Seminars/Workshops/Lectures 2008
RMI Research Workshops
RMI Research Workshops will be conducted on the first Friday of every month except January, July & August.
5 Dec 2008 (3.00pm - 5.40pm)
Announcement
Dr. Rachida Ouysse (University of New South
Wales)
~
Bayesian Selection of Risk Factors and Estimation
of Risk Premiums in the APT model
Prof.
Larry Tzeng (National Taiwan University)
~
Testing Advantageous Selection by Hidden Action:
Evidence from Automobile Liability Insurance
7 Nov 2008 (3.00pm - 5.40pm)
Announcement
Prof. Bruce Grundy (University of Melbourne)
~
The Analysis of Deltas, Digital Option Prices
and VaR: A New Approach
Dr. Terry L. Benzschawel
(Citigroup)
~ Valuing Corporate Loans
3 Oct 2008 (3.00pm - 5.40pm)
Announcement
Prof. George Jiang (University of Arizona)
~
New Evidence on Options Market Misreaction
to Information
Prof. Jerome Yen (Hong Kong University of Science
and Technology)
~ Continuous Setting Gaussian Generalized
Lambda Distribution Model for Synthetic CDO
Pricing
5 Sep 2008 (3.00pm - 5.40pm)
Announcement
Prof. Zhang Lu (University of Michigan)
~
Neoclassical Factors
Prof. Chung-Ming Kuan (Academia Sinica)
~
Testing the Predictive Ability of
Technical Analysis Using a New Stepwise Test
without Data Snooping Bias
6 June 2008 (3.00pm - 5.40pm)
Announcement
Prof. Kris Jacobs (McGill University)
~ Forward-Looking Betas
Prof. Yue-Kuen Kwok
(Hong Kong University of Science
and Technology)
~ Guaranteed Minimum Withdrawal Benefit in Variable
Annuities
[Slides]
2 May 2008 (3.00pm - 5.40pm)
Announcement
Prof. Marcel Rindisbacher (University of Toronto)
~ Dynamic Asset Allocation: A Portfolio
Decomposition Formula
Prof. Jin-Wan Cho (Korea University)
~ Foreign Ownership and Exchange Rate Risks:
Evidence from Korean Stock Returns
4 April 2008 (3.00pm - 5.40pm)
Announcement
Prof. Ju Nengjiu (Hong Kong University of
Science and Technology)
~ Ambiguity.
Learning, and Asset Returns
Prof.
Melvyn Sim (National University of Singapore)
~
Satisficing Measures in Analysis of Risky Positions
7 March 2008 (3.00pm - 5.40pm)
Announcement
Prof. Stan Pliska (University of Illinois-Chicago)
~ Computerized Strategies for Electronic Market
Making
Prof. Hans Föllmer (Humboldt University-Berlin)
~ Probabilistic Quantification of Financial
Uncertainty
[File 1]
[File 2]
[File 3]
1 February 2008 (3.00pm - 5.40pm)
Announcement
Prof. Ray Chou (Institute of Economics, Academia Sinica)
~ Explaining the Great Decoupling of the Equity-Bond Linkage with a Modified Dynamic Conditional Correlation Model
Prof. Juri Hinz (National University of Singapore)
~ On risk neutral price dynamics of emission credits
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Joint Seminars
29
December 2008
(3:00 - 4:00pm)
Announcement
Prof. Wang Hefei (University
of Illinois, Chicago)
~ Leverage Management
[Joint Seminar With Department of
Mathematics]
4
December 2008
(4:00 - 5:30pm)
Announcement
Prof. Christine Parlour (UC-Berkeley)
~ Laying off Credit Risk: Loan Sales versus Credit Default
[Joint Seminar
With Department of Economics]
1
December 2008
(2:30 - 4:00pm)
Announcement
Prof. Nancy
Wallace (UC-Berkeley)
~ Volatility, Mortgage Default, and CMBS Subordination
[Joint
Seminar with Institute of Real Estate Studies]
26
November 2008
(4:00 - 5:30pm)
Announcement
Prof. Johan Walden (UC-Berkeley)
~ Asset Pricing in Large Information Networks
[Joint Seminar
With Saw Centre for Financial Studies and Department of Finance]
9
October 2008
(4:00 - 5:30pm) Announcement
Prof. Naoyuki Yoshino (Keio University)
~ Steps Toward the Development and the Integration of Asian Bond
Market
[Joint Seminar With SCAPE]
11 Sep 2008
(4:00 - 5:30pm) Announcement
Prof. Chung-Ming Kuan (Academia Sinica)
~ Estimation of Conditional Moment Restrictions without Assuming Parameter Identifiability in the Implied Unconditional Moments
[Joint Seminar With Department of Economics]
15 July 2008
(4:00 - 5:30pm) Announcement
Prof. Yacine Aït-Sahalia (Princeton University)
~ Testing Whether Jumps Have Finite or Infinite Activity
[Joint Seminar With Department of Economics]
10 July 2008
(3:30 - 5:30pm) Announcement
Prof. Fan Jianqing (Princeton University)
~ Option Pricing with Aggregation of Physical Models and Empirical Learning
[Joint Seminar With Department of Statistics and Applied Probability]
10 July 2008
(2:00 - 3:00pm) Announcement
Prof. Fan Jianqing (Princeton University)
~ Estimation of High-dimensional Covariance Matrix
[Joint Seminar With Department of Statistics and Applied Probability]
1 June 2008
(3:00 - 4:00pm) Announcement
Dr. Xing Haipeng (State University of New York at Stony Brook)
~ Mean-Variance Portfolio Optimization When Means and Covariances are Estimated
[Joint Seminar With Department of Statistics and Applied Probability]
16 January 2008
(3:00 - 4:00pm) Announcement
Prof. Wong Hoi Ying(The Chinese University of Hong Kong)
~
Structural Models of Corporate Bond Pricing with Maximum
Likelihood Estimation
[Joint Seminar With Department of Statistics and Applied Probability]
11 January 2008(10:30am - 12:00pm) Announcement
Dr. Michael Gordy(The Federal Reserve Board)
~
The Bank as Grim Reaper: Debt Composition and Recoveries on Defaulted Debt
[Joint Seminar With Department of Finance]
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RMI Research Lectures
16 September 2008
(2:00 - 4:00pm)
Announcement
Prof. Chung-Ming Kuan (Academia
Sinica)
~ Time Series Diagnostic Tests
23 September 2008
(2:00 - 4:00pm)
Announcement
Prof. Chung-Ming Kuan (Academia
Sinica)
~ Introduction to Quantile Regression
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