Quantitative Methods in Finance
2003 Conference - Program

Major Sponsor: Stiftungsfonds Deutsche Bank

Supported by Springer Verlag, Heidelberg, Birkhäuser Verlag, Basel, World Scientific, Singapore, Quantitative Finance, Bristol

Tuesday, 09 December

5.30pm - 7.30pm Registration & Refreshments

Wednesday, 10 December

7:30 am - 8:20 am Registration & Coffee

Ballroom
Chair: Eckhard Platen
8:20 –- 8:30 am Welcome
8:30 –- 9:10 am Philipp Schönbucher (ETH, Zurich, Switzerland)
Frailty models, contagion and information effects in credit risk models
9:10 –- 9:50 am Sven Sandow (Standard & Poor's, New York, USA)
Evaluating and learning probabilistic models for expected utility maximizing investors: applications to credit risk
9:50 –- 10:30 am Wolfgang Bühler (University of Mannheim, Germany)
Valuation of convertible bonds: Credit risk and optimal conversion strategies

Morning Tea

Chair: Carl Chiarella
11:00 –- 11:40 am Rudi Zagst (Technische Universität München, Germany)
A generalization of the Schmid/Zagst-Model for the pricing of defaultable bonds
11:40 –- 12:20 pm Takeaki Kariya (Kyoto University, Tokyo, Japan)
Weather risk swap

Lunch

Chair: Wolfgang Bühler
2:00 –- 2:20 pm Hidetoshi Nakagawa (Tokyo Institute of Technology, Japan)
Valuation of mortgage-backed securities based on unobservable prepayment costs
2:20 –- 2:40 pm Steven Li (Queensland University of Technology, Brisbane, Australia)
A valuation model for firms with stochastic earnings
2:40 –- 3:00 pm Michael Barco (ANZ Banking Group Limited, Melbourne, Australia)
Analytical mark to market portfolio valuation and capital allocation
3:00 –- 3:20 pm Nicole Ming-Xi Huang (The Chinese University of Hong Kong, China)
Estimation of default probability by structural model with time-dependent target leverage ratios

Afternoon Tea

Chair: Rudi Zagst
3:40 –- 4:00 pm Ana Bermudez (Cass Business School, London, United Kingdom)
Valuing defaultable convertible bonds in an asset based model with endogenous recovery using a finite element method
4:00 –- 4:20 pm Tony He (University of Technology, Sydney, Australia)
Asset pricing, volatility and market behavior: a market fraction approach
4:20 –- 4:40 pm Christina Nikitopoulos (University of Technology, Sydney, Australia)
A Markovian defaultable term structure model with level dependent volatilities
4:40 –- 5:00 pm Banita Bissoondoyal (Royal Melbourne Institute of Technology, Australia)
An analysis of the determinants of sovereign ratings

Balgowlah/Seaforth Room

Chair: Alex Novikov
2:00 –- 2:20 pm Ross Maller (Australian National University, Canberra, Australia)
A continuous time analogue to the GARCH(1,1) model
2:20 –- 2:40 pm Marianna Grimaldi (Sveriges Riksbank, Stockholm, Sweden)
Technical trading in the foreign exchange markets. A tale of switching attractors
2:40 –- 3:00 pm John Knight (University of Western Ontario, London, Canada)
Efficient estimation of Markov processes where the transition density is unknown
3:00 –- 3:20 pm Leah Kelly (University of Technology, Sydney, Australia)
Intraday empirical analysis and modelling of diversified world stock indices

Afternoon Tea

Chair: Leah Kelly
3:40 –- 4:00 pm Martin Young (Massey University, Palmerston, New Zealand)
Monetary policy implementation and optimal portfolio strategies
4:00 –- 4:20 pm Kaifeng Chen (FAME & University of Lausanne, Switzerland)
Quantitative selection of long-short hedge funds
4:20 –- 4:40 pm Jacek B. Krawczyk (Victoria University of Wellington, New Zealand)
Numerical solutions to pension fund problems with realistic targets
4:40 –- 5:00 pm Wenlong Weng (Lehigh University, Bethlehem, USA)
The initial investment option and its optimal investment threshold

Clontarf Room

Chair: Peter Buchen
2:00 –- 2:20 pm Andrew Ziogas (University of Technology, Sydney, Australia)
Pricing American options on jump-diffusion processes using Fourier-Hermite series expansions
2:20 –- 2:40 pm Max Skipper (University of Oxford, United Kingdom)
Inside exotic barriers
2:40 –- 3:00 pm Xiaoqing Liu (DBS Bank, Singapore)
A variance reduced Monte Carlo method for option pricing under stochastic volatility and jump-diffusion models
3:00 –- 3:20 pm Shane Miller (University of Technology, Sydney, Australia)
A two factor model for the term structure of interest rates without an equivalent risk neutral measure

Afternoon Tea

Chair: Andrew Ziogas
3:40 –- 4:00 pm Rae Weston (Macquarie Graduate School of Management, Sydney, Australia)
The chaotic structure of stock prices
4:00 –- 4:20 pm Steffen Sorensen (University of York, United Kingdom)
Business cycle variability, stock market variability and the risk premium
4:20 –- 4:40 pm Sergio Bianchi (University of Cassino, Italy)
Multifractality in stock markets: An empirical analysis
4:40 –- 5:00 pm Jacek Jakubowski (Warsaw University, Poland)
The temporal relationship between spot and futures prices of individual stocks traded on Warsaw Stock Exchange

Optional: 7:00 pm Conference Dinner, Le Kiosk, 1 Marine Parade, Shelly Beach, Manly

Thursday, 11 December

Ballroom

Chair: Ross Maller
8:30 –- 9:10 am Robert Elliott (University of Calgary, Canada)
Pricing untradable claims: Duality methods
9:10 –- 9:50 am Alex Novikov (University of Technology, Sydney, Australia)
On the pricing of path dependent options on yields in the affine term structure model with jumps
9:50 –- 10:30 am Eckhard Platen (University of Technology, Sydney, Australia)
Modelling the volatility and expected value of a diversified world index

Morning Tea

Chair: Sven Sandow
11:00 –- 11:40 am Peter Buchen (University of Sydney, Australia)
Exotic lookbacks unravelled
11:40 –- 12:20 pm David Heath (University of Technology, Sydney, Australia)
Pricing and hedging of currency derivatives

Lunch

Chair: David Heath
2:00 –- 2:20 pm Nick Webber (University of Warwick, United Kingdom)
Valuing continuous barrier options on a lattice solution for a stochastic Dirichlet problem
2:20 –- 2:40 pm James Primbs (Stanford University, USA)
Conditional moment computations for discrete dynamic hedges
2:40 –- 3:00 pm Daniel Dufresne (University of Melbourne, Australia)
Asian and basket asymptotics
3:00 –- 3:20 pm Gerald Cheang (Nanyang Technological University, Singapore)
A simple approach to pricing options with jumps

Afternoon Tea

Chair: Nick Webber
3:40 –- 4:00 pm Alexander Szimayer (The University of Western Australia, Crawley)
Valuation of American options in the presence of event risk
4:00 –- 4:20 pm Steffen Berridge (Tilburg University, The Netherlands)
Pricing high-dimensional American options using local consistency conditions
4:20 –- 4:40 pm Emanuele Amerio (INSEAD, Fontainebleau, France)
Pricing of implied volatility derivatives
4:40 –- 5:00 pm Oliver Blaskowitz (Humboldt-Universität zu Berlin, Germany)
Probability trading

Balgowlah/Seaforth Room

Chair: Jason West
2:00 –- 2:20 pm Jaimyung Kim (Kangwon National University, Chuncheon, Korea)
The evaluation approach of academic entrepreneur's R&D projects by real option
2:20 –- 2:40 pm Andrea Gamba (University of Verona, Italy)
Real options, capital structure and taxes
2:40 –- 3:00 pm Piotr Jaworski (Warsaw University, Poland)
On the uniform tail expansions of the bivariate copulas
3:00 –- 3:20 pm Yuriy Krvavych (The University of New South Wales, Sydney, Australia)
Insurance pricing for extreme events in an economic environment

Afternoon Tea

Chair: Mahmoud Hamada
3:40 –- 4:00 pm Juri Hinz (ETZ Zurich, Switzerland)
On auction games from power trading
4:00 –- 4:20 pm Christian Huurman (Erasmus University Rotterdam, The Netherlands)
Fat tails in power prices
4:20 –- 4:40 pm Jason West (University of Technology, Sydney, Australia)
The benchmark approach to pricing electricity derivatives
4:40 –- 5:00 pm Wojciech Szatzschneider (Anahuac University, Edo de Mexico, Mexico)
Optimization problems in environmental finance
5:00 - 5:20 pm

Henrik Andersson (University of Karlstad, Sweden)
Are commodity prices mean reverting?

Clontarf Room

Chair: John Knight
2:00 –- 2:20 pm Philip Pretorius (Potchefstroom University, Vanderbijlpark, South Africa)
Managing interest rate risk: A comparison between forecasting and volatility models
2:20 –- 2:40 pm Ken Kortanek (University of Pittsburgh, USA)
Extracting the zeros under a law of motion by geometric programming
2:40 –- 3:00 pm Mark van de Vyver (University of Sydney, Australia)
The distribution of the LR test for a nonlinear latent variable model of equity returns
3:00 –- 3:20 pm Peter N Smith (University of York, United Kingdom)
Macroeconomic sources of equity risk

Afternoon Tea

Chair: Wolfgang Breyman
3:40 –- 4:00 pm Hugh Luckock (University of Sydney, Australia)
Modelling the limit order book
4:00 –- 4:20 pm Jonathan Tse (University of Sydney, Australia)
A model of learning in a limit-order market
4:20 –- 4:40 pm Oh Kang Kwon (University of Sydney, Australia)
Index tracking using the cost minimising portfolio
4:40 –- 5:00 pm Hariharan Ramasangu (Indian Institute of Science, India)
A model for herding and its associated risk in a financial market

Optional: 7:30 pm The Three Musketeers, Sydney Opera House, Australian Ballett

Friday, 12 December

Ballroom

Chair: Robert Elliott
8:30 –- 9:10 am Michael Sørensen (University of Copenhagen, Denmark)
A new flexible class of stochastic volatility models of the diffusion-type
9:10 –- 9:50 am Ryozo Miura (Hitotsubashi University Tokyo, Japan)
A note on a continuous time rank process
9:50 –- 10:30 am Lukasz Stettner (Polish Academy of Sciences, Poland)
On utility maximization in discrete-time market models

Morning Tea

Chair: Daniel Dufresne
11:00 –- 11:40 am Alun Pope (Australian Prudential Regulation Authority, Sydney, Australia)
A framework for modelling specific credit risk for regulatory purposes
11:40 –- 12:20 pm Abel Cadenillas (University of Alberta, Canada)
Optimal dividend policy with mean-reverting cash reservoir

Lunch

Chair: Lane Hughston
2:00 –- 2:20 pm Takashi Nakayama (Bank of Japan, Tokyo, Japan)
A term structure model under the zero interest rate policy
2:20 –- 2:40 pm Raoul Pietersz (Erasmus University Rotterdam, The Netherlands)
Projection iteration calibration of the LIBOR BGM model
2:40 –- 3:00 pm Andrea Roncoroni (ESSEC Graduate Business School, Cergy, France)
A semimartingale model for the Euro overnight index average
3:00 –- 3:20 pm Leo Krippner (Reserve Bank of New Zealand, Wellington, New Zealand)
Modelling the yield curve with orthonormalised Laguerre polynomials: A risk-neutral approach

Afternoon Tea

Chair: Takeaki Kariya
3:40 –- 4:00 pm Andrzej Palczewski (Warsaw University, Poland)
Risk minimizing strategies for portfolios of interest-rate based securities
4:00 –- 4:20 pm Yuji Yamada (University of Tsukuba, Japan)
Value-at-Risk estimation for multi-period mean square optimal hedging with jumps
4:20 –- 4:40 pm Koji Inui (Kyoto University, Japan)
VaR is subject to a significant positive bias
4:40 –- 5:00 pm Winfried G. Hallerbach (Erasmus University Rotterdam, The Netherlands)
Rational Greeks

Balgowlah/Seaforth Room

Chair: Yoshio Miyahara
2:00 –- 2:20 pm Takuji Arai (Tokyo University of Science, Japan)
Mean-variance hedging for discontinuous asset price processes
2:20 –- 2:40 pm Marek Kocinski (Warsaw Agricultural University, Poland)
Partial hedging of options in a discrete time
2:40 –- 3:00 pm Michael Monoyios (Brunel University, Uxbridge, United Kingdom)
Performance of utility-based strategies for hedging basis risk
3:00 –- 3:20 pm Bernard Wong (The University of New South Wales, Sydney, Australia)
Arbitrage portfolios and the fundamental theorem of asset pricing

Afternoon Tea

Chair: Christina Nikitopoulos
3:40 –- 4:00 pm Yoshio Miyahara (Nagoya City University, Japan)
Calibration of the geometric Levy process & MEMM pricing model
4:00 –- 4:20 pm Claudia Ribeiro (Cass Business School, London, United Kingdom)
Correcting for simulation bias in Monte Carlo methods to value exotic options in models driven by Levy processes
4:20 –- 4:40 pm Mahmoud Hamada (Energy Australia, Sydney, Australia)
Contingent claim pricing using probability distortion functions with elliptical distributions
4:40 –- 5:00 pm Peng Xu (Hosei University, Machida-shi, Japan)
Bankruptcy resolution in Japan: Corporation reorganization vs. civil rehabilitation

Saturday, 13 December

Ballroom

Chair: Philipp Schönbucher
8:30 –- 9:10 am John van der Hoek (University of Adelaide, Australia)
Self-financing in FBM markets
9:10 –- 9:50 am Carl Chiarella (University of Technology, Sydney, Australia)
McKean's method applied to American call options on jump-diffusion processes
9:50 –- 10:30 am Wolfgang Breymann (ETH, Zurich, Switzerland)
Intraday diversified world stock indices: Dynamics, return distributions, dependence structure

Morning Tea

Chair: Michael Sørensen
11:00 –- 11:40 am Erik Schlögl (University of Technology, Sydney, Australia)
The risk management of minimum return guarantees
11:40 –- 12:20 Lane Hughston (King's College London, United Kingdom)
A chaotic approach to interest rate modelling