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Federal Deposit
Insurance Corporation

Each depositor insured to at least $250,000 per insured bank

Center for Financial Research

21st Annual Derivatives Securities and Risk Management Conference
March 25 – 26, 2011

L. William Seidman Center
Hove Auditorium
Arlington, Virginia

Sponsored by Federal Deposit Insurance Corporation's Center for Financial Research
Cornell University's Johnson Graduate School of Management
University of Houston's Bauer College of Business

Friday, March 25, 2011

8:00-8:25Registration & Continental Breakfast

8:25-8:30

Welcoming Remarks

8:30-10:00Options Markets

Is There Price Discovery in Equity Options?
Dmitriy Muravyev, University of Illinois at Urbana-Champaign
Neil D Pearson, University of Illinois at Urbana-Champaign
John Paul Broussard, Rutgers University

Where do informed traders trade: Evidence from trading around news on Dow 30 options
Wei Dong, Courant Institute of Mathematical Sciences
Nitish Ranjan Sinha, University of Illinois at Chicago

Consolidating Information in Option Transactions
Richard Holowczak, Baruch College
Jianfeng (Jeff) Hu, Baruch College
Liuren Wu, Baruch College

10:00-10:30

-- Coffee Break --

10:30-12:00

Derivatives Pricing

Option Pricing With Asymmetric Heteroskedastic Normal Mixture Models

Jeroen V K Rombouts, HEC Montreal
Lars Stentoft, HEC Montreal

Double Barrier Options Valuation under Multifactor Pricing Models
Joao Pedro Vidal Nunes, Finance Research Center and ISCTE Business School
Jose Carlos Dias, Finance Research Center and ISCTE Business School

Pricing Interest Rate Derivatives With Multilinear Interpolations and Transition Densities
Hatem Ben Ameur, HEC Montreal
Lotfi Karoui, Goldman, Sachs & Co
Walid Mnif, The University of Western Ontario

12:00-1:30

-- Lunch --

1:30-3:00

Sovereign Risk and Commodity Markets


Savior or Sinner? Credit Default Swaps and the Market for Sovereign Debt
Iuliana Ismailescu, Pace University
Blake Phillips, University of Waterloo

Sovereign Default Risk and the US Equity Market
Alexandre Jeanneret, HEC Montreal

Do the Variance Risk Premia Predict Commodity Futures Returns? Evidence from the Crude Oil Market
Sang Baum Kang, McGill University
Xuhui Pan, McGill University

3:00-3:30

-- Coffee Break --

3:30-5:30Fixed Income Markets

Pricing Deflation Risk with US Treasury Yields
Jens H E Christensen, Federal Reserve Bank of San Francisco
Jose A Lopez, Federal Reserve Bank of San Francisco
Glenn D Rudebusch, Federal Reserve Bank of San Francisco

Are convertible bonds underpriced?
Marco Rossi, University of Notre Dame
Sophie Shive, University of Notre Dame

A Model-Independent Maximum Range for the Liquidity Correction of TIPS Yields
Jens H E Christensen, Federal Reserve Bank of San Francisco
James Gillan, Federal Reserve Bank of San Francisco

Term Structure of Credit Default Swap Spreads and Cross-Section of Stock Returns
Bing Han, University of Texas at Austin
Yi Zhou, University of Oklahoma

5:45-7:00
-- Reception --


Saturday, March 26, 2011



8:00-8:30-- Continental Breakfast --

8:30-10:00

Volatility Risk Premium


The Cross-sectional Relation Between Conditional Heteroskedasticity, the Implied Volatility Smile, and the Variance Risk Premium
Louis Ederington, University of Oklahoma
Wei Guan, University of South Florida

Variance Risk Premium and Cross-Section of Stock Returns
Bing Han, University of Texas at Austin
Yi Zhou, University of Oklahoma

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty
Hao Zhou, Federal Reserve Board

10:00-10:30-- Coffee Break --

10:30-12:00Scheduling Conflicts "Grab Bag" Session

On Pricing Credit Default Swaps with Observable Covariates
Hitesh Doshi, McGill University
Jan Ericsson, McGill University
Kris Jacobs, University of Houston and Tilburg University
Stuart Turnbull, University of Houston

Dynamic Factor Value-at-Risk for Large, Heteroskedastic Portfolios
Sirio Aramonte, Federal Reserve Board
Marius del Giudice Rodriguez, Federal Reserve Board
Jason Wu, Federal Reserve Board

Can analysts surprise the market? Evidence from intraday jumps
Daniel Bradley, University of South Florida
Jonathan Clarke, Georgia Institute of Technology
Suzanne Lee, Georgia Institute of Technology
Chayawat Ornthanalai, Georgia Institute of Technology

12:00-- Adjourn – box lunch available --