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
|