Saturday,   June 15, 2002

Morning Program

Plenary Addresses
Conference Hall:   Marika Capsis

8:30-9:30 am Why Distinguishing Jumps from Volatility is Difficult
Yacine Ait-Sahalia
Chair:   Eckhard Platen

9:45-10:45 am Optimal security design and diversification in financial markets with non-tradeable risks
Nicole El Karoui (Pauline Barrieu)
Chair:   Monique Jeanblanc

10:45-11:15 am Break

11:15-12:15 pm The Future of Energy Markets
Vince Kaminski
Chair:   Dilip Madan

12:30-1:30 pm A valuation algorithm for incomplete models
Marek Musiela (Thaleia Zariphopoulou)
Chair:   Dieter Sonderman

Afternoon Program

4:00-5:00 pm Poster Presentations and Social Hour
Minos Conference Hall and Lida Terrace

Session 1
Conference Hall:  Minos
Chair:  Dimitrios Konstantinides

5:00-6:30 pm Boundaries of Predictability: Noisy Predictive Regressions
Rossen Valkanov (Walter Torous)

Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions
Alexei V. Egorov (Haitao Li, Yuewu Xu)

Bayesian model averaging when models are specified by moment conditions
Eldar Nigmatullin

6:30-6:45 pm Break

6:45-8:15 pm Nonparametric tests for positive quadrant dependence
Olivier Scaillet (Michel Denuit)

Smooth transition regression models in UK stock returns
Nektarios Aslanidis (Denise Osborn, Marianne Sensier)

Stability tests for alpha and beta coefficients over bull and bear market conditions: evidence from the greek stock market
John Chalikias (Anna Skentzou)

Session 2
Conference Hall:  Lida
Chair:  Cornelis A. Los

5:00-6:30 pm Asset and Liability Management for Insurance Policies with Guarantees
Stavros Zenios (Andrea Consiglio, David Saunders)

Matching and the estimated impact of interlisting
Ryan Davies

Robbins-Monro Algorithm, Variance Reduction Technique
Bouhari Arouna

6:30-6:45 pm Break

6:45-8:15 pm Option-Implied Risk Aversion Estimates: Robustness and Patterns
Robert Bliss (Nikolaos Panigirtzoglou)

Corporate Financial Policies and Performance Around Currency Crises
Vicente Pons (Arturo Bris, Yrjo Koskinen)

Differential Geometry of Equivalent Martingale Measures in an Incomplete Market
Yuan Gao (Kian Guan Lim, Kah Hwa Ng)

Session 3
Conference Hall:  Apollo
Chair:  Stewart Hodges

5:00-6:30 pm Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment until Bankruptcy
Peter Lakner (Monique Jeanblanc)

Choice of fixed or floating interest rate debt
Svein-Arne Persson

State Tameness: A New Approach for Credit Constraints
Jaime Londońo

6:30-6:45 pm Break

6:45-8:15 pm Heavy Tails and Long Range Dependence in Subordinated Models
Carlo Marinelli (Svetlozar Rachev)

Properties of options on several underlying assets
Johan Tysk (Svante Janson)

Arbitrage Pricing Theory and Risk-neutral Measures
Miklos Rasonyi

Session 4
Conference Hall:  Ariadne
Chair:  Nizar Touzi

5:00-6:30 pm Quadratic Volatility Smiles
Haim Reisman

A New Approach to Modeling The Dynamics of Implied Distributions: Evidence and Theory from the S&P 500 Options
George Skiadopoulos (Nikolaos Panigirtzoglou)

Summary Statistics of Implied Probability Density Functions
Nikolaos Panigirtzoglou (Damien Lynch)

6:30-6:45 pm Break

6:45-8:15 pm Pricing and Hedging High-Dimensional American Options --- an Irregular Grid Approach
Steffan Berridge (Hans Schumacher)

Multivariate Extremes at Work for Portfolio Risk Measurement
Eric Bouyé

A mean-reverting stochastic volatility option-pricing model with an analytic solution
Henrik Andersson

Session 5
Conference Hall:  Evropi
Chair:  Peter Ritchken

5:00-6:30 pm Forward Price Dynamics and Option Designs for Network Commodities
Chris Kenyon (Giorgos Cheliotis)

Modeling Growth Stocks via Size Distribution
Samuel Kou (Steve Kou)

Option Contracts in Supply Chains
Apostolos Burnetas (Peter Ritchken)

6:30-6:45 pm Break

6:45-8:15 pm The Price of Power
Craig Pirrong (Martin Jermakyan)

A Class of Marked Point Processes for Modelling Electricity Prices
Andrea Roncoroni (Hélyette Geman)

Mean-Variance Hedging under Additional Market Information
Frank Thierbach

Session 6
Conference Hall:  Marika Capsis
Chair:  Tomasz Bielecki

5:00-6:30 pm Markovian models for counterparty default risk and other default correlation products
Mark Davis

Copula-Dependent Default Risk in Intensity Models
Philipp Schönbucher (Dirk Schubert)

Modelling Dependent Defaults
Rüdiger Frey (Alexander McNeil)

6:30-6:45 pm Break

6:45-8:15 pm The Defaultable Lévy Term Structure: Ratings and Restructuring
Ernst Eberlein (Fehmi Özkan)

Dependent Defaults and Credit Migrations
Marek Rutkowski (Tomasz Bielecki)

Modeling Credit Risk with Partial Information
Yildiray Yildirim (Umut Cetin, Robert Jarrow, Philip Protter)

Social Event

9:00 pm Gala Dinner: "Cretan Night"
Souda Garden