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 Elyès 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 Pagès (João 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 Björk (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: Rüdiger 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