2006 International Symposium on Financial Engineering and Risk Management (FERM2006)
July 5- 6, 2006
Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, China
And
The Center for Statistical Research, Chinese Academy of Sciences
Note: * denotes that the speaker/presenter is confirmed to attend the conference.
July 5, 2006, Auditorium 301, Ke-Li Building
Section 0 (8:30am-8:45am): Opening Ceremony
Section Chair: Yongmiao Hong, Cornell University, USA
8:30-8:45: Welcoming Speech, Chongshi Zhu, President, Xiamen University, China
Section 1 (8:45am-10:15am): Keynote Speeches: Risk and Analysis of High Frequency Data
[1] 8:45-9:30: “A Simulation Method for Testing the Time Homogeneity of Credit Rating
Transitions,” Nicholas M. Kiefer * (nickkiefer@aol.com), Cornell University, USA
[2] 9:30-10:15: “Linear Time Series Processes with Mixed Data Sampling and MIDAS Regression
Models,” Eric Ghysels* (eghysels@email.unc.edu), University of North Carolina at Chapel
Hill, USA
[3] 10:15-11:00: “A Gaussian Calculus for Inference from High Frequency Data”, Per Mykland*
(mykland@galton.uchicago.edu), University of Chicago, USA
11:00-11:30: Coffee Break
Section 2 (11:30am-12:30am): Time Series Models
Section Chair: Jin-Chuan Duan, University of Toronto, Canada
[1] 11:30-12:00: “A Functional Approach to Interest Rate Modeling,” Jia-an Yan* (jayan@amt.ac.cn), The Chinese Academy of Sciences, China
[2] 12:00-12:30: “Multivariate Time Series Modeling: Common Factors and Nonstationarity,”
Qiwei Yao* (q.yao@lse.ac.uk ), London School of Economics, UK
12:30pm-2:00pm: Lunch
Section 3 (2:00pm-3:30am): Risk II
Section Chair: Jia-an Yan, The Chinese Academy of Sciences, China
[1] 2:00-2:30: “Is Systematic Risk Priced in Options,” Jin-Chuan Duan* (Jcduan@Rotman.Utoronto.Ca ), University of Toronto, Canada
[2] 2:30-3:00: “Using Aumann-Shapley Values to Allocate Insurance Risk: The Case of
Inhomogeneous Losses: An Overview,” Michael R. Powers* (michael.powers@temple.edu ),
Temple University, USA.
[3] 3:00-3:30: “Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall,”
3:30-4:00: Coffee Break
Section 4 (4:00pm-6:00pm): Volatility Models I
Section Chair: Oliver Linton, London School of Economics, UK
[1] 4:00-4:30: “An Improved Nonparametric Entropy Estimator for Serial Dependence”, Yongmiao Hong
* (yh20@cornell.edu), Cornell University, USA and Wenjie Zhang (wz32@cornell.edu),
Cornell University, USA.
[2] 4:30-5:00: “Conditional Quantile Estimation for GARCH Models,” Zhijie Xiao* (XIAOZ@bc.edu ),
Boston College, USA.
[3] 5:00-5:30: “Optimal Hedge Ratio of Commodity Futures Using Bivariate DCC-CARR and DCC-GARCH Models,” Ray Y Chou * (rchou@econ.sinica.edu.tw ), Institute of Economics,
Academia Sinica, Taiwan
[4] 5:30-6:00: “Benchmarked Executives’ Compensation and Optimal Option Re-pricing,” Yong Wang* (wangyong@temple.edu ), Temple University, USA
6:15pm-8:30pm: Dinner
July 6, 2006
Section 1a (8:30am-10:00am, Economics Building, Room D110): CAP Models
Section Chair: Zhijie Xiao, Boston College, USA
[1] 8:30-9:00: “Testing Asset Pricing Models in the Presence of Measurement Error: A
Nonparametric Approach,” Oliver Linton* (O.Linton@lse.ac.uk ), London School of
Economics, UK
[2] 9:00-9:30: “Large Dimensional Covariance Matrix Estimation,” Jianqing Fan* (jqfan@Princeton.EDU ), Yingying Fan, and Jinchi Lv, Princeton University, USA
[3] 9:30-10:00: “Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing
Models,” Xiaohong Chen (xc6@nyu.edu ), New York University, USA.
Section 1b (8:30am-10:00am, Economics Building, Room D109): Analysis of High Frequency Data II
Section Chair: Anil K Bera, University of Illinois at Urbana-Champaign, USA
[1] 8:30-9:00: “Multiscale Jump and Volatility Analysis for High-Frequency Financial Data,”
Yazhen Wang* (yzwang@stat.uconn.edu), University of Connecticut, USA and Jianqing Fan, Princeton University, USA
[2] 9:00-9:30: “Estimating Covariation: Epps Effect, Microstructure Noise,” Lan Zhang*
(lanzhang@uic.edu ), University of Illinois at Chicago, USA
[3] 9:30-10:00: “Estimation of Serially Correlated Microstructure Noise”, Qing Han (qhan@mail.shufe.edu.cn ), Shanghai Economics and Finance University, China
10:00am-10:30am: Coffee Break
Section 2a (10:30am-12:00pm, Economics Building, Room D110): Risk II
Section Chair: Jianqing Fan, Princeton University, USA
[1] 10:30-11:00: “Cash Sub-Additive Risk Measures under Interest Rate Ambiguity”, Claudia Ravanelli * (ravanelli@isb.unizh.ch), University of Zurich, Switzerland.
[2] 11:00-11:30: “Nonparametric Estimation of Copula Functions For Dependence Modeling,” Songxi Chen * (songchen@iastate.edu ), and Tzeming Huang, Iowa State University, USA.
[3]11:30-12:00: “Tail-Adaptive Procedures of the Generalized Secant Hyperbolic Distribution: A
Financial Application”, Jean Hu* (j-hu@northwestern.edu ), Northwestern University, USA
Section 2b (10:30am-12:00pm, Economics Building, Room D109): Portfolio and GARCH Models
Section Chair: Bob Kimmel, Princeton University, USA
[1] 10:30-11:00: “Incorporating Economic Objectives into Bayesian Priors:
Portfolio Choice Under Parameter Uncertainty,” Guofu Zhou* (ZHOU@WUSTL.EDU ),
Washington University, USA
[2] 11:00-11:30: “Scalar Measures of Volatility and Dependence for the Multivariate Models of Financial Markets,” Anil K Bera* (abera@ad.uiuc.edu), University of Illinois at Urbana Champaign, USA and Sangwhan Kim, Korea Institute of Finance, Korea
[3] 11:30-12:00: “A SFIR Approach to Financial Derivative Valuation,” Meihui Guo (guomhster@gmail.com) and Shih-Feng Huang, National Sun Yat-Sen University, Kaohsiung, Taiwan
12:00pm-2:00pm: Lunch
Section 3a (2:00pm-3:30pm, Economics Building, Room D110): Option Pricing I
Section Chair: Min Chen, The Chinese Academy of Sciences, China
[1] 2:00-2:30: “Option Pricing with Aggregation of Physical Models and Empirical Learning,” Loriano Mancini* (zcai@uncc.edu), University of Zurich, Switzerland and Jianqing Fan, Princeton University, USA
[2] 2:30-3:00: “Multifactor Non-Affine Term Structure Models,” Bob Kimmel* (rkimmel@princeton.edu ), Princeton University, USA
[3] 3:00-3:30: “Option Bounds and Second Order Arbitrage Opportunities,” Zhengjun Zhang*
(zjz@stat.wisc.edu ), University of Wisconsin, USA
Section 3b (2:00pm-3:30pm, Economics Building, Room D109): Dependent Processes and Applications
Section Chair: Zhenlong Zheng, Xiamen University, China
[1] 2:00-2:30: “The Optimal Hedging Ratio of SHFE Cooper Futures,” Guojin Chen*
(gjchen@xmu.edu.cn ), Wang Yanan Institute for Studies in Economics (WISE), Xiamen
University, China
[2] 2:30-3:00: “Robust Local Linear Regression Estimator for Dependent Spatial Processes,” Zhengyan Lin* (zlin@zju.edu.cn ) , Zhejiang University, China.
[3] 3:00-3:30: “Detection of Changes in Return by Wavelet Smoother with Conditional
Heteroscedastic Volatility”, Yong Zhou* (yzhou@amss.ac.cn ), Chinese Academy of Science, China
3:30pm-4:00pm: Coffee Break
Section 4a (4:00pm-6:00pm, Economics Building, Room D110): Hedging and Option Pricing II
Section Chair: Qiwei Yao, London School of Economics, UK
[1] 4:00-4:30: “Warrant Pricing under Creating Mechanism in China,” Rong Chen and Zhenlong Zheng* (Z.Zheng@lse.ac.uk ), Xiamen University, China
[2] 4:30-5:00: “Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression,” Bin Chen* (bc77@cornell.edu) and Yongmiao Hong, Cornell University, USA
[3] 5:00-5:30: “A Central Limit Theorem for Computation of Option Prices for Stochastic Volatility Models,” Ai-ru (Meg) Cheng* (archeng@ucsc.edu ), University of California, Santa Cruze, CA, USA
[4] 5:30-6:00: Efficiencies of Life Insurers in China -- An Application of Data Envelopment
Analysis,” Shuo Qiu* (shuo.qiu@temple.edu ), and Bingzheng Chen, Temple University,
USA
Section 4b (4:00-6:00, Economics Building, Room D109): Volatility Models II and Computational Finance
Section Chair: Guojin Chen, Xiamen University, China
[1] 4:00-4:30: “A Numerical Solution of Ruin Probability of Erlang(2) Risk Processes with
Constant Interest Force,” Sam Wong* (samwong@sta.cuhk.edu.hk ), The Chinese University
of Hong Kong, China.
[2] 4:30-5:00: “Nonparametric Estimation for the Conditional Mean and Variance Functions of
Taiwan Stock Returns,” Mei-Yuan Chen (mei_yuan@dragon.nchu.edu.tw ), Chung Hsing
University, Taiwan
[3] 5:00-5:30: “American Currency Option Pricing in an Environment of Mean-Reverting Interest
Rates and Stochastic Volatilities,” Xiao Xiao* (xiao@maths.manchester.ac.uk), University of
Manchester, Manchester, UK
[4] 5:30-6:00: “Endogenous VaR Confidence Level and Empirical Studies with CAViaR Models”,
Xinshi Tian*（xshtian@mail.hust.edu.cn ）and Ge Zhang, Huazhong University of Science
and Technology, China
6:15pm-8:30pm: Dinner
Poster Section: Lobby Between Rooms D109-D110, Economics Building
[1] “The Comparative Study Between The CARR model And The GARCH Race Models On
The Volatility of The Financial Market,” Tian Xia* (xiatian@hqu.edu.cn), and Xi-yu Cheng,
Huaqiao University, China
[2] “On Minimum-Variance Arbitrage Portfolio,” Shuhong Fang* （shfang@fudan.edu.cn ），Fudan University, China
[3] “Extension and Optimization of Kernel Graduation,” Zhiqiang Zhang* (zhqzhang@eyou.com), Xiamen University, China
[4] “The Roles of Margin Adjustment on Controlling Futures Market Risk and the Reform of
Margin System —— Empirical Analysis from Dalian Commodity Exchange,” Xianfeng Jiang* (ydshi@263.net )，Northeast University of Finance and Economics, China
[5] “Does ``Quan Qian" Motivation Exist? -- Evidence from Rights Offering and Public Offering
in China”, Yingxue Cao* (caoyx@em.tsinghua.edu.cn) and Shuo Qiu, Tsinghua
University, China.
[6] “Do Board Characteristics Have an Impact on a Listed Company’s Behavior of Committing Fraud?” Zhiyue Cai* (caizhiyue@sina.com ), and Shinong Wu, Xiamen University, China
[7] “Corporate Law-breaching Behavior and Managerial Shareholding under Different
State Ownership Structure --- The Empirical Study on China Listed Firms” Xianxing Zhao* (xqzhao@xmu.edu.cn ), Xiamen University, China
[8] “Co Co-Integration and Error-Correction Model for China’s Money Supply Function”, Hua Zeng* (hzeng@mail.neu.edu.cn), and Kai Li, Northeastern University, China
[9] “Dynamic Conditional Correlation Analysis Between Stock and Interest Rate”, Lei Zhang*（thezhanglei@sohu.com ）, and Zhenlong Zheng, Xiamen University, China
[10] “The Seeking Solitary Wave in Nonlinear Finance Market -- The Trade Price Fluctuation Speculated Modeling and Practicing,” Jinlong Ma*( majl@gig.ac.cn ), and Feite, Ma,
Changsha Workroom of Nonlinear Special Dynamics, Changsha 410013, China
[11] “Liquidity and Short Rates in the Inter-Bank Market, Longzhen Fan* (lzfan@fudan.edu.cn ), Fudan University, China
[12] “The Numerical Stability of Runge-Kutta Methods for DDEs with Many Delays,” Kaili Xiang* (xiangkl@swufe.edu.cn), and Xi Wu, Southwestern University of Finance and Economics, China
[13] “The Expression Of Ruin Probability Under Claim Numbers With Compound Poisson-Geometric Process.”, Zechun Mao*( maozechun@hubu.edu.cn), Hubei University, China
[14] “Statistical Inference in CIR Stochastic Volatility Model,” Ping Chen* (prob123@mail.njust.edu.cn ), Nanjing University of Science & Technology
[15] “The Study on the Relationship between the trading volume and the price volatility based on the MDH Theory and the day-of-the-week effect”, Ri-dong Hu* (rdhu@hqu.edu.cn) and Tian Xia, Huaqiao University, China
[16] “An Empirical Study of Pricing and Hedging Collateralized Debt Obligation,” Lijuan Cao*
(ljcao@fudan.edu.cn), Fudan University, China
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