SCIENTIFIC PROGRAM





Thursday,   June 13, 2002


Morning Program

Plenary Addresses
Conference Hall:   Marika Capsis

8:30-9:30 am Towards a self-consistent theory of stochastic volatility
Pierre-Louis Lions
Chair:   Hans Foellmer

9:45-10:45 am Prices and Portfolio Choices in Financial Markets: Theory and Experimental Evidence
William Zame (Peter Bossaerts, Charles Plott)
Chair:   Larry Epstein

10:45-11:15 am Break

11:15-12:15 pm The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
Walter Schachermayer
Chair:   Fred Delbaen


Afternoon Program

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


Session 1
Conference Hall:  Minos
Chair:  Ron Kaniel

5:00-6:30 pm On valuation before and after tax in "no arbitrage" models - tax neutrality in the discrete time model
Bjarne Astrup Jensen

Tax Management Strategies with Multiple Risky Assets
Stathis Tompaidis (Michael Gallmeyer, Ron Kaniel)

Risk sensitive portfolio optimization with transaction costs
Stanley Pliska (Tomasz Bielecki, Jean Philippe Chancelier, Agnes Sulem)

6:30-6:45 pm Break

6:45-8:15 pm Aggregation of heterogeneous beliefs and adjusted CCAPM
Elys Jouini (Clotilde Napp)

Robust portfolio selection problems
Garud Iyengar (Donald Goldfarb)

An Examination of Heterogeneous Beliefs with a Short Sale Constraint
Michael Gallmeyer (Burton Hollifield)



Session 2
Conference Hall:  Lida
Chair:  Olivier Scaillet

5:00-6:30 pm The OAS Approach and the Martingale Measure for Mortgage Prepayment
Yusho Kagraoka

Coupled Lattice Efficiency Analysis of Mortgage-backed Securities
Andrew Kalotay (Deane Yang)

An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios
Enrico De Giorgi

6:30-6:45 pm Break

6:45-8:15 pm Optimal Supervision and Depositor Preference Laws
Henri Pags (Joo Santos)

Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
Ronnie Sircar (Thaleia Zariphopoulou)

Executive Stock Options with Effort Disutility and Choice of Volatility
Abel Cadenillas (Jaksa Cvitanic, Fernando Zapatero)



Session 3
Conference Hall:  Apollo
Chair:  Marco Frittelli

5:00-6:30 pm Exponential Utility Maximization
Christophe Stricker (Yuri Kabanov)

The portfolio selection problem via Hellinger processes
Tom Hurd (Tahir Choulli)

Risk Sensitive Portfolio Optimization with Completely and Partially Observed Factors
Lukasz Stettner

6:30-6:45 pm Break

6:45-8:15 pm To a theory of financial markets with friction
Yuri Kabanov (Christophe Stricker )

Optimal portfolios for logarithmic utility
Jan Kallsen (Thomas Goll)

Optimal portfolios with bounded Capital-at-Risk
Claudia Kluppelberg



Session 4
Conference Hall:  Ariadne
Chair:  Oldrich Alfons Vasicek

5:00-6:30 pm A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall
Irene Klein (Friedrich Hubalek, Josef Teichmann)

Finite Dimensional Markovian Realizations for Stochastic Volatility Forward Rate Models
Tomas Bjrk (Camilla Landen, Lars Svensson)

On the Term Structure of Interest Rates
Josef Teichmann (Damir Filipovic)

6:30-6:45 pm Break

6:45-8:15 pm Predictability and the Dynamics of Long Forward Rates
Andrew Carverhill

Stochastic Hyperbolic Dynamics for Infinite-dimensional Forward Rates and Option Pricing
Shin Ichi Aihara (Arunabha Bagchi)

Initial Curves for Interest Rate Models: the Importance of Consistency
Stefano Herzel (Flavio Angelini)



Session 5
Conference Hall:  Evropi
Chair:  Rdiger Frey

5:00-6:30 pm On Bachelier's predecessors
Hans-Joachim Girlich

Utility Maximising Entropy and Thermodynamic Equilibrium
Tomasz Zastawniak (Wojciech Slomczynski)

Asset pricing using a form of evolution
Rimas Norvaisa

6:30-6:45 pm Break

6:45-8:15 pm Environment and Finance
Wojciech Szatzschneider (Monique Jeanblanc)

On Preferences and Arbitrage
Pierpaolo Montana

Contingent Claim Pricing Using Probability Distortion Operators: Methods from Insurance Risk Pricing and their Relationship to Financial Theory
Mahmoud Hamada (Michael Sherris)



Session 6
Conference Hall:  Marika Capsis
Chair:  Gregory Willard

5:00-6:30 pm Learning under Ambiguity
Larry Epstein (Martin Schneider)

Asymmetric Information and Imperfect Competition in a Continuous Time Multivariate Security Model
Guillaume Lasserre

Nonlinear filtering and estimation of latent factors in short rate models
Pranab K. Mandal (Dmitri Danilov)

6:30-6:45 pm Break

6:45-8:15 pm Time to Wealth Goals in Capital Accumulation
Leonard MacLean (William Ziemba, Yuming Li)

Decisionmetrics: A decision based approach to econometric modelling
Spyros Skouras

Decision Risk Reductions for Stock Indices
Wolfgang Stummer