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

Wednesday July 21, 2004

Registration/Information - Empire Ballroom
7:00 - 5:30
Plenary Session I - Grand Ballroom
8:45 - 10:30

Chair: Monique Jeanblanc

From Measure Changes to Time Changes for Asset Pricing   (Abstract)
  By:  Helyette Geman
  Capital Structure and the Present Value of a Firm's Investment Opportunities: A Reduced Form Credit Risk Perspective   (Abstract)
  By:  Robert Jarrow

Coffee Break - Empire Ballroom
10:30 - 11:00

Poster Presentations W/EB - Empire Ballroom
10:30 - 4:00
  A Comparison of Markov-Functional and Market Models: The One-Dimensional Case   (Abstract)
  Author(s):  Michael N. Bennett, Joanne E. Kennedy
  Presenting Author: Michael N. Bennett
  A Structural Model with Jump-Diffusion Processes   (Abstract)
  Author(s):  Binh Dao   
  Presenting Author: Binh Dao
  Dry Markets and Superreplication Bounds of American Derivatives   (Abstract)
  Author(s):  João Amaro de Matos, Ana Lacerda
  Presenting Author: Ana Lacerda
  Australian Yield Curves and GARCH modelling   (Abstract)
  Author(s):  Shuling Chen
  Presenting Author: Shuling Chen
  Backward Stochastic Differential Equations with Enlarged Filtration - Option hedging of an insider trader in a financial market with Jumps   (Abstract)
  Author(s):  Anne Eyraud-Loisel
  Presenting Author: Anne Eyraud-Loisel
  Correlation and the Pricing of Risks   (Abstract)
  Author(s):  Marc Atlan, Helyette Geman, Dilip B. Madan, Marc Yor
  Presenting Author: Marc Atlan

Parallel Sessions W1
11:00 - 12:30
W1/B: Stochastic Volatility - Burnham         Chair: Jorgen Nielsen
  Maximum Likelihood Estimation of Latent Affine Processes   (Abstract)
  Author(s):  David Bates       
  Presenting Author: David Bates
  Unconditional Return Disturbances: a non parametric approach   (Abstract)
  Author(s):  Rita Laura D'Ecclesia,  Robert G. Tompkins     
  Presenting Author: Rita L. D'Ecclesia
  Flexible Complete Models with Stochastic Volatility: Generalising Hobson and Rogers   (Abstract)
  Author(s):  Robert  Tompkins, Friedrich Hubalek,  Josef Tiechmann  
  Presenting Author: Robert Tompkins

W1/GB: Options - Grand Ballroom         Chair: Vicky Henderson
  Generalised Fractional-Black-Scholes Equation: pricing and hedging   (Abstract)
  Author(s):  Alvaro Cartea       
  Presenting Author: Alvaro Cartea
  Exotic Options: Proofs Without Formulas   (Abstract)
  Author(s):  Rolf Poulsen       
  Presenting Author: Rolf Poulsen
  Weak Convergence of Option Quantile Hedging Strategies   (Abstract)
  Author(s):  Jean-luc Prigent       
  Presenting Author: Jean-Luc Prigent

W1/KA: Interest Rate Modeling - King Arthur         Chair: Nick Webber
  A Family Of Term-structure Models with Stochastic Volatility   (Abstract)
  Author(s):  Andrew Cairns, Samuel A. Garcia Rosas     
  Presenting Author: Andrew J. G. Cairns
  Wiener chaos and the Cox-Ingersoll-Ross model   (Abstract)
  Author(s):  Matheus Grasselli, T. R. Hurd     
  Presenting Author: Matheus Grasselli
  A Theory of stochastic integration for Bond Markets.   (Abstract)
  Author(s):  Maurizio Pratelli, Marzia DE DONNO     
  Presenting Author: Maurizio Pratelli

W1/S: Financial Models - Sullivan         Chair: Alexander David
  Incomplete Information, heterogeneous beliefs and bounded rationality   (Abstract)
  Author(s):  Tony Berrada       
  Presenting Author: Tony Berrada
  On the Martingale Measures in Exponential Levy Models   (Abstract)
  Author(s):  Andrey Selivanov       
  Presenting Author: Andrey Selivanov

  Criterions for absolute continuity and singularity of measures via separating times   (Abstract)
  Author(s): Mikhail Urusov, A. Cherny     
  Presenting Author: Mikhail Urusov
W1/SC: Continuous Time Models - St. Clair         Chair: Daniel Hernandez-Hernandez
  On the Starting and Stopping Problem: Application in reversible investments   (Abstract)
  Author(s):  Jeanblanc Monique, Hamademe Said     
  Presenting Author: Jeanblanc Monique
  Completeness of Security Markets and Backward Stochastic Differential Equations with Unbounded Coefficients   (Abstract)
  Author(s):  Jiongmin  Yong
  Presenting Author: Jiongmin Yong
  Mean--Risk Portfolio Selection Models in Continuous Time Regime Switching: A Continuous-Time Model   (Abstract)
  Author(s):  Xun Yu  Zhou, George Yin     
  Presenting Author: Xun Yu Zhou

W1/W: Risk and Insurance - Wright         Chair: William Ziemba
  Reset and Withdrawal Rights of Dynamic Fund Protection   (Abstract)
  Author(s):  Chi Chiu Chu, Yue-Kuen KWOK     
  Presenting Author: Chi Chiu Chu
  Pension funds with a minimum guarantee under short selling and borrowing constraints   (Abstract)
  Author(s):  Marina Di Giacinto, Fausto Gozzi     
  Presenting Author: Fausto Gozzi
  Efficient Hedging and Equity-linked Life Insurance   (Abstract)
  Author(s):  Alexander Melnikov       
  Presenting Author: Alexander Melnikov

Parallel Sessions W2
2:00 - 3:30
W2/B: Stochastic Volatility - Burnham         Chair: Robert Tompkins
  Tractable Hedging - An Implementation of Robust Hedging Strategies   (Abstract)
  Author(s):  Nicole Branger, Antje Mahayni     
  Presenting Author: Nicole Branger
  Which input in the calibration of a stochastic volatility model?   (Abstract)
  Author(s):  Gianna Figà-Talamanca       
  Presenting Author: Gianna Figà Talamanca
  A new jump-diffusion model and performances of affine stochastic volatility models for equity emerging markets   (Abstract)
  Author(s):  Rosanna Pezzo and Mariacristina Uberti   
  Presenting Author: Rosanna Pezzo

W2/GB: Options - Grand Ballroom         Chair: Jean-Luc Prigent
  Some results on quadratic hedging with insider trading   (Abstract)
  Author(s):  Luciano Campi
  Presenting Author: Luciano Campi
  A numerical study of the smile effect in implied volatilities induced by a nonlinear feedback model   (Abstract)
  Author(s):  Simona Sanfelici, Maria Elvira Mancino, Shigeyoshi Ogawa
  Presenting Author: Simona Sanfelici
  Minimizing Shortfall Risk Using Duality Approach   (Abstract)
  Author(s):  Mingxin Xu, Steven Shreve
  Presenting Author: Mingxin Xu

W2/KA: Mortgage Theory - King Arthur         Chair: Rudiger Frey
  Valuation of Mortgage-Backed Securities Based on Unobservable Prepayment Costs   (Abstract)
  Author(s):  Hidetoshi Nakagawa, Tomoaki Shouda     
  Presenting Author: Hidetoshi Nakagawa
  An Intensity-Based Approach to Valuation of Mortgage Contracts Subject to Prepayment Risk   (Abstract)
  Author(s):  Yevgeny Goncharov       
  Presenting Author: Yeygeny Goncharov
  Optimal Mortgage Refinancing with Endogenous Mortgage Rates   (Abstract)
  Author(s):  Stanley Pliska       
  Presenting Author: Stanley R Pliska

W2/S: Arbitrage Pricing - Sullivan         Chair: David Hobson
  On valuation before and after tax in no arbitrage models:Tax neutrality in the continuous time model   (Abstract)
  Author(s):  Bjarne Astrup Jensen       
  Presenting Author: Bjarne Astrup Jensen
  General arbitrage pricing model: probability and possibility approaches   (Abstract)
  Author(s):  Alexander Cherny       
  Presenting Author: Alexander Cherny
  Arbitrage pricing simplified   (Abstract)
  Author(s):  William Ziemba, M. Kallio     
  Presenting Author: William Ziemba

W2/SC: Levy Processes - St. Clair         Chair: Jose Fajardo
  The Levy Libor Model   (Abstract)
  Author(s):  Ernst Eberlein, Fehmi Oezkan     
  Presenting Author: Ernst Eberlein
  A Note on Esscher Transform Martingale Measures for Geometric Levy Processes   (Abstract)
  Author(s):  Yoshio Miyahara       
  Presenting Author: Yoshio Miyahara
  Adjusting the measure change function in Levy markets   (Abstract)
  Author(s):  Jens Wannenwetsch       
  Presenting Author: Jens Wannenwetsch

W2/W: Financial Theory - Wright         Chair: Tony Berrada
  Reservation Prices on Order Driven Markets   (Abstract)
  Author(s):  Boyer Cécile       
  Presenting Author: Boyer Cécile
  Utility maximization for unbounded processes   (Abstract)
  Author(s):  Frittelli Marco, Sara Biagini     
  Presenting Author: Sara Biagini
  An agent market model using evolutionary game theory   (Abstract)
  Author(s):  Craig Nolder, Benoit Montin     
  Presenting Author: Craig Nolder

Coffee Break - Empire Ballroom
3:30 - 4:00

Parallel Sessions W3
4:00 - 5:30
W3/B: Stochastic Volatility - Burnham         Chair: David Bates
  The futures market model and no-arbitrage conditions on the volatility   (Abstract)
  Author(s):  Jorgen Aase Nielsen, Kristian R. Miltersen,  Klaus Sandmann  
  Presenting Author: Jorgen Aase Nielsen
  Modelling the volatility and expected value of a diversified world index   (Abstract)
  Author(s):  Eckhard Platen       
  Presenting Author: Eckhard Platen
  LIBOR Market Model: from Deterministic to Stochastic Volatility   (Abstract)
  Author(s):  Lixin Wu, Fan Zhang     
  Presenting Author: Lixin Wu

W3/GB: Hedging - Grand Ballroom         Chair: Mark Owen
  Mean-variance hedging for discontinuous asset price processes   (Abstract)
  Author(s):  Takuji Arai       
  Presenting Author: Takuji Arai
  The Risk of Optimal, Continuously Rebalanced Hedging Strategies and Its Efficient Evaluation via Fourier Transform   (Abstract)
  Author(s):  Ales Cerny       
  Presenting Author: Ales Cerny
  Linkage between lookback and reset features   (Abstract)
  Author(s):  Yue Kuen Kwok, Hoi Ying Wong     
  Presenting Author: Yue Kuen Kwok

W3/KA: Interest Rate Modeling - King Arthur         Chair: Andrew Cairns
  An Asset Based Model of Defaultable Convertible Bonds with Endogenised Recovery   (Abstract)
  Author(s):  Ana Bermudez, Nick Webber     
  Presenting Author: Nick Webber
  Fractional Heath-Jarrow-Morton Model   (Abstract)
  Author(s): Jaya Bishwal
  Presenting Author: Jaya Bishwal
  General Quadratic Term Structures of Bond, Forward and Futures Prices   (Abstract)
  Author(s): Raquel Gaspar
  Presenting Author: Raquel Gaspar

W3/S: Incomplete Markets - Sullivan         Chair: Bjarne A. Jensen
  Towards a General Theory of Good Deal Bounds   (Abstract)
  Author(s):  Tomas Björk, Irina Slinko     
  Presenting Author: Tomas Björk
  Heterogenous Beliefs, Trading Risk, and the Equity Premium   (Abstract)
  Author(s):  Alexander David       
  Presenting Author: Alexander David
  Good Deal Bounds for Valuation of Real and Financial Options   (Abstract)
  Author(s):  Jeremy Staum       
  Presenting Author: Jeremy Staum

W3/SC: Levy Processes - St. Clair         Chair: Ernst Eberlein
  Duality and Derivative Pricing with Lévy Processes   (Abstract)
  Author(s):  José Fajardo, Ernesto Mordecki     
  Presenting Author: José Fajardo
  Nonparametric estimation of Exponential Levy Models for asset prices   (Abstract)
  Author(s):  Jose Figueroa-Lopez, Christian Houdre     
  Presenting Author: Jose E. Figueroa-Lopez
  Symmetries and Pricing of exotic options in Levy models   (Abstract)
  Author(s):  Antonis Papapantoleon, Ernst Eberlein     
  Presenting Author: Antonis Papapantoleon

W3/W: Simulation - Wright         Chair: Wolfgang Stummer
  Monte Carlo method using Malliavin calculus on Poisson space for the computation of Greeks.   (Abstract)
  Author(s):  Marie-Pierre Bavouzet-Morel, Vlad Bally,  Marouen Messaoud  
  Presenting Author: Marie-Pierre Bavouzet-Morel
  Malliavin Monte Carlo Greeks for Jump Diffusions   (Abstract)
  Author(s):  Mark Davis, Martin Johansson
  Presenting Author: Martin Johansson
  Evaluating the Switching Options by Simulation   (Abstract)
  Author(s):  Junichi Imai       
  Presenting Author: Junichi Imai

Reception - Renaissance Ballroom
5:30 - 7:00