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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