Unformatted text preview: Development of Quantitative Finance and Risk Management:
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E� 2008/01/11 Conference on Quantitative Finance and Risk Management Part I – Introduction Outline Part II – Essays
Chapter 1 Theoretical Framework of Finance 1) Classical Theory 2) New classical theory 3) CAPM and APT 4) Options and Futures Theory
Chapter 2 Policy Framework of Finance 1) Investment Policy 2) Financial Policy 3) Dividend Policy 4) Production Policy
Chapter 3 Research Methods of Quantitative Finance and Risk Management 1) Statistics 2) Econometrics 3) Mathematics 4) Operation research 5) Stochastic process 6) Computer science and technology 7) Entropy 8) Fuzzy set Theory 9) Other Methods
Chapter 4 Overview of Quantitative Finance and Risk Management Research Outline
Part III –Portfolio Analysis
Chapter 1 Basic Concepts of Portfolio Analysis
Chapter 2 Markowitz PortfolioÂSelection Model
Chapter 3 Capital Asset Pricing Model and Beta Forecasting
Chapter 4 Index Model for Portfolio Selection
Chapter 5 PerformanceÂMeasure Approaches for Selecting Optimum Portfolios
Part IV – Options and Futures
A. Basic Concepts and Strategies
Chapter 1 Introduction
Chapter 2 Options and Option Strategy
B. Statistical Analysis Approaches
Chapter 3 Binomial Option Pricing Models
Chapter 4 Multinomial Option Pricing Model
Chapter 5 The Lognormal Option Pricing Model
Chapter 6 Bivariate Normal Option Pricing Models Outline Part IV – Options and Futures C. Stochastic Calculus Approaches
Chapter 7 Ito Calculus and The Black and Scholes Option Pricing Model
Chapter 8 Constant Elasticity of Variance (CEV) Option Pricing Model
Chapter 9 Stochastic Volatility Option Pricing Model
Chapter 10 A General Option Pricing Model
D. Applications
Chapter 11 Option Valuation and Hedging
Chapter 12 Foreign Exchange Option Pricing Models
Chapter 13 Index Option Pricing Models
Chapter 14 Real Options
Chapter 15 Option Pricing Model and Risk Management
Chapter 16 Summary and Concluding Remarks
Part V – Contributed Papers (See Appendix A)
Part VI – Summary and Concluding Remarks
1. Theory
2. Methods
3. Application a. New Products b. Trading Strategy c. Hedging Strategy d. Wealth Management e. Risk Management f. CDO and Subprime Markets g. Others Part I – Introduction Part II – Essays Part II – Essays
Chapter 1 Theoretical Framework of Finance 1) Classical Theory 2) New classical theory 3) CAPM and APT 4) Options and Futures Theory
Chapter 2 Policy Framework of Finance 1) Investment Policy 2) Financial Policy 3) Dividend Policy 4) Production Policy
Chapter 3 Research Methods of Quantitative Finance and Risk Management 1) Statistics 2) Econometrics 3) Mathematics 4) Operation research 5) Stochastic process 6) Computer science and technology 7) Entropy 8) Fuzzy set Theory 9) Other Methods
Chapter 4 Overview of Quantitative Finance and Risk Management Research Part III – Portfolio Analysis Part III – Portfolio Analysis
Chapter 1 Basic Concepts of Portfolio Analysis
Chapter 2 Markowitz PortfolioÂSelection Model
Chapter 3 Capital Asset Pricing Model and Beta Forecasting
Chapter 4 Index Model for Portfolio Selection
Chapter 5 PerformanceÂMeasure Approaches for Selecting Optimum Portfolios Part IV – Options and Futures Part IV – Options and Futures
A. Basic Concepts and Strategies
Chapter 1 Introduction
Chapter 2 Options and Option Strategy
B. Statistical Analysis Approaches
Chapter 3 Binomial Option Pricing Models
Chapter 4 Multinomial Option Pricing Model
Chapter 5 The Lognormal Option Pricing Model
Chapter 6 Bivariate Normal Option Pricing Models Part IV – Options and Futures
C. Stochastic Calculus Approaches
Chapter 7 Ito Calculus and The Black and Scholes Option Pricing Model
Chapter 8 Constant Elasticity of Variance (CEV) Option Pricing Model
Chapter 9 Stochastic Volatility Option Pricing Model
Chapter 10 A General Option Pricing Model
D. Applications
Chapter 11 Option Valuation and Hedging
Chapter 12 Foreign Exchange Option Pricing Models
Chapter 13 Index Option Pricing Models
Chapter 14 Real Options
Chapter 15 Option Pricing Model and Risk Management
Chapter 16 Summary and Concluding Remarks Part V – Contributed Papers (See Appendix A) Part VI – Summary and Concluding Remarks Part VI – Summary and Concluding Remarks
1. Theory
2. Methods
3. Application a. New Products b. Trading Strategy c. Hedging Strategy d. Wealth Management e. Risk Management f. CDO and Subprime Markets g. Others Appendix A
Chapter 1: The Creation and Control of Speculative Bubbles in a Laboratory Setting
James S. Ang, Florida State University, USA
Dean Diavatopoulous, Florida State University, USA
Thomas V. Schwarz, Grand Valley State University, USA
Chapter 2: Business Models: Applications to Capital Budgeting, Equity Value and Return Attribution
Thomas S. Y. Ho
Sang Bin Lee, Hanyang University, Korea
Chapter 3: Risk and Valuation Under an Intertemporal Capital Asset Pricing Models
Michael J. Brennan, Anderson School, USA
Yihong Xia, Pennsylvania University, USA
Chapter 4: Portfolio Optimization Models and MeanÂVariance Spanning Tests
WeiÂPeng Chen, Shih Hsin University, Taiwan
Huimin Chung, National Chiao Tung University, Taiwan
KengÂYu Ho, National Central University, Taiwan TsuiÂLing Hseu, National Chiao Tung University, Taiwan Chapter 5: A Further Analysis of Convergence Rate and Pattern of the Binomial Models
SanÂLin Chung, National Taiwan University, Taiwan
PaiÂTa Shih, National Dong Hwa University, Taiwan Appendix A
Chapter 6: Combining Fundamental Measures for Stock Selection: Some Thoughts
Kenton K. Yee, Columbia Business School, USA
Chapter 7: Dividends vs. Reinvestments in Continuous Time: A More General Model
RenÂRaw Chen, Rutgers University, USA
Ben Logan
Oded Palmon, Rutgers University, USA
Larry Shepp, Rutgers University, USA
Chapter 8: Time Series Modeling of Asset Returns Volatilities
Tze Leung Lai, Stanford University, USA
Haipeng Xing, Columbia University, USA
Chapter 9: On Estimation Risk and Power Utility Portfolio Selection
Robert R. Grauer, Simon Fraser University, USA
Frederick C. Shen
Chapter 10: Segmenting financial services market: An Empirical Study of Statistical and NonÂparametric Methods
Kenneth Lawrence, New Jersey Institute of Technology, USA
Dinesh Pai, Rutgers University, USA
Ronald Klimberg, St. Joseph’s University, USA
Stephen Kudbya, New Jersey Institute of Technology, USA
Sheila Lawrence, Rutgers University, USA Appendix A
Chapter 11: Recovering Probabilistic Information From Options Prices and the Underlying
Bruce Mizrach, Rutgers University, USA
Chapter 12: Combinatorial Methods for ReverseÂEngineering and Construction of Credit Risk Ratings
Alexander Kogan, Rutgers University, USA
Miguel A. Lejeune, Carnegie Mellon University, USA
Chapter 13: Displaced Log Normal and Lognormal American Option Pricing: A Comparison
RenÂRaw Chen, Rutgers University, USA
ChengÂFew Lee, Rutgers University, USA
Chapter 14: Are Tails Fast Enough to Explain Smile
RenÂRaw Chen, Rutgers University, USA
Oded Palmon, Rutgers University, USA
John Wald, Pennsylvania State University, USA
Chapter 15: Two Alternative Approaches to Derive BlackÂSchools Option Pricing Model: Comparison and Analysis
ChengÂFew Lee, Rutgers University, USA
Carle Shu Ming Lin, Rutgers University, USA Appendix A
Chapter 16: Spurious Regression and Data Mining in Conditional Asset Pricing Models
Wayne Ferson, University of Southern California, USA
Sergei Sarkissian, McGill University, USA
Timothy Simin, Pennsylvania State University, USA
Chapter 17: Structural Approach for Credit Risk Modeling
Jingzhi Huang, Pennsylvania State University, USA
Chapter 18: An Empirical Investigation of the Rationales for Integrated RiskÂManagement Behavior
Michael S. Pagano, Villanova University, USA
Chapter 19: Implementing Risk Management Systems with a Benchmark: a WebÂBased DSS Approach
Larry Eisenberg, University of Southern Mississippi, USA
ChangÂtseh Hsieh, University of Southern Mississippi, USA
Chapter 20: The Le Chatelier Principle in the Markowitz Quadratic Programming Investment Model: A Case of World Equity Fund Market
Chin W. Yang, Clarion University of Pennsylvania, USA
Ken Hung, National Dong Hwa University, Taiwan
Jing Chui, Clarion University of Pennsylvania, USA Appendix A
Chapter 21: Copula, Correlated Defaults and Credit VaR
JowÂRan Chang, National Tsing Hua University, Taiwan
AnÂChi Chen, KGI Securities Co. Ltd., Taiwan
Chapter 22: An ErrorsÂinÂvariables Problem in Asset Pricing Tests
Dongcheol Kim, Rutgers University, USA
Chapter 23: Pricing and Hedging Interest Rate Derivatives In the Presence of Unspanned Stochastic Volatilities
Feng Zhao, Rutgers University, USA
Chapter 24: Liquidity Risk and Arbitrage Pricing Theory
Umut Cetin, Technische University Wein, USA
Robert A. Jarrow, Cornell University, USA
Philip Protter, Cornell University, USA
Chapter 25: Stock Returns, Extreme Values, and Conditional Skewed Distribution
Thomas C. Chiang, Drexel University, USA
Jiandong Li, Drexel University, USA Appendix A
Chapter 26: MCMC Estimation of Multiscale Stochastic Volatility Models
German Molina, Vega Capital Services Ltd., UK
ChuanÂHsiang Han, National Tsing Hua University, Taiwan
JeanÂPierre Fouque, University of California, USA
Chapter 27: Security Market Microstructure: The Analysis of a NonÂFrictionless Market
Robert Schwartz, Zicklin School of Business, USA
Reto Francioni,
Martin Reck
Chapter 28: Robust prediction of default risk?
ChungÂHua Shen, National Taiwan University, Taiwan
YiÂKai Chen, National University of Kaohsiung, Taiwan
BorÂYi Huang, Shih Chien University, Taiwan
Chapter 29: Risk Management for Catastrophe Loss
JinÂPing Lee, Feng Chia University, Taiwan
MinÂTeh Yu, Providence University, Taiwan
Chapter 30: Regime Shifts and the Term Structure of Interest Rates
ChienÂChung Nieh, Tamkang University, Taiwan
Shu Wu, The University of Kansas, USA
Yong Zeng, The University of Missouri at Kansas City, USA Appendix A
Chapter 31: ARM Processes and Their Modeling and Forecasting Methodology
Benjamin Melamed, Rutgers Business School, USA
Chapter 32: Alternative Econometric Methods for InformationÂbased EquityÂselling Mechanisms
Cheng Few Lee, Rutgers University, USA
Yi Lin Wu, National Tsing Hua University, Taiwan
Chapter 33: Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type
JiaÂHau Guo, Soochow University, Taiwan
MaoÂWei Hung, National Taiwan University, Taiwan
Chapter 34: Univariate and Bivariate GARCH Analyses for the Volume versus GARCH effects
Zhuo Qiao, National University of Singapore, Singapore
WingÂKeung Wong, National University of Singapore, Singapore
Chapter 35: Application of Fuzzy Set Theory to Finance Research: Method and Application
ShinÂYun Wang, National Dong Hwa University, Taiwan
ChengÂFew Lee, Rutgers University, USA Appendix A
Chapter 36: Hedonic Regression Analysis: A Primer
Ben J. Sopranzetti, Rutgers University, USA
Chapter 37: RiskÂAdverse Portfolio Optimization via Stochastic Dominance Contraints
Darinka Dentcheva, Stevens Institute of Technology, USA
Andrzej Ruszczynski, Rutgers University, USA
Chapter 38: A Real Option Approach to the Comprehensive Analysis of Bank Consolidation Values
ChuangÂChang Chang, National Central University, Taiwan
PeiÂFang Hsieh, National Central University, Taiwan
HungÂNeng Lai, National Central University, Taiwan
Chapter 39: Numerical Methods of PDE in Computational Finance
Gang Nathan Dong, Rutgers University, USA Chapter 40: Capital Structure in Asia and CEO Entrenchment
Kin Wai Lee, Nanyang Technological University, Singapore
Gillian Hian Heng Yeo, Nanyang Technological University, Singapore Appendix A
Chapter 41: Estimating Future Hedge Ratio: A General Hyperbolic Distribution Approach
ChengÂFew Lee, National Chiao Tung University, Taiwan
JangÂYi Lee, Tunghai University, Taiwan
Kehluh Wang, National Chiao Tung University, Taiwan
YuanÂChung Sheu, National Chiao Tung University, Taiwan
Chapter 42: The Sensitivity of Corporate Bond Volatility to Macroeconomic Announcements
Nikolay Kosturov, University of Oklahoma, USA
Duane Stock, University of Oklahoma, USA
Chapter 43: Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates
Gurdip Bakshi, University of Maryland, USA
Charles Cao, Penn State University, USA
Zhiwu Chen, Yale University, USA
Chapter 44: Itô’s Calculus and the Derivation of the BlackÂScholes OptionÂPricing Model
George Chalamandaris, Athens University of Economics and Business, Greece
A.G. Malliaris, Loyola University Chicago, USA
Chapter 45: Portfolio Analysis
Jack Clark Francis, Baruch College, USA Appendix A
Chapter 46: Equity Market Microstructure: The Analysis of a NonÂFrictionless Market
Reto Francioni, Deutsche Bank, USA
Sonali Hazarika, Baruch College, USA
Martin Reck, Deutsche Bank, USA
Robert A. Schwartz, Baruch College, USA
Chapter 47: Raw Material Convenience Yields and Business Cycle
ChangÂWen Duan, Tamkang University, Taiwan
William T. Lin, Tamkang University, Taiwan
Chapter 48: Default and Prepayment Study in US Subprime Markets C.H. Ted Hong, Beyondbond, USA
Chapter 49: The Valuation of Uncertain Income Streams and the Pricing of Options Mark Rubinstein, University of California Berkley, USA
Chapter 50: A Primer on the Implicit Financing Assumptions of Traditional Capital Budgeting Approaches Ivan Brick, Rutgers University, USA
Daniel Weaver, Rutgers University, USA Appendix A
Chapter 51: Portfolio Theory, CAPM, and Performance Measures
Luis Ferruz, University of Zaragoza, Spain
Chapter 52: The Effect of Default Risk on Equity Liquidity: Evidence Based on the Panel Threshold Model Huimin Chung, National Chiao Tung University , Taiwan
WeiÂPeng Chen, ShihÂHsin University , Taiwan YuÂDan Chen, National Chiao Tung University , Taiwan
Chapter 53: Derivation and application of Greek letters
ChengÂFew Lee, Rutgers University, USA
David Chen, Rutgers University, USA
Weikang Shih, Rutgers University, USA
Chapter 54: Put option approach to determine bank risk premium
DarÂYeh Huang, National Taiwan University, Taiwan
FuÂShuen Shie, National Taiwan University, Taiwan
WeiÂHsiung Wu, National Taiwan University, Taiwan
Chapter 55: Alternative Methods to Determine Optimal Capital Structure: Theory and Application
ShengÂSyan Chen, National Taiwan University, Taiwan
ChengÂFew Lee, National Chiao Tung University, Taiwan
HanÂHsing Lee, National Chiao Tung University, Taiwan Appendix A
Chapter 56: Characteristic function and Finance Research YingÂLin Hsu, National Chung Hsing University, Taiwan
ChengÂFew Lee, Rutgers University, USA
Chapter 57: Entropy and Its Application in Finance Research
Hyley Huang, National Chiao Tung University and Wintek Corporation, Taiwan
ChengÂFew Lee, Rutgers University, USA
Chapter 58: Structure Equation Model in Finance and Accounting Research Chingfu Chang, National Chengchi University, Taiwan
ChengÂFew Lee, Rutgers University, USA
Chapter 59: Genetic Programming for Options Pricing
Nemmara Chidambaran, Rutgers University, USA
Chapter 60: Predicting Prices with Defense Forecasting
Glenn Schafer, Rutgers University, USA
Sam Ring, Rutgers University, USA Appendix A
Chapter 61: Hedging Theories and Applications
Keshab Shrestha, Nanyang Technological University, Singapore
Chapter 62: Intertemporal Equilibrium Models, Portfolio Theory and the Capital Asset Pricing Model
Stephen J. Brown, New York University, USA
Chapter 63: Issue of Corporate Finance Research
Kose John, New York University, USA
Chapter 64: Asian Options
Itzhak Venezia, Hebrew University, USA
Chapter 65: Keiretsu Style Main Bank Relationships, R&D Investment, Leverage, and Firm Value: Evidence from Japanese Listed Companies
HaiÂChin Yu, Chung Yuan University, Taiwan
ChihÂSean Chen, Chung Yuan University, Taiwan
DerÂTzon Hsieh, National Taiwan University, Taiwan Appendix A
Chapter 66: Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers
Alice Lee, San Francisco State University, USA
J.D. Cumming, Temple University, USA
Chapter 67: An ODE Approach for the Expected Discounted Penalty at Ruin
Cheng Few Lee, Rutgers University, USA
YuÂTing Chen, National Chao Tung University, Taiwan
YuanÂChung Sheu, National Chao Tung University, Taiwan
Chapter 68: Functional Forms, Market Segmentation and Pricing of ClosedÂend Country Funds
ChengÂFew Lee, Rutgers University, USA
Dilip K. Patro, Federal Deposit Insurance Company, USA
Bo Liu, Rutgers University, USA
Alice C. Lee, San Francisco State University, USA
Chapter 69: Actuarial mathematics and its applications in quantitative finance
ChoÂJieh Chen, University of Alberta, Canada
Chapter 70: Examining the Impact of US IT Stock Market on Other IT Stock Markets
Zhuo Qiao, National University of Singapore, Singapore
Venus KhimÂSen Liew, Universiti Malaysia Sabah, Malaysia
WingÂKeung Wong, Hong Kong Baptist University, Hong Kong Appendix A
Chapter 71: TimeÂSeries Econometrics and Dynamic Financial Models
Robert H. Patrick, Rutgers University, USA
Chaptere72 Framework of Structure Finance
Francis Eng, Rutgers University, USA
Chapter73 Persistence, Predictability and Portfolio Planning Michael J. Brennan, University of California at Los Angeles, USA
Yihong Xia Wharton School, USA
Chapter 74 Application of Alternative ODE in Finance and Economics Research
Cheng Few Lee, Rutgers University, USA Junmin Shi, Rutgers University, USA
Chapter 75 Term Structure and Risk Management
ChunChi Wu, University of Missouri, USA Chapter 76 Issues in Operational Risk Modeling
Mo Chaudhury, State Street Corporation, USA
Satya Mohit, State Street Corporation, USA
Chapter 77 Application of Simultaneous Equation in Finance Research
Carl R. Chen, University of Dayton, USA
Cheng Few Lee, Rutgers University, USA Appendix A
Chapter 78: Alternative Method for Credit Risk Management: Theory and Method Cheng Few Lee, Rutgers University, USA
BiÂHuei Tsai, National Chiao Tung University, Taiwan
Kehluh Wang, National Chiao Tung University, Taiwan
Jessica ShinÂYing Mai, Rutgers University, USA
Chapter 79 : Future Hedge Ratios: A Review ShengÂSyan Cheng, National Taiwan University, Taiwan
Keshab Shrestha, Nanyang Technological University, Singapore Cheng Few Lee, Rutgers University, USA
Chapter 80 : International Portfolio Management: Theory and Method
WanÂJiun Paul Chiou, Shippensburg University, USA
Cheng Few Lee, Rutgers University, USA ...
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- Spring '11
- MARKSPENSER
- Rutgers University
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