Citation
(2006), "Statistical Modeling in Finance", Journal of Risk Finance, Vol. 7 No. 2. https://doi.org/10.1108/jrf.2006.29407bac.001
Publisher
:Emerald Group Publishing Limited
Copyright © 2006, Emerald Group Publishing Limited
Statistical Modeling in Finance
Statistical Modeling in Finance
March 24, 2006, Temple University, Philadelphia, Pennsylvania, USA
OrganizersFox School of Business and Department of Statistics, Temple University
ThemesDerivative pricing.GARCH and stochastic-volatility modeling.Stock-selection strategies.Modeling financial data.
Papers and speakers"Penalized splines and financial data", David Ruppert, Cornell University.
"Revision of the continuous limit of GARCH", Carol Alexander, University of Reading, UK.
"Jumps in rank and expected returns: introducing varying cross-sectional risk", Gloria GonzÄlez-Rivera, University of California, Riverside.
"Deriving smooth zero-yield curves and inflation expectations from the bond market", Zvi Wiener, Hebrew University of Jerusalem.
"The implied liquidity premium for equities", E. Robert Fernholz, Chief Investment Officer, INTECH.
"Potential impact of hedge funds on systemic risk", Mila Getmansky Sherman, University of Massachusetts.
"OTC interest rate derivatives: valuation and relative values", Saikat Nandi, Fannie Mae.
"A benchmark approach to portfolio optimization and derivative pricing", Eckhard Platen, University of Technology, Sydney, Australia.
"Momentum strategies using risk-adjusted stock-„selection criteria", Teo Jasic, Germany.
"Option pricing for some stochastic volatility models", A. Thavaneswaran, University of Manitoba.
To be announced, Ruey S. Tsay, University of Chicago.
To registerVisit http://sbm.temple.edu/smf2006/register.html
For more informationVisit http://sbm.temple.edu/smf2006/index.html or contact Jagbir Singh (e-mail: jagbir.singh@temple.edu; Tel: 215-204-5069) or Pallavi Chitturi (e-mail: chitturi@temple.edu; Tel: 215-204-5070).