SCHEDULE FOR CONTRIBUTED TALKS
Tuesday, August 1
2:00  3:00
Track 1: Incompleteness
7500 Wean Hall
S. Kou 

Columbia Univ. 

"A Jump Diffusion Model for Option Pricing with
Three Properties: Leptokurtic Feature, Volatility
Smile, and Analytical Tractability" 
A. Dudenhausen,
P. Schönbucher 

Univ. of Bonn 

"Construction and Existence of Robust Hedging
Strategies According to DiscreteTime Trading" 
D. Vermes 

Worcester
Polytechnic 

"Stochastic Interpolation of Prices of Thinly
Traded Assets" 
Track 2:
2210 Doherty Hall
M. Culot,
Y. Smeers 

R&D Energy
Markets Electrabel 

"Options with MultiCriteria Payoffs:
An Analytical Pricing Model" 
A. Skulimowski 

Univ. Krakow 

"A MulticriteriaAnalysisBased System
for Global Bank Risk Assessment" 
Y. Cheng 

Temple Univ. 

"Finite Horizon Optimal Investment and
Consumption with Transaction Cost" 
3:40  5:00
Track 1:
7500 Wean Hall
S. Esipov,
D. Guo 

Zurich Financial
Services Group 

"Portfolio Based Pricing of Residual Basis Risk with
Applications to the SP500 Put Options" 
R. Peters 

University of
Amsterdam 

"NonConvergence in the Variation of the Hedging
Process of a European Call Option" 
K. Kinateder 

Wright State 

"A New Approach for Portfolio Optimization" 
T. Hurd 

McMaster Univ. 

"Measures of Dependence for Multivariate
Lévy Distributions" 
Track 2:
2210 Doherty Hall
P. Schönbucher 

Bonn Univ. 

"A Libor Market Model with Default Risk" 
M. Monoyios 

Brunel Univ. 

"Efficient Option Pricing with Transaction Costs" 
A. Samarov 

Mass. Inst.
Technology 

"Portfolio Analysis and Selection Using
QuantileBased Risk Measures" 
X. Chen
J. Chadam
R. Stamicar 

U. Pittsburgh 

"Early exercise boundary for American put
options: Analytical and numerical approximations
and applications" 
Wednesday, August 2
2:003:00
Track 1: Numerical Methods
7500 Wean Hall
L. Yan 

Purdue Univ. 

"Convergence of Euler Scheme for SDE and Its
Applications to Finance" 
C. Gukhal 

Cornell Univ. 

"Efficient Numerical Methods for Pricing
American Options" 
M. Marcozzi 

Univ. Nevada 

"On the Valuation of Derivative Securities by
Variational Methods" 
Track 2: Asset Management
2210 Doherty Hall
J. Cvitanic,
A. Lazrak,
M. Quenez 

USC,
Univ. de Marne La Valle,
FPE Marshall School 

"Incomplete Information with Recursive
Preferences" 
M. Grasselli 

CREST 

"HARA Utility Maximization with Stochastic
Interest Rates" 
L. MacLean,
W. Ziemba,
Y. Li 

Dalhousie University
Univ. of British Columbia
California State University
at Fullerton 

"Time to Wealth Goals in Capital
Accumulation and the Optimal Tradeoff of
Growth Versus Security" 
3:405:00
Track 1:
7500 Wean Hall
M. Hanke,
K. Poetzelberger 

Vienna
University 

"Consistent Pricing of Warrants and Traded Options" 
D. Davydov,
V. Linetsky 

Univ. Michigan 

"The Valuation and Hedging of Barrier and
Lookback Options for Alternative Stochastic
Processes" 
M. Reesor,
D. McLeish 

U. Waterloo 

"Optional Valuation via the Relative Entropy
Bootstrap" 
Y. Zeng 

U. Missouri 

"A Partially Observed Model with Discrete
Clustering and NonClustering Noises: Application
to MicroMovement of Stock Prices" 
Track 2: Term Structure
2210 Doherty Hall
C. Zuehlsdorff 

Univ. of
Bonn 

"Extended Market Models with Affine and
Quadratic Volatility" 
A. Roncoroni,
P. Guiotto 

ESSEC, Univ.
Paris Dauphine,
ICER Torino 

"Theory and Calibration of HJM with Shape Factors" 
K. Kortanek 

Univ. of Iowa 

"Dynamic Models for Estimating the Term Structure of
Interest Rates from Observations of Yield Curves" 
A. Kawai 

Univ. New
South Wales 

"Swaption Pricing in the LIBOR Market Model" 
Friday, August 4
2:00  3:00
Track 1: Monte Carlo
7500 Wean Hall
P. Boyle,
A. Kolkiewicz
Ken Seng Tan 

Univ. of
Waterloo 

"Pricing American Style Options Using
QuasiMonte Carlo Methods" 
D. McLeish 

Univ. of
Waterloo 

"Simulating and Using the High, Low, Close" 
S Stojanovic 

Univ.
Cincinnati 

"Optimal Options via Numerical Solutions of
MongeAmpere PDEs" 
Track 2: Risk Management
2210 Doherty Hall
M. Denault,
F. Delbaen 

Ecole des Hautes
Etudes Comm. 

"On the Coherent Allocation of Risk Capital" 
R. Brummelhuis,
D. Guegan 

CREST 

"Modelling Risk in Finance" 
T. Vargiolu 

Univ. di Padova 

"A Bayesian Adaptive Control Approach to Risk
Management under Restricted Information" 
3:40  5:00
Track 1:
7500 Wean Hall
M. Schroeder


U. Mannheim 

"On the Valuation of ArithmeticAverage Asian Options:
Integral Representations" 
A. Battauz 

Scoula Normale
Superiore 

"Changes of Numeraire and American Options" 
M.H. Chang,
R. Youree 

Univ. Alabama 

"The American Option with Hereditary Price Structures:
Generalized HJB Variational Inequalities" 
D. Filipovic 

Swiss Federal
Institute of
Technology
Zürich 

"Affine Term Structure Models" 
Track 2: Value at Risk
2210 Doherty Hall
J. R. M. Hosking,
G. Bonti,
D. Siegel 

IBM Research,
IBM Financial Markets,
Deutsche Bank 

"Beyond the Lognormal: Accurate Estimation
of the Frequency of Rare Events in VaR
Calculations" 
C. Albanese,
S. Paun,
P. Wiberg 

U. Toronto 

"VaR Sensitivities and NonNormal Hedging" 
A. Levin,
A. Tchernitser 

Bank of Montreal 

"ValueatRisk Models with the Stochastic
Variance Driven by Levy Processes" 
A. Shapiro,
S. Basak 

Stern School
of Business 

"ValueatRisk Based Risk Management:
Optimal Policies and Asset Prices" 
