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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
| 8:00-8:25 | Registration & Continental Breakfast
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8:25-8:30 |
Welcoming Remarks
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| 8:30-10:00 | Options 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
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10:00-10:30 |
-- Coffee Break --
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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
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12:00-1:30 |
-- Lunch --
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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
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3:00-3:30 |
-- Coffee Break --
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| 3:30-5:30 | Fixed 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
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5:45-7:00
| -- Reception --
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Saturday, March 26, 2011
| 8:00-8:30 | -- Continental Breakfast --
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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
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| 10:00-10:30 | -- Coffee Break --
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| 10:30-12:00 | Scheduling 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 --
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