Programme - Thursday 9th June 2016

Bilateral Wrong Way Risk Modelling: A Bessel Bridge Approach
Sijing Wang, University of Reading, UK
Martijn Pistorius, Imperial College London, UK
Emese Lazar, University of Reading, UK

Vessel valuation: Model formulation, estimation and optimal investment decision
Ioannis Kyriakou, CASS Business School, City University London, UK
Panos K. Pouliasis, CASS Business School, City University London, UK
Nikos C. Papapostolou, CASS Business School, City University London, UK
Nikos K. Nomikos, CASS Business School, City University London, UK

Real-world Pricing and Hedging of Currency Derivatives based on Estimations from Historical Underlying Data under the Benchmark Approach
Jin Sun, University of Technology Sydney, Australia, University of Zurich and ETH Zurich, Switzerland
Eckhard Platen, University of Technology Sydney, Australia

Finite Laplace transforms in fixed-income
Maxim Litvak, UBS

Session 2: Forecasting
Chair: Georgios Sermpinis, University of Glasgow, UK

An Interval Regression Model and Its Application in Forecasting Range-based Volatility of Financial Markets
Wei Yang, Shanxi University, China
Ai Han, Chinese Academy of Sciences, China
Jinfeng Shi, Shanxi University, China
Shouyang Wang, Chinese Academy of Sciences, China

US Oil Industry Stock Prices: Fundamental Forecasting Factors
Tobias Basse, Leibniz University of Hanover, Germany
Frederik Kunze, Leibniz University of Hanover, Germany
Hans-Jörg von Mettenheim, Leibniz University of Hanover, Germany
Christoph Wegener, Leibniz University of Hanover, Germany

Cross-Border Exchanges and Volatility Forecasting
Abhinav Goyal, University of Liverpool, UK
Vasileios Kallinterakis, University of Liverpool, UK
Dimos Kambouroudis, University of Stirling, UK
Jason Laws, University of Liverpool, UK

Portfolio selection in Heston's stochastic volatility model using a contingent claim
Aihua Zhang, University of Leicester, UK
Yongmin Zhang, Nottingham University Business School China, China
Yingxue Zhao, Zhejiang University of Finance & Economics, China
Daniel Borgia, University of Idaho, USA

Chair: Athanasios Pantelous, University of Liverpool, UK
Invited Talk
The Determinants of Convenience Yields
Marcel Prokopczuk, Leibniz University of Hanover, Germany

Session 3: Commodities
Chair: Marcel Prokopczuk, Leibniz University of Hanover, Germany

Technical trading rules performance: the case of crude oil market
Jason Laws, University of Liverpool, UK
Ioannis Psaradellis, University of Liverpool, UK
Athanasios A. Pantelous, University of Liverpool, UK
Georgios Sermpinis, University of Glasgow, UK

ARFIMA models and the Hurst Measures: An Investigation of Com-modity Daily Index and Futures Prices
Hirbod Assa, University of Liverpool, UK
Meng Wang, University of Liverpool, UK
Calum G. Turvey, Cornell University, USA

A developed four-factor model based on the Schwartz model system
Christian O. Ewald, University of Glasgow, UK
Zhe Zong, University of Glasgow, UK

Big Data Analysis for Financial Derivatives
Hirbod Assa, University of Liverpool, UK
Tianyuan Ni, University of Liverpool, UK