FMSE Poster Session - Sept. 18, 2005

SAMSI program on Financial Mathematics, Statistics and Econometrics

Poster Session
(downloadable version)
Sunday, September 18, 2005

Organized by Tim Bollerslev (Duke), Alastair Hall (NCSU) and Richard Smith (UNC)

Bertille Antoine (Universite de Montreal and UNC)
“Portfolio Selection with Estimation Risk: A Test Based Approach”

Erhan Bayraktar (Mathematics, University of Michigan)
“Minimizing the Lifetime Ruin Probability with Constrained Borrowing” (This is a joint work with Virginia R. Young)

Francisco Chamu (Statistics, UNC)
"Financial Risk Assessment with Max-Stable Processes"

Maxym Dedov (Economics, Duke)
“Joint Pricing of Bonds and Stocks: A Quadratic Model”

Elena Goldman (Finance and Economics, Pace University)
“Asymmetric Adjustment of Realized Volatility”

Irina Goldman (Financial Engineering, Stevens Institute of Technology)
“On the Distribution of Market Capitalization and Enterprise Value over Rank: Analytical Treatment and Empirical Findings”

Martin Groth (Centre of Mathematics for Applications, University of Oslo)
" Indifference pricing in the Barndorff-Nielsen - Shepard model; A PDE approach"

Sanggohn Han (Economics and Statistics, NCSU)
“Inference Regarding Multiple Structural Changes in Linear Models Estimated Via Instrumental Variables”

Eric Hillebrand (Economics, Louisiana State University)
" Neglecting Parameter Changes in Autoregressive Models"

Xin Huang (Economics, Duke)
“A Semiparametric Framework for Modeling and Forecasting Jumps and Volatility in Speculative Prices"

Alec Kercheval (Mathematics, Florida State University)
"Optimal Covariances in Risk Model Aggregation"

Abdul Khaliq (Mathematical Sciences, Middle Tennessee State University)
“Numerical PDE Approach for the Valuation of Multi-Asset Exotic Options”

Uta Kretschmer (University of Bonn, Germany)
“The Dynamics of Bipower Variation, Realized Volatility, and Returns”

Kostas Kyriakoulis (Economics, NCSU)
“Second Order Approximations to GMM Statistics”

Kiseop Lee (Mathematics, University of Louisville)
"Insider's Trading in Jump Diffusion Models"

Michael Levine (Statistics, Purdue University)
"Nonparametric Estimation of Volatility Models with Serially Dependent Innovations"

Feng Liu (Statistics, NCSU)
“The t copula with correlation structure of EGARCH- DCC for market VaR”

Xiaofang Ma (Computer Science, University of Toronto)
“Loss Distribution Evaluation for Synthetic CDOs” (Joint work with Ken Jackson (Department of Computer Science) and Alex Kreinin (Algorithmics Inc.)

Linyan Miao (Financial Analytics, Stevens Institute of Technology)
"Empirical Study of Value-at-Risk and Expected Shortfall Models with Heavy Tails"

Mehmet Aras Orhan (Kenan-Flagler, UNC)
“The Term Structure of Trading Activity”

Dmitry Ostrovsky (Mathematics, Lehigh University)
“Option Pricing in Random Time: Black-Scholes-Merton and CEV”

Alessandro Palandri (Economics, Duke)
“Sequential Conditional Correlations: Inference and Evaluation”

Moustapha Pemy (Mathematics, NCSU)
“Optimal Stock Liquidation in a Regime Switching Model With Finite Time Horizon”

Caio Ibsen Rodrigues de Almeida (Statistics/Business School, Ibmec-RJ, Brazil)
“Do Options Contain Information About Excess Bond Returns?” (Joint work with Scott Joslin and Jeremy Graveline)

Kevin Ross (Statistics, UNC)
"Convergent Numerical Scheme for Singular Control with State Constraints in a Portfolio Selection Problem”

Arthur Sinko (Economics, UNC)
"Estimation of Large Covariance Matrices for Risk Management Purpose"

Viktor Todorov (Economics, Duke)
“Jump Driven Stochastic Volatility Models”

Jules van Binsbergen (Fuqua, Duke)
“Portfolio Choice and Premium Policy for Pension Funds”

Li Wang (Statistics and Probability, Michigan State)
“Confidence Bands for Regression Curve Under Weak Dependence”

Mingxin Xu (Mathematics and Statistics, UNC-Charlotte)
“Risk Measure Pricing and Hedging In Incomplete Markets”

Jun Yan (Statistics and Actuarial Science, University of Iowa)
"The R Package Copula"

Bing Zhang (Mathematics, University of Maryland)
“Price Barrier Options in FX under Stochastic Skew Model via MC simulation and Finite Differences”

Peng Zhang (Statistics, University of Pennsylvania)
"Baysian Inference for Random Coefficient Dynamic Panel Data Models"

Stephen Zhou (Applied Math, NCSU)
“Modeling Correlated Defaults Under Stochastic Volatility”