Program

Ballroom

8.20 - 8.30 Welcome and Opening Remarks

Chair: Eckhard Platen

8.30 - 9.10 George Tauchen, Duke University, USA
"Alternative Models for Stock Price Dynamics" with Mikhail Chernov, Eric Ghysels and A. Ronald Gallant

9.10 - 9.50 Ronald Gallant, University of North Carolina, USA
"Quadratic Term Structure Models: Theory and Evidence" with Dong-Hyun Ahn and Robert Dittmar

9.50 - 10.30 Michael Sørensen, University of Copenhagen, Denmark
"Estimating Functions for Financial Models"

Morning Tea

Chair: Carl Chiarella

11.10 - 11.50 Jean Jacod, Université Paris VI, France
"About Robustness of Hedging Strategies"

11.50 - 12.30 Catherine Laredo, INRA, France
"New Problems arising in Statistical Inference for Stochastic Volatility Models"

Lunch

Parallel Session 1, Ballroom

Chair: David Heath

2.00 - 2.20 Uwe Schmock, ETH Zürich, Switzerland
"Valuation of Exotic Options Under Shortselling Constraints" with Steven E. Shreve and Uwe Wystup

2.20 - 2.40 Peter Buchen, University of Sydney, Australia
"Generalised B-Trees for Arbitrary Ito Processes"

2.40 - 3.00 Michael Kelly, University of Western Sydney, Australia
"Single Parameter Semi-Analytical Solutions to the American Put Option"

3.00 - 3.20 Ken Palmer, University of Melbourne, Australia
"On the Boyle-Vorst Discrete-Time Option Pricing Model with Transactions Costs"

Parallel Session 2, Barton Room

Chair: Alex Novikov

2.00 - 2.20 Yoshio Miyahara, Nagoya City University, Japan
"Geometric Lévy Process & MEMM Pricing Model and Related Estimation Problems"

2.20 - 2.40 David Edelman, University of Wollongong, Australia
"The Minimum Local Cross-Entropy Criterion For Inferring Risk-Neutral Price Distributions From Traded Options Prices"

2.40 - 3.00 Clinton Watkins, University of Western Australia, Australia
"Volatility of a Market Index and Its Components: An Application to Commodity Markets"

3.00 - 3.20 Thierry Ané, HEC Lausanne, Switzerland
"Selecting Explanatory Variables of Price Changes Using Independent Component Analysis"

Afternoon Tea

Parallel Session 1, Ballroom

Chair: Peter Buchen

4.00 - 4.20 Dimitris Flamouris, City University Business School, UK
"Implied Valuation of Asian Options" with Elias Dinenis and John Hatgioannides

4.20 - 4.40 Stefan Look, Eurex Clearing AG, Germany
"Risk-Based Margining for Financial Derivatives, Bond Trades and Energy Futures"

4.40 - 5.00 Tak Kuen Sui, University of Hong Kong
"Risk Measures for Derivatives Securities under Multiplicative Binomial Model" with Hailiang Yang

Parallel Session 2, Barton Room

Chair: Jean Jacod

4.00 - 4.20 Robert Tompkins, Vienna University of Technology, Austria
"The Three Stages in Bond Market Development: Embryronic, Emerging and Established Markets"

4.20 - 4.40 Catherine Forbes, Monash University, Australia
"Implicit Bayesian Inference about 'Alternative Models for Returns'" with Gael M. Martin and Vance L. Martin

4.40 - 5.00 Cornelis Los, University of Adelaide, Australia
"Wavelet Multiresolution Analysis of High Frequency Asian FX Rates, Summer 1997" with Jeyanthi Karuppiah

Ballroom

Chair: George Tauchen

8.30 - 9.10 Gopinath Kallianpur, University of North Carolina, USA
"Topics in Stochastic Fluid Dynamics"

9.10 - 9.50 Wolfgang Runggaldier, Universita' di Padova, Italy
"A Filtering Approach to Pricing in Multifactor Term Structure Models" with Andrea Gombani

9.50 - 10.30 Robert Elliott, University of Alberta, Canada
"Pricing Swing Options" with Abel Cadenillas

Morning Tea

Chair: Ron Gallant

11.10 - 11.50 Wolfgang Härdle, Humboldt - University of Berlin, Germany
"Semiparametric Analysis of Volatility Structures: Feasibility and Performance"

11.50 - 12.30 Eckhard Platen, University of Technology, Sydney, Australia
"Financial Modelling with Benchmark Portfolio"

Lunch

Parallel Session 1, Ballroom

Chair: Wolfgang Runggaldier

2.00 - 2.20 Andrew Carverhill, The Hong Kong University of Science and Technology
"Affine Filtering of Volatility and Transactions Intensity" with Sigurd Dyrting and Allanus Tsoi

2.20 - 2.40 Jiwook Jang, University of New South Wales, Australia
"The Pricing of a Stop-loss Reinsurance Contract Using the Kalman-Bucy Filter" with Angelos Dassios

2.40 - 3.00 Pranab Mandal, EURANDOM, The Netherlands
"Estimation of the Volatility Component in Two-Factor Stochastic Volatility Short Rate Models" with Dmitri Danilov

3.00 - 3.20 Jack Penm, Australian National University
"Subset Vector Autoregressive Filtering Using Forgetting Factors for Financial Forecasting" with T.J. Brailsford and R.D. Terrell

Parallel Session 2, Barton Room

Chair: Uwe Schmock

2.00 - 2.20 Eric Schlögl, University of Technology, Sydney, Australia
"Implied Correlation in the Lognormal Interest Rate Market Models"

2.20 - 2.40 Wojciech Szatzschneider, Anahuac University, Mexico
"Comments About Cox, Ingersoll & Ross and Calibration of Extended CIR Models" with Alejandro Meza

2.40 - 3.00 David Colwell, The University of New South Wales, Australia
"Jumps in the Australian Short Rate and the Implications for Bond Option Pricing" with Solene Arcus

3.00 - 3.20 Mark Fisher, Federal Reserve Bank of Atlanta, USA
"Modeling the State-Price Deflator and the Term Structure of Interest Rates" with Christian Gilles

Afternoon Tea

Parallel Session 1, Ballroom

Chair: Robert Elliott

4.00 - 4.20 Russell Grimwood, University of Warwick, UK
"Energy Derivative Models: The Pricing and Hedging of Swing Options" with Stewart Hodges

4.20 - 4.40 Abdulnasser Hatemi-J, Jönköping University, Sweden
"An Analysis of Exchange Rates and Stock Prices: Evidence for Sweden" with Manuchehr Irandoust

4.40 - 5.00 Winfried Hallerbach, Erasmus University Rotterdam, The Netherlands
"Upgrading Value-at-Risk from Diagnostic Metric to Decision Variable" with Henk Grootveld

Parallel Session 2, Barton Room

Chair: Eric Schlögl

4.00 - 4.20 Yann d'Halluin, University of Waterloo, Canada
"A Numerical PDE Approch for Pricing Callable Bonds" with Peter A. Forsyth, Ken Vetzal and George Labahn

4.20 - 4.40 Peter Cotton, Stanford University, USA
"Stochastic Volatility Corrections for Interest Rate Derivatives" with Jean-Pierre Fouque, George Papanicolaou and Ronnie Sircar

4.40 - 5.00 David Heath, University of Technology, Sydney, Australia
"Pricing, Hedging and Calibration for Index and Equity Derivatives for an Alternative Market Model" with Eckhard Platen

Ballroom

Chair: Wolfgang Härdle

8.30 - 9.10 Ludger Overbeck, Deutsche Bank AG, Germany
"Credit Risk Capital Allocation in Large Portfolios Based on Expected Shortfall"

9.10 - 9.50 Marek Rutkowski, University of New South Wales and University of Warsaw
"Credit Risk Modelling: A Survey and Recent Advances"

9.50 - 10.30 Ernst Eberlein, Universitat Freiburg, Germany
"Market and Credit Risk Under the Generalized Hyperbolic Model"

Morning Tea

Chair: Alexander NcNeil

11.10 - 11.50 Rüdiger Frey, ETH Zentrum, Switzerland
"Modelling Dependent Defaults" with Alexander McNeil

11.50 - 12.30 John van der Hoek, University of Adelaide, Australia
"A General Fractional White Noise Theory and Applications to Finance" with Robert Elliott

Lunch

Parallel Session 1, Ballroom

Chair: Ludger Overbeck

2.00 - 2.20 Charlotte Christiansen, The Aarhus School of Business, Denmark
"Credit Spreads and the Term Structure of Interest Rates"

2.20 - 2.40 Giulia Iori, King's College London, UK
"Interbank Lending, Reserve Requirements and Systemic Risk" with Saqib Jafarey

2.40 - 3.00 Hong Yu, National University of Singapore
"Analysing the Credit Risk of Defaultable Swaps" with Yue Kuen Kwok

3.00 - 3.20 Jiti Gao, University of Western Australia
"A Semiparametric Approach to Pricing Interest Rate Derivative Securities"

Parallel Session 2, Barton Room

Chair: Wojciech Szatzschneider

2.00 - 2.20 Daniel Giamouridis, City University Business School, UK
"Asymptotic Distribution Expansions in Option Pricing: A New Method for Recovering Implied PDFs with an Application to Interest Rate Futures Options" with Michael N. Tamvakis

2.20 - 2.40 Aidan Allen, Cutin University, Australia
"Smiles, Skews, Implied Distributions and Market Expectations from Option Prices: The Case of American Equity Options" with Lakshman Alles 2.40 - 3.00 Jes Taulbjerg, The Aarhus School of Business, Denmark "Cointegration and Exponential-Affine Models of the Term Structure"

3.00 - 3.20 Anthony Hughes, University of Adelaide, Australia
"A Quantile Regression Analysis of the Cross Section of Stock Market Returns" with Michelle L. Barnes

Afternoon Tea

Parallel Session 1, Ballroom

Chair: Mark Rutkowski

4.00 - 4.20 Robert Kimmel, Princeton University, USA
"Maximum Likelihood Estimation of Multi-Factor Term Structure Models" with Yacine Ait Sahalia

4.20 - 4.40 Mark Craddock, University of Technology, Sydney, Australia
"Alternative Pricing of Credit Derivatives" with Eckhard Platen

4.40 - 5.00 Toshihiro Yoshida, Meiji Life Insurance Company, Japan
"Term Structure Models with an Interest Rate Controlled by the Monetary Policy" with Masaaki Otaka

Parallel Session 2, Barton Room

Chair: Paul Kofman

4.00 - 4.20 Gerald Krenn, Central Bank of Austria
"Stress Tests vs Value at Risk" with Thomas Breuer

4.20 - 4.40 Gabriela de Raaij, Central Bank of Austria
"Evaluating Density Forecasts of Stock Market Returns" with Burkhard Raunig

4.40 - 5.00 Fabio Fornari, Bank of Italy
"Estimating Nonlinear Models of the Short Rate with Garch" with Antonio Mele

Ballroom

Chair: Ernst Eberlein

8.30 - 9.10 Wolfgang Bühler, University of Mannheim, Germany
"Pricing and Hedging of Oil Futures: A Unifying Approach" with Olaf Korn and Rainer Schöbel

9.10 - 9.50 Carl Chiarella, University of Technology, Sydney, Australia
"Inferring Forward Looking Financial Market Risk Premia from Derivatives Prices" with Ram Bhar

11.50 - 12.30 Ross Maller, University of Western Australia
"Testing for Reduction to Random Walk in AR-ARCH/GARCH Models" with Claudia Klueppelberg, Mark van de Vyver and Derick Wee

Morning Tea

Chair: Rüdiger Frey

11.10 - 11.50 Paul Kofman, University of Technology, Sydney, Australia
"Covariance and Correlation in International Equity Returns: A Value-at-Risk Approach" with Rachelle Campbell and Kees Koedijk

11.50 - 12.30 Olivier Scaillet, Université Catholique de Louvain, Belgium
"Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall"

Lunch

Parallel Session 1, Ballroom

Chair: John van der Hoek

2.00 - 2.20 Bernard Bollen, La Trobe University, Australia
"A Benchmark for Measuring Bias in Estimated Daily Value at Risk" with Imad A. Moosa

2.20 - 2.40 Claudio Albanese, University of Toronto, Canada
"VaR Sensitivities and Non-Normal Hedging" with Smaranda Paun and Peter Wiberg

2.40 - 3.00 Wai-yan Cheng, City University of Hong Kong
"Recent Advances in Default Swap Valuations"

Parallel Session 2, Barton Room

Chair: Eric Schlögl

2.00 - 2.20 Michelle Barnes, University of Adelaide, Australia
"A Panel Approach to the Conditional CAPM" with Anthony W. Hughes

2.20 - 2.40 Balasingham Balachandran, Monash University, Australia
"Over/Under Reactions to Dividend Reductions in Long Term Returns: UK Evidence" with Michael Theobald

Afternoon Tea

Ballroom

Chair: Gopinath Kallianpur

3.30 - 4.30 Chris Heyde, Columbia University, USA and Australian National University
"Minimal Description Risky Asset Modelling with Non-semimartingale Activity Times"