Program

Chair: Eckhard Platen

7.30 - 8.20 Registration & Coffee Ballroom

8.20 - 8.30 Welcome and Opening Remarks

8.30 - 9.10 David Lando, University of Copenhagen, Denmark
"Default Risk and Diversification: Theory and Applications"

9.10 - 9.50 Ludger Overbeck, Deutsche Bank AG, Germany
"Recent issues in credit portfolio modelling"

9.50 - 10.30 Fabio Mercurio, Banca IMI, Italy
"Alternative Asset-Price Dynamics and Volatility Smile"

Morning Tea

Chair: Carl Chiarella

11.00 - 11.40 Gerhard Stahl, Federal Banking Supervisory Office, Germany
"How to formulate a regulatory framework for power markets"

11.40 - 12.20 Monique Jeanblanc, University d'Evry, France
"Hazard process and Representation theorem for hedging defaultable contingent claims"

Lunch

Parallel Session 1, Ballroom

Chair: Erik Schlögl

1.45 - 2.05 Hidetoshi Nakagawa, MTB Investment Tech Institute Co., Ltd, Japan
"A Filtering Model on Default Risk"

2.05 - 2.25 Diana Diaz, City University Business School, London, UK
"A Systematic Comparison to Two Approaches to Measuring Credit Risk: CreditMetrics versus CreditRisk"

2.25 - 2.45 Leng Rong, The National University of Singapore
"The Impact of Credit Events on Treasury Bond Prices"

2.45 - 3.05 Yildiray Yildirim, Syracuse University, New York City, USA
"Estimating Default Probabilities Implicit in Equity Prices"

Parallel Session 2, Barton Room

Chair: Nadima El-Hassan

1.45 - 2.05 Michael Hanke, The University of New South Wales, Australia
"Implied Volatility, Realised Volatility and the Level of Debt Protection"

2.05 - 2.25 Lixin Wu, Hong Kong University of Science & Technology
"Volatility Smile and Risk Aversion"

2.25 - 2.45 Jin E Zhang, Hong Kong University of Science & Technology
"Hedging Volatility Risk"

2.45 - 3.05 Tony He, University of Technology, Sydney
"Asset Price Dynamics with Heterogeneous Beliefs"

Afternoon Tea

Parallel Session 1, Ballroom

Chair: Ludger Overbeck

3.40 - 4.00 Frank Schlottmann, Universitaet Karlsruhe, Institute AIFE, Germany
"A Hybrid Genetic-Quantitative Method for Risk-Return-Optimisation of Credit Portfolios"

4.00 - 4.20 Chee-Jin Yap, Deakin University, Australia
"Estimating Credit Spreads in Illiquid Markets: The Case of Malaysia"

4.20 - 4.40 Marc Craddock, University of Technology, Sydney
"Benchmark pricing of credit risky securities with stochastic interest rates"

4.40 - 5.00 Stefano Herzel, University of Perugia, Italy
"Initial Curves for Interest Rate Models: an Empirical Study"

Parallel Session 2, Barton Room

Chair: Gerhard Stahl

3.40 - 4.00 Andrea Roncorni, ESSEC Graduate School of Business, France
"A New Class of Stochastic Processes for Modelling Electricity Prices"

4.00 - 4.20 Stein Frydenberg, Sor-Trondelag University College, Norway
"The Value-at-Risk and Corporate Capital Structure"

4.20 - 4.40 Alex Levin, Bank of Montreal and University of Toronto, Canada
"Maximum Entropy and Bayesian Approaches in Multivariate Non-Normal Simulation for VAR"

4.40 - 5.00 Hailiang Yang, The University of Hong Kong
"An Integrated Risk Management Method: VAR Approach"

Ballroom

Chair: David Lando

8.30 - 9.10 Dilip Madan, University of Maryland, USA
"Stochastic Volatility for Levy Processes"

9.10 - 9.50 John van der Hoek, University of Adelaide, Australia
"White Noise Approach to Interest Rate Models"

9.50 - 10.30 Jiongmin Yong, Fudan University, China
"Some Problems in Incomplete Markets"

Morning Tea

Chair: Monique Jeanblanc

11.00 - 11.40 Jia-an Yan, The Chinese Academy of Sciences, China
"Clarifying Some Basic Concepts and Results In Arbitrage Pricing Theory"

11.40 - 12.20 Robert Elliott, University of Calgary, Canada
"American Options Under Regime Switching"

Lunch

Parallel Session 1, Ballroom

Chair: Alex Novikov

1.45 - 2.05 Vicky Henderson, University of Oxford, UK
"Valuation of Claims on Untraded Assets Using Utility Maximisation"

2.05 - 2.25 Ken Palmer, University of Melbourne, Australia
"The Least Cost Super Replicating Portfolio in the Boyle-Vorst Discrete-Time Option Pricing Model with Transactions Costs"

2.25 - 2.45 David Heath, University of Technology, Sydney
"The L0 Variance Reduction Technique"

2.45 - 3.05 Wojciech Szatzschneider, Anahuac University, Mexico City, Mexico
"Environment and Finance"

Parallel Session 2, Barton Room

Chair: Oh Kang Kwon

1.45 - 2.05 Winfried Hallebach, Erasmus Universiteit, The Netherlands
"Capital Allocation, Portfolio Enhancement & Performance Measurement: A Unified Approach"

2.05 - 2.25 Alexander Szimayer, University Bonn, Germany
"Testing for Conditional Heteroscedasticity in Financial Time-Series"

2.25 - 2.45 Henrik Amilon, Lund University, Sweden
"GARCH Estimation and Discrete Stock Prices"

2.45 - 3.05 Li Ming, National University of Singapore
"A Goodness-of-Fit Test for Financial Time Series Based on Simulation of Gaussian Random Fields"

Afternoon Tea

Parallel Session 1, Ballroom

Chair: Fabio Mercurio

3.40 - 4.00 Damiano Brigo, Banca IMI, Italy
"Different Covariance Parameterixations of the Libor Market Model and Joint Caps/Swaptions Calibration"

4.00 - 4.20 Hans-Jurg Buttler, Swiss National Bank, Switzerland
"The Information Content of the Yield Curve"

4.20 - 4.40 Joao Nunes, Complexo INDEG/ISCTE, Portugal
"Valuation of Interest Rate Barrier Options under Multi-Factor Gaussian HJM Models"

4.40 - 5.00 Oh Kang Kwon, University of Technology, Sydney, Australia
"Construction of Smooth Forward Rate Curves and Estimation of the Market Price of Interest Rate Risk"

Parallel Session 3,

Chair: Henrik Amilon

3.40 - 4.00 Martino Grasselli, Center for Research in Economics & Statistics, France
"Optimal Design of the Guarantee for Defined Contribution Funds"

4.00 - 4.20 Juri Hinz, Universitaet Tuebingen, Germany
"An Application of the Theory of Hidden Markov Models to Portfolio Optimisation"

4.20 - 4.40 Yuan-Wei Qi, Hong Kong University of Science & Technology
"Explicit Solutions of a Class of Optimal Portfolio Problems with Non-Lognormal Distribution of Assets"

4.40 - 5.00 Mahmoud Hamada, The University of New South Wales, Australia
"Martingale Methods in Dynamic Portfolio Allocation with Distortion Operators"

Ballroom

Chair:Ragnar Norberg

8.30 - 9.10 Giovanni Barone-Adesi, USI, Switzerland
"Electricity Derivatives"

9.10 - 9.50 Takeaki Kariya, Kyoto University, Japan
"Valuing an Asset Swap Option"

9.50 - 10.30 Carl Chiarella, University of Technology, Sydney, Australia
"A Survey of Markovian Representations of the Heath-Jarrow-Morton Model"

Morning Tea

Chair: Robert Elliott

11.10 - 11.50 Alex Novikov, University of Technology, Sydney, Australia
"Approximations for Prices of Discretely Monitored Exotic Options"

11.50 - 12.30 Eckhard Platen, University of Technology, Sydney, Australia
"Perfect Hedging of Index Derivatives" , "Arbitrage in Continuous Complete Markets"

Lunch

Parallel Session 1, Ballroom

Chair: Martino Grasselli

2.00 - 2.20 Stefan Mittnik, University of Kiel, Germany
"Risk Assessment, Portfolio Selection & Heavy Tails"

2.20 - 2.40 Thierry Ané, HEC Lausanne, Switzerland
"Dependance Structure & Risk Measure"

2.40 - 3.00 Marcus Junker, Research Center Caesar, Bonn, Germany
"Measurement of Aggregrate Risk with Copulas"

3.00 - 3.20 Nagaratnam J. Sreedharan, Curtin University of Technology, Australia
"The Asymptotics of Extreme Returns in the Australian Stock Market"

Parallel Session 2, Barton Room

Chair: Timo Teräsvirta

2.00 - 2.20 Paul Kofman, University of Technology, Sydney, Australia
"Migration of Price Discovery with Constrained Futures Markets"

2.20 - 2.40 Larissa Allen, Massey University at Albany, New Zealand
"Personal Debt in New Zealand: Determinants of Financial Distress"

2.40 - 3.00 Philip Pretorius, Potchefstroom University, South Africa
"Using Adaptive Summarising in Evaluating the Performance of Bank regional Offices"

3.00 - 3.20 Jack Penm, The Australian National University, Australia
"The Equivalence of Causality Detection in VAR Modelling and in VECM Modelling with Applications to Exchange Rate Markets"

Afternoon Tea

Parallel Session 1, Ballroom

Chair: John van der Hoek

4.00 - 4.20 Ragnar Norberg, London School of Economics, UK
"Dynamic Greeks"

4.20 - 4.40 David Hobson, University of Bath, UK
"Robust Hedging of Barrier Options"

4.40 - 5.00 David Edelman, University of Wollongong, Australia
"Enforced-Denial' Support Vector Machines for Noisy Data with Application to Financial time Series Forecasting"

Parallel Session 2, Barton Room

Chair: David Heath

4.00 - 4.20 Hiroshi Ishijima, Keio University, Japan
"Numerical Methods for Universal Portfolios"

4.20 - 4.40 Catalin Starica, Chalmers University of Technology, Sweden
"Forecasting & VAR with Non-Stationary Models of Stock Returns"

Ballroom

Chair: Jiongmin Yong

8.30 - 9.10 Daniel Dufresne, University of Montreal, Canada
"The Integral of Geometric Brownian Motion, and a Formula Due to Merton"

9.10 - 9.50 Kian Guan Lim, National University of Singapore
"Pricing Corporate Coupon Bonds"

9.50 - 10.30 Peter Buchen, University of Sydney, Australia
"Q-Options and Dual Expiry Exotics"

Morning Tea

Chair: Dilip Madan

11.00 - 11.40 Chris Heyde, Australian National University, Australia
"New Evidence On The Case For FATGBM As a Minimal Description Risky Asset Model"

11.40 - 12.20 Albert Shiryaev, Steklov Mathematical Institute, Russia
"Esscher's Change of Measure and the Cumulant Process"

Lunch & Closure