Thursday,   June 13, 2002

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

Hedging Errors and Mispecified Volatility
Iliana Anagnou (Stewart Hodges)

Spotting Special Spillovers
Dirk Baur (Robert Jung)

Minimal variance hedging for fractional Brownian motion
Francesca Biagini (Bernt Řksendal)

Feasible Volatility Smiles and their Implied Probability Distributions for Asset Prices
Iain Clark

A note on completeness in "large financial markets"
Marzia De Donno

A Markov chain approximation scheme for an investment-consumption problem with intertemporal substitution and Lévy driven stock prices
Said Elghanjaoui (Kenneth Hvistendahl Karlsen)

How can asset allocation benefit from a complex piece of information ?
Nicolas Gaussel (Fabrice Baudoin)

On the relation between approximation rates of stochastic integrals and properties of its integrands
Stefan Geiss (Christel Geiss)

The Importance of the Loss Function in Option Pricing
Kris Jacobs (Peter Christoffersen)

Model Risk and Regulatory Capital
Jeroen Kerkhof (Bertrand Melenberg, Hans Schumacher)

Default Boundary Problem
Alexander Kreinin (Ian Iscoe)

Game Contingent Claims in Incomplete Markets
Christoph Kühn

Estimation of the characteristics of jump of a general poisson-diffusion model
Cecilia Mancini

Real Option Games with Incomplete Information and Spillovers
Spiros Martzoukos (Eleftherios Zacharias)

Change detection of stochastic volatility processes
Gábor Molnár-Sáska (Zsuzsanna Vágó, László Gerencsér)

Volatility forecasting performances of SVOL and AJD models for very volatile markets
Rosanna Pezzo (Maria-Cristina Uberti)

A note on the pricing and hedging of volatility derivatives
Avraam Rafailidis (Sam Howison, Henrik Rasmussen)

Credit Risk in a Random Field Context
Thorsten Schmidt

Dynamic minimization of worst conditional expectation of shortfall under partial information
Jun Sekine

Causality and Cointegration in Stock Markets: The Case of Latin America
Benjamin Miranda Tabak (Eduardo Jose Aruajo Lima)

Entry, exit and activation probability in a two-player real options game
Andrianos Tsekrekos

First--mover advantages and the strategic exercise of real options
Andrianos Tsekrekos

Volatility time and properties of option prices
Johan Tysk (Svante Janson)

Shortfall risk minimization in the binomial model
Tiziano Vargiolu (Gino Favero)

Capital Growth with Security
William Ziemba (Leonard MacLean, Yonggan Zhao, Rafael Sanegre)