Kickoff Tutorials & Workshops

Introduction and Welcome

Jim Berger, SAMSI

Jean-Pierre Fouque, North Carolina State University

Eric Ghysels, University of North Carolina

Nell Sedransk, NISS

Inaugural Lecture

Robert Engle, New York University

2003 Nobel Laureate

The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes

SESSION 1:  Model Uncertainty

Organizers:  Eric Ghysels and Lars Peter Hansen

• Lars Peter Hansen, University of Chicago, "Recursive Robust Estimation and Control Without Commitment"

• Jennifer Juergens, Arizona State University, "The Impact of Risk and Uncertainty on Expected Returns"

Moderator:  Eric Renault, University of North Carolina

SESSION 2:  Statistics and Finance

Organizer:  Ruey Tsay

• T.L. Lai, Stanford University, "Regression Splines and Singular Stochastic Control in a Modified Black-Scholes Theory Incorporating Transactions Costs"

• Alan Bester University of Chicago, "Random Field and Affine Models for Interest Rates: An Empirical Comparison"

• Antje Berndt, Cornell University, "Reduced-form Models of Corporate Default: An Empirical Analysis"

Moderators:  Daren Cline, Texas A&M University

                    Zongwu Cai, University of North Carolina-Charlotte

Panel Discussion:  Models of Risk and Uncertainty:  What is the Future?

Organizer:  Eric Ghysels

• Ole Barndorff-Nielsen, Aarhus University

• Robert Engle, New York University

• Lars Peter Hansen, University of Chicago

• Ruey Tsay, University of Chicago

Moderator:  George Tauchen, Duke University

SESSION 3:  Extreme Events

Organizers and Moderators:  

Eric Renault, University of North Carolina

Richard Smith, University of North Carolina

George Tauchen, Duke University

• Neil Shephard, Oxford University, "Robust Variation Estimation Using Kernels in Financial Econometrics" (joint work with Ole Barndorff-Nieldsen, Peter Hansen and Asger Lunde)

• Rama Cont, Ecole Polytechnique, "Hedging Options in Presence of Jumps"

• Per Mykland, University of Chicago, "Financial Data and the Hidden Semimartingale Model"

Coffee Break

SESSION 4:  Energy Markets

• Rene Carmona, Princeton University, "Mathematical Challenges of the Electricity Markets"

Moderator:  Glen Snider, Progress Energy (Raleigh, NC)

Lunch

SESSION 5:  Derivatives

• Knut Solna , UC - Irvine, "Time Scale Perturbations in Derivative Pricing"

• Mingxin Xu , UNC - Charlotte, "Risk Measure Pricing and Hedging in Incomplete Markets"

• Ronnie Sircar , Princeton University, "Indifference Valuation of Credit Derivatives"

Discussion

Coffee Break

SESSION 6:  Credit Risk

• Robert Jarrow, Cornell University, "Modeling the Recovery Rate in a Reduced Form Model", Slides

• Vadim Linetsky, Northwestern University, "Unified Valuation of Corporate Liabilities, Equity Derivatives and Credit Derivatives"

Moderators:  Monique Jeanblanc, University of Evry, and Jean-Pierre Fouque, North Carolina State University

SESSION 7:  Computational Issues

• Blake LeBaron, Brandeis University, "Agent-based Financial Markets with Heterogeneous Memory as a Generator"

• Stathis Tompaidis, University of Texas-Austin, "Applications of High-Performance Computing in Finance"

Moderator:  Ron Gallant, Duke University

Coffee Break

SESSION 8:  Practioners Session

• Adrian Banner, INTECH, "Market Diversity and the Distribution of Capital in Equity Markets"

• Yakov Kanter, Morgan Stanley, "Modelling Mortgage Backed Securities"

Moderator:  Peter Cotton, Morgan Stanley

SESSION 9:  Portfolio Optimization

• Aytac Ilhan, Oxford University, "Risk Minimizing Static-Dynamic Hedges for Exotic Options"

• Ron Kaniel, Duke University, "Mutual Fund Portfolio Choice in the Presence of Dynamic Flows"

Moderator:  Ronnie Sircar, Princeton University

Coffee Break

Discussion and Continuation of Working Groups