SCHEDULE FOR CONTRIBUTED TALKS
Tuesday, August 1
Track 1: Incompleteness
7500 Wean Hall
| S. Kou | Columbia Univ. | "A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability" |
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| A. Dudenhausen, P. Schönbucher |
Univ. of Bonn | "Construction and Existence of Robust Hedging Strategies According to Discrete-Time Trading" |
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| D. Vermes | Worcester Polytechnic |
"Stochastic Interpolation of Prices of Thinly Traded Assets" |
Track 2:
2210 Doherty Hall
| M. Culot, Y. Smeers |
R&D Energy Markets Electrabel |
"Options with Multi-Criteria Payoffs: An Analytical Pricing Model" |
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| A. Skulimowski | Univ. Krakow | "A Multicriteria-Analysis-Based System for Global Bank Risk Assessment" |
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| Y. Cheng | Temple Univ. | "Finite Horizon Optimal Investment and Consumption with Transaction Cost" |
Track 1:
7500 Wean Hall
| S. Esipov, D. Guo |
Zurich Financial Services Group |
"Portfolio Based Pricing of Residual Basis Risk with Applications to the SP500 Put Options" |
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| R. Peters | University of Amsterdam |
"Non-Convergence in the Variation of the Hedging Process of a European Call Option" |
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| K. Kinateder | Wright State | "A New Approach for Portfolio Optimization" | ||
| T. Hurd | McMaster Univ. | "Measures of Dependence for Multivariate Lévy Distributions" |
Track 2:
2210 Doherty Hall
| P. Schönbucher | Bonn Univ. | "A Libor Market Model with Default Risk" | ||
| M. Monoyios | Brunel Univ. | "Efficient Option Pricing with Transaction Costs" | ||
| A. Samarov | Mass. Inst. Technology |
"Portfolio Analysis and Selection Using Quantile-Based Risk Measures" |
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| X. Chen J. Chadam R. Stamicar |
U. Pittsburgh | "Early exercise boundary for American put options: Analytical and numerical approximations and applications" |
Wednesday, August 2
Track 1: Numerical Methods
7500 Wean Hall
| L. Yan | Purdue Univ. | "Convergence of Euler Scheme for SDE and Its Applications to Finance" |
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| C. Gukhal | Cornell Univ. | "Efficient Numerical Methods for Pricing American Options" |
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| M. Marcozzi | Univ. Nevada | "On the Valuation of Derivative Securities by Variational Methods" |
Track 2: Asset Management
2210 Doherty Hall
| J. Cvitanic, A. Lazrak, M. Quenez |
USC, Univ. de Marne La Valle, FPE Marshall School |
"Incomplete Information with Recursive Preferences" |
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| M. Grasselli | CREST | "HARA Utility Maximization with Stochastic Interest Rates" |
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| L. MacLean, W. Ziemba, Y. Li |
Dalhousie University Univ. of British Columbia California State University at Fullerton |
"Time to Wealth Goals in Capital Accumulation and the Optimal Trade-off of Growth Versus Security" |
Track 1:
7500 Wean Hall
| M. Hanke, K. Poetzelberger |
Vienna University |
"Consistent Pricing of Warrants and Traded Options" | ||
| D. Davydov, V. Linetsky |
Univ. Michigan | "The Valuation and Hedging of Barrier and Lookback Options for Alternative Stochastic Processes" |
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| M. Reesor, D. McLeish |
U. Waterloo | "Optional Valuation via the Relative Entropy Bootstrap" |
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| Y. Zeng | U. Missouri | "A Partially Observed Model with Discrete Clustering and Non-Clustering Noises: Application to Micro-Movement of Stock Prices" |
Track 2: Term Structure
2210 Doherty Hall
| C. Zuehlsdorff | Univ. of Bonn |
"Extended Market Models with Affine and Quadratic Volatility" |
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| A. Roncoroni, P. Guiotto |
ESSEC, Univ. Paris Dauphine, ICER Torino |
"Theory and Calibration of HJM with Shape Factors" | ||
| K. Kortanek | Univ. of Iowa | "Dynamic Models for Estimating the Term Structure of Interest Rates from Observations of Yield Curves" |
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| A. Kawai | Univ. New South Wales |
"Swaption Pricing in the LIBOR Market Model" |
Friday, August 4
Track 1: Monte Carlo
7500 Wean Hall
| P. Boyle, A. Kolkiewicz Ken Seng Tan |
Univ. of Waterloo |
"Pricing American Style Options Using Quasi-Monte Carlo Methods" |
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| D. McLeish | Univ. of Waterloo |
"Simulating and Using the High, Low, Close" | ||
| S Stojanovic | Univ. Cincinnati |
"Optimal Options via Numerical Solutions of Monge-Ampere PDEs" |
Track 2: Risk Management
2210 Doherty Hall
| M. Denault, F. Delbaen |
Ecole des Hautes Etudes Comm. |
"On the Coherent Allocation of Risk Capital" | ||
| R. Brummelhuis, D. Guegan |
CREST | "Modelling Risk in Finance" | ||
| T. Vargiolu | Univ. di Padova | "A Bayesian Adaptive Control Approach to Risk Management under Restricted Information" |
Track 1:
7500 Wean Hall
| M. Schroeder |
U. Mannheim | "On the Valuation of Arithmetic-Average Asian Options: Integral Representations" |
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| A. Battauz | Scoula Normale Superiore |
"Changes of Numeraire and American Options" | ||
| M.-H. Chang, R. Youree |
Univ. Alabama | "The American Option with Hereditary Price Structures: Generalized HJB Variational Inequalities" |
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| D. Filipovic | Swiss Federal Institute of Technology Zürich |
"Affine Term Structure Models" |
Track 2: Value at Risk
2210 Doherty Hall
| J. R. M. Hosking, G. Bonti, D. Siegel |
IBM Research, IBM Financial Markets, Deutsche Bank |
"Beyond the Lognormal: Accurate Estimation of the Frequency of Rare Events in VaR Calculations" |
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| C. Albanese, S. Paun, P. Wiberg |
U. Toronto | "VaR Sensitivities and Non-Normal Hedging" | ||
| A. Levin, A. Tchernitser |
Bank of Montreal | "Value-at-Risk Models with the Stochastic Variance Driven by Levy Processes" |
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| A. Shapiro, S. Basak |
Stern School of Business |
"Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices" |