Sessions will be organized around interesting and sound papers. These prominent speakers are confirmed for the 2014 conference:
Finance Keynote Speaker
Mark D. Flood, Research Principal, United States Department of the Treasury
Mark's presentation, Measuring Counterparty Networks, represents work he did jointly with A. Bandeh-Ahmadi, M. Flood, and M. Sherman. Mark will examine the growing literature on counterparty networks in financial markets and extract from them a set of requirements that should be satisfied by a robust measurement framework. In other words, Mark will discuss how we should measure counterparty networks if our aim is to support conveniently the broadest collection of useful analytical tools.
Mathematics Keynote Speaker
Dr. Jonathan Simon, Professor, Department of Mathematics, University of Iowa
Robert T. Stevenson Jr./PNC Lecturer
Dr. Lawrence Mielnicki, Executive Vice President Retail Risk Analytics, PNC Bank.
Larry will present an overview of model governance and its impact on model development in regulated financial institutions after the financial crisis.
The following papers will be presented at the conference.
- Empirical Validation of Index Stock Options Models and Volatility Study: The Case of the American Market
- Multi-Asset Option Approximation for General Stochastic Processes
- Cluster Analysis: DAX Equity
- Manipulation-Proof Performance Measure and the Cost of Tail Risk
- Mathematical Modeling of the Expected Flow for Micro-Entrepreneur
- A Unified and Efficient Method to Modeling Financial Turbulence
- The Vicious Circle of Bank and Public Finance Distress
- Pricing and Hedging Calendar Spread Options on Agricultural Grain Commodities
- Expected Bond Returns and Credit Risk Premium
- A Unified Risk Management Framework for Option Valuation: A Fourier Transform Approach to Derivatives Pricing
- Performance of the Traders' Rules in the Indian Options Market: A Comparison with TSRV Based Black-Scholes Model
- Rational Investors and Asymmetric Valence of Within-Moment Preferences
- Momentum Behaviour of a 52-Week High Hitting Stock: Evidence from Indian Market
- A Model with Simulated Credit Ratings and Stochastic Dominance Constraint for Optimal Portfolio of Credit Risky Bonds
- How Credit Default Swaps Increase Credit Risk Via Creditor's Safety Covenant and Debtor's Strategic Debt Service
- Discrete Barrier Options. Exact Geometric Solution
- How Morphologies of Network Influence The Stock Market Index, and the Anti-Imitation Profile in a Complex Network is a Good Strategy to Get Richer
An electronic proceedings will be available soon after the conference has concluded. Papers accepted and presented at the conference are automatically eligible for inclusion in the proceedings. Authors wishing to include their papers in the proceedings should indicate so when submitting their papers for consideration. The proceedings will be maintained on the IMFC Conference website.
Authors of accepted papers can request a review of their manuscript for publication in either: the Journal of Financial and Economic Practice or the Review of Futures Markets.
Includes two speaker-luncheons, admission to all sessions and workshops, and discounted room rates during discount period.
Regular: USD795 (by March 1, 2014)
Graduate Student: USD500
Presentations from the 2013 Conference
- A New Model of Calendar Spread Options on Storable Commodities, Brorsen, Seok, and Li
- Affine and Modular Option Pricing: An Integration of Stochastic Factors Affecting Option Prices, Akhlaque Ahmad
- An Application of High-Performance Computing to a Complex Model of Software Utility, Driscoll, Roos, and Gretz
- Application of Malliavin's Calculus to the Hedging of Barrier Style Securities, Chris Barnett's Keynote Address
- Beta-Arbitrage Strategies: When do they work and why?, Berrada, Messikh, Oderda, and Pictet
- Fuel Hedging in an Inflated Environment, Stephan Unger
- Secondary Hedging for Contingent Claims, Stephan Unger
- Valuing Variable Annuities with Stochastic Volatility, Jungmin Choi