September 21–22, 2007
Third Cambridge-Princeton Conference
This conference, the third in the series, brings together faculty from Princeton's Bendheim Center for Finance and the Cambridge Endowment for Research in Finance, thanks to generous support from William H. Janeway '65.
The conference will take place on September 21-22, 2007 in room 103 at the Bendheim Center.
Friday September 21
Lunch (Bendheim Center for Finance)
Session Chair: Yacine Ait-Sahalia
Mike Tehranchi (joint session with Chris Rogers)
The Implied Volatility Surface Does Not Move by Parallel Shifts, Abstract
Discussant: Ronnie Sircar
Rene Carmona (joint session with Sergey Nadtochiy)
Local Volatility Dynamic Models, Abstract
Discussant: Mike Tehranchi
Coffee Break
Session Chair: Michael Dempster
Mardi Dungey (joint session with Michael McKenzie and Vanessa Smith)
News, No-News and Jumps in the US Treasury Market, Abstract
Discussant: Yacine Ait-Sahalia
Markus Brunnermeier (joint session with Tobias Adrian)
Hedge Fund Tail Risk, Abstract
Discussant: Michael McKenzie
Conference Dinner
Saturday, September 22
Session Chair: Mark Watson
Chris Rogers (joint session with Surbjeet Singh)
The Cost of Illiquidity and its Effects on Hedging, Abstract
Discussant: Motohiro Yogo
Hyun Shin (joint session with Guillaume Plantin)
Carry Trades and Speculative Dynamics, Abstract
Discussant: Nicos Savva and John Eatwell
Coffee Break
Session Chair: Bill Janeway
Michael Dempster (joint session with Elena Medova and S. W. Yang)
Empirical Copulas for CDO Tranche Pricing using Relative Entropy, Abstract
Discussant: Rene Carmona
Alexandre d'Aspremont: Identifying and Trading Small Mean Reverting Portfolios, Abstract
Discussant: Vanessa Smith
Lunch
Session Chair: Patrick Cheridito
Paolo Zaffaroni (joint session with M. Hashem Pesaran)
Optimal Asset Allocation with Factor Models for Large Portfolios, Abstract
Discussant: Jianqing Fan
John Mulvey (joint session with Woo Chang Kim)
Active Equity Managers in the U.S.: Do the "Best" follow Momentum Strategies?, Abstract
Discussant: Elena Medova
Coffee Break
Session Chair: John Eatwell
Takashi Yamagata (joint session with Vanessa Smith)
Volatility-Return Analysis using Dynamic Panels, Abstract
Discussant: Mark Watson
Wei Xiong (joint session with Nicholas Barberis)
Realization Utility, Abstract
Discussant: Chris Rogers