49th Meeting of
EURO Working Group on Financial Modelling
MEETING PROGRAM
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THURSDAY, 24 NOVEMBER, 2011 (Finnish time, GMT+2) |
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8:30-9:00 |
Registration
at Aalto University School of Economics, main lobby of the Chydenia building (Runeberginkatu
22-24) |
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9:00-9:25 |
Welcome
Address by Professor Jyrki Wallenius,
Dean of Aalto University School of Economics, Room G112 (Chydenia
building / Runeberginkatu
22-24) |
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9:25-10:00 |
Plenary
Talk by Professor Markku Kallio, Aalto University Real Option Valuation of Forest Plantation
Investments in Brazil, joint paper with M. Kuula
and S. Oinonen Room
G112 / ( Chydenia building / Runeberginkatu
22-24) |
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10:00-11:00 |
Round-Table
Discussion: Are traditional ways of modelling financial markets valid in current turbulence? Chair: Veli-Pekka Heikkinen, Pohjola Asset Management Ltd Participants: Lasse
Koskinen, Financial Supervisory Authority Pasi
Laaksonen, OP Life Assurance Company Ltd Esko
Torsti, Ilmarinen Mutual
Pension Insurance Company Room
G112 / ( Chydenia building / Runeberginkatu
22-24) |
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11:00-12:00 |
Lunch
at Aalto University School of Economics, Restaurant Proffa
(Main building / Runeberginkatu 14-16) |
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12:00-13:00 |
Transportation to M/S Silja Serenade
(Olympia Terminal) |
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13:00-14:45 |
First
Session Parallel 1 (M/S Silja Serenade Conference
center / Deck 6) Chair: Manfred Frühwirth (WU
Wien) 13:00 - 13:20 Victor Dragotă
(Bucharest University of Economic Studies): Capital budgeting: is it the
expected lifetime an unbiased estimator of the effective lifetime? 13:25
- 13:45 Wolfgang Kuersten (University of Jena): Can Firms (and Banks) be Refrained from Permanent Risk-Shifting? – An Incentive
Compatible Solution of Jensen/Meckling’s Risk
Incentive Problem under Multi-Period Debt
Financing 13:50
- 14:10 Miloš Kopa*
(Charles University in Prague) and Jitka Dupačová (Charles University in Prague): Reflections
on robustness in stochastic programs with the first order stochastic
dominance and/or probabilistic constraints 14:15
- 14:35 Manfred Frühwirth* (WU Wien) and Marek Kobialka (TU Wien): Do
Equity Tax Shields Reduce the Leverage? The Austrian Case |
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13:00-14:45 |
First Session Parallel 2 (M/S Silja
Serenade Conference center / Deck 6) Chair: Mazin
A. M. Al Janabi (United Arab Emirates University) 13:00 -
13:20 Adam Krzemienowski (Warsaw University of
Technology): Portfolio Optimization with the Multivariate Conditional
Value-at-Risk 13:25 -
13:45 Petr Gurný (VSB Technical University of
Ostrava): Sensitivity analysis of the GDP growth on the financial stability
of the chosen Czech banks 13:50 - 14:10 Jiri Valecky (VSB Technical University
of Ostrava): Multivariable logistic regression analysis based on fractional
polynomials for modeling probability of insured accident 14:15 - 14:35 Mazin A. M.
Al Janabi (United Arab Emirates University):
Assessment of Efficient and Coherent Risk-Capital Components with
Applications to Commodity and Financial Service Industries |
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14:45-15:15 |
Coffee Break |
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15:15-17:00 |
Second Session (M/S Silja
Serenade Conference center / Deck 6) Chair: Rita D’Ecclesia (University of
Rome La Sapienza) 15:15 - 15:35 Tomáš Tichý*(VSB Technical University of Ostrava) and Michal Holčapek: Option pricing with imprecisely stated
volatility: A fuzzy-stochastic approach 15:40 - 16:00 Martina Nardon*
(Universit`a Ca’ Foscari Venezia) and Paolo Pianca (Universit`a Ca’ Foscari Venezia):
Prospect theory: An application to European option pricing 16:05 - 16:25 Rita D’Ecclesia (University of Rome La
Sapienza): CDS and Credit Quality : volatility the
key signal |
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17:00 |
Boat
leaves Helsinki |
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20:00- |
Buffet Dinner, Buffet Serenade (Deck 6) |
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FRIDAY, 25 NOVEMBER, 2011 (Swedish
time, GMT+1) |
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7:00-9:30 |
Breakfast,
Buffet Serenade (Deck 6) |
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Boat
arrives in Stockholm (Värtan
Port) |
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9:30-12:00 |
Free-time in Stockholm |
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12:00-13:00 |
Lunch, Buffet Serenade (Deck 6) |
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13:00-14:45 |
Third Session (M/S Silja
Serenade Conference center / Deck 6) Chair: Haim Shalit (Beer-Sheva University of the Negev) 13:00 -
13:20 Andrzej M.J. Skulimowski (AGH University of Science
and Technology): Applications of Real Options in Technological Roadmapping 13:25 -
13:45 Katerina Zelinkova (VSB Technical University of
Ostrava): Evaluating Capital
Requirement on market risk within Solvency II 13:50 - 14:10 Kalle Rinne* (Aalto University) and
Matti Suominen (Aalto University): How some bankers made a million by trading
just two securities? 14:15 - 14:35 Haim Shalit (Beer-Sheva
University of the Negev): Using the Aumann-Serrano
Riskiness Index in Portfolio Analysis |
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14:45-15:15 |
Coffee Break |
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15:15-17:00 |
Fourth Session (M/S Silja
Serenade Conference center / Deck 6) Chair: Martin Smid
(UTIA) 15:15 - 15:35 J.E. Trinidad Segovia (Universidad de
Almeria), M. Fernandez-Martínez* (Universidad de
Almeria) and M.A Sánchez-Granero (Universidad de
Almeria): Introducing GM based procedures to calculate the Hurst exponent of
financial time series 15:40 - 16:00 Daphne Sobolev* (UCL) and Nigel
Harvey: Sensitivity to Hurst coefficient of fractal time-series 16:05 - 16:25 Loretta Mastroeni* (Universita' degli Studi Roma Tre) and Maurizio Naldi: Storage Buy-or-Lease Decisions in Cloud Computing
under Price Uncertainty 16:30 - 16:50 Martin Smid
(UTIA): Tractable and Estimable Dynamic Model of Price and Volume Given
Uninformed Market Maker |
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17:00 |
Boat
leaves Stockholm |
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17:30- |
A la carte Dinner, Bistro Maxime
(Deck 6) |
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SATURDAY, 26 NOVEMBER, 2011
(Finnish time, GMT+2) |
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7:30-10:00 |
Breakfast,
Buffet Serenade (Deck 6) |
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9:55 |
Boat
arrives in Helsinki (Olympia
Terminal) |