| Time |
Wednesday, 15th December 2010 |
| 1:40pm |
Siu
A HMM Approach for Optimal Investment of an Insurer |
Maneesoonthorn
Modeling and Predicting Volatility and the Volatility Risk Premia: a
Bayesian Non-Gaussian State Space Approach |
Mahler
Trends Based Indexing, Clustering and Predictions of Financial Time Series
|
Chege Maina
Credit Derivative Pricing within the HJM Class of Models with Stochastic
Volatility |
| 2:00pm |
Jang
Double Shot Noise Process and its Application in Insurance |
Zhao
Option Pricing on Multiple Assets with Mean-Reversion and Multi-Scale
Stochastic Volatility |
Paolella
An Asymmetric Multivariate Student's t Distribution with Different Degrees
of Freedom and Possible Independent Marginals |
Liu
Pricing CDOs with Time-Varying Recovery Rates and Default Dependence |
| 2:20pm |
Gabay
Demographic Risk Sharing in Defined Contribution Pension Funds |
Dobranszky
Robust Calibration of Multi-Factor Stochastic Volatility Models |
Tessitore
Models of S&P500 Return Distributions: The Pearson versus the Stable
Paretian |
Szatzschneider
Generating Covariances in the CIR Model |
| 2:40pm |
Sinha
Assessing Health of Insurers: A Stochastic View |
Grzelak
An Equity-Interest Rate Hybrid Model with Stochastic Volatility and the
Interest Rate Smile |
Yan
Bootstrap the Overidentifying Test in Dynamic Panel Models |
Jabbour
Structural Default Modeling: A Lattice Based Approach |
| 3:00pm |
Break |
| 3:30pm |
Knispel
Optimal long term investment under model ambiguity |
Griebsch
The Evaluation of European Compound Option Prices under Stochastic Volatility
using Fourier Transform Techniques |
Kaila
The Integrated Correlated Variance as a Statistical Inverse Problem |
Fujii
A Market Model of Interest Rates with Dynamic Basis Spreads in the presence
of Collateral and Multiple Currencies |
| 3:50pm |
Aihara
Mean-Variance Hedging of Bond Options with Stochastic Risk Premia |
Chin
Change-of-measure in the Square-root Process |
Ng
Non-Parametric Estimation of Forecast Distributions in Non-Gaussian State
Space Models |
Liu
Around the Random Walk Hypothesis on Interest Rates |
| 4:20pm |
Amaro de Matos
Consuming Durable Goods When Stock Markets Jump: A Strategic Asset Allocation
Approach |
Chan
A Cautious Note on the Design of Volatility Derivatives |
Wang
Does Market Belief Affect Trading Volume, Price Volatility and Illiquidity? |
Leirvik
A Portfolio of Bonds |
| 4:40pm |
Ishijima
Optimal Log-mean Variance Portfolios Subject to Serial Risks |
|
Shi
Relative Consumption, Heterogenous Beliefs and the Equity Premium Puzzle |
Maeda
Financial Modeling of House Price Dynamics |
| Time |
Thursday, 16th December 2010 |
| 1:40pm |
Gatfaoui
Estimating Fundamental Sharpe Ratios |
Guo
The Small and Large Time Limits of the Implied Volatility in the Minimal
Market Model |
Wong
Mean-Variance Portfolio Selection of Co-integrated Assets and Its Extensions |
Glover
Optimal Prediction of the CEV Process |
| 2:00pm |
Matsumoto
Tail VaR Measures in a Multi-period Setting |
Yamazaki
On Scale Functions of Spectrally Negative Levy Processes with Phase-type
Jumps |
Dokuchaev
A Relaxed Version of the Mutual Fund Theorem |
Liu
Improved Derivative Pricing using Artificial Neural Networks and Markov
Regime Switching Model |
| 2:20pm |
Tsukahara
Comparative Analysis of VaR and Some Distortion Risk Measures |
Locker
Mean-Variance Hedging in a Pure Jump Lévy-Ito Setting |
Owari
On the Duality for Robust Utility Maximization with Unbounded Random
Endowment |
Yang
Fast Adjoint Gammas |
| 2:40pm |
Peng
External Risk Measures and the Basel II Accord |
Wong
Valuation of Stock Loans under Exponential Phase-type Lévy Models |
Tichý
Optimal Portfolio and the Impact of Association Measures |
Pavlov
Calibrated Models and Value at Risk |
| 3:00pm |
Break |
| 3:30pm |
Verma
Smooth, Accurate & Arbitrage Free Volatility Surfaces |
Wright
Pricing PRDC Swaps in the Foreign Exchange Volatility Skew Model |
Leisen
Optimal Dynamic Cushion Levels in CPPI Strategies |
Millot
Non-quadratic Local Risk Minimization for the Hedging of Derivatives |
| 3:50pm |
Nawar
Stochastic Models of Crude Oil Prices - Double Jump with Stochastic Volatility |
Takehara
A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency
Options |
Jessen
Constant Proportion Portfolio Insurance: Discrete-time Trading and Gap
Risk Coverage |
Du
Benchmarked Risk Minimization |
| 4:20pm |
Id Brik
Informed Trading and Commodity Hedging |
Wang
Most-likely-path Approximation of Option Prices on the Arithmetic Average
in Local Volatility Models |
Dang
Singular stochastic target under state constraint problem - application
in algorithmic trading |
Baur
The Degree and Structure of (Inter-)Dependence: A Quantile Regression
Approach |
| 4:40pm |
Ewald
Options on Renewable Resources: A New Version of the Black (1976) Pricing
Formula for Commodity Options |
Hulley
Local Martingales Obtained by Discounting |
Miyazaki
Portfolio Management in Japanese Equity Market Under Regime-switching
Macroeconomic Risk |
Mamatzakis
Revealing management preferences and asymmetries in the loss function
of German banks |
| Time |
Friday, 17th December 2010 |
| 1:40pm |
Lo
Pricing CEV American Put Option - Moving Boundary Approach |
Baldeaux
Quasi-Monte Carlo Numerical Integration on RS: An Introduction and Applications
to Finance |
Costa
Option Pricing under a Nonlinear and Nonnormal GARCH |
| 2:00pm |
Karlova
Bright Noise |
Abdelkoddousse
Exact and High Order Discretization Schemes for Wishart Processes and
Their Affine Extensions |
Min
Conditional Volatility and the GARCH Option Pricing Model with Non-Normal
Innovations |
| 2:20pm |
Buryak
Put – Call Parity Violation Due to Discrete Dividends |
Weber
Simulation-based Valuation of Project Finance - Does Model Complexity
Really Matter? |
Gao
A Closed-form Solution of Normal-inverse Gaussian GARCH on Esscher-type
Transformation |
| 2:40pm |
Cheang
A Modern View on Merton's Jump-Diffusion Model |
Chan
Fast and Accurate Long Stepping Simulation of the Heston Stochastic Volatiliy
Model |
Kongtcheu
Introduction to Basis Instrument Contracts and sample applications: Baseball
& Passport |
| 3:00pm |
Break |
| 3:30pm |
Kang
The Evaluation of Swing Contracts with Regime Switching |
Maher
Some Remarks on T-copulas |
Imamura
Static Hedging of Options Written on the Last Exit Time |
| 3:50pm |
Nazifi
Testing Price Convergence in Carbon Markets |
Ignatieva
Using Dynamic Copulae for Modeling Dependency in Denominations of a Diversified
World Stock Index |
Korolkiewicz
New Analytic Approximations for Pricing Spread Options |
| 4:20pm |
Miyahara
Risk-Sensitive Value Measure Method for Project Evaluation |
Prokhorov
A Goodness-of-fit Test for Copulas |
Sugihara
An Empirical Analysis of Equity Market Expectations in the Recent Financial
Turmoil Using Implied Moments and Jump Diffusion Processes |
| 4:40pm |
Jedidi
General Markovian Order Book Modelling |
Goldbloom
Data Modeling Competitions: Far More Than Just a Bit of Fun |
Yamada
Hedging Multivariate Illiquid Asset Derivatives Based on the Additive
Models |
