6th World Congress of the Bachelier Finance Society

PROGRAM WITH ABSTRACTS

Plenary speaker titles and abstracts

Thematic Speaker titles and abstracts

Submitted talk title and abstracts

Submitted Poster title and abstracts

June 22 - Tuesday
15:00-16:30		Congress Registration at the Toronto Hilton
Opening Plenary Session (Toronto I/II)
16:30-16:45		Welcome & Introductions
16:45-18:00		Plenary Lecture - Dilip Madan Conic Finance and Accounting: The Static Case
18:00-20:00		Welcome Reception Congress lobby

June 23 -Wednesday
Toronto I/II		8:30	Plenary Speaker Rene Carmona TBA Chair: Nizar Touzi
Toronto I/II		9:30	Plenary Speaker - Stanley R. Pliska Electronic Market Making: Potential Profits and Research Opportunities Chair: Nizar Touzi
10:30 - 11:00 COFFEE Toronto III & Johnston
	Toronto I/II	Carmichael/ Jackson		T. Thompson	Osgoode 3 fl.	GG Suite 2nd fl.	Varley
	Portfolio Optimization Chair: Martin Schweizer	Stochastic Volatility Chair:Knut Solna		Risk Measures Chair:Freddy Delbaen	Computational Finance Chair: Dilip Madan	Options and Futures Chair:Jean-Pierre Fouque	BSDEs Chair:Traian Pirvu
11:00	Theme Speaker Bank, P. Market indifference prices	185 Feehan, P. American-style options, stochastic volatility, and degenerate parabolic variational inequalities		111 Arai, T. Convex risk measures on Orlicz spaces	56 Matsumoto, K. Simple Improvement Method for Upper Bound of American Option	8 Elliott, R American Option Prices in a Markov Chain Market Model.	21 Blanchet-Scalliet, C. Credit Risk Premia and Quadratic BSDEs with a Single Jump
11:25	Theme Speaker Choulli,Tahir @ 11:37 Exponential Hedging under Variable Horizons	364 Jacquier, A. Implied volatility asymptotics of affine stochastic volatility models with jumps		170 Kou, S. What Is a Good External Risk Measure..	112 Ziveyi, J. American Option Pricing Under Two Stochastic Volatility Processes	272 Borovkova, S. American basket and spread option pricing by a simple binomial tree	23 Frei, C. Convergence results for the indifference value based on the stability of BSDEs
11:50		394 Robertson, S. Sample Path Large Deviations and Optimal Importance Sampling for Stochastic Volatility Models		175 Cialenco, I Dynamic Coherent Acceptability Indices	154 Sanz Chacon, C. Efficient Price Sensitivity Estimation of Path-Dependent Derivatives by Weak Derivatives	416 Gapeev, P. Pricing of perpetual American options in a model with partial information	85 Cohen, S Existence and Comparisons for BSDEs in general spaces
12:15	349 Perez, L. On the dual problem associated to the robust utility maximization ..	449 Zubelli, J. A Convex-Regularization Framework for Local-Volatility Calibration in Derivative Markets..		179 Roorda, B. When Can a Risk Measure Be Updated Consistently?	199 Levendorskiy, S Convergence of price and sensitivities in Carr's randomization ..	162 Chudjakow, T. Exercise Strategies for American Exotic Options under Ambiguity	108 Yao, S. Optimal Stopping for Non-linear Expectations
12:40 - 14:10 LUNCH Toronto III & Johnston
	Toronto I/II	Carmichael/ Jackson		T. Thompson	Osgoode 3 fl.	GG Suite 2nd fl.	Varley
	Portfolio Optimization Chair:Traian Pirvu	Stochastic Volatility Chair:Jean-Pierre Fouque		Risk Measures Chair:Patrick Cheridito	Computational Finance Chair:Alexander Mijatovic	Options and Futures Chair:Peter Carr	Stochastic Control Chair:Matheus Grasselli
14:10	244 Seifried, F Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach	441 Hughston, L Implied Density Models for Asset Pricing		202 Acciaio, B. Risk assessment for uncertain cash flows	210 Ledermann, D Exact Moment Simulation using Random Orthogonal Matrices	99 Brodén, M Errors from discrete hedging in exponential Lévy models..	Theme Speaker Touzi,N. tba
14:35	442 Murgoci, A. Mean Variance Optimization with State Dependent Risk Aversion	109 Byelkina, S. Implementation and Calibration of the Extended Affine Heston Model for Basket Options and Volatility Derivatives		214 Frittelli, M Dual Representation of Quasiconvex Conditional Maps	452 Kassberger, S. Importance sampling and Monte Carlo-based calibration for time-changed Lévy processes"	200 Vandaele, N. Hedging of swaptions in the Lévy driven Heath-Jarrow-Morton model	Theme Speaker Bayraktar, E. @ 14:47 Optimal Stopping for Dynamic Convex Risk Measures
15:00	359 Owari, K. On the Duality for Robust Utility Maximizaiton with Unbounded Random Endowment	310 Grasselli, M. Riding on the smiles		Theme Speaker Schachermayer,W.	Theme Speaker Eberlein,E Analysis of Fourier transform valuation in Lévy models	11 Rémillard, B. Optimal hedging in discrete and continuous time
15:25	379 Werner, R. (cancelled)	446 Han, CH S An improved procedure for VaR/CVaR estimation under stochastic volatility models				262 Wiktorsson, M. On the Convergence of Higher Order Hedging Schemes	213 Huang, Y-J. On Outperforming the Market Portfolio with a Given Probability
15:50-16:20 COFFEE BREAK Toronto III & Johnston
	Portfolio Optimization Chair:Martin Schweizer	Stochastic Volatility Chair:Bruno Dupire		Risk Measures Chair:Marco Frittelli	Computational Finance Chair:Alexey Kuznetsov	Options and Futures Chair:Peter Carr	Stochastic Control Chair:Erhan Bayraktar
16:20	52 He, X. Hope, Fear and Aspiration	29 Muhle-Karbe, J. Pricing Options on Variance in Affine Stochastic Volatility Models		311 De Franco, C. Portfolio Insurance under a risk-measure constraint	149 Lai, Y. Pricing and Hedging American Options under Exponential Subordinated Levy Processes by Malliavin Calculus	Theme Speaker Madan, D. Joint Risk Neutral Laws and Hedging	167 Sonin, Isaac, Optimal Stopping of Markov Chain and Three Abstract Optimization Problems
16:45	53 Henderson, V. Prospect Theory, Partial Liquidation and the Disposition Effect	232 Keller-Ressel, M. Pricing Options on Discrete Realized Variance		334 Kervarec, M Risk measure in non dominated models	168 Itkin, A. Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models	Theme Speaker Linetsky.V @ 16:57. Modeling Dependent Jumps: A Time Change Approach	292 Leung, S. T. Forward Indifference Valuation of American Derivatives
17:10	17 Pirvu, T Portfolio management with hyperbolic discounting	242 Beiglböck, M Is the minimum value of an option on variance generated by local volatility?		347 Hamel, A. Duality for set-valued measures of risk	169 Lee, Y. Numerical valuation for option pricing under jump-diffusion models by finite differences		329 Lyasoff, A. New Algorithm for Equilibrium Asset Pricing in Incomplete Financial Markets
17:35	268 Jin, H. Behavioral Portfolio Selection with Loss Control	22 Swishchuk, A. Modeling and Pricing of Variance Swaps for Local Stochastic Volatilities with Delay and Jumps		381 Xia, L. On ?-Quantile Dependent Convex Risk Measures	229 Glau, K. A new Feynman-Kac formula for option pricing in Lévy models	173 Raval, V. Arbitrage Bounds for Weighted Variance Swap Prices	201 Geissler, J "Inflation Linked Bonds: An incentive for lower inflation? Pricing from a Central Bank's perspective"
18:00	288 Tashman, A Portfolio Optimization Under a Stressed-Beta Model	412 Sabanis, S. A class of stochastic volatility models and the q-optimal martingale measure		31 Douady, R The Stress VaR: a new risk concept for superior fund allocation	410 Surkov, V Efficient Construction of Robust Hedging Strategies under Jump Models	443 Amini, H Contagious Defaults in Financial Networks: an Asymptotic Analysis

June 24 Thursday
Toronto I/II		8:30	Plenary Speaker - Bruno Dupire, Functional Itô Calculus and Applications
Toronto I/II		9:30	Plenary Speaker Mark Davis Asset Management via Risk-Sensitive Stochastic Control
10:30 - 11:00 COFFEE Toronto III & Johnston
	Toronto I/II	Carmichael/ Jackson		T. Thompson	Osgoode 3 fl.	GG Suite 2nd fl.	Varley
	Credit Risk	Portfolio Optimization		Risk Measures	Computational Finance	Options and Futures	BSDEs
11:00		129 Bick, B Investment, Income, and Incompleteness		398 Tsukahara, H Comparative Analysis of VaR and Some Distortion Risk Measures	309 Tankov, P Jump-adapted discretization schemes for Levy-driven SDEs	235 Kokholm, T A Consistent Pricing Model for Index Options and Volatility Derivatives	39 Naujokat, F Curve Following in Limit Order Markets
11:25	Theme Speaker Rutkowski,M. @ 11:37 Hedging of Credit Default Swaptions	317 Strong, W Diversity and Arbitrage in a Regulatory Breakup Model		426 Kupper, M Risk Preferences and their Robust Representation	470 Yildirim, Y. Subprime Default Contagion	195 Crosby, J Optimal Hedging of Variance Derivatives	164 Dang, N Optimal control of trading algorithms: a general impulse control approach
11:50		464 Dos Reis, G On securitization, market completion and equilibrium risk transfer		430 Drapeau, S Risk Preferences: Further Developments beyond Random Variables	434 Xie, J Fast Pricing of Out-of-The-Money Options under Levy Processes	451 Boyarchenko, M Carr-Wiener-Hopf method and refined fast Fourier transforms for pricing barrier options	376 Fabre, E Optimal Liquidation of an Indivisible Asset with Independant Investment
12:15	172 Overbeck, L. Spectral Capital Allocation And Applications	59 Ignatieva, K Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae		91 Bion-Nadal, J. Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk	468 Kuznetsov, A Wiener-Hopf factorization and distribution of extrema for a family of Levy processes	Theme Speaker Carr, Peter Pricing Variance Swaps on Time Changed Lévy Processes	Theme Speaker Matoussi, Anis Quadratic BSDE's with jumps and exponential utility maximization problem for portfolio with defaults
12:40 - 14:10 LUNCH Toronto III & Johnston						Bachelier Finance Society Council Meeting 12:40 - 14:10 (Fitzgerald Room )
	Toronto I/II	Carmichael/ Jackson		T. Thompson	Osgoode 3 fl.	GG Suite 2nd fl.	Varley
	Credit Risk	Portfolio Optimization		High Frequency Trading	Computational Finance	Options and Futures	Stochastic Control
14:10	96 Crépey, S Delta-hedging Correlation Risk	138 Veraart, L The effect of estimation in high-dimensional portfolios		234 Shaikhet, G Optimal Execution in a General One-Sided Limit-Order Book	86 Kang, B The Evaluation of Barrier Option Prices Under Stochastic Volatility	90 Zhou, W Callable stock loan and beyond	26 Djehiche, B Optimal stopping of expected profit and cost yields in an investment under uncertainty
14:35	388 Herbertsson, A Pricing index-CDS options in a nonlinear filtering model	220 Monoyios, M Optimal Investment with Inside Information and Parameter Uncertainty		260 Paulsen, M Averaging Principle for an order book model	271 Wiese, A Positive Stochastic Volatility Simulation	350 Li, L Commodity Derivative Models with Mean-Reverting Jumps and Stochastic Volatility: A Time Change Approach	326 Englezos, N Utility Maximization With Habit Formation: Dynamic Programming and Stochastic PDE's
15:00	133 Iscoe, I Pricing Synthetic CDOs based on Exponential Approximations to the Payoff Function	266 Tobelem, S Robust Decision Under Model Uncertainty		461 Cebiroglu, G Hidden Liquidity and Optimal Display Strategies in US Markets	163 Lee, R Displaced Lognormal Volatility Skews: Analysis and Applications to Stochastic Volatility Simulations	352 Cai, N Option Pricing under a Mixed-Exponential Jump Diffusion Model	438 Levental, S The Continuous-Time Principal-Agent Problem with Moral Hazard and Recursive Preferences
15:25	427 Mendoza-Arriaga, R Modeling Default Correlation and Clustering: A Multivariate Time Change Approach	357 Faria, G Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility		101 Fruth, A Optimal execution in limit order books with stochastic liquidity	Theme Speaker Speaker Broadie, M. Efficient Risk Estimation via Nested Simulation	457 Rubisov, D Pricing of Options Exposed to Cross-Currency Rates	439 Kang, L Optimal Contracting and Nash Equilibria in the Continuous-Time Principal-Agent problem with Multiple Principles
15:50-16:20 COFFEE BREAK Toronto III & Johnston
	Credit Risk	Portfolio Optimization		Stochastic Volatility	Computational Finance	Options and Futures	Stochastic Control
16:20	77 Nakagawa, H Modeling of Contagious Downgrades and Its Application to Multi-Downgrade Protection	49 Yoon, J Optimal Portfolio Selection under Disappointment Averse Utility		Theme Speaker Balland,P. Double Mean Reversion in FX	419 Dang, D GPU Pricing of Cross-Currency Interest Rate Derivatives under a FX Volatility Skew Model	19 Nadtochiy, S Market Model for Call Options via Tangent Levy Density	36 Dai, M Trend Following Trading under a Regime Switching Model
16:45	131 Hillairet, C. Information Asymmetry In Pricing Of Credit Derivatives	83 Nutz, M The Bellman Equation for Power Utility Maximization with Semimartingales		Theme Speaker Solna, Knut Derivative Time Scale Perturbations @ 16:57	251 Rometsch, M Hedging Under Model Uncertainty - Efficient Computation Of The Hedging Error Using The Proper Orthogonal Decomposition	291 de Innocentis, M Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models, near barrier	88 Lleo, S Risk-Sensitive Asset Management in a Jump-Diffusion Factor
17:10	171 Kwon, S A factor contagion model for portfolio credit derivatives with interacting recovery rate	103 Vellekoop, M Sahara Utility and Optimal Investment			280 Marshall, J Forest of Stochastic Trees: A New Method for Valuing High Dimensional Swing Options	331 Baurdoux, E (cancelled)	209 Bäuerle, N Control improvement for jump-diffusion processes with applications to finance
17:35	455 Hamrick, D Contagion and Confusion in Credit Default Swap Markets	190 Obloj, J Utility theory front to back -- inferring utility from agents' choices		58 Rodrigues, P. Stochastic Volatility and Jumps..	304 Bayer, C A Donsker theorem for cubature on Wiener space	421 Feng, L Pricing Bermudan Options in Levy Process Models	252 Danilova, A Dynamic markov bridges motivated by models of insider trading
Congress Banquet at the Toronto Board of Trade (tickets required) Reception 19:00-20:00, Dinner 20:00

June 25 Friday
Toronto I/II		8:30	Plenary Speaker Jean-Philippe Bouchaud
Toronto I/II		9:30	Plenary Speaker - Jean-Pierre Fouque Multiscale Stochastic Volatility Models
10:30 - 11:00 COFFEE Toronto III & Johnston
	Toronto I/II	Carmichael/ Jackson		T. Thompson	Osgoode 3 fl.	GG Suite 2nd fl.	Varley
	Credit Risk	Portfolio Optimization		Stochastic Volatility	Computational Finance	Options and Futures	Real Options
11:00	Theme Speaker Speaker Frey, R. Optimal Securitization of Credit Portfolios via Impulse Control	258 Maggis, M Conditional Certainty Equivalent		66 Lee, J A Multiscale Model with Stochastic Elasticity	378 Herzel, S Evaluating Discrete Dynamic Strategies in Affine Models	267 Law, S Monsoon options: early-exercise Asian tail using fast & accurate hybrid numerical techniques	236 Ludkovski, M Stochastic Switching Games and Duopolistic Competition in Emissions Markets
11:25	Theme Speaker Speaker Giesecke,K. @ 11:37 Exact Simulation of Jump-Diffusion Processes	354 Badescu, A Esscher Transforms and Consumption-Based Models		122 Park, S Asymptotic Method for Singularity in Path-Dependent Option Pricing	391 Pommier, D About equity models based on Independent Increment processes	270 Hadjiliadis, O Insuring Against Maximum Drawdown and Drawing Down Before Drawing Up	75 Steg, J Irreversible Investment in Oligopoly
11:50		417 Wunderlich, R Portfolio optimization under partial information with expert opinions		123 Choi, S Pricing and Hedging with Constant Elasticity and Stochastic Volatility	409 Reisinger, C Calibrating Financial Models Using Consistent Bayesian Estimators	384 Tashiro, Y Dual Pricing of Swing Options with Bang-bang Control	294 Sircar, R Games with Exhaustible Resources
12:15	198 Jin, L Credit Modelling by Particle Systems and Stochastic PDEs	215 Meinerding, C Optimal Portfolio Choice with Contagion Risk and Restricted Information		335 Lorig, M Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models	Theme Speaker Glasserman, Paul Pricing Contingent Capital with Continuous Conversion	222 Glover, K The British Russian Option	Theme Speaker Speaker Grenadier, S.
12:40 - 14:10 LUNCH Toronto III & Johnston 13:10 -14:10 Bachelier Finance Society General Assembly Toronto I/II
	Toronto I/II	Carmichael/ Jackson		T. Thompson	Osgoode 3 fl.	GG Suite 2nd fl.	Varley
	Credit Risk	Portfolio Optimization		Econometrics	Interest rates	Options and Futures	Real Options
14:10	178 Peng, X Default Clustering and Valuation of Collateralized Debt Obligations	84 Bernard, C Explicit Representation of Cost Efficient Strategies		46 Casas, I Unstable volatility: the break preserving local linear estimator	40 Tappe, S Term structure models driven by Wiener processes and Poisson measures: Existence and positivity	20 Schlogl, E. A Hybrid Commodity and Interest Rate Market Model	385 Jaimungal, S. Ambiguity Aversion In Real Options
14:35	231 Dorn, J A CDO option market model for standardized CDS index tranches	95 Bichuch, M Asymptotic Analysis for Optimal Investment with Two Risky Assets and Transaction Costs		338 Lasak, K Maximum likelihood estimation of fractionally cointegrated systems	81 Chen, An In Arrear Term Structure Products: No Arbitrage Pricing Bounds And The Convexity Adjustments	127 Vidal Nunes, J. P. Two Extensions To Forward Start Options Valuation	212 Arkin, V. Real Options And Free-Boundary Problems: A Variational View
15:00	316 Schmidt, T Market Models for CDOs driven by time-inhomogeneous Levy processes	263 Zhou, X. Greed, Leverage, and Potential Losses: A Prospect Theory Perspective		472 Song, Y Components of bull and bear markets: bull corrections and bear rallies	465 Chun, A. L. A Forward-Looking Model Of The Term Structure Of Interest Rates	247 Pistorius, M. (cancelled)	41 Nishide, K. Optimal Investment Timing With Linearly Additive Geometric Brownian Motions: The General Case
15:25	345 Metzler, A A Multiname First-Passage Model for Credit Risk	307 Sass, J The Numeraire Portfolio under Proportional Transaction Costs		Theme Speaker Gourieroux, C. Granularity Adjustment in Dynamic Multiple Factor Models: Systematic vs Unsystematic Risks	Theme Speaker Teichmann,J. Risk management, Arbitrage and Scenario generation for interest rates	249 Schmutz, M. Multivariate Extension Of Put-Call Symmetry	Theme Speaker Lambrecht, B. A Linter Model of Dividends and Managerial Rents
15:50-16:20 COFFEE BREAK Toronto III & Johnston
	Credit Risk	Portfolio Optimization		Insurance	Interest rates	Options and Futures	Real Options
16:20	467 Zhou, Z. Two-Factor Capital Structure Models For Equity And Credit	110 Platen, E. Simulation of Diversified Portfolios in a Continuous Financial Market		144 Kwak, M. Optimal Investment And Consumption Decision Of Family With Life Insurance	92 Zhu, Q. Term Structure Of Interest Rates With Consumption Commitments	400 Emmerling, T. Perpetual Cancellable American Call Option	114 Grüll, G. Pricing CO2 Permits Using Approximation Approaches
16:45	105 Jiao, Y Multiple defaults and contagion risks with global and default-free information	121 Londoño, J. A New Theory Of Inter-Temporal Equilibrium For Security Markets		405 Hoyle, E. Stable-1/2 Bridges And Insurance: A Bayesian Approach To Non-Life Reserving	328 Grasselli, M. Calibration Of Chaos Models For Interest Rates	362 Gruber, P. Three Make A Dynamic Smile - Unspanned Skewness And Interacting Volatility Components In Option Valuation	240 Mnif, W. Pricing And Hedging Strategies For Contingent Claims In An Incomplete Hybrid Emissions Market
17:10	390 Golbeck, S. Asset Financing With Default Risk	404 Mohamed, M. An Exact Connection Between Two Solvable Sdes And A Non Linear Utility Stochastic PDEs		217 Hu, X. Minimizing The Probability Of Lifetime Ruin Under Stochastic Volatility	431 Sarais, G. Inflation-Linked Pricing In The Presence Of A Central Bank Reaction Function	142 Zhang, B. An Efficient Pricing Algorithm For Swing Options Based On Fourier Cosine Expansions	237 Taschini, L. Flexibility Premium In Marketable Permits
17:35	54 De Larrard, A. Arcsine Law And A Simple Model For Economic Default	243 Vargiolu, T. Optimal Portfolio For HARA Utility Functions Where Risky Assets Are Exponential Additive Processes			308 Mackie, E. Rational Term Structure Models with Geometric Levy Martingales	435 Cosma, A. Valuing Options Using Fast Recursive Projections	433 López Cabrera, B. Localizing Temperature Residuals
18:00	276 Ostaszewski , A.J Inference of Managerial Precision from Voluntary Disclosure Intensity	284 Nguyen Huu, A. Industrial Arbitrage in Markets with Transaction Costs				454 Chellaboina V. Discrete-Time, Minimum-Variance Hedging of European Contingent Claims

June 26 Saturday
Toronto I/II		8:30	Plenary Speaker - Damir Filipovic Quadratic Variance Swap Models: Theory and Evidence
	Toronto I/II	Carmichael/ Jackson	T. Thompson	Osgoode 3 fl.	GG Suite 2nd fl.	Varley
	Credit	Portfolio Optimization	Stochastic Volatility	Computational Finance	Interest Rates	Commodities
9:35	444 Lacerda, A. Credit Risk And Capital Requirements Under Basel II	182 Makhlouf, A. The Tracking Error Rate Of The Delta-Gamma Hedging Strategy	320 Rayee, G. Local Volatility Pricing Models For Long-Dated FX Derivatives	278 Reesor, M. Enhanced Convergence Results For Stochastic Tree Estimators	285 Lutz, M. Efficient Pricing Of CMS Spread Options In A Stochastic Volatility LMM	94 Prokopczuk, M. Commodity Derivatives Valuation With Autoregressive And Moving Average Components In The Price Dynamics
10:00	7 Ebert, S. Improved Modeling of Double Default Effects in Basel ..	196 Melnikov, A. Dynamic Hedging Of Conditional Value-At-Risk	351 Lee, K. A GARCH Intensity Model For Asset Price And Its Application To Option Pricing	279 Davison, M. Correcting The Optimal Stopping Bias In Monte Carlo Evaluation Of Early Exercise Options	418 Veerman, E. Affine Diffusions With Non-Canonical State Space	471 Pan, X. State Price Density Estimated From Commodity Derivatives..
10:30 - 11:00 COFFEE Toronto III & Johnston
	Credit Risk	Portfolio Optimization	Stochastic Volatility	Stochastic Analsysis	Options and Futures	Real Options
11:00	Theme Speaker Collin-Dufresne, P. On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches	100 Desmettre, S. Own-Company Stockholding ..	67 Gobet, E. Time dependent Heston model	78 Kardaras, C. Numeraire-invariant preferences in financial modeling	254 Dias, J. C. Double Barrier Options Valuation Under Multifactor Pricing Models	192 Yagi, K. Convertible Subordinated Debt Financing ..
11:25	Theme Speaker Berndt, A.@ 11:37 On Correlation and Default Clustering in Credit Markets	128 Munk, C. Optimal Housing, Consumption, ..	70 Hanson, F. B. Stochastic Calculus of Heston's Stochastic-Volatility Model	159 Khedher, A. Robustness Of Option Prices..	324 Zhong, Y. Optimal Stock Selling Based On The Global Maximum	226 Yamada, T. Accelerated Investment And Credit Risk Under A Low Interest Rate Environment
11:50		191 Fabretti, A. Delegated Portfolio Management With Investment Constraints	189 Gerhold, S. On Refined Volatility Smile Expansion In The Heston Model	197 Bentata, A. Forward Equations For Option Prices In Semimartingale Models	402 Cox, A. Robust Pricing And Hedging Of Options On Variance	298 Yam, P. A Unified "Bang-Bang" Principle With Respect To A Class Of Nonanticipative Benchmarks
12:15	241 Kan, K. H. Optimized Least-Squares Monte Carlo For Measuring Counterparty Credit Exposure Of American-Style Options	330 Espinosa, G.E. Optimal Investment Under Relative Performance Concerns	403 Kaila, R. The Integrated Correlated Variance As A Statistical Inverse Problem	216 Xu, Z. Optimal Stopping With Prospect Preference	414 Liebmann, T. When Are Path-Dependent Payoffs Suboptimal?	Theme Speaker Speaker Miltersen, K. Real Investments and their Financing: a real options approach
12:40 - 14:10 LUNCH Toronto III & Johnston
	Toronto I/II (450)	Carmichael/ Jackson (100)	T. Thompson (100)	Osgoode 3 fl. (80)	GG Suite 2nd fl. (100)	Varley (50)
	Credit Risk	Portfolio Optimization	Stochastic Volatility	Stochastic Analysis	Systemic Risk/Liquidity	Commodities
14:10	130 Scherer, M. CIID Default Models And Implied Copulas	119 Donnelly, C. Convex Duality In Constrained Mean-Variance Portfolio Optimization Under A Regime-Switching Model	68 Lee, M. A Delay Financial Model With Stochastic Volatility; Martingale Method	Theme Speaker Cheridito, P. Processes of class Sigma, last passage times and drawdowns	Theme Speaker Milne, F. General Approaches for Modelling Liquidity Effects in Asset Markets ...	51 Schlueter, S. Pricing an European Gas Storage Facility using a Continuous-Time Spot Price Model with GARCH Diusion
14:35	203 Boudreault, Mathieu, On the non-linear relationship between default intensity and leverage	245 Cui, X. Better Than Dynamic Mean-Variance Policy In Market With ALL Risky Assets	132 Grzelak, L.A. An Equity-Interest Rate Hybrid Model With Stochastic Volatility And The Interest Rate Smile	Theme Speaker Tysk, J. @ 14:47 Forward is backward for time-homogeneous diffusions	Theme Speaker Schied, A. @ 14:47 Aspects of market impact modeling and optimal trade execution	456 Muthuraman, K. Commodity Storage Valuation
15:00	336 Packham, N. Correlation Under Stress In Normal Variance Mixture Models	275 Czichowsky, C. Time-Consistent Mean-Variance Portfolio Selection In Discrete And Continuous Time	205 Jena, R. Arbitrage Opportunities In Misspecified Stochastic Volatility Models			87 Chiarella, C. The Evaluation of Swing Contracts with Regime Switching
15:25	365 Macrina, A. Credit Risk, Market Sentiment And Randomly-Timed Default	358 Wong, H. Y. Mean-Variance Portfolio Selection Of Co-Integrated Assets	Theme Speaker Li, H. No Arbitrage Taylor Rules with Switching Regimes	366 Cuchiero, C. Affine Processes On Positive Semidefinite Matrices	322 Kühn, C Large Traders and Illiquid Options: Hedging vs. Manipulation	Theme Speaker Keppo,J Hydro Scheduling Powered by Derivatives
15:50-16:20 COFFEE BREAK Toronto III & Johnston
	Credit Risk	Interest Rates	Stochastic Volatility	Stochastic Analysis	Systemic / Liquidity	Commodities
16:20	408 Grbac, Z. Rating Based Lévy Libor Model	33 Devin, S. A finite-dimensional HJM model: ...	264 Krühner, P. On A Heath-Jarrow-Morton Approach For Stock Options	302 Mijatovic, A. Deterministic Criteria For The Absence Of Arbitrage In Diffusion Models	466 Maalaoui Chun, O. Detecting Regime Shifts in Corporate Credit Spreads	18 Kanamura, T. Convenience Yield-Based Pricing of Commodity Futures
16:45	62 Yi, Chuang Dangerous Knowledge:Credit Value Adjustment with Credit Triggers/Simulating Multiple Defaults and Migration II..	116 Papapantoleon, A. A New Approach To LIBOR Modeling	239 Fukasawa, M. Asymptotic Analysis For Stochastic Volatility: Edgeworth Expansion	323 Wang, T.-H. Asymptotics Of Implied Volatility In Local Volatility Models	474 Anand, K. Financial Crises And The Evaporation Of Trust	80 Groth, M. An empirical study of commodity trading advisors and implications for structured products
17:20	Plenary Speaker John Hull Credit Ratings and Securitization Toronto I/II
18:20	Closing Remarks

BACHELIER FINANCE SOCIETY