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SS99: Problems and Challenges in Financial Engineering and Risk Managment

Organizer(s):
Name:	Affiliation:	Country:
Hong-Ming Yin	Washington State University	USA
Jin Liang	Tongji University	Peoples Rep of China
Kenneth K. Palmer	National Taiwan University	Taiwan

Abstract:
This special session will focus on current problems and challenges in financial engineering and risk management. The topics will include (a) Option pricing models for various securities, (b) Portfolio management and optimization (c) Risk Analysis and control on commodities and securities. (d) Numerical analysis and simulation (e) Program trading.

List of approved abstract
Name	Affiliation	Title
Nan Chen	The Chinese University of Hong Kong	Dynamic Investment and Financing with Internal and External Liquidity Management
Guillaume Leduc	American University of Sharjah	Option price error formula in flexible binomial trees
Ping Li	Beihang University	Robust portfolio selection using dynamic copulas
Jin Liang	Tongji University	Free boundary and Travling Wave in Credit Rating Migration
Jianwei Lin	Putian University	Optimal dividend strategy with endogenous bankruptcy boundary under Chapter 11 of the US bankruptcy code
Yuh-Dauh Lyuu	National Taiwan University	Stability analysis of local volatility model
Kenneth K Palmer	National Taiwan University	Path Independence of Exotic Options and Convergence of Binomial Approximations
David Saunders	University of Waterloo	Mean-Risk Portfolio Selection with Expectiles
Yong Hyun Shin	Sookmyung Women`s University	Optimal Consumption/Investment and Retirement with Necessities and Luxuries
Guanying Wang	Tianjin University	The Valuation of Vulnerable European Options with Risky Collateral
Chuan-Ju Wang	Academia Sinica	Optimal Search for Parameters in Monte Carlo Simulation for Derivative Pricing
Qing Zhang	University of Georgia	Pairs Trading