Wednesday July
21, 2004
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Registration/Information - Empire Ballroom
7:00 - 5:30
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Plenary Session I - Grand Ballroom
8:45 - 10:30 |
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Chair: Monique Jeanblanc
From Measure Changes to Time Changes for Asset Pricing
(Abstract)
By: Helyette Geman
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Capital Structure and the Present Value of a Firm's Investment Opportunities: A Reduced Form Credit Risk Perspective
(Abstract)
By: Robert Jarrow
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Coffee Break - Empire Ballroom
10:30 - 11:00
Poster Presentations W/EB - Empire Ballroom
10:30 - 4:00
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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
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A Structural Model with Jump-Diffusion Processes
(Abstract)
Author(s):
Binh Dao
Presenting Author: Binh Dao
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Dry Markets and Superreplication Bounds of American Derivatives
(Abstract)
Author(s):
João Amaro de Matos, Ana Lacerda
Presenting Author: Ana Lacerda
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Australian Yield Curves and GARCH modelling (Abstract)
Author(s):
Shuling Chen
Presenting Author: Shuling Chen
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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
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Correlation and the Pricing of Risks
(Abstract)
Author(s):
Marc Atlan, Helyette Geman, Dilip B. Madan, Marc Yor
Presenting Author: Marc Atlan
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Parallel Sessions W1
11:00 - 12:30
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W1/B: Stochastic
Volatility - Burnham
Chair: Jorgen Nielsen |
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Maximum Likelihood Estimation of
Latent Affine Processes (Abstract)
Author(s):
David Bates
Presenting Author: David Bates
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Unconditional Return Disturbances:
a non parametric approach (Abstract)
Author(s):
Rita Laura D'Ecclesia, Robert G. Tompkins
Presenting Author: Rita L. D'Ecclesia
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Flexible Complete Models with
Stochastic Volatility: Generalising Hobson and Rogers
(Abstract)
Author(s):
Robert Tompkins, Friedrich Hubalek, Josef
Tiechmann
Presenting Author: Robert
Tompkins
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W1/GB: Options - Grand
Ballroom Chair: Vicky Henderson
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Generalised
Fractional-Black-Scholes Equation: pricing and hedging
(Abstract)
Author(s):
Alvaro Cartea
Presenting Author: Alvaro Cartea
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Exotic Options: Proofs Without
Formulas (Abstract)
Author(s):
Rolf Poulsen
Presenting Author: Rolf Poulsen
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Weak Convergence of Option Quantile
Hedging Strategies (Abstract)
Author(s):
Jean-luc Prigent
Presenting Author: Jean-Luc Prigent
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W1/KA: Interest Rate
Modeling - King Arthur
Chair: Nick Webber |
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A Family Of Term-structure Models
with Stochastic Volatility (Abstract)
Author(s):
Andrew Cairns, Samuel A. Garcia Rosas
Presenting Author: Andrew J. G.
Cairns
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Wiener chaos and the
Cox-Ingersoll-Ross model (Abstract)
Author(s):
Matheus Grasselli, T. R. Hurd
Presenting Author: Matheus Grasselli
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A Theory of stochastic integration
for Bond Markets. (Abstract)
Author(s):
Maurizio Pratelli, Marzia DE DONNO
Presenting Author: Maurizio Pratelli
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W1/S: Financial Models - Sullivan
Chair: Alexander David |
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Incomplete Information,
heterogeneous beliefs and bounded rationality (Abstract)
Author(s):
Tony Berrada
Presenting Author: Tony Berrada
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On the Martingale Measures in
Exponential Levy Models (Abstract)
Author(s):
Andrey Selivanov
Presenting Author: Andrey Selivanov
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Criterions for absolute
continuity and singularity of measures via separating times
(Abstract)
Author(s): Mikhail Urusov, A. Cherny
Presenting Author: Mikhail Urusov
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W1/SC: Continuous Time Models - St. Clair
Chair: Daniel Hernandez-Hernandez |
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On the Starting and Stopping
Problem: Application in reversible investments (Abstract)
Author(s):
Jeanblanc Monique, Hamademe Said
Presenting Author: Jeanblanc Monique
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Completeness of Security Markets
and Backward Stochastic Differential Equations with Unbounded
Coefficients (Abstract)
Author(s):
Jiongmin Yong
Presenting Author: Jiongmin Yong
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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
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| W1/W: Risk and Insurance - Wright
Chair: William Ziemba |
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Reset and Withdrawal Rights
of Dynamic Fund Protection (Abstract)
Author(s):
Chi Chiu Chu, Yue-Kuen KWOK
Presenting Author: Chi Chiu
Chu
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Pension funds with a minimum
guarantee under short selling and borrowing constraints
(Abstract)
Author(s):
Marina Di Giacinto, Fausto Gozzi
Presenting Author: Fausto Gozzi
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Efficient Hedging and
Equity-linked Life Insurance (Abstract)
Author(s):
Alexander Melnikov
Presenting Author: Alexander
Melnikov
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Parallel Sessions W2
2:00 - 3:30
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W2/B: Stochastic
Volatility - Burnham
Chair: Robert Tompkins |
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Tractable Hedging - An
Implementation of Robust Hedging Strategies (Abstract)
Author(s):
Nicole Branger, Antje Mahayni
Presenting Author: Nicole Branger
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Which input in the calibration of a
stochastic volatility model? (Abstract)
Author(s):
Gianna Figà-Talamanca
Presenting Author: Gianna Figà Talamanca
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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
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W2/GB: Options - Grand
Ballroom Chair: Jean-Luc Prigent
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Some results on quadratic hedging
with insider trading (Abstract)
Author(s):
Luciano Campi
Presenting Author: Luciano Campi
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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
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Minimizing Shortfall Risk Using
Duality Approach (Abstract)
Author(s):
Mingxin Xu, Steven Shreve
Presenting Author: Mingxin Xu
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W2/KA: Mortgage
Theory - King Arthur
Chair: Rudiger Frey |
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Valuation of Mortgage-Backed
Securities Based on Unobservable Prepayment Costs (Abstract)
Author(s):
Hidetoshi Nakagawa, Tomoaki Shouda
Presenting Author: Hidetoshi Nakagawa
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An Intensity-Based Approach to
Valuation of Mortgage Contracts Subject to Prepayment Risk
(Abstract)
Author(s):
Yevgeny Goncharov
Presenting Author: Yeygeny Goncharov
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Optimal Mortgage Refinancing with
Endogenous Mortgage Rates (Abstract)
Author(s):
Stanley Pliska
Presenting Author: Stanley R Pliska
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W2/S: Arbitrage
Pricing - Sullivan
Chair: David Hobson |
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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
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General arbitrage pricing model:
probability and possibility approaches (Abstract)
Author(s):
Alexander Cherny
Presenting Author: Alexander Cherny
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Arbitrage pricing
simplified (Abstract)
Author(s):
William Ziemba, M. Kallio
Presenting Author: William Ziemba
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W2/SC: Levy Processes - St.
Clair Chair: Jose Fajardo
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The Levy Libor Model
(Abstract)
Author(s):
Ernst Eberlein, Fehmi Oezkan
Presenting Author: Ernst Eberlein
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A Note on Esscher Transform
Martingale Measures for Geometric Levy Processes (Abstract)
Author(s):
Yoshio Miyahara
Presenting Author: Yoshio Miyahara
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Adjusting the measure change
function in Levy markets (Abstract)
Author(s):
Jens Wannenwetsch
Presenting Author: Jens Wannenwetsch
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W2/W: Financial
Theory - Wright
Chair: Tony Berrada |
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Reservation Prices on Order Driven
Markets (Abstract)
Author(s):
Boyer Cécile
Presenting Author: Boyer Cécile
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Utility maximization for unbounded
processes (Abstract)
Author(s):
Frittelli Marco, Sara Biagini
Presenting Author: Sara Biagini
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An agent market model using
evolutionary game theory (Abstract)
Author(s):
Craig Nolder, Benoit Montin
Presenting Author: Craig Nolder
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Coffee Break - Empire Ballroom
3:30 - 4:00
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Parallel Sessions W3
4:00 - 5:30
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W3/B: Stochastic
Volatility - Burnham
Chair: David Bates |
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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
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Modelling the volatility and
expected value of a diversified world index (Abstract)
Author(s):
Eckhard Platen
Presenting Author: Eckhard Platen
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LIBOR Market Model: from
Deterministic to Stochastic Volatility (Abstract)
Author(s):
Lixin Wu, Fan Zhang
Presenting Author: Lixin Wu
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W3/GB: Hedging - Grand
Ballroom Chair: Mark Owen
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Mean-variance hedging for
discontinuous asset price processes (Abstract)
Author(s):
Takuji Arai
Presenting Author: Takuji Arai
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The Risk of Optimal, Continuously
Rebalanced Hedging Strategies and Its Efficient Evaluation via Fourier
Transform (Abstract)
Author(s):
Ales Cerny
Presenting Author: Ales Cerny
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Linkage between lookback and reset
features (Abstract)
Author(s):
Yue Kuen Kwok, Hoi Ying Wong
Presenting Author: Yue Kuen Kwok
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W3/KA: Interest Rate
Modeling - King Arthur
Chair: Andrew Cairns |
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An Asset Based Model of Defaultable
Convertible Bonds with Endogenised Recovery (Abstract)
Author(s):
Ana Bermudez, Nick Webber
Presenting Author: Nick Webber
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Fractional Heath-Jarrow-Morton
Model (Abstract)
Author(s): Jaya Bishwal
Presenting Author: Jaya Bishwal
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General Quadratic Term Structures of Bond, Forward and Futures Prices (Abstract)
Author(s): Raquel Gaspar
Presenting Author: Raquel Gaspar
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W3/S: Incomplete
Markets - Sullivan
Chair: Bjarne A. Jensen |
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Towards a General Theory of Good
Deal Bounds (Abstract)
Author(s):
Tomas Björk, Irina Slinko
Presenting Author: Tomas Björk
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Heterogenous Beliefs, Trading Risk,
and the Equity Premium (Abstract)
Author(s):
Alexander David
Presenting Author: Alexander David
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Good Deal Bounds for Valuation of
Real and Financial Options (Abstract)
Author(s):
Jeremy Staum
Presenting Author: Jeremy Staum
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W3/SC: Levy Processes - St.
Clair Chair: Ernst Eberlein
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Duality and Derivative Pricing with
Lévy Processes (Abstract)
Author(s):
José Fajardo, Ernesto Mordecki
Presenting Author: José Fajardo
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Nonparametric estimation of
Exponential Levy Models for asset prices (Abstract)
Author(s):
Jose Figueroa-Lopez, Christian Houdre
Presenting Author: Jose E.
Figueroa-Lopez
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Symmetries and Pricing of exotic
options in Levy models (Abstract)
Author(s):
Antonis Papapantoleon, Ernst Eberlein
Presenting Author: Antonis
Papapantoleon
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W3/W: Simulation - Wright
Chair: Wolfgang Stummer |
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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
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Malliavin Monte Carlo Greeks for
Jump Diffusions (Abstract)
Author(s):
Mark Davis, Martin Johansson
Presenting Author: Martin Johansson
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Evaluating the Switching Options by
Simulation (Abstract)
Author(s):
Junichi Imai
Presenting Author: Junichi Imai
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Reception - Renaissance Ballroom
5:30 - 7:00
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