Program (Cairns) Mon 09 Dec to Fri 13 Dec

Radisson Hotel at the Pier, Cairns

4.00pm - 7.00pm Registration & Refreshments

Monday, 09 December

7.30 - 8.20 Registration & Refreshments

Chair: Eckhard Platen

8.20 - 8.30 Welcome and Opening Remarks

8.30 - 9.10 Freddy Delbaen, ETH-Zentrum, Switzerland
"Dynamic Risk Measures Defined for Random Variables and Stochastic Processes"

9.10 - 9.50 Marco Fritelli, Università di Firenze, Italy,
"Representing Risk Measures and Preferences"

9.50 - 10.30 Jaksa Cvitanic, Columbia University, New York,
"Revisiting Treynor and Black (1973): an Intertemporal Model of Active Portfolio
Management"

Morning Tea

Chair: Carl Chiarella

11.00 - 11.40 Jean-Luc. Prigent, University of Cergy-Pontoise, France,
"Weak Convergence of Hedging Strategies of Contingent Claims"

11.40 - 12.20 Fabio Mercurio, Banca IMI, Italy,
"Analytical Pricing of the Smile in a Forward LIBOR Market Model"

Lunch

Parallel Session 1,

Chair: P. J. de Jongh

2.00 - 2.20 Torsten Kleinow, Humboldt-Universität zu Berlin,
"Testing the Diffusion Coefficient"

2.20 - 2.40 Leah Kelly, UTS,
"Estimation for Discretely Observed Accumulation Indices using Transform Functions"

2.40 - 3.00 S. X. Chen, National University of Singapore,
"Testing of Continuous Time Diffusion Models with Applications to Testing the Term
Structure of Interest Rate"

3.00 - 3.20 Kenji Wada, Keio University, Japan,
"Estimation of the Japanese Short-Term Interest Rate by Employing the Long-term Data"

Parallel Session 2,

Chair: Vladimir Kazakov

2.00 - 2.20 Esben Hoeg, The Aarhus School of Business, Denmark,
"Wavelet Estimation of Integrated Volatility"

2.20 - 2.40 Khreshna Syuhada, Curtin University of Technology, Perth,
"Stochastic Volatility Models Using Neo-Normal Distribution"

2.40 - 3.00 Roy van der Weide, University of Amsterdam, The Netherlands,
"The Evolution of Expectations Near the Expiration Date"

3.00 - 3.20 Tian-Shry Dai, National Taiwan University, Taiwan,
"Very Accurate Algorithms for Asian Options with Range Bounds"

Afternoon Tea

Parallel Session 1,

Chair: O. K. Kwon

3.40 - 4.00 Harry Zheng, Imperial College, London,
"Risk Minimizing Hedging of Liabilities"

4.00 - 4.20 Raoul Pietersz, Erasmus University Rotterdam, The Netherlands,
"A Unified Pricing Framework for Drift Approximations in the BGM Model"

4.20 - 4.40 Rolf Poulsen, University of Copenhagen, Denmark,
"A Stochastic Programming Approach to Individual Mortgage Management"

4.40 - 5.00 Axel Kind, Columbia University, USA,
"A Simulation-Based Pricing Method for Convertible Bonds"

Parallel Session 2,

Chair: Esben Hoeg

3.40 - 4.00 Masaaki Otaka, MTB Investment Technology Institute Co. Ltd, Japan,
"Hedging and Pricing of Contingent Claims on Real Estates Under the Market
Incompleteness"

4.00 - 4.20 Remco T. Peters, University of Amsterdam, The Netherlands,
"Structural Breaks in the Time Change of the S&P 500 Index"

4.20 - 4.40

Ballroom

Chair: Erik Schlogl

8.30 - 9.10 Frank Milne, Queens University, Canada,
"Incomplete Diversification and Asset Pricing"

9.10 - 9.50 Alex Novikov, UTS, Sydney,
"Approximations for the Maximum of the Orsntein-Uhlenbeck Processes With a Jump Component"

9.50 - 10.30 Wolfgang Runggaldier, Universita Degli Studi Di Padova, Italy,
" A Filtered No Arbitrage Model for Term Structures from Noisy Data"

Morning Tea

Chair: Marco Fritelli

11.00 - 11.40 Wolfgang Breymann, ETH-Zentrum, Switzerland,
"Dependence Structure of Multivariate High-Frequency Data in Finance"

11.40 - 12.20 Eckhard Platen, UTS, Sydney,
"Diversified Portfolios in a Benchmark Framework"

Lunch

Parallel Session 1,

Chair: Wolfgang Breymann

2.00 - 2.20 Gianna Figa-Talamance, Università della Tuscia, Italy,
"Detecting and Modeling Tail Dependence"

2.20 - 2.40 Kyriakos Chourdakis, University of London,
"Stochastic Volatility and Jumps Driven by Continuous-Time Markov Chains"

2.40 - 3.00 Markus Leippold, University of Zurich, Switzerland,
"Equilibrium Impact of Value-at-Risk Constraints"

3.00 - 3.20 Volf Frishling, Commonwealth Bank of Australia,
"Modelling of Market Rates Over Long Horizon"

Parallel Session 2,

Chair: Hiroshi Ishijima

2.00 - 2.20 Mathijs van Dijk, Erasmus University, The Netherlands,
"The Cost of Capital of Cross-Listed Firms"

2.20 - 2.40 Zoltan Palagyi, Budapest University of Economics, Hungary,
"Stable GARCH and Temporal Aggregation"

2.40 - 3.00 Avi Bick, Simon Fraser University, Burnaby, Canada,
"The Relationship Between Currency Futures Prices in Two Countries"

3.00 - 3.20 Chenyong Tang, National University of Singapore,
"Kernel Estimation of Value at Risk and its Standard Error for Financial Time Series"

Afternoon Tea

Parallel Session 1,

Chair: David Colwell

3.40 - 4.00 Ashay Kadam, University of Michigan (Ann Arbor) Business School, USA,
"On the Exercise and Valuation of Executive Stock Options"

4.00 - 4.20 Dimitri Neumann, CWI, The Netherlands,
"Local Scale Invariance & Term Structure Modeling"

4.20 - 4.40 Manuel L. Esquivel, Departamento de Matematica FCT-UNL, Portugal,
"Dynamic Value at Risk via Brownian Line Integrals"

Parallel Session 2,

Chair: Zoltan Palagyi

3.40 - 4.00 Suri Ellis, Potchefstroom University, South Africa,
"Fitting A Contaminated Normal Distribution to the Residuals of Financial Data"

4.00 - 4.20 P. J. de Jongh, Potchefstroom University, South Africa,
"A Comparison of Several Maximum Likelihood Based Methods for Estimating GARCH Model Parameters, Volatility and Risk"

4.20 - 4.40 Jill Wright, Monash University, Victoria,
"Bayesian Estimation of a Stochastic Volatility Model using Option and Spot Prices"

Ballroom

Chair:Jaksa Cvitanic

8.30 - 9.10 Giovani Barone-Adesi, Universita Della Svizzera Italiana, Switzerland,
"Electricity Derivatives"

9.10 - 9.50 Takeaki Kariya, Kyoto University, Japan,
"A Dynamic Discounted Cash Flow Method for Valuation of an Office Building"

9.50 - 10.30 Wojciech Szatzschneider, Anahuac University, Mexico,
"Environmental Options"

Morning Tea

Chair: Frank Milne

11.10 - 11.50 Wolfgang Schmidt, Hochschule füer Bankwirtschaft, Frankfurt,
"Default Dependence Via Implied Spread Jumps - Theory and Implementation"

11.50 - 12.30 Ton Vorst, Erasmus University Rotterdam, The Netherlands,
"Credit Derivatives; Empirics and Problems"

Lunch

Parallel Session 1,

Chair: Jean-Luc Prigent

2.00 - 2.20 Ji-Wook Jang, University of NSW,
"Arbitrage-free Premium Calculation Using the Shot Noise Process and the
Esscher Measure"

2.20 - 2.40 David Colwell, University of NSW,
"Hedging with Options in Incomplete Markets"

2.40 - 3.00 Mascia Bedendo, University of Warwick, UK,
"The Relation between Implied & Realised Probability Density Functions"

3.00 - 3.20 Vladimir Kazakov, UTS,
"Implied Dependence Structures from Volatility Smiles in FX Options"

Parallel Session 2,

Chair: W. Szatzschneider

2.00 - 2.20 Hiroshi Ishijima, Keio University, Japan,
"Regime Switching Portfolios"

2.20 - 2.40 Gerard Moerman, Erasmus University, The Netherlands,
"Diversification in European Stock Markets: Country vs Industry"

2.40 - 3.00 Bas Bosma, Maastricht University, The Netherlands,
"Comparing Model Averaging and Robust Optimization to deal with Parameter
Uncertainty in Portfolio Selection"

3.00 - 3.20 Machiel F. Kruger, Potchefstroom University, South Africa,
"Pairs Trading as a Dynamic Investment Strategy"

Afternoon Tea

Ballroom

Chair: Freddy Delbaen

8.30 - 9.10 Dieter Sondermann, Universitat Bonn, Germany,
"Some Perspectives on the so-called Market Model of Interest Rates"

9.10 - 9.50 Erik Schlögl, UTS, Sydney,
"Joint Calibration of Volatilities and Correlations in Interest Rate and FX Markets"

9.50 - 10.30 Lixin Wu, Claremont Graduate University, USA
"LIBOR Market Model: from Deterministic to Stochastic Volatility"

Morning Tea

Chair: Wolfgang Schmidt

11.00 - 11.40 Antoon Pelsser, Erasmus University Rotterdam, The Netherlands
"On the Information in the Interest Rate Term Structure & Option Prices"

11.40 - 12.20 Ludger Overbeck, Deutsche Bank AG, Germany,
"Efficient Calculation of Coherent Capital Allocation"

Lunch

Breakout Rooms

2.00 - 4.00 Informal Discussion