TOP > ‹à—ZƒVƒ“ƒ|ƒWƒEƒ€ 2005”N5ŒŽ26“ú�`28“ú “ú–{‰ž—p�”—�Šw‰ï‘æ4‰ñ“ú–{ƒCƒ^ƒŠƒA‰ž—p�”ŠwŒ¤‹†�W‰ï �Óì�‘�Û‘ºƒZƒ“ƒ^�[(�_“Þ�쌧ŽO‰YŒS—tŽR’¬) 2005”N3ŒŽ25“ú ‘æ3‰ñ�@ISMƒI�[ƒvƒ“ƒtƒH�[ƒ‰ƒ€�FƒŠƒXƒN‰ð�Í�í—ªŒ¤‹†ƒZƒ“ƒ^�[�Ý—§�EƒvƒŒƒVƒ“ƒ|ƒWƒEƒ€ “�Œv‰ÈŠw‚ƃŠƒXƒN‰ð�Í �uƒtƒ@ƒCƒiƒ“ƒXƒŠƒXƒN‚Ì•]‰¿‹Z�p�v �¡�ê�Š�F“�Œv�”—�Œ¤‹†�Š�u“°�i Ž–‘O—\–ñ•s—v�D“ü�ê–³—¿ �j �¡‘Î�Û�F�ê–å“I‹Æ–±‚É�]Ž–‚³‚ê‚Ä‚¢‚éŽÐ‰ï�l‹y‚ÑŒ¤‹†ŽÒ‚Ì•û �¡17Žž-18Žž�w“VŒóƒfƒŠƒoƒeƒBƒu�x�`�Å‹ß‚Ì“®Œü‚Ɖ¿Ši•t‚¯Žè–@�`ŽR“c�@—Y“ñ�i’}”g‘åŠw�j �¡18Žž�\19Žž�w�M—pƒŠƒXƒNƒ‚ƒfƒ‹‚ÌŒ»�ó‚Æ‰ðŒˆ‚·‚ׂ«‰Û‘è�x�`‘ŠŠÖ�A‰ñŽû—¦�AEAD‚̃‚ƒfƒŠƒ“ƒO�`ŽR‰º’qŽj�i“�Œv�”—�Œ¤‹†�Š 2005”N3ŒŽ16“ú ˆê‹´‘åŠw‘åŠw‰@�‘�ÛŠé‹Æ�í—ªŒ¤‹†‰È‹à—Z�í—ª‹¤“¯Œ¤‹†ŽºŽå�Ñæ5‰ñICS�‘�ÛƒRƒ“ƒtƒ@ƒ‰ƒ“ƒX�`�wThe 5th International Conference on Statistical Finance and Financial Engineering�x�i�ç‘ã“c‹æˆêƒc‹´2-1-2 Šw�p‘��‡ƒZƒ“ƒ^�[�j �u‰‰ƒvƒ�ƒOƒ‰ƒ€(—\’è�j: 10:30-11:10 "The components of the Bid-Ask spread: The case of the Athens Stock Exchange" (Alexandros Benos/University of Piraeus) 11:20-12:00 "On some Models for Value-at-Risk"(Wai Keung Li /The University of Hong Kong) 13:00-13:40 "Receding Horizon Dynamic Hedging for Derivative Securities under Transaction Costs" (James A. Primbs/Stanford University) 13:50-14:30 "Quantile and other occupation time options" (Angelos Dassios/The London School of Economics and Political Science) 14:40-15:20 "Rank Process and Stochastic Corridor" (Ryozo Miura/Hitotsubashi University) 15:50-16:30 "A survey of inference methods for discretely observed continuous-time stochastic volatility models" (Juan Carlos Jimenez/Instituto de Cibernetica, Matematica y Fisica) 16:40-17:20 "Nonparametric estimation of diffusion coefficients from discretely observed data" (Isao Shoji/University of Tsukuba) 18:00-20:00 �§�e‰ï :2005”N3ŒŽ14“ú�A15“ú ‘æ7‰ñ JAFEE�‘�ÛƒRƒ“ƒtƒ@ƒŒƒ“ƒX(Šw�p‘��‡ƒZƒ“ƒ^�[) �y�µ‘Ò�u‰‰ŽÒ�z �E�uOn the Role of the Growth Optimal Portfolio in Finance�v (Prof. Eckhard Platen/University of Technology Sydney, School of Finance & Economics and Dept. of Mathematical Sciences�@) �E�uOn the Starting and Stopping Problem: Application in reversible investments�v (Prof. Jeanblanc/D�Lepartement de Math�Lematiques, Universit�Le d�fEvry Vald�fEssonne) �y‰‰‘è‹y‚Ñ�u‰‰ŽÒ�z �E�uDynamical Analysis of the Yield Spread Surface Defined on the Duration - Credit Quality Space�v(Tomoaki Shouda/MTB Investment Technology Institute Co., Ltd and Hitotsubashi University, International Corporate Strategy) �E�uLevy Processes Driven by Stochastic Volatility�v(Kyriakos Chourdakis/AFIS Department, University of Canterbury) �E�uOn Transition Probabilities of Regime Switching in Electricity Prices�v(Takashi Kanamura/JPOWER and Hitotsubashi University, International Corporate Strategy) �E�uOptimal Policies of Call with Notice Period Requirement for American Warrants and Convertible Bonds�v(Kazuhiko Ohashi/Hitotsubashi University, International Corporate Strategy) �E�uOptimal Risk Transfer and Investment Policies Based upon Stochastic Differential Utilities�v(Min Dai/Department of Financial Mathematics, Peking University)(Yue Kuen Kwok/Department of Mathematics, Hong Kong University of Science and Technology) �E�uPricing Commodity Spread 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‘æ3‰ñ�@‹ž“s‘åŠwŒo�ÏŒ¤‹†�Š‰ž—p‹à—Z�HŠw�i–쑺�ØŒ”ƒOƒ‹�[ƒv�jŠñ•�Œ¤‹†•”–åƒVƒ“ƒ|ƒWƒEƒ€2005�@“Œ‹ž“s�ç‘ã“c‹æˆê‹´‹L”O�u“° ===Œ¤‹†ƒVƒ“ƒ|ƒWƒEƒ€�w‹à—Z�HŠw‚Ì�V“WŠJ2005�x �¡�uLiquidity and Arbitrage�v�iUCLAƒJƒŠƒtƒHƒ‹ƒjƒA‘åŠwƒ�ƒTƒ“ƒ[ƒ‹ƒX�ZƒAƒ“ƒ_�[ƒ\ƒ“ƒXƒN�[ƒ‹Richard Roll‹³Žö�j �¡�u’·ŠúŠÔ�Å“Kƒ|�[ƒgƒtƒHƒŠƒI‚ÌŒvŽZ‚ɂ‚¢‚Ä�v�i‘å�ã‘åŠw/‹ž“s‘åŠwŒo�ÏŒ¤‹†�Š�@ŠÖ�ª�‡Ž��j �¡�uŒÂ�l‚̃ŠƒXƒN‹–—e“x‚ÆŒo�Ï‘S‘̂̃ŠƒXƒN‹–—e“x�v�i‹ž“s‘åŠwŒo�ÏŒ¤‹†�Š�@Œ´�ç�HŽ��j �¡�u‹à—Z�HŠw�Å‘O�ü�|•Ä�‘Šw‰ïŽQ‰Á•ñ���|�v�i–쑺暌”�@“àŽR•ü‹KŽ��j ===“Á•ÊƒVƒ“ƒ|ƒWƒEƒ€�wŠé‹Æ‰¿’l‘n‘¢‚ƃŠƒXƒN‚ÌŽs�ꉻ�|’m“IŽÐ‰ï‚ÌŠé‹ÆŒo‰c�x �¡�uWhy many developing countries just aren't�H�v�iUCLAƒJƒŠƒtƒHƒ‹ƒjƒA‘åŠwƒ�ƒTƒ“ƒ[ƒ‹ƒX�ZƒAƒ“ƒ_�[ƒ\ƒ“ƒXƒN�[ƒ‹Richard Roll‹³Žö�j �¡�uCO2‚Ì”r�oŒ Žæˆø‚Í‚Ç‚¤‚È‚é‚©�H�v�i‹ž“s‘åŠwŒo�ÏŒ¤‹†�Š�@�²˜a—²Œõ�j �¡�u–³Œ`Ž‘ŽY‚É‚æ‚鉿’l‘n‘¢Œo‰c‚Æ“��‡“IƒŠƒXƒNŒo‰c�iERM�j‚ÌŒ‹�‡�v�i‹ž“s‘åŠwŒo�ÏŒ¤‹†�Š�@Š ‰®•��º�j ==ƒpƒlƒ‹ƒfƒBƒXƒJƒbƒVƒ‡ƒ“�wŠé‹Æ‰¿’l‘n‘¢‚ƃŠƒXƒN‚ÌŽs�ꉻ�|’m“IŽÐ‰ï‚ÌŠé‹ÆŒo‰c�|�x 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