Melbourne Derivatives Research Group - Conference 2008

Speakers and Papers

• Marti Subrahmanyam (NYU)
  (Download paper: Price Dispersion in OTC Markets: A New Measure of Liquidity PDF 334KB)
• Richard Stapleton (Manchester University)
  (Download paper: The Pricing of Interest-Rate Options in an Extended Libor Market Model PDF 192KB)
• Tim Adam (National University of Singapore)
  (Download paper: Capital Expenditures, Financial Constraints, and the Use of Options PDF 301KB)
• Margarethe Rammerstorfer (Vienna University of Economics and Bus Admin)
  (Download paper: Investment Decisions under Market Concentration and Price Regulation PDF 2.83MB)
• Peter Monkhouse (BHP Billiton) - Luncheon speaker
• Daniel Rsch (University of Hannover)
  (Download paper: Credit Rating Impact on CDO Evaluation PDF 265KB)
  
• Ramzi Ben-Abdallah (HEC Montral)
  (Download paper: An Analysis of the True Notional Bond System Applied to the CBOT T-Bond Futures PDF 479KB)
• Ai-ru (Meg) Cheng (UC Santa Cruz)
  (Download paper: Macroeconomic Variables, Pricing Kernels and Expected Default-Free and Defaultable Bond Returns PDF 288KB)
• Jin-Chuan Duan (Risk Management Institute NUS and University of Toronto)
  (Download paper: Co-integration in Crude Oil Components and the Pricing of Crack Spread Options PDF 281KB)
• Jonathan Dark (University of Melbourne)
  (Download paper: Dynamic Hedging with Futures that are subject to Price Limits Word)
• Klaus E. Buhr (Massey University)
  (Download paper: Lead Lag Direction and Price Discovery of the S&P/ASX200 Share Price Index and the S&P/ASX 200 Index Options PDF 272KB)
• Jamie Alcock (University of Queensland)
  (Download paper: Extended Nonparametric American Option Pricing PDF 1.1MB)
• Brett L. Shanahan (University of Melbourne)
  (Download paper: The Impact of the Diffusion Term in Pricing European Options Assuming Stochastic Volatility PDF 1.08MB)
• Mark S Joshi (University of Melbourne)
  (Download paper: Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions PDF 217KB)

 

 

 

Download the 2008 Conference Programme