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October 10–11, 2008

Implied Volatility Models

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 2009, the conference theme will be a topic in financial econometrics.

In 2008, the conference will be a topic in financial mathematics, specifically: Implied Volatility Models.

Dates: October 10-11, 2008
Location: Hyatt Regency Hotel, Huntington Beach, California
Conference organizers: Yacine Ait-Sahalia, Rene Carmona
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.  (REGISTRATON IS NOW CLOSED FOR THIS CONFERENCE.)

Robert Engle will be the conference special dinner speaker. The following invited speakers will be presenting papers at the conference:

David Bates (University of Iowa)
Henri Berestycki (EHESS Paris)
Rene Carmona (Princeton University)
Peter Carr (Bloomberg)
Bruno Dupire (Bloomberg)
Jean-Pierre Fouque (UC Santa Barbara)
Peter Friz (University of Cambridge)
Jim Gatheral (Merrill Lynch)
Jakub Jurek (Princeton University)
Roger Lee (University of Chicago)
Dilip Madan (University of Maryland)
Martin Schweizer (ETH Zurich)
Michael Terhanchi (University of Cambridge)
Jean Jacod (Universite de Paris-6)
Liuren Wu (Baruch College)
Peter Christoffersen (McGill University)
Kris Jacobs (McGill University)
Dante Amengual (Princeton University)
Sergey Nadtochiy (Princeton University)

Conference Program

Friday October 10, 2008

12:00 - 13:30 Registration and Lunch (Location: Fountain Courtyard)
  (Location for all sessions: Sandpiper)
  Session Chair:  Jean Jacod
14:30 - 15:00 Peter Christoffersen: “Forward-looking Betas” [Abstract]
15:00 - 15:30 Jakub Jurek: “Crash-neutral Currency Carry Trades” [Abstract]
15:30 - 16:00 David Bates:“ Stock Market Crash Risk, 1926 - 2006" [Abstract]
16:00 - 16:30 Coffee Break
   Session Chair:  Martin Schweizer
16:30 - 17:00 Bruno Dupire: “Functional Itô Calculus and Robust Implied Volatility Hedge” [Abstract]
17:00 - 17:30 Roger Lee: “Implied Volatility, Realized Volatility, and Mileage Options” [Abstract]
17:30 - 18:00 Robert Engle: “Implied Volatility Correlations” (with S. Figlewski and A. Nashikar) [Abstract]
19:00 Conference Dinner and Speaker: Robert Engle  (Location: The Californian)

Saturday October 11, 2008

8:30 - 9:00 Breakfast (Location: Red Chair Lounge)
   (Location for all sessions: Sandpiper)
  Session Chair:  Bruno Dupire
9:00 - 9:30 Jean Jacod: “Models for Option Prices: No-arbitrage and Completeness" (with Philip Protter) [Abstract]
9:30 - 10:00 Sergey Natodchiy: “Local Volatility Dynamic Models” (with Rene Carmona) [Abstract]
10:00 - 10:30 Martin Schweizer: “Which Implied Volatilities?” [Abstract]
10:30 - 11:00 Coffee Break
   Session Chair:  David Bates
11:00 - 11:30 Jean-Pierre Fouque: “Multiname and Multiscale Default Modeling,” (with Knut Solna and Ronnie Sircar) [Abstract]
11:30 - 12:00 Dante Amengual: “Market-based Estimation of Stochastic Volatility Models" [Abstract]
12:00 - 12:30 Peter Carr: “Mix N Match Market Making” [Abstract]
12:30 - 13:30 Lunch (Location: Fountain Courtyard)
  Session Chair:  Jean-Pierre Fouque
13:30 - 14:00 Jim Gatheral: "Further Developments in Volatility Derivatives Modeling" [Abstract]
14:00 - 14:30 Michael Tehranchi: “Implied Volatility at Long Maturities” [Abstract]
14:30 - 15:00 Peter Friz: "On the Black-Scholes Implied Volatility at Extreme Strikes" [Abstract]
15:00 - 15:30 Coffee Break
  Session Chair:  Robert Engle
15:30-16:00 Liuren Wu: "Disentangling Short-run and Long-run Dependence between Stock Index and Index Volatilities" [Abstract]
16:00 - 16:30 Kris Jacobs: “The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well” (with P. Christoffersen and S. Heston) [Abstract]
16:30 - 17:00 Dilip Madan: “Pricing and Hedging Basket Options to Acceptable Levels of Risk” [Abstract]