Program (Sydney) Tue 17 Dec to Thu 19 Dec

Manly Pacific Park Royal Hotel

Workshop

"Commodity, Energy, Electricity & Weather Risk Modelling"

Presenters:

Kristian R. Miltersen, Danske Bank Professor of Finance Odense University, Denmark;
Visiting Scholar at The Graduate John E. Anderson School of Management, University of California, Los Angeles.

Les Clewlow, Lacima Group, London & Sydney; Formerly Research Fellow at the Centre of Financial Option Research
at the University of Warwick (UK) and other leading institutions.

Sessions Include:

· Storage costs
· Seasonality effects
· Convenience yields versus dividends
· Stochastic convenience yields
· Implied mean reversion effects
· Market price of risk effect
· Convenience yield restrictions
· Quanto style securities on weather, electricity etc
· Option contract structures
· Forward curve dynamics
· Using Monte Carlo in commodities
· Applying lattices and trees
· Relationship between spot price & forward curve dynamics
· Multi-factor forward curve models
· Volatility function interpretation and estimation

5.30pm - 7.30pm Registration & Refreshments

Tuesday, 17 December                                                                                            

7.30 - 8.20 Registration & Refreshments

Chair: Eckhard Platen

8.20 - 8.30 Welcome and Opening Remarks

8.30 - 9.30 Mark Davis, Imperial College, London
"Finite-dimensional Models of the Yield Curve"

9.30 - 10.30 Albert Shiryaev, Steklov Mathematical Institute, Moscow,
"Recent Development In Stochastic Integration with Application to Mathematical Finance"

Morning Tea

Chair: Carl Chiarella

11.00 - 11.40 Nick Webber, City University, London,,
"Numerical Methods for Levy Processes: Lattice Methods & the Density, the
Subordinator & the Time Copula"

11.40 - 12.20 David Heath, University of Technology, Sydney
"Pricing and Hedging of Currency Derivatives under the Minimal Market Model"

Lunch

Parallel Session 1,

Chair: David Heath

2.00 - 2.20 Melanie Webb, University of Adelaide,
"Volatility Estimation for Hybrid Time-Scale Markov Modulated Asset Price Models"

2.20 - 2.40 Ian J. Clark, BNP Paribas, London,
"Implied Volatility Surfaces and Distributions for Barrier Options"

2.40 - 3.00 Andrew Ziogas, UTS, Sydney
"Evaluation of American Strangles"

3.00 - 3.20 Adam Kucera, Integral Energy, Sydney,
"Pricing Multi-Component Options"

Parallel Session 2,

Chair: Volf Frishling

2.00 - 2.20 Gert van der Westhuizen, Potchefstroom University, South Africa,
"Asset and Liability Management and Bank Performance Evaluation"

2.20 - 2.40 Merwe Oberholzer, Potchefstroom University, South Africa,
"Bank Size and Performance Evaluation Using Financial Ratios and a Non-
Paramatric Approach"

2.40 - 3.00 John Dalle Molle, Massey University, New Zealand,
"Forecasting the Expected Likelihood of Extreme Market Movements using a
Game-Theoretic Decision Model"

3.00 - 3.20 Tony He, UTS,
"Adaptiveness, Wealth Dynamics & Asset Pricing With Heterogeneous
Agents"

3.20 - 3.40 Hatemi-J. Abdulnasser, University of Skövde, Sweden,
"On the Causal Relationship between Stock Prices and Exchange Rates:
Evidence from MENA Region"

Afternoon Tea

Ballroom

Chair: Mark Davis

8.30 - 9.10 Kristian Miltersen, Odense University, Denmark,
"R&D Investments with Competitive Interactions"

9.10 - 9.50 Robert Elliott, University of Calgary, Canada,
"Pricing Electricity Calls"

9.50 - 10.30 Juri Hinz, Universität Tübingen, Germany,
"On Pricing of Electricity Contracts by Production Capacity Investments"

Morning Tea

Chair: Robert Elliott

11.00 - 11.40 Andrea Roncoroni, ESSEC, Cergy-Pontoise, France,
"Shape Volatility: A New Methodology for Measuring and Hedging Against
Term Structure Risk"

11.40 - 12.20 Cristian Ghiuvea, Zurich Capital Markets, New York,
"Pricing of Generalized American Options with Applications to Real &
Financial Energy Derivatives"

Lunch

Parallel Session 1,

Chair: Nabil Tahani

2.00 - 2.20 Hoi-Ying Wong, Chinese University of Hong Kong,
"A Structure Model of Credit Migration"

2.20 - 2.40 Philip Pretorius, Potchefstroom University, South Africa,
"The Use of Volatility in the Management of Banks' Interest Rate Risk"

2.40 - 3.00 Oleg Chataev, Imperial College, London,
"Calibration of Credit Derivative Pricing Models by Relative Entropy Minimization:
Modelling Term Structure of Default Correlations"

3.00 - 3.20 Benjamin M. Tabak, Banco Central do Brazil,
"Bank Failures and Efficiency"

Parallel Session 2,

Chair: Nick Webber

2.00 - 2.20 Adam Kolkiewicz, University of Waterloo, Canada,
"Smooth Monte Carlo Estimation of Transition Densities of Diffusion
Processes"

2.20 - 2.40 Bernd Engelmann, Deutsche Bundesbank, Germany,
"Speeding up the Pricing of American Options by Efficient Price Caching"

2.40 - 3.00 Andrew Worthington, QUT, Brisbane,
"A Garch Analysis of Price & Volatility Transmission Among Australian
Electricity Spot Markets Within the National Electricity Market (NEM)"

3.00 - 3.20 John Hatgioannides, City University Business School, London,
"On the Modelling of Energy Prices and Pricing Energy Derivatives"

Afternoon Tea

Parallel Session 1,

Chair: H-Y. Wong

3.40 - 4.00 Nabil Tahani, Hautes Études Commerciales School, Montreal,
"Valuing Credit Derivatives Using Gaussian Quadrature: Stochastic Volatility Framework"

4.00 - 4.20 Stefan Weber, Technische Universität Berlin, Germany,
"Credit Contagion and Aggregate Losses"

4.20 - 4.40 Christina Nikitopoulos, UTS,
“A Jump-Diffusion Derivative Pricing Model arising within the Heath-Jarrow-Morton Framework”

4.40 - 5.00 Oh Kang Kwon, UTS,
"A Simple Continuous Measure of Credit Risk"

Parallel Session 2,

Chair: Ernst Eberlein

3.40 - 4.00 Andrew J. Patton, University of California, San Diego,
"On the Out-of-Sample Importance of Skewness and Asymmetric
Dependence for Asset Allocation"

4.00 - 4.20 Jason West, UTS,
"Benchmark Pricing of Weather Derivatives"

4.20 - 4.40 Mark Craddock, UTS,
"Lie Symmetry Methods for Stochastic Modelling"

Ballroom

Chair: Kristen Miltersen

8.30 - 9.10 Ernst Eberlein, Universitaet Freiburg, Germany,
"Quantification of Electricity Risk"

9.10 - 9.50 Carl Chiarella, UTS,
"On Estimation of Interest Rate Volatility Structure within the HJM Framework"

9.50 - 10.30 Chris C. Heyde, Columbia University, New York/Australian National University,
"On the Controversies over Tail Heavyness and Long Range Dependence"

Morning Tea

Chair: Wolfgang Runggaldier

11.00 - 11.40 Monique Jeanblanc, Universite d'Evry, France,
"A Rating-based Model for Credit Derivatives"

11.40 - 12.20 Marek Musiela, BNP PARIBAS, London,
"A Valuation Algorithm For Incomplete Models"

Lunch & Closure