| 08h00 / 08h30 |  | |
Registration |
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| 08h30 / 08h45 | | |
Opening address (Salon Monge) |
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- Jean LAURENT, Chairman, Institut Europlace de Finance (EIF) |
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| 08h45 / 10h15 | | |
Plenary Session: Mathematics and Financial Innovations (Salon Monge) |
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- Pr. Nicole EL-KAROUI, Professor, Ecole Polytechnique |
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- Jean-Michel LASRY, Senior Scientific Adviser, CALYON |
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- Pr. Fulvio ORTU, Professor, Bocconi University |
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- Pr. Jean-Charles ROCHET, Professor, University of Toulouse-1 |
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- Pr. Chris ROGERS, Professor, Cambridge University |
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| 10h15 / 10h30 | | |
Break |
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| 10h30 / 11h30 | | |
Parallel sessions |
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Papers presentation - Session 1: Asset Pricing I (Salon Panthéon) |
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- Time-varying Default Risk Premia in Corporate Bond Markets (Redouane ELKAMHI, McGill University)
- Option Pricing under Stochastic Volatility, Jumps and Incomplete Information (Sana MAHFOUDH, University of Tunis)
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Papers presentation - Session 2: Credit Risk (Salon Pontoise) |
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- Switching Parisians: A Default Risk Model with Grace Periods and Regime Switching (Rosario MONTER, HEC - Lausanne and University of Lyon-1)
- Individual Credit and Informality: Compatible or Antinomic? A Brazilian Experiment (Laure JAUNAUX, University of Paris-9)
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Special Session: "The French Finance Authority: Role, Missions, and Commitment in Research" by Anne-Sophie FIOR, Head of Human Resources, Autorité des Marchés Financiers (AMF) (Salon Monge) |
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| 11h30 / 12h30 | | |
Parallel sessions |
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Papers presentation - Session 1: Mathematical Finance I (Salon Panthéon) |
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- Spectral Iterative Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing (Junye LI, Bocconi University)
- Economic Value of Intelligently Sub-sampled Realized Covariance of Asynchronous and Noisy High-Frequency Data (Lada KYJ, Rice University)
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Papers presentation - Session 2: Corporate Finance I (Salon Pontoise) |
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- Career Concern and Financial Markets (Yolanda PORTILLA, University of Madrid)
- Political Connections of Newly Privatized Firms (Walid SAFFAR, HEC - Montréal)
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Special Session: "The World Growing Role of the French Asset Management Industry" by Dominique PIGNOT, Communications Director, Association Française de la Gestion Financière (AFG) & Bernard DESCREUX, Chief Investment Officer, La Banque Postale Asset Management (Salon Monge) |
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| 12h30 / 14h00 | | |
Lunch (Salon Jussieu) |
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| 14h00 / 15h00 | | |
Parallel sessions |
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Papers presentation - Session 1: : Risk I (Salon Panthéon) |
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- Insider Trading during the Technology Bubble (Semih TARTAROGLU, Texas University)
- The Effects of National Allocation Plans on Carbon Markets (Maria MANSANET-BATALLER, University of Valencia)
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Papers presentation - Session 2: International Finance (Salon Pontoise) |
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- Market Size Effects and Integration: Emerging vs. Developed Countries (Crina PUNGULESCU, Tilburg University)
- Implied Cost of Capital Based Investment Strategies - Evidence From International Stock Markets (David SCHRÖDER, Bonn School of Economics)
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Special Session: CLIMPACT (Climate Risk Management) Presentation by Harilao LOUKOS, Chief Executive Officer, CLIMPACT (Salon Monge) |
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| 15h00 / 16h00 | | |
Parallel sessions |
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Papers presentation - Session 1: Forecasting (Salon Panthéon) |
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- Learning to Forecast the Exchange Rate: Two Competing Approaches(Agnieszka MARKIEWICZ, University of Leuven)
- Exchange Rate Forecasting, Order Flow and Macroeconomic Information(Elvira SOJLI, Warwick Business School)
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Papers presentation - Session 2: Risk II (Salon Pontoise) |
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- Irregularly Spaced Intraday Value-at-Risk Model (Sessi TOKPAVI, University of Orléans)
- Bayesian Framework for Explaining the Rate Spread on Corporate Bonds (Oussama CHAKROUN, HEC - Montréal)
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Companies presentation (Salon Monge) |
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| 16h00 / 16h15 | | |
Break |
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| 16h15 / 17h15 | | |
Parallel sessions |
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Papers presentation - Session 1: Corporate Finance II (Salon Panthéon) |
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- Corporate Investmentand Analyst Pressure (Sébastien MICHENAUD, HEC - Paris)
- When Loans are Bad News: Market Reaction to Loan Announcements under Poor Governance (Weihua HUANG, Maastricht University)
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Papers presentation - Session 2: Mathematical Finance II (Salon Pontoise) |
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- Time-deformation and the Yield Curve (Wing Wah THAM, Warwick Business School)
- Dependence Modelling of Joint Extremes via Copulas: A Dynamic Portfolio Allocation Perspective (Denitsa STEFANOVA, HEC - Montréal)
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Special Session: "Finance Research and Job Opportunities at Aston Business School" by Jim STEELEY, Professor of Finance, Aston University (Salon Monge) |
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| 17h15 / 17h30 | | |
Closing Address by Georges GALLAIS-HAMONNO, Chairman, Association Française de FInance (AFFI) (Salon Monge) |
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