 |
| Thematic Program on Quantitative
Finance: Foundations and Applications January - June, 2010 |
April 23 - 24, 2010
Workshop on Financial Econometrics
|
| Scientific Committee: |
Yacine Ait-Sahalia (Chair), Jianqing Fan, Per Mykland
|
| Sponsored by |
|
|
Mailing List : To receive
updates on the program please subscribe to our mailing list at www.fields.utoronto.ca/maillist
|
Topics:
|
- high frequency econometric and statistical methods for
jump processes, volatility measurement, market microstructure
noise
- low frequency methods to estimate and calibrate derivative
pricing models, likelihood-based inference
|
Note:
Distinguished Lecture Series --
Darrell Duffie
Dean Witter Distinguished Professor of Finance at The Graduate School
of Business, Stanford University
Dark Markets
April 21 --3:30 p.m.
April 22 --3:30 p.m.
April 23 --11:00 a.m.
Yacine Ait-Sahalia (Princeton)
Tim Bollerslev (Duke)
Marco Bonomo (Getulio Vargas Foundation)
Robert Engle (New York)
Jiangqing Fan (Princeton)
Kaddour Hadri (Queen's, Belfast Management School)
Lars Hansen (Chicago)
Stan Hurn (QUT Business)
Jean Jacod (Pierre et Marie Curie)
Robert Kimmel (Ohio State)
Suzanne Lee (Georgia Tech)
Haitao Li (Michigan)
Jia Li (Princeton)
Yingying Li (Science & Technology, HK)
Andrew W. Lo (MIT)
Gael Martin (Monash)
Vance Martin (Melbourne) |
Nour Meddahi (Le Centre Interuniversitaire de
Calcul de Toulouse)
Joon Park (Indiana)
Eckhart Platen (Univ. of Technology Sydney)
Eric Renault (North Carolina, Chapel Hill)
Roberto Renò (Siena)
Paul Schneider (Warwick)
Osnat Stramer (Iowa)
George Tauchen (Duke)
Allan Timmerman (UC San Diego)
Giovanni Urga (Cass Business School, London)
Rossen Valkanov (UC San Diego)
Liuren Wu (Baruch College, New York)
Dacheng Xiu (Princeton)
Nakahiro Yoshida (Tokyo)
Jialin Yu (Columbia)
Zhibiao Zhao (Penn State) |
Schedule
| Friday
April 23 |
| 9:10 - 9:20 |
Welcome and Introduction |
| 9:20-9:40 |
Lars Hansen (Chicago)
Nonlinear Filtering and Learning Dynamics |
| 9:40-10:00 |
Allan Timmerman (UC San Diego)
What is the Shape of the Risk-return Relation? |
| 10:00-10:20 |
Rossen Valkanov (UC San Diego)
Robust Measure of Time-Varying Skewness at Short and Long
Horizons |
| 10:20-10:40 |
Jialin Yu (Columbia)
Option Value of Cash |
| 10:40-11:00 |
Coffee break |
| 11:00-12:00 |
Distinguished
Lecture Series
Darrell Duffie lecture #3
Dark Markets |
| 12:00-1:20 |
Lunch Break |
| 1:20-1:40 |
Robert Engle (New York)
Long Term Skewness and Systemic Risk |
| 1:40-2:00 |
Eric Renault (North Carolina, Chapel Hill)
A Structural Autoregressive Conditional Duration Model |
| 2:00-2:20 |
Gael Martin (Monash)
Optimal Probabilistic Forecasts for Counts |
| 2:20-2:40 |
Coffee break |
| 2:40 - 3:00 |
Yacine Ait-Sahalia (Princeton)
Modeling Financial Contagion using Mutually Exciting Jump
Processes |
| 3:00-3:20 |
Kaddour Hadri (Queen's, Belfast Management School)
Modelling Multivariate Interest Rates using Time-varying
Copulas and Reducible Non-linear Stochastic Differential Equations |
| 3:20-3:40 |
Liuren Wu (Baruch College, New York)
A Multifrequency Theory of the Interest Rate Term Structure |
| 3:40-4:00 |
Haitao Li (Michigan)
Exploring Statistical Arbitrage Opportunities in the Term
Structure of CDS Spreads |
| 4:00-4:20 |
Coffee break |
| 4:20-4:40 |
Suzanne Lee (Georgia Tech)
Jumps and Information Flow in Financial Markets |
| 4:40-5:00 |
Giovanni Urga (Cass Business School, London)
Identifying Jumps in Financial Assets with a Comparison
between Nonparametric Jump Tests |
| 5:00-5:20 |
Yingying Li (Science & Technology, HK)
Studying the Leverage Effect Based on High-frequency Data |
| 5:20-5:40 |
Roberto Reno (Siena)
Nonparametric Leverage Effects |
| 5:40-6:30 |
Reception - cash bar
Fields Atrium |
| Saturday April 24 |
| 9:20-9:40 |
Eckhard Platen (Univ. of Technology Sydney)
Empirical Properties of a Well Diversified Global Stock
Index |
| 9:40-10:00 |
Marco Bonomo (Getulio Vargas Foundation)
Generalized Disappointment Aversion, Volatility Long-run
Risk and Asset Prices |
| 10:00-10:20 |
Robert Kimmel (Ohio State)
On Estimation of Risk Premia in Linear Factor Models |
| 10:20-10:40 |
Coffee break |
| 10:40-11:00 |
Joon Park (Indiana)
Asymptotic Theory of Maximum Likelihood Estimator for Diffusion
Model |
| 11:00-11:20 |
Stan Hurn (QUT Business)
Quasi-maximum Likelihood Estimation of the Parameters of
Multivariate Diffusion |
| 11:20-11:40 |
Osnat Stramer (Iowa)
Bayesian Inference of Discretely Sampled Markov Processes
with Closed-form Likelihood Expansions |
| 11:40-12:00 |
Paul Schneider (Warwick)
Transition Density Approximations for Multivariate Affine
Jump Diffusion Processes |
| 12:00-1:20 |
Lunch break |
| 1:20-1:40 |
Andrew Lo (MIT)
WARNING: Physics Envy May Be Hazardous To Your Wealth |
| 1:40-2:00 |
Jianqing Fan (Princeton)
Vast Volatility Matrix Estimation using High Frequency
Data for Portfolio Selection |
| 2:00-2:20 |
Viktor Todorov
Estimation of Jump Tails |
| 2:20-2:40 |
Zhibiao Zhao (Penn State)
Nonparametric Model Validations for Hidden Markov Models
with Applications in Financial Econometrics |
| 2:40-3:00: |
Coffee break |
| 3:00-3:20: |
Jean Jacod (Pierre et Marie Curie)
Testing for Functional Relationships between Log-price
and Volatility |
| 3:20-3:40: |
George Tauchen (Duke)
The Realized Laplace Transform of Volatility |
| 3:40-4:00: |
Jia Li (Princeton)
A Local-to-continuity Theory for the Pre-averaging Method |
| 4:00-4:20 |
Coffee break |
| 4:20-4:40 |
Nour Meddahi (Le Centre Interuniversitaire de
Calcul de Toulouse)
The Economic Value of Realized Volatility |
| 4:40-5:00 |
Dacheng Xiu (Princeton)
Quasi-maximum Likelihood Estimation of Volatility with
High Frequency Data |
Confirmed Participants
| Full Name |
University/Affiliation |
| Aït-Sahalia, Yacine |
Princeton University |
| Alexandru-Gajura, Elena |
McMaster University |
| Badescu, Alex |
University of Calgary |
| Bae, Tae Han |
Algorithmics Inc. |
| Bollerslev, Tim |
Duke University |
| Bonomo, Marco |
EPGE-Fundação Getulio Vargas |
| Cartea, Álvaro |
Universidad Carlos III de Madrid |
| Chellathurai, Thamayanthi |
Canadian Imperial Bank of Commerce |
| DaCosta, Anthony |
TD Bank Financial Group |
| Dalakouras, Georgios |
Clarus Advisory |
| Dallaire, David |
Algorithmics |
| De Maeseneire, Jeroen |
Centre for Computational Mathematics in Industry and Commerce |
| Draviam, Thangaraj |
|
| Duffie, Darrell |
Stanford University |
| Engle, Robert |
New York University |
| Fahim, Arash |
Ecole Polytechnique |
| Fan, Jianqing |
Princeton University |
| Fayyad, Wael |
McMaster University |
| Grasselli, Matheus |
McMaster University |
| Ha, Eugene |
Fields Institute |
| Hadri, Kaddour |
Queen's University Belfast Management School |
| Halevy, Itamar |
|
| Hansen, Lars |
University of Chicago |
| Hurd, Tom |
McMaster University |
| Hurn, Stan |
QUT Business |
| Jacod, Jean |
Université Pierre et Marie Curie |
| Jaimungal, Sebastian |
University of Toronto |
| Jasiak, Joanna |
York University |
| Jia, Zhibo |
University of Western Ontario |
| Jin, Jenny Yue |
no affiliation |
| Jun, Doobae |
Sungkyunkwan University |
| Kapchinsky, Michael |
Toronto Dominion Bank |
| Kim, Kyoung-kuk |
Columbia Business School |
| Kimmel, Robert |
The Ohio State University |
| Korol, Dmytro |
University of Waterloo |
| Ku, Hyejin |
York University |
| Kuznetsov, Alexey |
York University |
| Lee, Suzanne |
Georgia Institute of Technology |
| Li, Haitao |
University of Michigan |
| Li, Jia |
Princeton University |
| Li, Sebastian |
University of Toronto |
| Li, Tony |
CPP Investment Board |
| Li, Yanfei |
University of Toronto |
| Li, Yingying |
Hong Kong University of Science and Technology |
| Lin, Jen-Wen |
TD Bank Financial Group |
| Lo, Andrew W. |
Massachusetts Institute of Technology |
| Maheu, John |
University of Toronto |
| Martin, Gael |
Monash University |
| Martin, Vance |
The University of Melbourne |
| McCurdy, Tom |
University of Toronto |
| Meddahi, Nour |
Toulouse School of Economics |
| Mnif, Walid |
University of Western Ontario |
| Muhina, Irina |
Manulife |
| Niu, Shilei |
University of Waterloo |
| Ntantamis, Christos |
Aarhus University |
| Park, Joon |
Indiana University |
| Peng, Xianhua |
Fields Institute and York University |
| Platen, Eckhard |
University of Technology Sydney |
| Renault, Eric |
University of North Carolina, Chapel Hill |
| Renò, Roberto |
University of Siena |
| Salisbury, Thomas |
York University |
| Schneider, Paul |
University of Warwick |
| Schulze, Klaas |
McMaster University |
| Silla, Sebastiano |
Polytechnic University of Marche |
| Song, Dong |
Scotia Bank |
| Stramer, Osnat |
University of Iowa |
| Tauchen, George |
Duke University |
| Timmerman, Allan |
University of California, San Diego |
| Todorov, Viktor |
Northwestern University |
| Tourin, Agnes |
Fields Institute |
| Touzi, Nizar |
Ecole Polytechnique |
| Tresor, Lunkeso Geba |
University of Kinshasa |
| Tretiakova, Ioulia |
PUR Investing Inc. |
| Tsui, Lung Kwan |
University of Pittsburgh |
| Urga, Giovanni |
Cass Business School, London |
| Valkanov, Rossen |
University of California, San Diego |
| Vaz, Anthony |
Manulife Financial |
| Vyushin, Dmitry |
Scotiabank |
| Wang, Yufeng |
University of Western Ontario |
| Wiese, Anke |
Heriot-Watt University |
| Wu, Liuren |
Baruch College, City University of New York |
| Xie, Dejun |
University of Delaware |
| Xing, Hao |
Boston University |
| Xiu, Dacheng |
Princeton University |
| Yi, Chuang |
Royal Bank of Canada |
| Yu, Jialin |
Columbia University |
| Zaidi, Ali-Kazim |
University of Toronto |
| Zeng, Yong |
University of Missouri |
| Zhao, Zhibiao |
Pennsylvania State University |
| Zhou, Zhuowei |
McMaster University |
| Zhu, Frances |
TD Bank Financial Group |
Back to Top
|
|
