Program
Conference Opening: 13:45 CEST (UTC + 2 h, Berlin) = 12:45 WEST (Lisbon) = 07:45 EDT (Washington, DC) = 06:45 CDT (Chicago)
Session I: 14:00–15:20 CEST = 8:00–9:20 a.m. EDT
- Is Credit Risk Priced in the German Market for Structured Products?
Falk Jensen (University of Hagen) - Multi-asset risk measures based on a Black-Scholes market model
Christian Laudagé (Fraunhofer ITWM) - Extrapolation and Complexity
Donghwa Shin (University of North Carolina at Chapel Hill)
Session II: 15:40–17:00 CEST = 9:40–11:00 a.m. EDT
- What is the best leverage product? Analyzing different scenarios for hedging and speculation
Marc Oliver Rieger (University of Trier) - How to Harvest Variance Risk Premiums for the Long-term Investor?
Julian Dörries (University of Göttingen), Olaf Korn, Gabriel Power
Session III: 17:20–18:40 CEST = 11:20–12:40 a.m. EDT
- Uncoordinated Hedging and Price Chain Reaction
Jun Kyung Auh (Georgetown University), Wonho Cho - Feeback Trading and Feedback Pricing: The Intraday Case of Retail Derivatives
Sebastian Schlie (University of Hagen)
Lunch / Dinner Break
Session IV: 20:00–22:00 CEST = 2:00–4:00 p.m. EDT
- Can Security Design Foster Household Risk Taking?
Laurent Calvet, Claire Célérier (University of Toronto), Paolo Sodini, Boris Vallée - Retail Derivatives and Sentiment: A Sentiment Measure Constructed from Issuances of Retail Structured Equity Products
Brian J. Henderson, Neil D. Pearson (University of Illinois at Urbana-Champaign), Li Wang - Evaluating Design Risk: the Case of CPPIs
Raquel M. Gaspar (Lisbon School of Economics and Management)
