Fifth Melbourne Derivatives Research Group
Conference 2009

Speakers and Papers

 

Key Note Addresses

• Michael Brennan (UCLA)
  Tranching and Rating - PDF (241 KB)
• Stephen LeRoy (UC Santa Barbara)
  Subprime Mortgages
  

 

• Bjrn Imbierowicz* (Goethe University Frankfurt)
  Firm fundamentals, economics data, and a bubble in the CDS market - PDF (457 KB)

• George Aragon* (Arizona State University) and J. Spencer Martin (Carnegie Mellon)
  A unique view of hedge fund derivative usage: Safeguard or speculation? - PDF (244 KB)

• Antje Berndt (Carnegie Mellon) and Anurag Gupta* (Case Western Reserve University)
  Moral Hazard and adverse selection in the originate-to-distribute model of bank credit - PDF (412 KB)

• Margarethe Rammerstorfer* (Vienna University of Economics and Business Administration) and Roland Eisl (Vienna University of Technology)
  Carbon capture and storage - Investment strategies for the future? - PDF (1,208 KB)

• Guenter Franke (University of Konstanz) and Harris Schlesinger (University of Alabama) and Richard Stapleton* (University of Manchester)
  Conversion risk, non-market wealth and portfolio optimization - PDF (290 KB)

• Kee H. Chung (SUNY), William T. Smith (University of Memphis) and Tao L. Wu* (Illinois Institute of Technology)
  Time diversification: Definitions and some closed-form solutions - PDF (421 KB)

• Dean Diavatopoulos (Villanova University), James S. Doran* (Florida State University), Andy Fodor (Ohio) and David R. Peterson (Florida State University)
  The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns - PDF (307 KB)

• Paulo J. M. Rodrigues (Goethe University Frankfurt) and Christian Schlag* (Goethe University Frankfurt)
  A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks - PDF (1,003 KB)
• Rik Sen* (NYU) and Robert Tumarkin (NYU)
  Stocking up: Executive optimism and share retention - PDF (325 KB)
• Louis H. Ederington* (University of Oklahoma) and Wei Guan (University of South Florida)
  Long-term time series volatility forecasts - PDF (461 KB)
• Shu Yan* (University of South Carolina)
  Jump risk, stock returns, and slope of implied volatility smile - PDF (302 KB)
• Gil Aharoni* (University of Melbourne) and Qi Zeng (University of Melbourne)
  The Joint Effects of Assets Growth and Profitability on Cross Sectional Returns

 

Download the full Conference Programme - PDF