Samu Peura     
  Presenting Author: Jussi Keppo
  Bermudan Guaranteed Return Contracts: Analysis and Valuation   (Abstract)
  Author(s):  Steven Simon       
  Presenting Author: Steven Simon

T2/W: Statistical Models - Wright         Chair: Gilbert Bassett
  Time Series Properties of Cross-Sectional Equity Returns   (Abstract)
  Author(s):  Gib  Bassett, Chen Chen,  Rong Chen  
  Presenting Author: Chen Chen
  Quickest Detection of the Poisson Disorder with Exponential Delay Cost   (Abstract)
  Author(s):  Erhan Bayraktar, Savas Dayanik     
  Presenting Author: Erhan Bayraktar
  The Critical Kurtosis Value and Skewness Correction   (Abstract)
  Author(s):  Vassilis Polimenis       
  Presenting Author: Vassilis Polimenis

Parallel Sessions T3
1:45 - 3:15
T3/B: Options - Burnham         Chair: Katsushige Sawaki
  Universal Exercise Signals for American Options: A New Approach to Optimal Stopping   (Abstract)
  Author(s):  Peter Bank       
  Presenting Author: Peter Bank
  Optimal stopping and American options with discrete dividends and exogenous risk   (Abstract)
  Author(s):  Anna  Battauz, Maurizio Pratelli     
  Presenting Author: Anna Battauz
  Free boundary near the maturity for an American option on several assets   (Abstract)
  Author(s):  Etienne Chevalier       
  Presenting Author: Etienne Chevalier

T3/GB: Options - Grand Ballroom         Chair: Jeremy Staum
  A comparison between the SSRD model and a market model for CDS options pricing   (Abstract)
  Author(s):  Damiano Brigo, Laurent Cousot     
  Presenting Author: Laurent Cousot
  On the Market Price of Volatility   (Abstract)
  Author(s):  Ehud Ronn, James Doran     
  Presenting Author: James Doran
  Monte Carlo Static Replication of Barrier Options   (Abstract)
  Author(s): Emanuele Amerio, Antonio Vulcano, Gianluca Fusai
  Presenting Author: Emanuele Amerio

T3/KA: Interest Rate Modeling - King Arthur         Chair: Steven Shreve
  A Chaotic Approach to Interest Rate Modelling   (Abstract)
  Author(s):  Lane Hughston, Avraam Rafailidis     
  Presenting Author: Avraam Rafailidis
  Nonparametric estimation of the diffusion coefficient via Fourier analysis, with an application to short interest rates   (Abstract)
  Author(s):  Roberto Renò       
  Presenting Author: Roberto Renò
  A Two-Person Game for Pricing Convertible Bonds   (Abstract)
  Author(s):  Mihai Sirbu, Steven E. Shreve     
  Presenting Author: Mihai Sirbu

T3/S: Risk Studies - Sullivan         Chair: Alex Melnikov
  Market Price of Risk Specifications for Affine Models: Theory and Evidence   (Abstract)
  Author(s):  Robert Kimmel, Patrick Cheridito,  Damir Filipovic  
  Presenting Author: Robert Kimmel
  Estimating the Commodity Market Price of Risk for Energy Prices   (Abstract)
  Author(s):  Ehud Ronn, Sergey P. Kolos
  Presenting Author: Ehud I. Ronn
  Liquidity Risk and Corporate Demand for Hedging and Insurance   (Abstract)
  Author(s):  Stephane Villeneuve, Rochet Jean-Charles     
  Presenting Author: Stephan Villeneuve

T3/SC: Optimization Problems - St. Clair         Chair: Xun-Yu Zhou
  Asset Substitution and Debt Renegotiation   (Abstract)
  Author(s):  Christian Riis Flor       
  Presenting Author: Christian Riis Flor
  Asset Allocation with Regime-Switching: Discrete-Time Case   (Abstract)
  Author(s):  Hailiang Yang, Ka Chun Cheung     
  Presenting Author: Hailiang Yang
  Optimal Investments in Markets with Stochastic Opportunity Sets   (Abstract)
  Author(s):  Thaleia Zariphopoulou, Sasha F. Stoikov     
  Presenting Author: Sasha F. Stoikov

T3/W: Statistical Models - Wright         Chair: Andrew Lyasoff
  An empirically efficient cascade calibration of the LIBOR Market Model based only on directly quoted swaption data   (Abstract)
  Author(s):  Damiano Brigo, Massimo Morini     
  Presenting Author: Massimo Morini
  On Covariance Estimation for High-Frequency Financial Data   (Abstract)
  Author(s):  Takaki Hayashi, Nakahiro Yoshida     
  Presenting Author: Takaki Hayashi
  Estimation of Value-at-Risk and Conditional Value-at-Risk for Dynamic Hedging with Jumps   (Abstract)
  Author(s):  Yuji Yamada, James A. Primbs     
  Presenting Author: Yuji Yamada

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

Plenary Session II - Grand Ballroom
3:45 - 5:15

Chair: Vadim Linetsky

A Consumption--Investment Problem with Production Possibilities   (Abstract)
  By: Masaaki Kijima
  Multivariate Extremes and Market Risk Scenarios   (Abstract)
  By: Paul Embrechts

Bachelier Finance Society Membership Meeting
5:30 - 6:30