Wednesday,   June 12, 2002

Morning Program

Plenary Addresses
Conference Hall:   Marika Capsis

8:30-8:45 am Opening Remarks

8:45-9:45 am Probabilistic Aspects of Portfolio Analysis and Optimization
Ioannis Karatzas (Robert Fernholz)
Chair:   Mark Davis

10:00-11:00 am Microstructure and Asset Pricing
Maureen O'Hara (David Easley)
Chair:   Sudipto Bhattacharya

11:00-11:30 am Break

11:30-12:30 pm The Market Prices of Risks in Fixed Income Markets
Kenneth Singleton (Qiang Dai)
Chair:   Darrell Duffie

Afternoon Program

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

Session 1
Conference Hall:  Minos
Chair:  Martin Schweizer

5:00-6:30 pm Optimization with random horizon
Monique Jeanblanc (Nicole El Karoui, Shaojuan Huang)

Optimal consumption rules in the presence of durable and perishable goods
Peter Bank (Nicole El Karoui, Frank Riedel)

Optimal consumption from investment and random endowment in incomplete semimartingale markets
Gordan Zitkovic (Ioannis Karatzas)

6:30-6:45 pm Break

6:45-8:15 pm Optimal solutions to utility maximization and to the dual problem
Marco Frittelli

Optimal Lifetime Consumption-Portfolio Strategies in Incomplete Markets under Homothetic Recursive Preferences
Mark Schroder (Costis Skiadas)

Information neutrality in the stochastic differential utility
Ali Lazrak

Session 2
Conference Hall:  Lida
Chair:  Peter Lakner

5:00-6:30 pm Evolution of Portfolio Rules in Incomplete Markets
Klaus Reiner Schenk-Hoppé (Thorsten Hens)

The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory
Jens Jackwerth (David P. Brown)

On Pricing Kernels and Dynamic Portfolios
Philippe Henrotte

6:30-6:45 pm Break

6:45-8:15 pm Market equilibrium with coherent measures of risk
David Heath (Hyejin Ku)

Arbitrage in Continuous Complete Markets
Eckhard Platen

Equilibrium Open Interest
Dietmar Leisen (Kenneth Judd)

Session 3
Conference Hall:  Apollo
Chair:  Ernst Eberlein

5:00-6:30 pm Valuation of corporate bonds with stochastic default barrier
Chi-fai Lo (C.H. Hui, H.C. Lee)

Two-Factor Convertible Bonds Valuation Using the Method of Characteristics / Finite Elements
Ana Bermudez (John Hatgioannides, Giovanni Barone-Adesi)

Predicting Default Probabilities and Implementing Trading Strategies for Emerging Markets Bond Portfolios
Andrea Berardi (Stefania Ciraolo, Michele Trova)

6:30-6:45 pm Break

6:45-8:15 pm Options on Bond Futures: Isolating the Risk Premium
Robert Tompkins

LIBOR-dynamics calibration to market volatilites and swap-rate distributional distance from the lognormal family
Damiano Brigo (Fabio Mercurio, Francesco Rapisarda)

Pricing the smile in a forward LIBOR market model
Fabio Mercurio (Damiano Brigo, Francesco Rapisarda)

Session 4
Conference Hall:  Ariadne
Chair:  Andrew Carverhill

5:00-6:30 pm Implied Market Frictions and Term Structure of Interest Rates: The MinMax Approach.
Ioulia Ioffe (Eliezer Prisman)

Observational Equivalence of Discrete String Models and Market Models
Antoon Pelsser (Jeroen Kerkhof)

Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
Erik Schloegl

6:30-6:45 pm Break

6:45-8:15 pm Adaptive Binomial Model for Derivative Prices
Bin Gao

An Alternative Correlated Dynamics for Multivariate Option Pricing
Francesco Rapisarda (Damiano Brigo, Fabio Mercurio)

Hedging using simulation: a least squares approach
Claudio Tebaldi

Session 5
Conference Hall:  Evropi
Chair:  William Ziemba

5:00-6:30 pm Mutual Fund Portfolio Choice in the Presence of Dynamic Flows
Ron Kaniel (Julien Hugonnier)

Hiring and Firing Fund Managers
Sam Wylie

Firm-Level Momentum: Theory and Evidence
Jacob Sagi (Mark Seasholes)

6:30-6:45 pm Break

6:45-8:15 pm Default Risk with Managerial Control
James Hodder (Thaleia Zariphopoulou)

Risk management of non-maturing liabilities
Michael Kalkbrener (Jan Willing)

Stock Based Compensation: Firm-specific risk, Efficiency and Incentives
Vicky Henderson

Session 6
Conference Hall:  Marika Capsis
Chair:  Sudipto Battacharya

5:00-6:30 pm Ownership Dynamics and Asset Pricing with a "Large Shareholder"
Peter DeMarzo (Branko Urosevic)

A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium
Pascal Maenhout (Bernard Dumas)

Asset Pricing in a Neoclassical Model with Limited Participation
Qiang Dai

6:30-6:45 pm Break

6:45-8:15 pm Nonsophisticated traders in a competitive securities market equilibrium
Gregory A. Willard (Mark Loewenstein)

Equilibrium Option Pricing with Illiquid Underlying: Monopoly and Competition Between Market-Makers
João Amaro de Matos (Paula Antão)

Option Models and Trading Information
Andrea Buraschi (Alexei Jiltsov)

Social Event

9:00 pm Opening Night Dinner: "Tastes of Greece"
Helios Pool Area