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Feb 8

Schedule of 21st Annual APFRS

Posted by abiao at 14:48 | Others | Comments(0) | Reads(11035)
Finished nearly one-month vacation in China, I came back UK this morning and continue my student life, will try to update regularly as before. As you might remember I would present my working paper at the 21st annual Asia-Pacific Futures Research Symposium in Singapore on February 16 and 17, below is a short schedule, hopefully I can summarize the presentations and post them later.

16th, Feb
Session 1: Predicting Asset Returns using Market Sentiment and Option Volatility
9:00 a.m. - 9:45 a.m. The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index
9:45 a.m. - 10:30 a.m. Regime Dependent Information Contents of Model-free Volatility: Evidence from the Eurodollar Options Markets

Session 2: Relationship between the Trading Condition of Options and the Underlying Assets
10:50 a.m. - 11:35 a.m. The Impact of Liquidity on Option Prices
11:35 a.m. -12:20 p.m. Intraday Price Formation and Bid-Ask Spread Components: A New Approach Using a Cross-Market Model

Session 3: Asset Price Behaviour During Market Crisis
2:15 p.m. -3:00 p.m. Liquidity Withdrawal and the "Flash Crash" on May 6, 2010
3:00 p.m. -3:45 p.m. Futures Market Adjustment to Public Information: Evidence from the Global Financial Crisis

Session 4: DERIVATIVES TRANSACTION ANALYSIS
4:00 p.m. - 4:45 p.m. Time Varying Optimal Currency Hedging and the Preference for Skewness
4:45 p.m. - 5:30 p.m. The Performance of Alternative Futures Buy-Write Strategies

17th, Feb
9:00 am to 9:25 am. The Roles of Speculation and Fundamentals in Commodity Markets: The Case of U.S. Natural Gas Futures Market

Session 5: Empirical on Chinese Derivative Markets—Stocks, Bonds and Commodities
9:45 am to 10:10 am A Comprehensive Study of the Chinese Warrants Bubble
10:50 am to 11:15 am Pricing Convertible Bonds with Embedded Parisian Options: Theory and Evidence
11:35-12 noon Alchemy in the 21st Century: Hedging with Gold Futures
12:20 a.m. - 12:45 p.m. “Is there an Opportunity to Improve the Hedging of Jet Fuels by Airlines?”


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