Quantitative Methods in Finance 2006 |
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Summary of All Sessions |
| # | Date/Time | Location | Type | Title | Papers |
|---|---|---|---|---|---|
| 1 | December 13, 2006 8:30-10:30 | Ballroom | invited | Wednesday Morning 1 | 3 |
| 2 | December 13, 2006 11:00-12:20 | Ballroom | invited | Wednesday Morning 2 | 2 |
| 3 | December 13, 2006 2:00-3:20 | Ballroom | contributed | Wednesday Afternoon 1 | 4 |
| 4 | December 13, 2006 3:40-5:00 | Ballroom | contributed | Wednesday Afternoon 2 | 4 |
| 5 | December 13, 2006 2:00-3:20 | Balgowlah | contributed | Wednesday Afternoon 3 | 4 |
| 6 | December 13, 2006 3:40-5:00 | Balgowlah | contributed | Wednesday Afternoon 4 | 4 |
| 7 | December 13, 2006 2:00-3:40 | Clontarf | contributed | Wednesday Afternoon 5 | 4 |
| 8 | December 13, 2006 3:40-5:00 | Clontarf | contributed | Wednesday Afternoon 6 | 4 |
| 9 | December 14, 2006 8:30-10:30 | Ballroom | invited | Thursday Morning 1 | 3 |
| 10 | December 14, 2006 11:00-12:20 | Ballroom | invited | Thursday Morning 2 | 2 |
| 11 | December 14, 2006 2:00-3:20 | Ballroom | contributed | Thursday Afternoon 1 | 4 |
| 12 | December 14, 2006 3:40-5:00 | Ballroom | contributed | Thursday Afternoon 2 | 4 |
| 13 | December 14, 2006 2:00-3:20 | Balgowlah | contributed | Thursday Afternoon 3 | 4 |
| 14 | December 14, 2006 3:40-5:00 | Balgowlah | contributed | Thursday Afternoon 4 | 4 |
| 15 | December 14, 2006 2:00-3:40 | Clontarf | contributed | Thursday Afternoon 5 | 4 |
| 16 | December 14, 2006 3:40-5:00 | Clontarf | invited | Thursday Afternoon 6 | 4 |
| 17 | December 15, 2006 8:30-10:30 | Ballroom | invited | Friday Morning 1 | 3 |
| 18 | December 15, 2006 11:00-12:20 | Ballroom | invited | Friday Morning 2 | 1 |
| 19 | December 15, 2006 2:00-3:20 | Ballroom | invited | Friday Afternoon 1 | 4 |
| 20 | December 15, 2006 3:40-5:00 | Ballroom | contributed | Friday Afternoon 2 | 4 |
| 21 | December 15, 2006 2:00-3:20 | Balgowlah | contributed | Friday Afternoon 3 | 4 |
| 22 | December 15, 2006 3:40-5:00 | Balgowlah | contributed | Friday Afternoon 4 | 4 |
| 23 | December 15, 2006 2:00-3:40 | Clontarf | contributed | Friday Afternoon 5 | 4 |
| 24 | December 15, 2006 3:40-5:00 | Clontarf | contributed | Friday Afternoon 6 | 2 |
| 25 | December 16, 2006 8:30-10:30 | Ballroom | invited | Saturday Morning 1 | 3 |
| 26 | December 16, 2006 11:00-12:20 | Clontarf | invited | Saturday Morning 2 | 2 |
26 sessions, 89 papers |
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Quantitative Methods in Finance 2006 |
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Complete List of All Sessions |
Session 1: Wednesday Morning 1 |
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| Session Chair: Eckhard Platen, University of Technology, Sydney |
| Session type: invited |
| Date: December 13, 2006 |
| Time: 8:30 - 10:30 |
| Location: Ballroom |
| Risk Sensitive Benchmarked Asset Management |
| Presented by: Mark Davis, Imperial College, London |
| Monotone and Cash-Invariant Convex Functions and Hulls |
| Presented by: Damir Filipovic, University of Munich |
| Stochastic Drift Models: Swaption Volatility Cube Calibration and Callable CMS Spread Range Accruals |
| Presented by: Claudio Albanese, Imperial College, London |
Session 2: Wednesday Morning 2 |
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| Session Chair: Eckhard Platen, University of Technology, Sydney |
| Session type: invited |
| Date: December 13, 2006 |
| Time: 11:00 - 12:20 |
| Location: Ballroom |
| MONTE CARLO BOUNDS FOR CALLABLE DERIVATIVES WITH NON-ANALYTIC BREAK COSTS |
| Presented by: Mark Joshi, |
| VALUATION AND HEDGING OF DEFAULTABLE GAME OPTIONS IN A HAZARD PROCESS MODEL |
| Presented by: Marek Rutkowski, University of New South Wales |
Session 3: Wednesday Afternoon 1 |
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| Session Chair: Erik Schlogl, University of Technology, Sydney |
| Session type: contributed |
| Date: December 13, 2006 |
| Time: 2:00 - 3:20 |
| Location: Ballroom |
| Credit derivatives with recovery of market value for multiple firms |
| Presented by: Keiichi Tanaka, Tokyo Metropolitan University |
| STCDO Model Calibration and Hedge Performance |
| Presented by: Fabian Vieth, WestLB AG |
| Beyond Hazard Rates: A New Framework for Credit-Risk Modelling |
| Presented by: Andrea Macrina, King's College London |
| Dynamic Credit Correlation Modeling |
| Presented by: Alicia Vidler, Merrill Lynch London |
Session 4: Wednesday Afternoon 2 |
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| Session Chair: Marek Rutkowski, University of New South Wales |
| Session type: contributed |
| Date: December 13, 2006 |
| Time: 3:40 - 5:00 |
| Location: Ballroom |
| Negative Diversification Effects between Credit and Market Risk |
| Presented by: Thomas Breuer, public |
| Low Probability Defaults: Estimation and Simulation |
| Presented by: Alun Pope, St.George Bank |
| Modelling Tradeable Securities with Dividends |
| Presented by: Michel Vellekoop, University of Twente |
| Long Run Probability of Default and BASEL II Capital Allocation |
| Presented by: Jaesun Noh, CIBC |
Session 5: Wednesday Afternoon 3 |
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| Session Chair: Claudio Albanese, Imperial College, London |
| Session type: contributed |
| Date: December 13, 2006 |
| Time: 2:00 - 3:20 |
| Location: Balgowlah |
| Liquidity, Return, and Order Flow Linkages Between REITs and the Stock Market |
| Presented by: Avanidhar Subrahmanyam, |
| Valuing Continuous-Installment Options |
| Presented by: Toshikazu Kimura, public |
| Smooth Convergence in the Binomial Model |
| Presented by: Kenneth Palmer, public |
| Spectral methods for volatility derivatives |
| Presented by: Aleksandar Mijatovic, Imperial College, London |
Session 6: Wednesday Afternoon 4 |
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| Session Chair: Peter Buchen, University of Sydney |
| Session type: contributed |
| Date: December 13, 2006 |
| Time: 3:40 - 5:00 |
| Location: Balgowlah |
| On Multi-Asset Options with Price Discontinuities |
| Presented by: Gerald Cheang, Nanyang Technological University |
| Asset Pricing under Jump Diffusion |
| Presented by: Huimin Zhao, The University of Hong Kong |
| Quanto Options under Double Exponential Jump Diffusion |
| Presented by: Ka Yung Lau, Department of Statistics |
| Hedging Basis Risk using Quadratic Criteria |
| Presented by: Hardy Hulley, University of Technology Sydney |
Session 7: Wednesday Afternoon 5 |
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| Session Chair: Robert Brooks, public |
| Session type: contributed |
| Date: December 13, 2006 |
| Time: 2:00 - 3:40 |
| Location: Clontarf |
| A Real Estate Valuation Model under Regime Switching |
| Presented by: Hiroshi Ishijima, Waseda University |
| Investment Timing, Asymmetric Information, and Audit Structure: A Real Options Framework |
| Presented by: Takashi Shibata, Kyoto University |
| Optimal capacity expansion and contraction with fixed and quadratic adjustment costs |
| Presented by: Motoh Tsujimura, Ryukoku University |
| A real options model for determining a firm's optimal R&D project |
| Presented by: Michi Nishihara, Kyoto University |
Session 8: Wednesday Afternoon 6 |
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| Session Chair: Koichi Matsumoto, Kyushu University |
| Session type: contributed |
| Date: December 13, 2006 |
| Time: 3:40 - 5:00 |
| Location: Clontarf |
| Continuous Time Mean-Variance Portfolio Selection with Proportional Transaction Costs |
| Presented by: Xu Quan, The Chinese University of Hong Kong |
| Management and PerformanceFees in the Asset Management Industry |
| Presented by: Jieping Zhang, Cambridge University |
| Efficient Market Hypothesis: Through the Eyes of the Artificial Technical Analyst |
| Presented by: Timur Yusupov, University of Kiel |
| Intertemporal Asset Allocation when the Underlying Factors are Observable |
| Presented by: Chih-ying Hsiao, University Bielefeld |
Session 9: Thursday Morning 1 |
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| Session Chair: Mark Davis, Imperial College, London |
| Session type: invited |
| Date: December 14, 2006 |
| Time: 8:30 - 10:30 |
| Location: Ballroom |
| ON THE DISCRETE TIME CAPITAL ASSET PRICING MODEL |
| Presented by: Alain Bensoussan , University of Texas at Dallas |
| Model-Free Hedge Ratios and Scale-Invariant Models |
| Presented by: Carol Alexander, ICMA centre |
| Overview on Methods of Quantitative Risk Management |
| Presented by: Gerhard Stahl, |
Session 10: Thursday Morning 2 |
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| Session Chair: Damir Filipovic, University of Munich |
| Session type: invited |
| Date: December 14, 2006 |
| Time: 11:00 - 12:20 |
| Location: Ballroom |
| Partial Differential Equations and Martingales |
| Presented by: John Hoek, University of Adelaide |
| Pricing and Hedging of Extreme Maturity Contracts under the Benchmark Approach |
| Presented by: Eckhard Platen, University of Technology, Sydney |
Session 11: Thursday Afternoon 1 |
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| Session Chair: David Hobson, University of Bath |
| Session type: contributed |
| Date: December 14, 2006 |
| Time: 2:00 - 3:20 |
| Location: Ballroom |
| Derivative Portfolio Optimisation |
| Presented by: Raoul Davie, Macquarie Bank |
| Are option-pricing and utility-maximization problems well-posed? |
| Presented by: Kasper Larsen, |
| Portfolio Insurance in a Random Trade Time Model |
| Presented by: Koichi Matsumoto, Kyushu University |
| Active Portfolio Management with Conditional Tracking Error |
| Presented by: Winfried Hallerbach, Erasmus University |
Session 12: Thursday Afternoon 2 |
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| Session Chair: Hiroshi Ishijima, Waseda University |
| Session type: contributed |
| Date: December 14, 2006 |
| Time: 3:40 - 5:00 |
| Location: Ballroom |
| A Quantitative Approach to Carbon Price Risk Modeling |
| Presented by: Juri Hinz, ETH Zentrum |
| Dynamic Behavior of a Rational Agent at a Limit Order Market |
| Presented by: Martin Smid, UTIA CAS |
| Behavioural Heterogeneity and Shift-Contagion: Evidence from the Asian Crisis |
| Presented by: Remco Zwinkels, Radboud University Nijmegen |
| Optimal liquidation against a Markovian limit order book |
| Presented by: Patrick Hewlett, University of Oxford |
Session 13: Thursday Afternoon 3 |
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| Session Chair: Keiichi Tanaka, Tokyo Metropolitan University |
| Session type: contributed |
| Date: December 14, 2006 |
| Time: 2:00 - 3:20 |
| Location: Balgowlah |
| Interest Rate Term Structure Modelling under the Benchmark Approach |
| Presented by: Truc Le, Univeristy of Technology Sydney |
| Inflation Indexed Swaps and Swaptions |
| Presented by: Mia Hinnerich, SSE |
| LIBOR Market Model with Markov Chain Stochastic Volatility |
| Presented by: Simona Svoboda, Univeristy of Oxford |
| Finite Dimensional Realizations of Regime-Switching HJM models |
| Presented by: Mikael Elhouar, Stockholm School of Economics |
Session 14: Thursday Afternoon 4 |
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| Session Chair: Alan Tobin, University of Technology, Sydney |
| Session type: contributed |
| Date: December 14, 2006 |
| Time: 3:40 - 5:00 |
| Location: Balgowlah |
| The Risk Microstructure of Corporate Bonds: A Bayesian Analysis |
| Presented by: Paul Schneider, Vienna University of Economics and BA |
| Detecting outliers in credit scoring using logistic regression |
| Presented by: Tanja de la Rey , North-West University |
| Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model |
| Presented by: Francois Quittard-Pinon, University of Lyon 1 |
| Pricing Vulnerable Options Using Good Deal Bounds |
| Presented by: Agatha Murgoci, Stockholm School of Economics |
Session 15: Thursday Afternoon 5 |
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| Session Chair: Stefan Jaschke, BaFin |
| Session type: contributed |
| Date: December 14, 2006 |
| Time: 2:00 - 3:40 |
| Location: Clontarf |
| Insider Trading with Imperfectly Competitive Market Makers. |
| Presented by: Katsumasa Nishide, Kyoto University |
| Trading strategies based on a dynamic mixture Gaussian model |
| Presented by: Philip Yu, The University of Hong Kong |
| Modelling the Volatility of Emerging Markets |
| Presented by: Robert Brooks, public |
| An empirical study of realized volatility and long memory GARCH standardized stock-return |
| Presented by: chin cheong, multimedia university |
Session 16: Thursday Afternoon 6 |
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| Session Chair: Alex Novikov, UTS |
| Session type: invited |
| Date: December 14, 2006 |
| Time: 3:40 - 5:00 |
| Location: Clontarf |
| On Pareto optimal allocations for multi-period risks |
| Presented by: Giacomo Scandolo, University of Florence |
| Coherent risk measures, coherent capital allocations, and the gradient allocation principle |
| Presented by: Arne Buch, Vienna Univ. of Business a. Econ. Admin. |
| How to Achieve Comparability of Internal Risk Capital Models without Prescribing the Methodology |
| Presented by: Stefan Jaschke, BaFin |
| Alternative approaches to compute value-at-risk |
| Presented by: Taposhri Ganguly, Brunel University |
Session 17: Friday Morning 1 |
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| Session Chair: Alain Bensoussan , University of Texas at Dallas |
| Session type: invited |
| Date: December 15, 2006 |
| Time: 8:30 - 10:30 |
| Location: Ballroom |
| Real-time Volatility Estimation Under Zero Intelligence |
| Presented by: Jim Gatheral, New York University |
| Fitting the market: Tractable Approximations and Calibrating Models to Multiple Volatility Smiles |
| Presented by: Erik Schlogl, University of Technology, Sydney |
| Risk Aversion, Effort and Block Exercise of Executive Stock Options |
| Presented by: Vicky Henderson, Princeton University |
Session 18: Friday Morning 2 |
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| Session Chair: Gerhard Stahl, |
| Session type: invited |
| Date: December 15, 2006 |
| Time: 11:00 - 12:20 |
| Location: Ballroom |
| Skorokhod Embeddings and Finance |
| Presented by: David Hobson, University of Bath |
| Inverse Problems in Option Pricing: A Solution via Random Mixtures of Martingales |
| Presented by: Rama CONT, Columbia University |
Session 19: Friday Afternoon 1 |
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| Session Chair: Daniel Dufresne, University of Melbourne |
| Session type: invited |
| Date: December 15, 2006 |
| Time: 2:00 - 3:20 |
| Location: Ballroom |
| A Simple Analytical Formula for the Critical Stock Price of American Put Options |
| Presented by: Song-Ping Zhu, private |
| PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATE |
| Presented by: Alexey Medvedev, University of Geneva/FAME |
| Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing using Regression |
| Presented by: Lars Stentoft, HEC Montréal |
| General option exercise rules for regime-switching models |
| Presented by: Sergei Levendorskii, |
Session 20: Friday Afternoon 2 |
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| Session Chair: Truc Le, Univeristy of Technology Sydney |
| Session type: contributed |
| Date: December 15, 2006 |
| Time: 3:40 - 5:00 |
| Location: Ballroom |
| Generating Quantile Functions for Copula and Quasi-Monte-Carlo Simulations using Computer Algebra |
| Presented by: William Shaw, public |
| Analysis of Monte Carlo Methods for Option Pricing under Stochastic Volatility Models |
| Presented by: Chuan-Hsiang (Sean) Han, National Tsing Hua University |
| Weak Predictor-Corrector Schemes for Jump Diffusions in Finance |
| Presented by: Nicola Bruti-Liberati, University of Technology, Sydney |
| A Dirichlet Bridge sampling of the Variance Gamma Process: pricing path-dependent options and participating life insurance contracts |
| Presented by: Laura Ballotta, public |
Session 21: Friday Afternoon 3 |
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| Session Chair: Giacomo Scandolo, University of Florence |
| Session type: contributed |
| Date: December 15, 2006 |
| Time: 2:00 - 3:20 |
| Location: Balgowlah |
| Principal-Agent and Nash applied to environment |
| Presented by: Wojciech Szatzschneider, Anahuac University |
| Optimal consumption and investment strategies of homeowners facing the risk of earthquakes |
| Presented by: Teruyoshi Suzuki, Hokkaido University |
| On B-spline related stochastic processes and some applications in finance and insurance |
| Presented by: Vladimir Kaishev, Cass Business School, City University |
| Pricing Financial Derivatives on Weather-Sensitive Assets |
| Presented by: Boda Kang, public |
Session 22: Friday Afternoon 4 |
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| Session Chair: Gerald Cheang, Nanyang Technological University |
| Session type: contributed |
| Date: December 15, 2006 |
| Time: 3:40 - 5:00 |
| Location: Balgowlah |
| Properties of the Fourier integrated volatility estimator under microstructure noise |
| Presented by: Simona Sanfelici, University of Parma |
| Robustness, Redundancy, and Validity of Copulas in Likelihood Models |
| Presented by: Artem Prokhorov, Michigan State University |
| Bayesian Stochastic Volatility Model for FX Asian crisis market. |
| Presented by: wantanee Surapaitoolkorn, Sasin Graduate Institute of Business Adm |
| Investigating FX Market Efficiency with Support Vector Machines |
| Presented by: Detlef Seese, |
Session 23: Friday Afternoon 5 |
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| Session Chair: Tao Peng, University of Technology, Sydney |
| Session type: contributed |
| Date: December 15, 2006 |
| Time: 2:00 - 3:40 |
| Location: Clontarf |
| Lie Group Symmetries of Fundamental Solutions of Financial Models |
| Presented by: Mark Craddock, University of Technology, Sydney |
| Modelling Default Risk. An Intensity-Based Credit Migration Approach |
| Presented by: Malgorzata Korolkiewicz, University of South Australia |
| Real-World Pricing for the HJM framework with Jumps |
| Presented by: Christina Nikitopoulos Sklibosios, University of Technology, Sydney |
| "Bond Immunization and Exchange Rate Risk: Some Further Considerations" |
| Presented by: Ivan Ivanov, Ramapo College |
Session 24: Friday Afternoon 6 |
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| Session Chair: Tao Peng, University of Technology, Sydney |
| Session type: contributed |
| Date: December 15, 2006 |
| Time: 3:40 - 5:00 |
| Location: Clontarf |
| Options with partial exercise |
| Presented by: Tony Ware, University of Calgary |
| The Stochastic Dynamics of Speculative Behaviour |
| Presented by: Min Zheng, University of Technology, Sydney |
Session 25: Saturday Morning 1 |
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| Session Chair: Vicky Henderson, Princeton University |
| Session type: invited |
| Date: December 16, 2006 |
| Time: 8:30 - 10:30 |
| Location: Ballroom |
| Information-Based Asset Pricing |
| Presented by: Lane Hughston, King's College London |
| Pricing American Options Under Stochastic Volatility and Jump-Diffusion Dynamics |
| Presented by: Carl Chiarella, University of Technology, Sydney |
| New results on exponential integral functionals of Brownian motion |
| Presented by: Daniel Dufresne, University of Melbourne |
Session 26: Saturday Morning 2 |
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| Session Chair: John Hoek, University of Adelaide |
| Session type: invited |
| Date: December 16, 2006 |
| Time: 11:00 - 12:20 |
| Location: Clontarf |
| Pricing of Corporate Debts with Stochastic Thresholds |
| Presented by: Alex Novikov, UTS |
| ASSET PRICES WITH REGIME SWITCHING VARIANCE GAMMA DYNAMICS |
| Presented by: Robert Elliott, University of Calgary |
This program was last updated on 2007-03-19 21:13:53 EDT