Welcoming Reception

Université Paris Dauphine
Salle Raymond Aron, 2nd Floor
Place du Maréchal de Lattre de Tassigny - Paris 16ème 
(Métro : Porte Dauphine)

Collège de France - 11 place Marcelin Berthelot - 5ème

8 AM Coffee

Chairperson : Professor Stanley Pliska, University of Illinois at Chicago

9 AM  Welcoming Addresses

• Jean-François Boulier, President of Association Française de Finance
• Mireille Chaleyat-Maurel, President of the IMU-WMY 2000 Committee for Unesco
• Mireille Martin-Deschamps, President of Société Mathématique de France
• Hélyette Geman, President of the Bachelier Finance Society

9.30 AM

• Professor Paul Samuelson
  "Modern Finance Theory Within One Lifetime"

10.30 to 11.00 Coffee Break

11.00 to 12.00

• Professor Henry McKean
  "Why is a Diffusion like Brownian Motion : Changes of Scale and Changes of Time"

12.00 to 13.00

• Professor Robert Merton
  "Future Possibilities in Finance Theory and Finance Practice"

13.00 to 14.20 Lunch Break

Chairman : Professor Stephen Schaefer, London Business School

• Oldrich Vasicek, "Bond Market Clearing", KMV Corporation
• Robert Elliott and John Van Der Hoek, "Using the Hull and White Two Factor Model in Bank Treasury Risk Management," University of Alberta and University of Adelaide
• Eric Jacquier, Bob Jarrow, and Joseph Cherian, "Pricing the Convenience Yield of Treasury Securities: Theory and Evidence," Boston College, Cornell University and Boston University
• Farshid Jamshidian, " Libor Market Model with Semimartingales", Net Analytic Limited

Chairman : Professor Paul Kleindorfer, The Wharton School

• Freddy Delbaen, Thorsten Rheinlander, Martin Schweizer, Peter Grandits, Dominick Samperi and Christophe Stricker, "Exponential Hedging and Entropic Penalties," ETH, TU Berlin, TU Berlin, TU Wien, Courant Institute and Université de Franche Comté
• Marek Musiela, J. Lebuchoux, and T. Zariphopoulou, "Dynamic Hedging of Volatility Risk," Paribas Capital Markets and University of Madison - Wisconsin
• Peter Lakner, "Explicit Computation of Hedge Portfolios and Optimal Trading Strategies," Courant Institute
• Andrea Buraschi and Jens Jackwerth, "The Price of a Smile: Hedging and Spanning in Option Markets," London Business School and University of Madison

Collège de France

Chairman : Professor Ton Vorst, Erasmus University

16.40 to 17.40   

•  Professor Albert Shiryaev
  "Quickest Detection Problems in the Technical Analysis of the Financial Data"

17.40 to 18.40

• Professor Eduardo Schwartz
  "Valuing American Options by Simulation : a Simple Least-Squares Approach"

Chairman : Dr Marek Musiela, BNP Paribas

• Peter Christensen, Christian Flor, David Lando and Kristian Miltersen, "A Dynamic Capital Structure Model with Callable Debt," Odense University
• Goncalves, F and M. Luiz Caloba, "The Dynamics of the Option-Adjusted Spread of Brady Bond Securities," Banco BBM, Brazil
• R. Gibson and S. Sundaresan, "A Model of Sovereign Borrowing and Sovereign Yield Spreads", University of Zurich and Columbia University
• Umberto Cherubini and Giovanni Lunga, "Distribution Risk and Credit Spreads," University of Bologna and University of Siena

Chairman : Professor Vadim Arkin, Russian Academy of Sciences

• D. Brigo and Fabio Mercurio, "Discrete Time vs Continuous Time Stock Price Dynamics and Implications for Option Pricing," Banca IMI
• C.F. Lo and C.H. Hui, "Lie Algebraic Approach for Pricing Financial Derivatives," Chinese University of Hong Kong and Hong Kong Monetary Authority
• Prigent, J.L, O. Renault and O. Scaillet, "An Autoregressive Conditional Binomial Option Pricing Model," Université de Cergy, IRES and University of Louvain
• Hailiang Yang and T.K.Siu, "Risk Measures for Derivatives under Black-Scholes Economy," University of Hong Kong

Chairperson : Dr Ariane Reiss, RWE (Rhenanie  Westphalie  Elektrizität)

• Dominick Samperi, "Model Semantics for Pricing and Risk Management," Samperi Research
• Laszlo Szollosi, Ross Maller and Claudia Kluppelberg, "Heavy Tail measures of Value at Risk," Western Australia University and University of Munich
• Levin, A. and A. Tchernitser, "A Class of Multifactor Stochastic Variance VaR Models: Maximum Entropy Approach and Jump Processes," Bank of Montreal
• Jean-Noel Dordain and Niladri Singh, "Making Risk Management Systems Smart," University Paris Dauphine

Chairperson : Professor Rajna Gibson, University of Zurich

• C. Martini and C. Patry, "Variance Optimal Hedging in the Black Scholes Model for a Given Number of Transactions," INRIA
• Jean-Luc Prigent and Olivier Scaillet, "Weak Convergence to Financial Hedging Strategies," Université de Cergy and University of Louvain
• Berend Roorda, Jacob Engwerda, Hans Schuchmacher, "Hedge Performance in Interval Models," Tilburg University
• Chretien L. and F. Quittard-Pinon, "Shark Options in a Stochastic Interest Rate Environment," University de Lyon 1

Chairman : Professor Jorgen Nielsen, Aarhus University

• Jorgen Haug, "Financial Prices with Local Substitution and Distant Complementarity," Norwegian School of Economics
• C. Walter, "The Efficient Market Hypothesis: Birth, Rise, Zenith, Crisis and Impact on Investment Management Industry," Price Waterhouse Coopers and Université d'Evry
• Chien-Hui Liao and Stewart Hodges, "A Further Topic on Equilibrium Price Processes: Theory and its Application," University of Warwick
• Eric Bouyé, Ashkam Niikeghbali, Gaël Riboulet and Thierry Roncalli, "Copulas for Finance : A Reading Guide and Some Applications", City University Business School London and Crédit Lyonnais

Chairman : Dr Eric Briys, Deutsche Bank

• Rudiger Frey and Wolfgang Runggaldier, "A Nonlinear Filtering Approach to Volatility Estimation with a View Towards High Frequency Data," University of Zurich and University of Padova
• Yacine Ait-Sahalia  and Per Mykland, "A Comparison of Estimators of Continuous Time Diffusions", Princeton University and University of Chicago
• Marco Avellaneda, "Conquering the Greeks in Monte-Carlo : Efficient Calculation of the Market Sensitivities", Courant Institute
• Abraham Lioui and Patrice Poncet, "International Asset Allocation, Currency Risk Premiums and Asset Return Predictibility", Bar-Ilan University and University Paris 1 Panthéon/ESSEC

Chairman : Dr Boris Leblanc, BNP Paribas

• Damir Filipovic, "Affine Term Structure Models", ETH Zurich
• B. Jourdain and C. Martini, "Yet Another Approximation of the American Put,"  Ecole Nationale des Ponts et Chaussées and INRIA
• Shackleton, M. and San-Lin Chung, "Geske Johnson Pricing of Long Maturity American and Infinite Bermudan Options," Lancaster University and National Central University, Taiwan
• Thomas Goll and Ludger Ruschendorf, "Minimax and Minimal distance martingale measures and their relationship to portfolio-optimization," University of Freiburg

Chairman : Professor Murad Taqqu, Boston University

• Geiss Stefan, "On the Quantitative Approximation of Stochastic Integrals with Respect to the geometric Brownian Motion," Technical University of Vienna
• Henri Berestycki, Jerome Busca, Igor Florent, "Numerical Analysis of some Singular Problems Arising in Finance," CCF, Université Pierre et Marie Curie and University François Rabelais
• Vadim Arkin and A.D. Slastnikov, "Stochastic Model of Investment Waiting," Russian Academy of Sciences
• Vladimir Dobric, "Stock Price Model via a Finite Wavelet Representation," Leigh University

Chairman :  Marc Lenoir, Gaz de France

• Uppal Raman and Leonid Kogan,  "Risk Aversion and Optimal Portfolio policies in partial and general equilibrium", University of British Columbia and the Wharton School
• Suleyman Basak and Benjamin Croitoru, "International Good Market Segmentation and Financial Market Structure," Wharton School
• Fabio Antonelli and Emilio Barucci, "The Dynamics of Pareto Efficient Allocations with Stochastic Differential Utility," Università di Chieti and Università di Pisa
• Frank Riedel and Peter Bank, "Optimal Consumption Choice under Uncertainty with Intertemporal Substitution," Humboldt University

Chairman : Professor Wolfgang Runggaldier, University of Padova

• Kallsen Jan, "A Utility Maximization Approach to Hedging and Derivative Pricing in Incomplete Markets," University of Freiburg
• Jean-Pierre Fouque, George Papanicolaou and Ronnie Sircar, "Hedging under Fast Mean- Reverting Stochastic Volatility", North Carolina State University, Stanford University and University of Michigan
• Irene Klein, "A Fundamental Theorem of Asset Pricing for large Financial Markets," University of Vienna
• Michael Dempster and S.S.G. Hong, "Spread Option Valuation and the Fast Fourier Transform", The Judge Institute of Management Studies, Cambridge

Chairman : Professor Jacques Hamon, University Paris Dauphine

• Mike Stutzer, "A Large Deviations Approach to Portfolio Analysis," University of Iowa
• Martin Martens, "Measuring and Forecasting Stock Market Volatility using High-Frequency Data," University of New South Wales
• Kate Phylaktis and Fabiola Ravazzolo, "Stock Prices and Exchange Rate Dynamics," Barbican Centre, London
• Christiansen Charlotte and Charlotte Hansen, "Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model," Aarhus University

Chairman : Dr Emmanuel Deutsch, Electricité de France

• de Jong, Frank, Joost Driessen, and Antoon Pelsser, "Panel Data Estimation of the Libor Market Model," University of Amsterdam, Tilburg University, ABN-AMRO Bank
• Schoenbucher, Phillip, "A Market Model for Stochastic Implied Volatility," Bonn University
• A Sylla and C. Villa, "Market Models of Volatility Revisited," Université de Rennes 1
• Douady Rapha‹l, "Bermudan Option Pricing with Monte-Carlo Methods", CIBC and Ecole Normale Supérieure de Cachan

Chairman : Dr Antoine Frachot, Crédit Lyonnais

• Wojciech Szatzschneider, "CIR Model in Financial Markets", Anahuac University, Mexico City
• Tomas Björk and Camilla Landen, "On the Term Structure of Futures Markets," Stockholm School of Economics
• Denis Dupre and Pascal Louvet, "A New Theory of the Term Structure of Interest Rates: The Time Diversification," University de Grenoble
• Paolo Guiotto and Andrea Roncoroni, "Theory and Calibration of HJM with Shape Factors"  Università di Padova and University Paris Dauphine

Chairman : Gérard Pellieux, Crédit Agricole Indosuez

• Giraldi C., Susinno G.F., Berti G., Buttarazzi S., Cenciarelli G., Daroda C., and Stamenga G. "Life Insurance Contracts with Minimum Guaranteed Returns and Bonus: An Option Pricing Approach," INA S.p.A. (National Institute of Insurance, Rome)
• Bjarne Jensen and Carsten Sorensen, "Paying for Minimum Interest Rate Guarantees: Who should compensate who?," Copenhagen Business School
• Mette Hansen and Kristian Miltersen, "Minimum Rate of Return Guarantees: The Danish Case," Syddansk Universitet and Odense University
• Kristian Miltersen and Svein-Arne Persson, "Guaranteed investment Contracts: Distributed and Undistributed Excess Returns," Odense University

Chairman : Dr Jérôme Lebuchoux, BNP Paribas

• Naoto Kunitomo and Yong-Jin Kim,"Effects of Stochastic Interest Rates and Volatility on Contingent Claims," University of Tokyo
• Wolgang Bühler, Olaf Korn and Rainer Schöbel, "Hedging of Long-Term Oil Commitments by Short-Term Futures : The Metallgesellschaft Case Revisited", University of Mannhein and University of Tübingen
• Alexander David and Pietro Veronesi, "Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities and Over/-Under reaction in the Options Market," Federal Reserve Board Washington and University of Chicago
• Robert Tompkins, "Stock Index Futures Markets: Stochastic Volatility Models and Smiles," University of Vienna

Chairman : Professor Marco Avellaneda, Courant Institute

• Yann Samuelides and Ezra Nahum, "A Market model with Jumps," Ecole Polytechnique and Paribas Capital Markets
• Christian Zuhlsdorff, "Extended Market Models with Affine and Quadratic Volatility," University of Bonn
• Platen, Eckhard, "On Minimal Market Models," University of Technology of Sidney
• Erik Schlogl, "A Multicurrency Extension of the Lognormal Interest Rate Market Models," University of Technology of Sydney

Chairman : Etienne Amic, TotalfinaElf

• S.I.Boyarchenko and S.Z.Levendorskii, "Generalizations of the Black-Scholes Equation for Truncated Levy Processes with Applications to Pricing of Barrier Options," Rostov University
• Jan Vecer and S. Shreve, "Options on a traded account: Vacation Calls, vacation puts and passport options," Carnegie Mellon University
• D. Dufresne, "Laguerre Series for Asian and Other Options," University of Montreal
• Zhaoyun Shi and Yusho Kagraoka, "A Flexible Parametric Model Characterizing Interest Rate Processes", Institute of Statistical Mathematics of Tokyo and Musashi University

Chairman : Professor Ole E. Barndoff Nielsen, Aarhus University

• Tan Wang, "A Class of Dynamic Measures", University of British Columbia
• Stefan Jaschke and Uwe Kuchler, "Coherent Risk Measures and Good-Deal Bounds," Humboldt University
• Ales Cerny and Stewart Hodges, "The theory of No-Good-Deal Pricing in Financial Markets," Imperial College and University of Warwick
• Frittelli, Marco, "Representing Sublinear Risk Measures and Pricing Rules," Università di Milano

Chairman : Dr Nassim Taleb, Empirica Capital and Courant Institute

• Paolo Guasoni, "Risk Minimization under Transaction Costs," Banca d'Italia
• Pengguo Wang and Ser-Huang Poon, "Multiperiod Asset Pricing in the Presence of Transaction Costs and Taxes," Lancaster University
• Thierry Ané and Vincent Lacoste, "Understanding Bid-Ask Spreads of Derivatives under Uncertain Volatility and Transactions Costs," Université Paris Dauphine and ESSEC
• Yu Kabanov and Ch. Stricker, "The Harrison-Pliska Arbitrage Pricing Theorem under Transactions Costs," Université de Franche-Comté

Chairman : Robin Duquette, EDF Trading

• Ernst Eberlein, "Application of Generalized Hyperbolic Levy Motions to Finance," University of Freiburg
• Konikov, M. and D. Madan, "Pricing Options of All Strikes and Maturities Using a Generalization of the VG Model," University of Maryland
• Mark Shackleton and Rafal Wojakowski, "Expected and True Option Exercise Probability via Levy Construction of Brownian Motion," Lancaster University
• T. Lehnert and C.C.P. Wolff, "Modeling Scale-Consistent VaR with Truncated Levy Flight, Maastricht University

Chairperson : Professor Mark Davis, Technical University of Vienna

• Walter Schachermayer, "Optimal Investment in Incomplete Markets when Wealth May Become Negative," University of Vienna
• Damgaard, a. B Fuglsberg and C. Munk, "Optimal Consumption and Investment Strategies with a Perishable and an Indivisible Durable Consumption Good," Odense University
• Cadenillas A., C. Buescu and Stanley Pliska, "Optimal Portfolio Management when there are Taxes and Transactions Costs, University of Alberta and University of Illinois at Chicago
• Huyen Pham and Marie-Claire Quenez, "Optimal Portfolio in Partially Observed Stochastic Volatility Models," Université de Marne-la-Vallee

Chairman : Professor Patrice Poncet, University Paris Sorbonne & ESSEC

• Coutinho Paula and Benjamin Miranda Tabak, "Optimal Portfolio with Decentralized Decisions," University of Brazil and Catholic University of Brazil
• Nikolai Dokuchaev and Ulrich Haussmann, "Optimal Portfolio Selection with Limited Diversification," University of British Columbia
• Anderson, J.V. and D. Sornette, "Nonlinear covariance matrix and portfolio theory for non-gaussian multivariate distributions," Université de Nice and UCLA
• Giorgio De Santis, Bruno Gerard and Fulvio Ortu, "Generalized Numeraire Portfolios," Goldman Sachs, UCLA and University of Southern California

Chairman : Professor Kristian Miltersen, Odense University

• Lorenzo Garlappi, "Value and Risk in a Patent Race," University of British Columbia
• Spiros Martzoukos, "Real Options with Multi-Dimensional Random Controls," University of Cyprus
• Jean-Paul Decamps and T. Mariotti, "Irreversible Investment and Learning Externalities," Université de Toulouse and London School of Economics
• Marc Chesney, "Real Options and Orstein Uhlenbeck Processes," HEC

Chairman : Professor Tomas Björk, Stockholm School of Economics

• Monique Jeanblanc and Marek Rutkowski, "Modelling of Default Risk: An Overview,"Université d' Evry and Warsaw University of Technology
• Tomas Bielecki and Marek Rutkowski, "Modelling of the Defaultable Term Structure: Conditionally Markov Approach," North Eastern Illinois University and University of Warsaw
• Bianca Hilberink and L.C.G.Rogers, "Optimal Capital Structure and endogenous default," Risk Care Corp. and University of Bath
• Yonggan Zhao and W.T. Ziemba, " A Dynamic Asset Allocation Model with Downside Risk Control," University of British Columbia

Chairman : Professor Lane Hughston, King's College

• Collins-Dufresne Pierre and Julien-Nicolas Hugonnier, "On the Pricing and Hedging of Contingent Claims in the presence of counterparty credit risk," Carnegie Mellon University and ESSEC
• Aloisio Araujo, Jose Fajardo Barbachan, and Mario Pascoa, "Arbitrage, Equilibrium and Endogeneous Collateral," IMPA-EPGE
• Patrick Navatte and F. Moreaux, "Pricing Credit Derivatives in a Credit Class Framework," Université de Rennes 1

Chairman : Dr Franklin Goncalves, Banco BBM SA

• Gino Favero and Wolfgang Runggaldier, "Robustness in Stochastic Dynamic Optimization and Applications to Finance," Università di Padova
• Jiongmin Yong, "Existence of Optimal Portfolios via Stochastic Control and Backward Stochastic Differential Equations," Fudan University
• Isabelle Bajeux-Besnainou, James Jordan, Roland Portait, "On the Bond-Stock Asset Allocation Puzzle," George Washington University and CNAM/ESSEC
• François Longin and Bruno Solnik, "Extreme Correlation of International Equity Markets", ESSEC and HEC

Chairman : Professor Eckard Platen, University of Technology of Sidney

• Mordecki Ernesto, "Optimal Stopping and Perpetual Options for Levy Processes,"  University of Ciencias, Uruguay
• Yuliya S. Mishura, "Absence of Arbitrage in the Mixed Brownian-Fractal-Brownian Model," "Optimal Financial Strategy with wealth process governed by Backward stochastic differential equation," Kyiv University, Ukraine
• Y. Krvavych, "The presence and absence of arbitrage conditions on the (B,S)-market which defined by fractional Brownian motion," Kyiv University, Ukraine
• Yoshio Miyahara, "Minimal Relative Entropy Martingale Measures of Geometric Levy Processes and its Applications to Option Pricing Theory," Nagoya City University

Chairman : Dr Jean-Louis Vaudescal, Electricité de France

• Ilia Bouchouev, "Option Pricing with the Volatility Smile," Koch Petroleum Group
• Yan, Jin and Paul Glasserman, "Comparing Stochastic Discount Factors through their Implied Measures," Goldman Sachs and Columbia University
• Bevan Blair, Ser-Huang Poon and Stephan Taylor, "Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns," Lancaster University
• D. Brigo and Fabio Mercurio, "Fitting Volatility Skews and Smiles with Analytical Stock Price Models," Banca IMI

Chairman : Haken Andersson, Swedbank

• R. Norvaisa, "Stock Price Modeling in Continuous Time," Institute of Mathematics, Lithuania
• Goran Peskir, "Newtonian Finance," Aarhus University
• Aydin Akgun, "Model Risk with Jump-Diffusion Processes," University of Lausanne

Chairman : Professor Marek Rutkowski, Warsaw University

• M. Bossy, R. Gibson, F.S. Lhabitant, N. Pistre and D. Talay, "Model Risk Analysis for Bond Options in a Heath Jarrow Morton Framework," INRIA Sophia -Antipolis, University of Zurich, UBS AG Switzerland, ENSAE and INRIA
• F.S.Lhabitant, C. Martini and A. Regha, "Pricing and Hedging Discount Bond Options in the presence of model risk," UBS AG, INRIA Sophia-Antipolis
• Kerkhof J., B. Melenberg and H. Schumacher, "Hedge Performance Measurement: Testing Daily Market Risk Evaluation Models," Tilburg University

Chairman : Eymeric Challier, Société Générale Asset management

• Michel Thierry and Laurent Augier, "Symbolic Dynamics of the Dow Jones Returns: A Test of the Random Walk Hypothesis," Universié de Paris 1 Panthéon
• Loewenstein, M. and G. A. Willard, "Convergence Trades and Liquidity: A Rational Theory of Hedge Funds," George Washington University
• Antonio Marcos Duarte, "Fast Computation of Efficient Portfolios," UNIBANCO
• Thomas Schneeweis, "The Benefits of Hedge Funds," University of Massachusetts

Collège de France 

Chairman : Professor Dilip Madan, University of Maryland

13.45 to 14.45 

• Professor Marc Yor
   "The Law of Geometric Brownian Motion and its Integral, Revisited" 

14.45 to 15.45

• Professor David Heath
   "Back to the Future"

Coffee break  15.45 to 16.15  Collège de France

16.15 to 17.15

• Professor S.R.S Varadhan
   "Rare Events and Small Probabilities"

17.15 to 18.15

•  Professor Hans Föllmer
   "Mathematical Finance as an Arbitrage Opportunity for Probability ; Some Case Studies"

18.15 to 19.15

• Professor Steve Ross
  "Some Notes on Compensation, Agency Theory and the Duality of Risk Aversion and Riskiness"