49th Meeting of

EURO Working Group on Financial Modelling




THURSDAY, 24 NOVEMBER, 2011 (Finnish time, GMT+2)


Registration at Aalto University School of Economics, main lobby of the Chydenia building (Runeberginkatu 22-24)


Welcome Address by Professor Jyrki Wallenius, Dean of Aalto University School of Economics, Room G112 (Chydenia building  / Runeberginkatu 22-24)


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)


Round-Table Discussion: Are traditional ways of modelling financial markets valid in current turbulence?

Chair: Veli-Pekka Heikkinen, Pohjola Asset Management Ltd


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)


Lunch at Aalto University School of Economics, Restaurant Proffa (Main building / Runeberginkatu 14-16)


Transportation to M/S Silja Serenade (Olympia Terminal)


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


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


Coffee Break


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 CaFoscari Venezia) and Paolo Pianca (Universit`a CaFoscari 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


Boat leaves Helsinki


Buffet Dinner, Buffet Serenade (Deck 6)

FRIDAY, 25 NOVEMBER, 2011 (Swedish time, GMT+1)


Breakfast, Buffet Serenade (Deck 6)


Boat arrives in Stockholm (Värtan Port)


Free-time in Stockholm


Lunch, Buffet Serenade (Deck 6)


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


Coffee Break


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


Boat leaves Stockholm


A la carte Dinner, Bistro Maxime (Deck 6)

SATURDAY, 26 NOVEMBER, 2011 (Finnish time, GMT+2)


Breakfast, Buffet Serenade (Deck 6)


Boat arrives in Helsinki (Olympia Terminal)

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