Princeton University

October 12–13, 2007

Every year, the Bendheim Center for Finance organizes a concentrated conference on a specific topic, alternating between themes in mathematical finance and in financial econometrics. In 2008, the conference theme will be a topic in financial mathematics.

In 2007, the conference theme was a topic in financial econometrics, specifically: Likelihood Methods in Finance. The talks covered topics such as:

- Closed-form likelihood expansions and their uses
- Comparisons of different methods
- Small sample improvements on likelihood
- Bayesian use of likelihood
- Local likelihood and quasi-likelihood in financial modeling
- Empirical likelihood
- Use of likelihood methods in model-building and specification testing
- Likelihood applications to financial models: term structure, volatility, etc.
- Treatment of latent variables in likelihood methods

Location: Bendheim Center for Finance, Princeton University
Conference organizers: Yacine Ait-Sahalia, Jianqing Fan
Registration: Open to the public, subject to a registration fee (waived for our corporate affiliates). Please contact Phyllis Fafalios for further information. Financial support from JP Morgan is gratefully acknowledged.

Registration and Lunch (Bendheim Center)

Session Chair: Yacine Ait-Sahalia

• Robert Engle, New York University. Vector Multiplicative Error Models: Representation and Inference, Abstract
• Enno Mammen, University of Mannheim. A Specification Test for a Class of GARCH-in-Mean Models, Abstract
• Per Mykland, University of Chicago. Inference for Continuous Semimartingales Observed at High Frequency: A General Approach, Abstract
• Yazhen Wang, University of Connecticut. High Dimensional Volatility Modeling and Analysis for High-Frequency Financial Data, Abstract

Break

Session Chair: Robert Engle

• Yacine Ait-Sahalia, Princeton University. Likelihood Inference for Diffusions: A Survey, Abstract
• Stan Hurn, Queensland University of Technology. Horses for Courses: Polynomial-based Approximations of Transitional Density, Abstract
• Osnat Stramer, University of Iowa. Likelihood-based Inference for Discretely Observed Diffusion Processes: A Critical Review, Abstract
• Jialin Yu, Columbia University. Closed-Form Likelihood Approximation and Estimation of Jump-Diffusions with an Application to the Realignment Risk of the Chinese Yuan, Abstract

Reception and Dinner (Palmer House; by invitation only)

Breakfast (Bendheim Center)

Session Chair: Jianqing Fan

• Gareth Roberts, University of Warwick. Perfect simulation and inference for diffusions, Abstract
• Omiros Papaspiliopoulos, University of Warwick. Recent Advances in the Simulation and Filtering for Partially Observed Diffusion Processes, Abstract
• Michael Sorensen, University of Copenhagen. On Likelihood Inference for Stochastic Volatility Models, Abstract
• Robert Kimmel, Ohio State University. Asset Prices and Conditional Moments in Multifactor Non-Affine Models, Abstract

Break

Session Chair: Enno Mammen

• Jianqing Fan, Princeton University. Nonparametric Specification Tests for Diffusions Models in Financial Econometrics, Abstract
• Samuel Thompson, Harvard University. Identifying Term Structure Volatility from the LIBOR-Swap Curve, Abstract
• Haitao Li, University of Michigan. A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and Euro Interest Rates, Abstract
• Paul Schneider, Vienna University of Economics and Business Administration. Globally Optimal Parameter Estimates for Nonlinear Diffusion Processes with Expected Likelihood, Abstract

Lunch (Bendheim Center)

Session Chair: Gareth Roberts

• Jiti Gao, University of Western Australia. Edgeworth Expansions and Specification Testing in Continuous-Time Financial Models, Abstract
• Jun Yu, Singapore Management University. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance, Abstract
• Song Xi Chen, Iowa State University. Conditional Characteristic Function Based Parameter Estimation and Model Testing using Empirical Likelihood, Abstract
• Chengyong Tang, Iowa State University. Parameter Estimation and Bias Correction for Diffusion Processes, Abstract
• Daniel Smith, Simon Frasier University. Risk and Return in Stochastic Volatility Models: Volatility Feedback Matters!, Abstract