BACHELIER
FINANCE SOCIETY Third World Congress 
July 2124, 2004
Venue: InterContinental Hotel, Chicago, Illinois. Organizer: Stanley R Pliska, University of Illinois at Chicago 
Presenting Author 
Article Title 
Session Title 
Room 
DaySession/Rm. 
Aihara, Shin Ichi  Optimal Portfolio Control for Parabolic Type Infinitedimensional Factor Model with Power Utility 
Utility Theory 
Wright 
F2/W 
Amerio, Emanuele  Monte Carlo Static Replication of Barrier Options 
Options 
Grand Ballroom 
T3/GB 
Arai, Takuji  Meanvariance hedging for discontinuous asset price processes 
Hedging 
Grand Ballroom 
W3/GB 
Astic, Fabian  No Arbitrage Conditions and Liquidity 
Risk Studies 
Sullivan 
T2/S 
Astrup Jensen, Bjarne  On valuation before and after tax in no arbitrage models:Tax neutrality in the continuous time model 
Arbitrage Pricing 
Sullivan 
W2/S 
Atlan, Marc  Correlation and the Pricing of Risks 

Empire Ballroom 
W/EB 
Audrino, Francesco  Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 
Volatility 
Burnham 
S1/B 
Baccarin, Stefano  Optimal impulse control for a multidimensional cash management system with nonlinear cost functions 
Optimization Problems 
St. Clair 
T1/SC 
Bank, Peter  Universal Exercise Signals for American Options: A New Approach to Optimal Stopping 
Options 
Burnham 
T3/B 
Bates, David  Maximum Likelihood Estimation of Latent Affine Processes 
Stochastic Volatility 
Burnham 
W1/B 
Battauz, Anna  Optimal stopping and American options with discrete dividends and exogenous risk 
Options 
Burnham 
T3/B 
BavouzetMorel, MariePierre  Monte Carlo method using Malliavin calculus on Poisson space for the computation of Greeks. 
Simulation 
Wright 
W3/W 
Bayraktar, Erhan  Quickest Detection of the Poisson Disorder with Exponential Delay Cost 
Statistical Models 
Wright 
T2/W 
Bender, Christian  Arbitrage in a Discrete Version of the Wick Fractional BlackScholes Market 
Brownian Motion Models 
Wright 
S1/W 
Bennett, Michael  A Comparison of MarkovFunctional and Market Models: The OneDimensional Case 

Empire Ballroom 
W/EB 
Benth, Fred Espen  Modelling of spot and futures contracts in markets for electricity and weather 
Electricity Risk 
Sullivan 
S1/S 
Berndt, Antje  Measuring Default Risk Premia from Default Swap Rates and EDFs 
Credit Risk 
King Arthur 
S1/KA 
Berrada, Tony  Incomplete Information, heterogeneous beliefs and bounded rationality 
Financial Models 
Sullivan 
W1/S 
Bielecki, Tomasz  Replication and MeanVariance Approaches to Pricing and Hedging of Credit Risk 
Credit Risk 
King Arthur 
F3/KA 
Bishwal, Jaya  Fractional HeathJarrowMorton Model 
Interest Rate Modeling 
King Arthur 
W3/KA 
Björk, Tomas  Towards a General Theory of Good Deal Bounds 
Incomplete Markets 
Sullivan 
W3/S 
Borovkova, Svetlana  Modelling forward curves for seasonal commodities 
Commodity Futures 
Sullivan 
S2/S 
Boyle, Phelim  Stochastic Volatility Models: a Large Deviation Approach 
Volatility 
Burnham 
S1/B 
Branger, Nicole  Tractable Hedging  An Implementation of Robust Hedging Strategies 
Stochastic Volatility 
Burnham 
W2/B 
Brockhaus, Oliver  A Complete Market Model for Implied Volatility 
Volatility 
Burnham 
S3/B 
Buckley, Ian  Entropic Calibration Revisited 
Options 
Grand Ballroom 
F2/GB 
Bugera, Vladimir  Classification Using Optimization: Application to Credit Ratings of Bonds 

Empire Ballroom 
S/EB 
Cadenillas, Abel  Optimal Dividend Policy with MeanReverting Cash Reservoir 
Optimization Problems 
St. Clair 
T1/SC 
Cairns, Andrew  A Family Of Termstructure Models with Stochastic Volatility 
Interest Rate Modeling 
King Arthur 
W1/KA 
Campi, Luciano  Some results on quadratic hedging with insider trading 
Options 
Grand Ballroom 
W2/GB 
Cartea, Alvaro  Generalised FractionalBlackScholes Equation: pricing and hedging 
Options 
Grand Ballroom 
W1/GB 
Cécile, Boyer  Reservation Prices on Order Driven Markets 
Financial Theory 
Wright 
W2/W 
Cerny, Ales  The Risk of Optimal, Continuously Rebalanced Hedging Strategies and Its Efficient Evaluation via Fourier Transform 
Hedging 
Grand Ballroom 
W3/GB 
Cerqueti, Roy  optimal financing policies via a stochastic control problem with exit time 
Optimization Problems 
St. Clair 
F2/SC 
Chazal, Marie  Gooddeal equilibrium pricing bounds on option prices 
Options 
Grand Ballroom 
F3/GB 
Chekhlov, Alexei  Drawdown Measure in Portfolio Optimization 
Risk Management 
Sullivan 
F3/S 
Chen, Chen  Time Series Properties of CrossSectional Equity Returns 
Statistical Models 
Wright 
T2/W 
Chen, Li  On Modeling FirmSpecific Correlations between Bonds and Stocks 
Credit Risk 
King Arthur 
S2/KA 
Chen, Shuling  Australian Yield Curves and GARCH modelling 

Empire Ballroom 
W/EB 
Cherny, Alexander  General arbitrage pricing model: probability and possibility approaches 
Arbitrage Pricing 
Sullivan 
W2/S 
Cherubini, Umberto  Pricing Swap Credit Risk with Copulas 
Credit Risk 
King Arthur 
S3/KA 
Chevalier, Etienne  Free boundary near the maturity for an American option on several assets 
Options 
Burnham 
T3/B 
Christensen, Morten Mosegaard  A General Benchmark Model for Stochastic Jump Sizes 
Optimization Problems 
St. Clair 
F2/SC 
Chu, Chi Chiu  Reset and Withdrawal Rights of Dynamic Fund Protection 
Risk and Insurance 
Wright 
W1/W 
Constantinides, George  Mispricing of S&P 500 Index Options 
Volatility 
Burnham 
S3/B 
Cosimano, Thomas  By Force of Habit: An Exploration of Asset Pricing Models using Analytic Methods. 
Financial Models 
Wright 
S3/W 
Cousot, Laurent  A comparison between the SSRD model and a market model for CDS options pricing 
Options 
Grand Ballroom 
T3/GB 
Cvitanic, Jaksa  Optimal Contracts and PrincipalAgent Problems in Continuous Time 
Optimization Problems 
St. Clair 
T1/SC 
Dahlgren, Martin  The Swing option on the stock market 
Options 
Burnham 
T2/B 
Dao, Binh  A Structural Model with JumpDiffusion Processes 

Empire Ballroom 
W/EB 
David, Alexander  Heterogenous Beliefs, Trading Risk, and the Equity Premium 
Incomplete Markets 
Sullivan 
W3/S 
De Giorgi, Enrico  Riskreward portfolio selection and stochastic dominance 
Risk Management 
Sullivan 
F1/S 
Decamps, Marc  A Self exciting threshold term structure model 
Interest Rate Modeling 
King Arthur 
T2/KA 
D'Ecclesia , Rita Laura  Unconditional Return Disturbances: a non parametric approach 
Stochastic Volatility 
Burnham 
W1/B 
Deelstra, Griselda  Option valuation in a nonaffine stochastic volatility jump diffusion model 
Volatility 
Burnham 
S2/B 
Dobric, Vladimir  An algorithm for early detection of volatility change 
Brownian Motion Models 
Wright 
S1/W 
Doran, James  On the Market Price of Volatility 
Options 
Grand Ballroom 
T3/GB 
Dostal, Petr  Asymptotic Analysis of Portfolio Trading with Transaction Costs 
Optimal Portfolios 
St. Clair 
S3/SC 
Dufresne, Daniel  The lognormal approximation in financial computations 
Brownian Motion Models 
Wright 
S2/W 
Eberlein, Ernst  The Levy Libor Model 
Levy Processes 
St. Clair 
W2/SC 
Egami, Masahiko  Optimal Stopping Problems for Asset Management 
Optimization Problems 
St. Clair 
T2/SC 
Ekström, Erik  Convexity of the optimal stopping boundary for the American put option 

Empire Ballroom 
F/EB 
Elliott, Robert  Pricing Claims on Non Tradable Assets 
Utility Theory 
Wright 
F2/W 
Eriksson, Jonatan  Properties of European and American barrier options 
Volatility 
Burnham 
S2/B 
Evers, Ingmar  A Series Solution for Bermudan Options 
Options 
Grand Ballroom 
F1/GB 
EyraudLoisel, Anne  Backward Stochastic Differential Equations with Enlarged Filtration  Option hedging of an insider trader in a financial market with Jumps 

Empire Ballroom 
W/EB 
Fajardo, José  Duality and Derivative Pricing with Lévy Processes 
Levy Processes 
St. Clair 
W3/SC 
Feng, Liming  On the Valuation of Options in Jumpdiffusion Models by Variational Methods 
Options 
Grand Ballroom 
S3/GB 
FigàTalamanca, Gianna  Which input in the calibration of a stochastic volatility model? 
Stochastic Volatility 
Burnham 
W2/B 
FigueroaLopez, Jose  Nonparametric estimation of Exponential Levy Models for asset prices 
Levy Processes 
St. Clair 
W3/SC 
Filipovic, Damir  Credit Derivatives in an Affine Framework 
Credit Risk 
King Arthur 
S2/KA 
Firth, Neil  High Dimensional Radial Barrier Options 
American Options 
Burnham 
F2/B 
Fisher, Mark  An anlysis of the doubling strategy: The countable case 

Empire Ballroom 
T/EB 
Flor, Christian Riis  Asset Substitution and Debt Renegotiation 
Optimization Problems 
St. Clair 
T3/SC 
Fouque, JeanPierre  Default and Volatility Time Scales 
Credit Risk 
King Arthur 
S3/KA 
Frey, Rudiger  Markov Models for Interacting Defaults and Counterparty Risk 
Credit Risk 
King Arthur 
F3/KA 
Friedman, Craig  A Financial Approach to Machine Learning with Applications to Credit Risk 
Credit Risk 
King Arthur 
F2/KA 
Gallmeyer, Michael  Liquidity Discovery and Asset Pricing 
Risk Studies 
Sullivan 
T2/S 
Gapeev, Pavel  The lookback American option with finite horizon 

Empire Ballroom 
F/EB 
Gaspar, Raquel  General Quadratic Term Structures of Bond, Forward and Futures Prices 
Interest Rate Modeling 
King Arthur 
W3/KA 
Gaussel, Nicolas  Bridging the Gap Between Financial and Actuarial Pricing 

Empire Ballroom 
T/EB 
Giampieri, Giacomo  A Hidden Markov Model of Default Interaction 
Credit Risk 
King Arthur 
F1/KA 
Giesecke, Kay  The Market Price of Credit Risk 
Credit Risk 
King Arthur 
S1/KA 
GilBazo, Javier  Beyond Single Factor Affine Term Structure Models 
Financial Models 
Wright 
S3/W 
Goncharov, Yevgeny  An IntensityBased Approach to Valuation of Mortgage Contracts Subject to Prepayment Risk 
Mortgage Theory 
King Arthur 
W2/KA 
Gozzi, Fausto  Pension funds with a minimum guarantee under short selling and borrowing constraints 
Risk and Insurance 
Wright 
W1/W 
Grasselli, Martino  Impulse Response Analysis and Immunization in Affine Term Structure Models 
Interest Rate Modeling 
King Arthur 
T1/KA 
Grasselli, Matheus  Wiener chaos and the CoxIngersollRoss model 
Interest Rate Modeling 
King Arthur 
W1/KA 
Grau, Andreas  Accelerating Monte Carlo Pricing of Path Dependent Options 

Empire Ballroom 
F/EB 
Guasoni, Paolo  Necessary Conditions for the Existence of Utility Maximizing Strategies under Transaction Costs 
Transaction Costs 
Wright 
F3/W 
Gundel, Anne  Robust Utility Maximization for Complete and Incomplete Market Models 
Utility Theory 
Wright 
F1/W 
Haussmann, Ulrich  Explicit solution of a stochastic irreversible investment problem and its moving threshold 
Optimal Investment 
St. Clair 
S1/SC 
Hayashi, Takaki  On Covariance Estimation for HighFrequency Financial Data 
Statistical Models 
Wright 
T3/W 
Henderson, Vicky  Valuing Real Options without a Perfect Spanning Asset 
Options 
Burnham 
T1/B 
HernandezHernandez, Daniel  On the tradeoff between consumption and investment in incomplete financial markets 
Optimal Consumption 
St. Clair 
F1/SC 
Hinz, Juri  Pricing electricity risk by interest rate methods 
Electricity Risk 
Sullivan 
S1/S 
Hobson, David  ArbitrageFree bounds for basket options 
Replication 
Grand Ballroom 
T2/GB 
Hoerfelt, Per  The integral of a geometric Brownian motion is indeterminate by its moments 
Statistical Models 
Wright 
T1/W 
Horst, Ulrich  Stochastic Cascades, Credit Contagion, and Large Portfolio 
Credit Risk 
King Arthur 
S3/KA 
Houngbedji, Aurele  Valuation of European Call Options with Transaction Costs under Jump Diffusion Process 

Empire Ballroom 
T/EB 
Howison, Sam  Matched asymptotic expansions for discretely sampled barrier options 
Options 
Grand Ballroom 
F1/GB 
Huang, MingXi  Modelling Term Structures of Default Probability by Structural Model with Timedependent Target Leverage Ratios 

Empire Ballroom 
F/EB 
Hurd, Tom  Indifference pricing for reciprocal affine stochastic volatility models 
Volatility 
Burnham 
F3/B 
Ilhan, Aytac  Optimal StaticDynamic Hedges for Barrier Options 
Options 
Burnham 
T1/B 
Imai, Junichi  Evaluating the Switching Options by Simulation 
Simulation 
Wright 
W3/W 
Janecek, Karel  Futures Trading Model with Transaction Costs 
Optimal Consumption 
St. Clair 
F1/SC 
Jang, Jiwook  Measuring default premium using the Cox process with shot noise intensity 
Credit Risk 
King Arthur 
S1/KA 
Jensen, Malene  Invariance Tests of Forward Rate Models 
Interest Rate Modeling 
King Arthur 
T2/KA 
Jin, Hanqing  ContinuousTime MeanVariance Portfolio Selection with Bankruptcy 
Optimal Investment 
St. Clair 
S1/SC 
Johansson, Martin  Malliavin Monte Carlo Greeks for Jump Diffusions 
Simulation 
Wright 
W3/W 
Jostova, Gergana  Bayesian Analysis of Stochastic Betas 
Risk Management 
Sullivan 
F3/S 
Jules, Sadefo Kamdem  VaR and ES for linear Portfolios with mixture of elliptically distributed risk factors 

Empire Ballroom 
S/EB 
Kampen, Joerg  On Asymptotic Pricing of securities in a multivariate extension of Scotts stochastic volatility model 
Volatility 
Burnham 
F3/B 
Kelly, Michael  Computational Solution of the American Put using the Moving Free Boundary Method 
American Options 
Burnham 
F1/B 
Keppo, Jussi  Optimal bank capital with costly recapitalization 
Optimization Problems 
St. Clair 
T2/SC 
Khaliq, Abdul  A parallel time stepping approach using meshfree approximations for pricing options with nonsmooth payoffs 
Options 
Grand Ballroom 
S3/GB 
Kholodnyi, Valery  Valuation and Hedging of PowerSensitive Contingent Claims for Power with Spikes: a NonMarkovian Approach 
Electricity/Environmental Risks 
Sullivan 
S3/S 
Kimmel, Robert  Market Price of Risk Specifications for Affine Models: Theory and Evidence 
Risk Studies 
Sullivan 
T3/S 
Kliakhandler, Igor  Intraday options trading and liquidation scenarios 

Empire Ballroom 
T/EB 
Kluge, Tino  Pricing Options in Electricity Markets 
Electricity Risk 
Sullivan 
S1/S 
Kodera, Jan  Capital Stock Assessment with Three Equation Dynamic Model 

Empire Ballroom 
T/EB 
Krekel, Martin  Optimal Portfolios with fixed consumption and income streams 
Optimization Problems 
St. Clair 
F3/SC 
Kuehn, Christoph  Neutral Derivative Pricing in Incomplete Markets 
Options 
Burnham 
T1/B 
Kwok, Yue Kuen  Linkage between lookback and reset features 
Hedging 
Grand Ballroom 
W3/GB 
Lacerda, Ana  Dry Markets and Superreplication Bounds of American Derivatives 

Empire Ballroom 
W/EB 
Larsen, Kasper  Optimal Portfolio Delegation when Parties have different Coefficients of Risk Aversion 
Risk Studies 
Sullivan 
T2/S 
Lawi, Stephan  Generating Functions for Stochastic Integrals 
Financial Models 
Wright 
S3/W 
Lazrak, Ali  Sharpe Ratio as a Performance Measure in a MultiPeriod Setting 
Optimal Portfolios 
St. Clair 
S3/SC 
Lee, Roger  Robust Replication of Volatility Derivatives 
Volatility 
Burnham 
S1/B 
Leung, Seng Yuen  A General Pricing Model for Timechanged Levy Processes 

Empire Ballroom 
T/EB 
Levendorskiy, Sergey  The American put and European options near expiry, under Levy processes 
American Options 
Burnham 
F1/B 
Levin, Alex  MeanReverting and CoIntegrated Energy Futures Curve Models for Pricing and Risk Management 
Commodity Futures 
Sullivan 
S2/S 
Lim, Andrew  Meanvariance hedging when there are jumps 
Credit Risk 
King Arthur 
F3/KA 
Linetsky, Vadim  The Spectral Decomposition of the Option Value 
Options 
Grand Ballroom 
S1/GB 
Lo, ChiFai  Pricing Vulnerable European Options with Stochastic Default Barriers 
Credit Risk 
King Arthur 
F1/KA 
Lyasoff, Andrew  Geometric Brownian Motion of Skorohod Type as a Canonical Model for Assets with Correlated Returns and Heavy Tails 
Statistical Models 
Wright 
T1/W 
MacLean, Leonard  Risk Control of Dynamic Investment Models 
Optimal Portfolios 
St. Clair 
S2/SC 
Maller, Ross  A Multinomial Approximation of American Option Prices in a Levy Process Model 
Options 
Grand Ballroom 
T1/GB 
Man, Po Kong  Measuring Provisions for Collateralised Retail Lending 

Empire Ballroom 
S/EB 
Mancini, Cecilia  Detecting the presence of a diffusion in asset prices 
Brownian Motion Models 
Wright 
S2/W 
Mancino, Maria Elvira  Harmonic analysis methods for volatility computation 
Options 
Grand Ballroom 
S2/GB 
Marcozzi, Michael  Continuous time option valuation with discrete hedging subject to transaction costs and trading delays 
Options 
Grand Ballroom 
F2/GB 
Masetti, Massimo  Hedging under the Minimal Potential Measures 
Options 
Burnham 
T2/B 
Mastinsek, Miklavz  The Discrete BlackScholes Partial Differential Equation 

Empire Ballroom 
F/EB 
Maull, Tim  Portfolio Selection with Transaction Costs and Delays 

Empire Ballroom 
F/EB 
Medvedev, Alexey  A simple calibration procedure of stochastic volatility models with jumps by short term asymptotics 
Volatility 
Burnham 
S2/B 
Melnikov, Alexander  Efficient Hedging and Equitylinked Life Insurance 
Risk and Insurance 
Wright 
W1/W 
Miyahara, Yoshio  A Note on Esscher Transform Martingale Measures for Geometric Levy Processes 
Levy Processes 
St. Clair 
W2/SC 
Monique, Jeanblanc  On the Starting and Stopping Problem: Application in reversible investments 
Continuous Time Models 
St. Clair 
W1/SC 
Moore, Kristen  Optimal Asset Allocation and RuinMinimization Annuitization Strategies 
Optimization Problems 
St. Clair 
F2/SC 
Moreni, Nicola  Pricing American Options: a Variance Reduction Technique for the LongstaffSchwartz Algorithm 
Options 
Grand Ballroom 
T1/GB 
Morini, Massimo  An empirically efficient cascade calibration of the LIBOR Market Model based only on directly quoted swaption data 
Statistical Models 
Wright 
T3/W 
Nagaradjasarma, Jayalaxshmi  Squareroot process and Asian options 
Options 
Grand Ballroom 
S1/GB 
Nakagawa, Hidetoshi  Valuation of MortgageBacked Securities Based on Unobservable Prepayment Costs 
Mortgage Theory 
King Arthur 
W2/KA 
Ng, Chi Tim  Fractional Volatility Models and Malliavin Calculus 
Volatility 
Burnham 
F3/B 
Nielsen, Jorgen Aase  The futures market model and noarbitrage conditions on the volatility 
Stochastic Volatility 
Burnham 
W3/B 
Nogueiras, Maria R  Higher order numerical algorithms for the solution of some pathdependent options pricing problems 
Optimal Portfolios 
St. Clair 
S2/SC 
Nolder, Craig  An agent market model using evolutionary game theory 
Financial Theory 
Wright 
W2/W 
Owen, Mark  On Utility Based Super Replication Prices 
Replication 
Grand Ballroom 
T2/GB 
Pacurar, Maria  On testing for duration clustering and diagnostic checking of models for irregularly spaced transaction data 

Empire Ballroom 
S/EB 
Pang, Tao  A stochastic control model of investment, production and consumption 

Empire Ballroom 
S/EB 
Papapantoleon, Antonis  Symmetries and Pricing of exotic options in Levy models 
Levy Processes 
St. Clair 
W3/SC 
Parrott, Arthur Kevin  SemiLagrange Time Integration for PDE Models of Asian Options 

Empire Ballroom 
S/EB 
Pezzo, Rosanna  A new jumpdiffusion model and performances of affine stochastic volatility models for equity emerging markets 
Stochastic Volatility 
Burnham 
W2/B 
Pirvu, Traian  Satisfying Convex Risk Limits by Trading 
Risk Management 
Sullivan 
F1/S 
Platen, Eckhard  Modelling the volatility and expected value of a diversified world index 
Stochastic Volatility 
Burnham 
W3/B 
Pliska, Stanley  Optimal Mortgage Refinancing with Endogenous Mortgage Rates 
Mortgage Theory 
King Arthur 
W2/KA 
Polimenis, Vassilis  The Critical Kurtosis Value and Skewness Correction 
Statistical Models 
Wright 
T2/W 
Popovici, Stefan Alex  Analysis of equilibrium financial markets in continuous time 

Empire Ballroom 
T/EB 
Porte, Vincent  Efficient trading strategies with transactions costs 
Transaction Costs 
Wright 
F3/W 
Poulsen, Rolf  Exotic Options: Proofs Without Formulas 
Options 
Grand Ballroom 
W1/GB 
Pratelli, Maurizio  A Theory of stochastic integration for Bond Markets. 
Interest Rate Modeling 
King Arthur 
W1/KA 
Prigent, jeanluc  Weak Convergence of Option Quantile Hedging Strategies 
Options 
Grand Ballroom 
W1/GB 
Psychoyios, Dimitris  How useful are volatility options for hedging vega risk 

Empire Ballroom 
S/EB 
Rafailidis, Avraam  A Chaotic Approach to Interest Rate Modelling 
Interest Rate Modeling 
King Arthur 
T3/KA 
Reno', Roberto  Nonparametric estimation of the diffusion coefficient via Fourier analysis, with an application to short interest rates 
Interest Rate Modeling 
King Arthur 
T3/KA 
Ribeiro, Claudia  Correcting for Simulation Bias in Monte Carlo methods to value Exotic options in Models driven by Lévy processes 
Options 
Grand Ballroom 
T1/GB 
Ribeiro, Diana  A TwoFactor Model for Commodity Prices and Futures Valuation 
Commodity Futures 
Sullivan 
S2/S 
Roncoroni, Andrea  A synthetic measure of multivariate risk and its empirical implications for portfolio risk management 
Risk Management 
Sullivan 
F3/S 
Ronn, Ehud  Estimating the Commodity Market Price of Risk for Energy Prices 
Risk Studies 
Sullivan 
T3/S 
Runggaldier, Wolfgang  Pathwise optimality for benchmark tracking 
Optimal Portfolios 
St. Clair 
S2/SC 
Sanfelici, Simona  A numerical study of the smile effect in implied volatilities induced by a nonlinear feedback model 
Options 
Grand Ballroom 
W2/GB 
Sara, Biagini  Utility maximization for unbounded processes 
Financial Theory 
Wright 
W2/W 
Saunders, David  Asymptotic Analysis for American Options on Alternative Stochastic Processes 
American Options 
Burnham 
F1/B 
Sawaki, Katsushige  The Valuation of Callable Contingent Claims with Applications 
Options 
Burnham 
T2/B 
Sbuelz, Alessandro  Analytic American Option Pricing: The FlatBarrier Lower Bound 
American Options 
Burnham 
F2/B 
Scandolo, Giacomo  Risk measures and capital requirements for processes 
Risk Measures 
Sullivan 
T1/S 
SchenkHoppé, Klaus Reiner  Evolutionary Stable Stock Markets 
Optimal Portfolios 
St. Clair 
S3/SC 
Schied, Alexander  Optimal investments for robust utility functionals 
Utility Theory 
Wright 
F1/W 
Schmidt, Thorsten  Infinite Factor Model for Credit Risk 
Credit Risk 
King Arthur 
S2/KA 
Schoenbucher, Philipp  InformationDriven Default Contagion 
Credit Risk 
King Arthur 
F1/KA 
Schrager, David  Pricing Swaptions in Affine Term Structure Models 
Interest Rate Modeling 
King Arthur 
T1/KA 
Selivanov, Andrey  On the Martingale Measures in Exponential Levy Models 
Financial Models 
Sullivan 
W1/S 
Simon, Steven  Bermudan Guaranteed Return Contracts: Analysis and Valuation 
Optimization Problems 
St. Clair 
T2/SC 
Singh, Surbjeet  The Merton Problem in an Illiquid Financial Market 
Optimal Consumption 
St. Clair 
F1/SC 
Sirbu, Mihai  A TwoPerson Game for Pricing Convertible Bonds 
Interest Rate Modeling 
King Arthur 
T3/KA 
Song, Seongjoo  Asymptotic Option Pricing under a Pure Jump Process 
Options 
Grand Ballroom 
F2/GB 
Staum, Jeremy  Good Deal Bounds for Valuation of Real and Financial Options 
Incomplete Markets 
Sullivan 
W3/S 
Stoikov, Sasha F.  Optimal Investments in Markets with Stochastic Opportunity Sets 
Optimization Problems 
St. Clair 
T3/SC 
Stummer, Wolfgang  Optimal Statistical Decisions About Some Alternative Financial Models 
Statistical Models 
Wright 
T1/W 
Stutzer, Michael  Endogenous Risk Aversion and Ockham's Razor 
Utility Theory 
Wright 
F1/W 
Subramanian, Ajay  A Bayesian Learning Model of Risk Taking by Fund Managers 
Optimization Problems 
St. Clair 
F3/SC 
Suchanecki, Michael  On an Alternative Approach to Pricing General Barrier Options 
Options 
Grand Ballroom 
S3/GB 
Szatzschneider, Wojciech  Environment &Financial Markets 
Electricity/Environmental Risks 
Sullivan 
S3/S 
Tamarchenko, Tanya  A new fast and accurate method to calculate ValueatRisk and other tail risk measures 
Risk Management 
Sullivan 
F1/S 
Tang, Hoiman  Pricing CEV moving barrier options with timedependent parameters – Lie algebraic approach 
Options 
Grand Ballroom 
S2/GB 
Tebaldi, Claudio  Solvable affine term structure models 
Interest Rate Modeling 
King Arthur 
T1/KA 
Tian, Weidong  Optimal Portfolio Strategies with Different Constraints : A Unified Treatment 
Optimization Problems 
St. Clair 
F3/SC 
Tompaidis, Stathis  Efficient Computation of Hedging Parameters for Discretely Exercisable Options 
American Options 
Burnham 
F2/B 
Tompkins, Robert  Flexible Complete Models with Stochastic Volatility: Generalising Hobson and Rogers 
Stochastic Volatility 
Burnham 
W1/B 
Tysk, Johan  Superreplication of options on several underlying assets 
Replication 
Grand Ballroom 
T2/GB 
Urusov, Mikhail  Criterions for absolute continuity and singularity of measures via separating times 
Financial Models 
Sullivan 
W1/S 
Uryasev, Stan  Portfolio Analysis with General Deviation Measures 
Risk Measures 
Sullivan 
T1/S 
Vanmaele, Michèle  Pricing of arithmetic Asian options and basket options by conditioning on more than one variable 
Options 
Grand Ballroom 
S1/GB 
Vecer, Jan  Comparison Theorem and Option Pricing in the Presence of Jumps 
Options 
Grand Ballroom 
F3/GB 
Veiga, Carlos  Expanding the Universe of Exotic Options Closed Pricing Formulas in the Black and Scholes Framework 
Options 
Grand Ballroom 
F3/GB 
Villaplana, Pablo  Pricing Power Derivatives: a TwoFactor JumpDiffusion Approach 
Electricity/Environmental Risks 
Sullivan 
S3/S 
Villeneuve, Stephane  Liquidity Risk and Corporate Demand for Hedging and Insurance 
Risk Studies 
Sullivan 
T3/S 
Wagner, Niklas  Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications 
Interest Rate Modeling 
King Arthur 
T2/KA 
Wannenwetsch, Jens  Adjusting the measure change function in Levy markets 
Levy Processes 
St. Clair 
W2/SC 
Watewai, Thaisiri  Optimal portfolio choice with discontinuous price processes and multiple regimes 
Optimal Investment 
St. Clair 
S1/SC 
Webber, Nick  An Asset Based Model of Defaultable Convertible Bonds with Endogenised Recovery 
Interest Rate Modeling 
King Arthur 
W3/KA 
Weber, Stefan  DistributionInvariant Dynamic Risk Measures 
Risk Measures 
Sullivan 
T1/S 
Wiener, Zvi  Liquidation Triggers and the Valuation of Equity and Debt 
Credit Risk 
King Arthur 
F2/KA 
Wong, Bernard  On the Martingale Property of Stochastic Exponentials 
Brownian Motion Models 
Wright 
S2/W 
Wu, Lixin  LIBOR Market Model: from Deterministic to Stochastic Volatility 
Stochastic Volatility 
Burnham 
W3/B 
Wystup, Uwe  FX Instalment Options: Pricing, Applications, Risk Management 
Options 
Grand Ballroom 
S2/GB 
Xu, Mingxin  Minimizing Shortfall Risk Using Duality Approach 
Options 
Grand Ballroom 
W2/GB 
Yalamova, Rossitsa  Multifractal Spectral Analysis of 1987 Stock Market Crash 
Brownian Motion Models 
Wright 
S1/W 
Yamada, Yuji  Estimation of ValueatRisk and Conditional ValueatRisk for Dynamic Hedging with Jumps 
Statistical Models 
Wright 
T3/W 
Yang, Hailiang  Asset Allocation with RegimeSwitching: DiscreteTime Case 
Optimization Problems 
St. Clair 
T3/SC 
Yildirim, Yildiray  Modeling Credit Risk 
Credit Risk 
King Arthur 
F2/KA 
Yong, Jiongmin  Completeness of Security Markets and Backward Stochastic Differential Equations with Unbounded Coefficients 
Continuous Time Models 
St. Clair 
W1/SC 
Zakamouline, Valeri  American Option Pricing with Transact Costs 
Transaction Costs 
Wright 
F3/W 
Zervos, Mihail  Pricing a class of exotic options via moments and SDP relaxations 
Options 
Grand Ballroom 
F1/GB 
Zhang, Lan  A tale of two time scales: Determing integrated volatility with noisy highfrequency data 
Volatility 
Burnham 
S3/B 
Zhou, Xun Yu  MeanRisk Portfolio Selection Models in Continuous Time Regime Switching: A ContinuousTime Model 
Continuous Time Models 
St. Clair 
W1/SC 
Ziemba, William  Arbitrage pricing simplified 
Arbitrage Pricing 
Sullivan 
W2/S 
Zitkovic, Gordan  Utility Maximization with a Stochastic Clock and an Unbounded 
Utility Theory 
Wright 
F2/W 