Derivatives Down Under 2008
Fourth Melbourne Derivatives Research Group Conference
The Fourth MDRG conference was held on Wednesday 19 March, 2008. A programme and papers from the conference are available on this page.
- Final programme (67 KB)
Speakers
- Marti Subrahmanyam (NYU)
(Download paper: Price Dispersion in OTC Markets: A New Measure of Liquidity PDF 334KB) - Richard Stapleton (Manchester University)
(Download paper: The Pricing of Interest-Rate Options in an Extended Libor Market Model PDF 192KB) -
Tim Adam (National University of Singapore)
(Download paper: Capital Expenditures, Financial Constraints, and the Use of Options PDF 301KB) -
Margarethe Rammerstorfer (Vienna University of Economics and Bus Admin)
(Download paper: Investment Decisions under Market Concentration and Price Regulation PDF 2.83MB) -
Peter Monkhouse (BHP Billiton) - Luncheon speaker
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Daniel Rösch (University of Hannover)
(Download paper: Credit Rating Impact on CDO Evaluation PDF 265KB)
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Ramzi Ben-Abdallah (HEC Montréal)
(Download paper: An Analysis of the True Notional Bond System Applied to the CBOT T-Bond Futures PDF 479KB) -
Ai-ru (Meg) Cheng (UC Santa Cruz)
(Download paper: Macroeconomic Variables, Pricing Kernels and Expected Default-Free and Defaultable Bond Returns PDF 288KB) -
Jin-Chuan Duan (Risk Management Institute NUS and University of Toronto)
(Download paper: Co-integration in Crude Oil Components and the Pricing of Crack Spread Options PDF 281KB) -
Jonathan Dark (University of Melbourne)
(Download paper: Dynamic Hedging with Futures that are subject to Price Limits Word) -
Klaus E. Buhr (Massey University)
(Download paper: Lead Lag Direction and Price Discovery of the S&P/ASX200 Share Price Index and the S&P/ASX 200 Index Options PDF 272KB) -
Jamie Alcock (University of Queensland)
(Download paper: Extended Nonparametric American Option Pricing PDF 1.1MB) -
Brett L. Shanahan (University of Melbourne)
(Download paper: The Impact of the Diffusion Term in Pricing European Options Assuming Stochastic Volatility PDF 1.08MB) -
Mark S Joshi (University of Melbourne)
(Download paper: Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions PDF 217KB)
Venue:
Coles Theatre
Melbourne Business School
The University of Melbourne
Administrator:
Robin Carey, email r.carey@ unimelb.edu.au