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FEUC

Meeting of the EURO Working Group for Commodities and Financial Modelling - Coimbra, 2016

Scientific Program

THURSDAY, 12th May

8:15 - … Registration

9:00 – 9:30 Welcome session

9:30 – 11:30 Sessions A – Chaired by: Rita L. D’Ecclesia, University of Rome, Sapienza, Italy

  1. A time series approach for evaluating weather derivatives, by Rosella Castellano, University of Rome, Unitelma Sapienza, Italy, Rita L. D'Ecclesia, University of Rome, Sapienza, Italy and Francesco Mantovani, University of Rome, Sapienza, Italy.

  2. Measuring risk with COGARCH (p,q) models, by Lorenzo Mercuri, University of Milan, Italy and Edit Rroji, University of Trieste, Italy.

  3. Diamond, gold and crude oil. Precious alpha and beta, by Rita L. D’Ecclesia, University of Rome, Sapienza, Italy, Vera Jotanovic, University of Rome, Sapienza, Italy and David G. Stack, University of Rome, Sapienza, Italy.

11:30 – 12:00 Coffee-break

12:00 – 13:00 Invited Keynote Speech

An integrated structural approach to counterparty credit risk with application to commodity swap, by Gianluca Fusai, Università del Piemonte Orientale, Italy, and Cass Business School, London, United Kingdom.

13:00 – 15:00 Lunch

15:00 – 16:30 Sessions B – Chaired by: Pedro Godinho, Faculty of Economics of the University of Coimbra, Portugal

  1. Contagion in the world's stock exchanges seen as a network of coupled oscillators, by Lucia Bellenzier, University of Milano Bicocca, Italy, Jorgen Vitting, University Paris 1 - Pantheon Sorbonne, France and Giulia Rotundo University of Rome, Sapienza, Italy.

  2. Optimal control and delayed jump-diffusions with regimes and an application to finance, Emel Savku, Middle East Technical University, Turkey and Gerhard-Wilhelm Weber, Middle East Technical University, Turkey.

  3. The Cournot model with a risk event: Relating costs before and after the event, by José Diogo, Faculty of Economics of the University of Coimbra, Portugal, Pedro Godinho, Faculty of Economics of the University of Coimbra, Portugal and João Paulo Costa, Faculty of Economics of the University of Coimbra, Portugal.

16:30 – 17:00 Coffee-break

17:00 – 19:00 Sessions C – Chaired by: Wolfgang Kürsten, Friedrich Schiller University of Jena, Germany

  1. Using the Shapley value to decompose the risk of optimal portfolios, by Haim Shalit, Ben Gurion University, Israel.

  2. Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect, by Rui Pedro Brito, Faculty of Economics of the University of Coimbra, Portugal, Hélder Sebastião , Faculty of Economics of the University of Coimbra, Portugal and Pedro Godinho, Faculty of Economics of the University of Coimbra, Portugal.

  3. Dynamic risk-shifting, APR-violations, and gambling on resurrection: The role of “Soft” versus “Tough“ bankruptcy code design, by Wolfgang Kürsten, Friedrich Schiller University of Jena, Germany.

FRIDAY, 13th May

9:30 – 11:30 Sessions D – Chaired by: José Murteira CEMAPRE-ISEG/UL and Faculty of Economics of the University of Coimbra, Portugal

  1. Individual heterogeneity and pension choices: How to communicate an effective message?, by Costanza Torricelli, University of Modena and Reggio Emilia and CEFIN, Italy, Giovanni Gallo, University of Modena and Reggio Emilia, Italy and Arthur Van Soest, Tilburg University, Netherlands.

  2. Arbitrage pricing methods for valuation of a firm, by Markku Kallio, Aalto University School of Business, Finland.

  3. Modelling repayment behaviour in personal loan contracts: A two-part panel data approach, by José Murteira CEMAPRE-ISEG/UL and Faculty of Economics of the University of Coimbra, Portugal and Mário Augusto, Institute of Systems and Robotics and Faculty of Economics of the University of Coimbra, Portugal.

11:30 – 12:00 Coffee-break

12:00 – 13:00 Invited Keynote Speech

Measuring systemic risk in financial networks via bootstrap percolation in inhomogeneous random graphs, by Thilo Meyer-Brandis, University of Munich, Germany

13:00 – 14:30 Lunch

14:30 – 16:00 Sessions E – Chaired by: João Paulo Costa, INESC Coimbra and Faculty of Economics of the University of Coimbra, Portugal

  1. A continuous semimartingale approach to commodity futures options pricing under string shock, by Deepak Bisht, Indian Institute of Management Ahmedabad, India and Arnab Laha, Indian Institute of Management Ahmedabad, India.

  2. Hedging salmon price risk, by Daumantas Bloznelis, Norwegian University of Life Sciences, Norway.

  3. Exploring multiobjective linear fractional programming for portfolio selection, by João Paulo Costa, INESC Coimbra and Faculty of Economics of the University of Coimbra, Portugal and Pedro Godinho, Faculty of Economics of the University of Coimbra, Portugal.

16:00 – 19:00 Coimbra's Tour

19:00 Welcome Cocktail (Loggia restaurant)

20:00 Conference Banquet (Loggia restaurant)