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Federal Deposit
Insurance Corporation

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

Center for Financial Research

19th Annual Derivatives Securities and Risk Management Conference
April 17 – 18, 2009

L. William Seidman Center
Hove Auditorium
Arlington, Virginia

Sponsored by the 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, April 17, 2009

-- Continental Breakfast --


Welcoming Remarks

8:30–10:00Issues in Term Structure Modeling

Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates
Geneviéve Gauthier and Jean-Guy Simonato, HEC Montréal

Forecasting Yield Volatility with Arbitrage-Free Nelson-Siegel Models
Jens Christensen, Jose Lopez, and Glenn Rudebusch, Federal Reserve Bank of San Francisco

Stochastic Volatility and Option Pricing in Heath-Jarrow-Morton Term Structure Analysis
Bent Jesper Christensen, Elisa Nicolato, David Skovmand, Aarhus University and George Konaris, Morgan Stanley


-- Coffee Break --


Price Dynamics and Influential Investor/Traders

Fundamentals, Trader Activity and Derivative Pricing
Bahattin Büyüksahin, Commodity Futures Trading Commission, Michael Haigh,K2 Advisors, Jeffrey Harris,Commodity Futures Trading Commission & University of Delaware, Michel Robe, Commodity Futures Trading Commission & American University

Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
Jens Christensen, Jose Lopez and Glenn Rudebusch, Federal Reserve Bank of San Francisco

Strategic Execution in the Presence of an Uniformed Arbitrageur
Beomsoo Park, Benjamin Van Roy, Stanford University and Ciamac Moallemi, Columbia University


-- Lunch --


Jump Risks and Return Dynamics

Expected Option Returns and the Structure of Jump Risk Premia
Nicole Branger, University of Münster, Alexandra Hansis and Christian Schlag, Goethe University

Stochastic Volatility Models for Asset Returns with Jumps, Leverage Effect and Heavy-Tails: A Specification Analysis Based on MCMC
Jing-zhi Huang, Penn State University and Li Xu, Stanford University

Alternative Specifications for the Lévy Libor Market Model: An Empirical Investigation
David Skovmand and Elisa Nicolato, Aarhus University


-- Coffee Break --

3:30-5:00Fixed Income

Bond Risk Premia and Realized Jump Risk
Jonathan Wright, Johns Hopkins University and Hao Zhou, Federal Reserve Board

A New Class of Asset Pricing Models with Lévy Processes: Theory and Applications
Chayawat Ornthanalai, McGill University

Nonlinear Filtering in Affine Term Structure Models: Evidence from the Term Structure of Swap Rates
Peter Christoffersen, Kris Jacobs, McGill University, Lotfi Karoui, Goldman, Sachs & Co. and Karim Mimouni, American University in Dubai

-- Reception --

Saturday, April 18, 2009

8:30-9:00a-- Continental Breakfast --


Issues in Options Pricing

A Joint Model for Variance Swaps and the Spot
Rama Cont, Columbia University and Thomas Kokholm, Aarhus University

Analytical Valuation of American Options and Callable Bonds under Stochastic Interest Rates and Endogenous Bankruptcy
João Pedro Vidal Nunes, ISCTE Business School

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

10:30-12:00Credit Risk

A Little Knowledge is a Dangerous Thing: Model Specification, Data History, and CDO (Mis)Pricing
Dan Luo, Dragon Yongjun Tang, and Sarah Qian Wang, University of Hong Kong

Measuring Portfolio Credit Risk Correctly: Why Parameter Uncertainty Matters
Nikola Tarashev, Bank for International Settlements

Financial Firm Bankruptcy and Systemic Risk
Jean Helwege, Penn State University

--Adjournment – box lunch available --

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