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NCCR FINRISK Research Day 2007

The fourth FINRISK Research Day will be organized together with the sixth Doctoral Workshop in Finance.

Peter Bossaerts, California Institute of Technology and Swiss Finance Institute Professor at Swiss Federal Polytechnic Institute, Lausanne (from 01. August 2007 on) will give a keynote lecture on "Neuro Finance" at the FINRISK Research Day 2007 on Thursday, June 14 (20:00 - 21:00, Room "Aula").

   Invitation
   Program
Program of the NCCR FINRISK Research Day
Thursday, June 14
Module C: Risk Management - Room "Aula"
Chair: Carsten Murawski, University of Zurich
13:30 - 14:00 Fausto Galli, University of Lugano: "EIS for the Estimation of SCD Models"
Discussant: n.n.
14:00 - 14:30 Loriano Mancini, University of Zurich: "A GARCH Option Pricing Model in Incomplete Markets"
Discussant: Fulvio Corsi, University of Lugano
14:30 - 15:00 Paolo Vanini, University of Zurich: "Revealed and Stated Investment Decisions Concerning Structured Products", joint work with Barbara Döbeli, SNB
Discussant: Carsten Murawski
15:00 - 15:30 Coffee Break at Cafeteria
Module A: Asset Pricing and Portfolio Management - Room "Aula"
Chair: Fabio Trojani, University of St. Gallen
15:30 - 16:05 Pascal St. Amour, University of Lausanne: "Benchmarks in Aggregate Household Portfolios"
Discussant: Peter Gruber, University of St. Gallen
16:05 - 16:40 Michael Rockinger, University of Laussane: "The Economic Value of Distributional Timing",
joint work with Eric Jondeau
Discussant: Frederik Lundtofte, University of St. Gallen
16:40 - 16:50 Short break
16:50 - 17:25 Marc Oliver Rieger, University of Zurich: "Following the market – Co-monotonicity of actively managed funds", joint work with Thorsten Hens
Discussant: Bernard Dumas
17:25 - 18:00 Anna Cieslak and Fabio Trojani, University of St. Gallen: "Correlation Risk and the Term Structure of Interest Rates", joint work with Andrea Buraschi, Imperial College, London
Discussant: Urs Schweri, University of Zurich
20:00 - 21:00 Peter Bossaerts, California Institute of Technology and Swiss Finance Institute Professor at Swiss Federal Polytechnic Institute, Lausanne will give a keynote lecture on "Neuro Finance"
Friday, June 15
Module D: Quantitative Methods in Finance - Room "Kammersaal"
Chair: Olivier Scaillet, University of Geneva
13:30 - 14:10 Alexey Medvedev, University of Geneva: "Pricing American Options under Stochastic Volatility and Stochastic Interest Rates"
Discussant: Paolo Porchia, University of St. Gallen
14:10 - 14:50 Marc Paolella, University of Zurich: "CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation"
Discussant: Fausto Galli, University of Lugano
14:50 - 15:30 Johannes Wissel, ETH Zurich: "Arbitrage-free Market Models for Option Prices"
Discussant: Alexey Medvedev
Module B: Corporate Finance - Room "Kursraum"
Chair: Francois Degeorge, University of Lugano
13:30 - 14:10 Christian Ewerhart, University of Zurich: "Forced Portfolio Liquidation", joint work with Natacha Valla, Banque de France
Discussant : n.n.
14:10 - 14:50 Michel Habib, University of Zurich: "Why Have Exchange-traded Catastrophe Instruments Failed to Displace Reinsurance?", joint work with Rajna Gibson and Alexandre Ziegler
Discussant : n.n.
14:50 - 15:30 n.n.
The ten FINRISK individual research projects are grouped into four modules.
Each module will organise its own workshop at the FINRISK Research Day.
Module C: Risk Management
Coordinator: Prof. Rajna Gibson
Thursday, 14.06.
13:30 - 15:00
C1 : "Credit Risk and Non-standard sources of risk in finance", Prof. Rajna Gibson
C2 : "Interest rate and volatility risk", Prof. Giovanni Barone-Adesi
Module A: Asset Pricing and Portfolio Management
Coordinator: Prof. Fabio Trojani
Thursday, 14.06.
15:30 - 18:00
A1 : "Behavioural and evolutionary finance", Prof. Thorsten Hens
A2 : "Macro Risk, systemic risks and international finance", Prof. Jean Imbs
A3 : "New methods in theoretical and empirical asset pricing", Prof. Fabio Trojani
A4 : "Equilibrium asset pricing", Prof. Bernard Dumas
Module B: Corporate Finance
Coordinator: Prof. Francois Degeorge
Friday, 15.06.
13:30 - 15:30
B1 : "Corporate finance, market structure and the theory of the firm", Prof. Michel Habib
B2 : "Dynamic corporate finance and financial innovation", Prof. Erwan Morellec
Module D: Quantitative Methods in Finance
Coordinator: Prof. Olivier Scaillet
Friday, 15.06.
13:30 - 15:30
D1 : "Mathematical methods in financial risk management", Prof. Freddy Delbaen
D2 : "Financial econometrics for risk management", Prof. Olivier Scaillet
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  The National Centres of Competence in Research (NCCR) are a research instrument of the
Swiss National Science Foundation.