Saturday, June 19, 2010

8:30 a.m.-9:00 a.m. Registration and Continental Breakfast
Morning Session (9 a.m.-12:45 p.m.)

9:00 a.m.-9:15 a.m. Opening and Welcome
Petter Kolm, Courant Institute

9:15 a.m.-10:00 a.m. The Local Variance Gamma Model,
Peter Carr, Morgan Stanley

10:00 a.m.-10:45 a.m. Title TBA,
Ali Hirsa, Caspian Capital

10:45 a.m.-11:15 a.m. Morning Break

11:15 a.m.-12:00 p.m. Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models,
Andrey Itkin, HAP Capital LLC

12:00 p.m.-12:45 p.m. Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions: Disentangling the Multi-Dimensional Variations in S&P 500 Index Options,
Liuren Wu, Zicklin School of Business, Baruch College

Lunch (12:45 p.m.-1:45 p.m.)

Afternoon Session (1:45 p.m.-5:40 p.m.)

1:45 p.m.-2:30 p.m. When Diversification Fails: The Perils of Endogenous Correlation,
Rama Cont, Columbia University

2:30 p.m.-3:15 p.m. Dynamic Mortgage Rate Replication and Risk Management of CMOs,
Andrew Lesniewski, Ellington Management Group

3:15 p.m.-3:45 p.m. Afternoon Break

3:45 p.m.-4:30 p.m. The Impact of the Federal Reserve's Interest Rate Target Announcement on Stock Prices: A Closer Look at How the Market Impounds New Information,
Stephen Figlewski, Stern School of Business

4:30 p.m.-5:15 p.m. Libor Market Models with Stochastic Basis,
Fabio Mercurio, Bloomberg LP

Cocktail Hour 5:30 p.m.-7:30
p.m.


Sunday, June 20, 2010

8:45 a.m.-9:15 a.m. Continental Breakfast

Throughout the day, Dilip Madan will present the following talks (listed here in alphabetical order):
•Accounting to Acceptability: With Applications to the Pricing of One’s Own Credit Risk (joint work with Ernst Eberlein and Thomas Gehrig)
•Capital Requirements, Acceptable Risks and Profits
•Conic Finance and Corporate Finance (joint work with Wim Schoutens)
•Indices of Acceptability as Performance Measures (joint work with Alexander Cherny)
•Joint Risk Neutral Laws and Hedging
•Markets as Counterparties (joint work with Alexander Cherny)
•Unlimited Liabilities, Capital Requirements and the Taxpayer Put Option (joint work with Ernst Eberlein)

Morning Session (9:15 a.m.-12:45 p.m.)

9:15 a.m.-10:45 a.m. Special Session 1,
Dilip Madan, University of Maryland

10:45 a.m.-11:15 a.m. Morning Break

11:15 a.m.-12:45 p.m. Special Session 2,
Dilip Madan, University of Maryland

Lunch (12:45 p.m.-1:45 p.m.)

Afternoon Session (1:45-5:15 p.m.)

1:45 p.m.-3:15 p.m. Special Session 3,
Dilip Madan, University of Maryland

3:15 p.m.-3:45 p.m. Afternoon Break

3:45 p.m.-4:30 p.m Special Session 4,
Dilip Madan, University of Maryland

4:30 p.m-4:45 p.m. Closing Remarks,
Petter Kolm, Courant Institute