Wednesday,   June 12, 2002

4:00-5:00 pm    Minos Conference Hall and Lida Terrace

Optimal Stopping Problems and Investment Models
Vadim Arkin (Alexander Slastnikov)

Optimal Portfolios with Monitoring, Private Benefits of Control, and Budget Constraints
Vladimir Atanasov

Discrete and continuous time approximations of the optimal exercise boundary of American options
Antonella Basso (Martina Nardon, Paolo Pianca)

Utility-Based Hedging and Valuation - a Constructive Approach via Reaction-Diffusion Systems
Dirk Becherer

Mean-Variance Hedging with Proportional Transaction Costs
Ales Cerny

A Combinatorial Approach for Pricing Parisian Options
Massimo Costabile

Properties of American Option Prices
Erik Ekström

Valuing Exotic Derivatives with Jump Diffusions: The Case of Basket Options
Dimitris Flamouris (Daniel Giamouridis)

Optimal strategies for a stable class of utility functions in a multi-factor framework
Martino Grasselli (Griselda Deelstra, Pierre-François Koehl)

On The Equivalence of Floating and Fixed-strike Asian Options
Vicky Henderson (Rafal Wojakowski)

An Optimal Consumption Problem for Factor Dependent Models
Daniel Hernandez-Hernandez (Wendell H. Fleming)

Black-Scholes formula for security markets with delayed response
Yuriy Kazmerchuk (Anatoly Swishchuk, Jianhong Wu)

On the distributional distance between the LIBOR and the swap market models.
Jan Liinev (Damiano Brigo)

Measuring Financial Cash Flow and Term Structure Dynamics
Cornelis A. Los

A Jump-Diffusion Derivative Pricing Model Arising Within the Heath-Jarrow-Morton Framework
Christina Nikitopoulos (Carl Chiarella)

Valuation and Optimal Exercise Time for the Banxico Put Option.
Patricia Saavedra (Begoña Fernández)

On the dynamical programming equation of risk sensitive control problem associated to an optimal investment model
Shuenn-Jyi Sheu (Hidehiro Kaise)

A Wealth-Dependent Investment Opportunity Set: Its Effect on Optimal Portfolio Decisions
Gyoocheol Shim (Hyeng Keun Koo, Sung Sub Choi, Thaleia Zariphopoulou)

Option Pricing on Stock Mergers or Acquisitions
Ajay Subramanian

A new algorithm for hedging large portfolios of derivative instruments
Stathis Tompaidis

Bounds for the price of discretely sampled arithmetic Asian options
Michèle Vanmaele (Jan Dhaene, Griselda Deelstra, Jan Liinev, Marc Goovaerts)

Hedging non-tradeable risk with instantaneous forward contracts
Rafal Wojakowski

Pricing Jump Risk with Utility Indifference
Lixin Wu (Min Dai)

Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk
Ali Bora Yigitbasioglu