Friday,   June 14, 2002

Cultural Events

Friday morning has been set aside to allow conference attendees to enjoy local cultural events and excursions. Information may be found at Cultural Events.

Afternoon Program

Session 1
Conference Hall:  Minos
Chair:  Stanley Pliska

4:30-6:00 pm Option Price Comparisons in a Jump-Diffusion Model
David Hobson (Vicky Henderson)

Coherent Risk Minimization of Derivatives in Multiperiod Models
Berend Roorda (Jacob Engwerda, Hans Schumacher)

Closed Formulae for Super-Replication Prices with Discrete Time
Laurence Carassus (Emmanuel Gobet, Emmanuel Temam)

6:00-6:15 pm Break

6:15-7:45 pm VaR Approximation
Ziyu Zheng (Denis Talay)

Efficient hedging in incomplete markets under model uncertainty
Michael Kirch

A Simple Theory of Asset Pricing Under Model Uncertainty
Tan Wang (Leonid Kogan)

Session 2
Conference Hall:  Lida
Chair:  Tom Vorst

4:30-6:00 pm A Rating-based Model for Credit Derivatives
Raphael Douady (Monique Jeanblanc)

The Laplace transform approach to valuing exotic options: the case of the Asian option
Michael Schroeder (Peter Carr)

Pricing Asian Options in a Semimartingale Model
Mingxin Xu (Jan Vecer)

6:00-6:15 pm Break

6:15-7:45 pm Hedging American call options with insufficient initial funds
Shlomo Levental (Anatolli V. Skorohod)

Some optimal stopping problems with non-trivial boundaries for pricing exotic options
Xin Guo

Heston's Stochastic Volatility Model Applied to Foreign Exchange Options
Uwe Wystup

Session 3
Conference Hall:  Apollo
Chair:  Lane Hughston

4:30-6:00 pm Dynamics of implied volatility surfaces: an empirical study.
Rama Cont (Jose da Fonseca)

Pricing of Implied Volatility Derivatives: a Risk Neutral Model for Market Implied Volatility
Emanuele Amerio (Gianluca Fusai, Antonio Vulcano)

Risk Based Valuation of CDO structures
Ludger Overbecjk

6:00-6:15 pm Break

6:15-7:45 pm Simulating the Evolution of the Implied Distribution
Stewart Hodges (George Skiadopoulos)

Implied Volatility Smiles
Jérôme Busca (Henri Berestycki, Rama Cont, Igor Florent)

Stochastic models for implied volatility surfaces
Valdo Durrleman (Rama Cont)

Session 4
Conference Hall:  Ariadne
Chair:  Tomas Bjork

4:30-6:00 pm Bond Market Clearing
Oldrich Alfons Vasicek

Endogenous interest rate dynamics in asset markets
John Schoenmakers (Oliver Reiß, Martin Schweizer)

Topologically Pseudo-complete System of Bond Price Processes, and Application to the LIBOR Market Model
Takashi Yasuoka

6:00-6:15 pm Break

6:15-7:45 pm Pricing and Hedging in the Swaption Market
Peter Ritchken (Rong Fan, Anurag Gupta)

A market model for illiquid bond options consistent with the swaption smile
Stefano Galluccio

Efficient HJM Approximations of LIBOR Market Models
Dunstan Marris (Gerald Salkin, Nicos Christofides, Allan Lane)

Session 5
Conference Hall:  Evropi
Chair:  Wolfgang Runggaldier

4:30-6:00 pm A quantization algorithm for multidimensional stochastic control problems with applications to finance
Huyen Pham (Gilles Pages)

Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes
Marcel Rindisbacher (Jerome Detemple, Rene Garcia)

Monte Carlo Euler approximation of HJM term structure financial models
Raul Tempone (Georgios E. Zouraris, Thomas Björk, Anders Szepessy)

6:00-6:15 pm Break

6:15-7:45 pm On the Malliavin approach to the computation of conditional expectations
Nizar Touzi (Bruno Bouchard)

Monte-Carlo approximation of minimum entropy measures
Laurent (Anh) Nguyen (Benjamin Jourdain)

On the Error in the Monte Carlo Pricing of Some Familiar European Path-Dependent Options
Per Hörfelt

Session 6
Conference Hall:  Marika Capsis
Chair:  David Heath

4:30-6:00 pm Making Markov Martingales Meet Marginals: With Explicit Constructions
Dilip Madan (Marc Yor)

Weighted local time for fractional Brownian motion and applications to finance
Bernt Øksendal (Yaozhong Hu, Donna Mary Salopek)

A General Fractional White Noise Theory and Applications to Finance
John van der Hoek (Robert J. Elliott)

6:00-6:15 pm Break

6:15-7:45 pm Affine Processes and Applications in Finance
Damir Filipovic (Darrell Duffie, Walter Schachermayer)

Stochastic targets with mixed diffusion processes
Bruno Bouchard

Improper Stochastic Integrals in the Fundamental Theorems of Asset Pricing
Alexander Cherny (Albert Shiryaev)