Faculty of Economics and Commerce Department of Finance

Fifth Melbourne Derivatives Research Group
Conference - 7 April 2009

Organized by:
The Melbourne Derivatives Research Group
Department of Finance
The University of Melbourne


The Melbourne Derivatives Research Group at The University of Melbourne invites papers for the Fifth Annual MDRG conference to be held at The University of Melbourne on 7 April 2009. Papers in all areas of finance (with a focus on asset pricing and derivative securities) are welcome. This global conference aims to disseminate unpublished high quality research in finance.

Previous MDRG conferences (including NYU Down Under 2007, and Derivatives Down Under 2008) attracted prominent presenters and discussants from the USA, Europe and Asia. Program details of those conferences can still be found on our web site:
http://www.finance.unimelb.edu.au/Research/MDRG_conferences.html

 

Please click on the following to find out more:

 

Keynote and Invited Speakers

 

Michael Brennan - UCLA – Anderson School of Management
Michael Brennan is a professor of finance at both UCLA Anderson and London Business School. His research interests include asset pricing, corporate finance, the pricing and role of derivative securities, market microstructure, and the role of information in capital markets. He has published extensively in all of these areas. He is currently working on several issues, including: the problem of asset allocation when investors face time-varying opportunity sets, initial public offerings and the allocation of control rights in the corporation, the determinants of international flows of portfolio investment, the role of convertible securities in corporate finance, and corporate hedging strategies. A former president of the American Finance Association, he has served as editor of the Journal of Finance and was the founding editor of the Review of Financial Studies. He has consulted extensively for corporations in Canada and the US, and in 1995 he was awarded the INQUIRE Europe prize for his work on corporate hedging strategies.
http://www.anderson.ucla.edu/x1932.xml

 

Stephen LeRoy - UC Santa Barbara
Professor LeRoy is a Professor Emeritus in the Economics department of the University of California, Santa Barbara. He has previously served as the Carlson Professor of Finance in the Carlson School of Management at the University of Minnesota and as a research economist with the Federal Reserve Board. His current research interest is subprime mortgages. He has published extensively in the fields of asset pricing and monetary economics in such journals as Econometrica, The Journal of Political Economy, and The American Economic Review. His textbook, Principles of Financial Economics (with Jan Werner), is widely considered the standard for graduate students in the discipline.
http://econ.ucsb.edu/~sleroy/webpage/

 

Maureen O’Hara - Cornell University – The Johnson School
Professor O'Hara's research focuses on issues in market microstructure, and she is the author of Market Microstructure Theory (Blackwell:1995) as well as numerous journal articles. Her most recent research has focused on the role of underwriters in the aftermarket trading of IPOs, the impact of transparency on trading system performance, listing and delisting issues in securities markets, designing markets for developing markets, and the role of liquidity and information risk in asset pricing. In addition, Dr. O'Hara publishes widely on a broad range of topics including banking and financial intermediaries, law and finance, and experimental economics. Professor O'Hara is the executive editor of the Review of Financial Studies. She has served as president of the Western Finance Association, and as president of the American Finance Association. Professor O'Hara is on the board of directors of Investment Technology Group, Inc. (ITG), an agency brokerage firm, where she serves as lead director and chair of the compensation committee. Professor O'Hara is also chairman of the board of Catholic Charities of the Diocese of Rochester. She has consulted for a number of companies and organizations, including Microsoft, Merrill Lynch, Credit Suisse First Boston, the New York Stock Exchange, Bristol-Meyers Squibb, and the World Federation of Exchanges.
http://www.johnson.cornell.edu/faculty/profiles/ohara/

 

Louis Ederington - University of Oklahoma – Michael F Price College of Business
Professor Ederington holds the Michael F. Price Chair in Finance at the Michael F. Price College of Business, University of Oklahoma. He received his Ph.D. from Washington University, St. Louis and was Professor of Finance at Washington University, St. Louis. From 1993 to 1994 he was Senior Economic Advisor to the Deputy Prime Minister of the Republic of Georgia. Professor Ederington has published predominantly on derivatives topics including futures, options, and hedging; but he has also published prolifically on topics in corporate and municipal bond markets; on bond ratings; and on convertible bonds. His publications appeared in the Journal of Finance, the Journal of Financial and Quantitative Analysis, the Journal of Business and the Journal of Financial Economics in addition to numerous other journals and books. His seminal 1979 Journal of Finance article on hedging has been reprinted in at least six readings books and continues to be heavily cited. The hedging techniques developed there are now a standard part of most futures textbooks.
http://faculty-staff.ou.edu/E/Louis.H.Ederington-1/


Richard Stapleton - Manchester University and The University of Melbourne
Professor Stapleton holds a Chair in Finance at Manchester University, and is also a Professorial Fellow at The University of Melbourne. He received his PhD from Sheffield University and previous appointments include Chairs in Finance at Strathclyde University and Lancaster University and a Professorial Fellowship at Cambridge University. His publications appeared in the top finance journals: Journal of Finance, the Journal of Financial and Quantitative Analysis, the Review of Financial Studies and the Journal of Financial Economics as well as in top econom(etr)ic journals: Econometrica, the Economic Journal, and the Journal of Economic Theory in addition to numerous specialist derivatives journals and books. His research focuses on issues in asset pricing, and he has published prolifically on the valuation of interest rate derivative securities. His research papers on the Libor Market Model have set the standard for practically applied research in fixed income, subsequently adopted by financial institutions.
http://www.rstapleton.com/

 

Programme committees

Program Co-Chairs

Programme Review Committee

Logistics

About Melbourne

There is much to love about Melbourne. This sophisticated cosmopolitan city in the south-east corner of mainland Australia inspires a deep passion in those lucky enough to live here. Melburnians love the city's vibrant energy, staggering choice of restaurants, funky boutiques, café-filled laneways, cool bars, unbeatable galleries, luscious parks and village-like inner suburbs, each with its own special character.

Melbourne is the capital of Victoria and is a relatively modern city which is less than 200 years old and never sits still. New futuristic designs add to the fascinating mix of architecture and ensure the skyline is constantly changing. Melbourne is very much about lifestyle. It is no huge surprise to residents that their city has been ranked as one of the world’s most liveable cities
For more information, please click here for ‘Visit Melbourne’ website: http://www.visitmelbourne.com/
And for a map of the Central Business District (which is walking distance from the conference venue): http://www.melbourne.vic.gov.au/rsrc/Maps/CityMap.pdf

Climate

April weather in Melbourne is typically quite mild with spells of fine sunny weather and temperatures around 20C. The nights are quite cool with temperatures dropping to 10C. However, weather in Melbourne can also be notoriously fickle and often provides “four seasons in one day.”  

Travel Guide

Click here for the travellers’ guide to help you plan your trip to Melbourne: http://www.immi.gov.au/visitors/index.htm and http://www.australianexplorer.com/visa_information.htm
These sites contain useful information that you should know before arriving in Melbourne, including visa requirements.

Accommodation

Our recommendation is the Stamford Plaza Hotel, 111 Little Collins Street, Melbourne. To book rooms, please book online with the hotel directly on:http://www.stamford.com.au/spm/

Conference Venue
Melbourne Business School at The University of Melbourne campus, Parkville. - Map

Full maps of the University's campus at Parkville are available in English, Mandarin Chinese, Japanese, Arabic and Bahasa Indonesian. These are also in PDF format and require Adobe Acrobat Reader to view.

GETTING THERE

Train

Train travellers alight at Melbourne Central station, exiting via the Swanston Street exit. Any tram on Swanston Street heading North-West named "University of Melbourne" will take you near the Melbourne Business School.

Bus

Two bus services take you to the doorstep of the University of Melbourne. The bus stop for both services is outside the Arts Centre of the University of Melbourne on Swanston Street:

Tram

The following tram routes can be used to get to the University of Melbourne:

Swanston Street

Elizabeth Street/Royal Parade

Contact Us

MDRG Down Under 2009 Conference Secretariat
Conference Secretary: Ms Melanie Suda
Email: fin-hod@unimelb.edu.au
Telephone: +61 3 8344 9755
Fax: +61 3 8344 6914

 

 

 

top of page