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 Discrete-Time 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 Multi-Criteria Payoffs:
An Analytical Pricing Model"
A. Skulimowski Univ. Krakow "A Multicriteria-Analysis-Based 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
"Non-Convergence 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
Quantile-Based 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

2:00-3:00

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 Trade-off of
Growth Versus Security"

 

3:40-5:00

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 Non-Clustering Noises: Application
to Micro-Movement 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
Quasi-Monte Carlo Methods"
D. McLeish Univ. of
Waterloo
"Simulating and Using the High, Low, Close"
S Stojanovic Univ.
Cincinnati
"Optimal Options via Numerical Solutions of
Monge-Ampere 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 Arithmetic-Average 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 Non-Normal Hedging"
A. Levin,
A. Tchernitser
Bank of Montreal "Value-at-Risk Models with the Stochastic
Variance Driven by Levy Processes"
A. Shapiro,
S. Basak
Stern School
of Business
"Value-at-Risk Based Risk Management:
Optimal Policies and Asset Prices"

 

Back to Mathematical Sciences Department

Last updated: August 08, 2000.
Errors and suggestions to: Florin Manolache, e-mail: florin@andrew.cmu.edu