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Agenda

Tentative Schedule
Statistical Modeling in Finance
Kiva Auditorium, Temple University, Main Campus
March 24, 2006


Continental Breakfast and Welcome
D. Raghavarao, Chair Department of Statistics
Moshe Porat, Dean Fox School of Business
8:00am - 8:30am

Session 1
8:30am - 10:15am

Chair: Michael Powers

8:30am - 9:30am: Keynote address: Penalized Splines and Financial Data, David Ruppert, Cornell University

9:30am - 10:00am: Time-Varying Risk Exposure of Hedge Funds by Mila Getmansky, University of Massachusetts

10:00am - 10:15am: Questions


Break
10:15am - 10:30am

Session 2
10:30am - 12:15am

Chair: William Dunkelberg

10:30am - 11:00am: Jumps in Rank and Expected Returns: Introducing Varying Cross-sectional Risk by Gloria González-Rivera, University of California, Riverside

11:00am - 11:30am: Momentum Strategies Using Risk-adjusted Stock Selection Criteria, Teo Jasic, University of Karlsruhe, Germany

11:30am - 12:00pm: Deriving smooth zero yield curves and inflation expectations from bond market, Zvi Wiener, Hebrew University of Jerusalem

12:00pm - 12:15pm: Questions


Lunch
12:15pm - 1:30pm
Speakman Hall, Student Lounge

Chair: Raj Chandran

'The Dynamics of the Smile': Carol Alexander, University of Reading, United Kingdom


Session 3
1:30am - 3:15pm

Chair: Elyas Elyasiani

1:30pm - 2:00pm: OTC Interest Rate Derivatives: Valuation and Relative Values, Nandi, Saikat, Fannie Mae

2:00pm - 2:30pm: The implied liquidity premium for equities, E. Robert Fernholz, INTECH

2:30pm - 3:00pm: A Benchmark Approach to Portfolio Optimization and Derivative Pricing, Eckhard Platen, University of Technology, Sydney, Australia

3:00pm - 3:15pm: Questions

Break
3:15pm - 3:30pm

Session 4
3:30pm - 6:00pm

Chair: Luisa Fernholz

3:30pm - 4:00pm: Revision of the Continuous Limit of GARCH, Carol Alexander, University of Reading, United Kingdom

4:00pm - 4:30pm: Option Pricing for some Stochastic Volatility Models, A. Thavaneswaran. University of Manitoba and Temple University

4:30pm - 5:00pm: Parsimonious Principle of GARCH Models: A Monte Carlo Approach, Wu Jing, Nanyang Technological University, Singapore

5:00pm - 5:30pm: Fuzzy Coefficient Volatility Models with Financial Applications, K. Thiagarajah, Illinois State University, Normal

5:30pm - 5:45pm: Questions

5:45pm - 6:00pm: Closing Remarks