Seminars/Workshops/Lectures 2009

RMI Research Workshops

RMI Research Workshops will be conducted on the first Friday of every month except January, July & August.

6 November 2009 (3.00pm - 5.55pm) Announcement

Prof. Ruey S. Tsay (University of Chicago)

~ Effects of Non-Synchronous Trading and Estimation of Realized Covariance in High frequency

[Slide]

Prof. Johan Walden (UC-Berkeley)

~ Revisiting Asset Pricing Anomalies in an Exchange Economy

[Paper] [Slide]

4 December 2009 (3.00pm - 5.40pm) Announcement

Prof. Lai Tze Leung (Stanford University)

~ TBA

Prof. Zhu Yingzi (Tsinghua University)

~ A Long-run Risks Model with Long- and Short-run Volatilities: Explaining Predictability and Volatility Risk Premium

Past Research Workshops

2 October 2009 ** Special RMI Workshop **

Symposium to Mark the Opening of RMI’s New Facilities

4 September 2009 (3.00pm - 5.40pm) Announcement

Prof. Poon Ser-Huang (University of Manchester)

~ Consistent Pricing Model for Volatility

[Slide]

Prof. Chen Nan (Chinese University of Hong Kong)

~ Credit Spreads, Optimal Capital Structure, and Implied Volatility with Endogenous Default and Jump Risk

[Paper] [Slide]

5 June 2009 (3.00pm - 5.40pm) Announcement

Prof. Paul Hsu (University of Connecticut)

~ Innovate to Survive: The Effect of Technology Competition on Corporate Bankruptcy

[Paper] [Slide]

Prof. Melvyn Teo (Singapore Management University)

~ How Liquid are Liquid Hedge Funds?

8 May 2009 (3.00pm - 5.40pm) Announcement

Prof. Hung Mao-Wei (National Taiwan University)

~ Dynamic Portfolio Choice and Consumption Plan Under Inflation with Nominal and Indexed Bonds

[Paper] [Slide]

Prof. Joseph Cherian (National University of Singapore)

~ Trading Agents and Liquidity Risk

[Paper] [Slide]

3 April 2009 (3.00pm - 5.40pm) Announcement

Prof. Zhang Chu (Hong Kong University of Science and Technology)

~ On the Number and Dynamic Features of State Variables in Options Pricing

[Paper] [Slide]

Prof. Steven Kou (Columbia University)

~ The Recent Financial Turmoil and Related Financial Engineering Research Problems

[Paper1] [Paper2]

6 March 2009 (3.00pm - 5.40pm) Announcement

Prof. Wolfgang Härdle (Humboldt University)

~ Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation

[Paper] [Slide]

Prof. James Gentle (George Mason University)

~ The Contribution of Jumps to the Volatility of Asset Prices

[Slide]

6 February 2009 (3.00pm - 5.40pm) Announcement

Prof. Rene Garcia (EDHEC)

~ Bond Liquidity Premia

[Paper] [Slide]

Prof. Qiji Zhu (Western Michigan University)

~ Instability of Replicating Option Pricing and the Financial Crisis

[Paper] [Slide]