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  • 제목 APAD2017 Session 1 - 3
    작성자 관리자 조회수 1593 작성일 2017.07.21
    ❖ Session 1: Financial Theory
    • On Convex Functions on Duals of - Orlicz Spaces
    Freddy Delbaen (Univ. of Zürich)
    Keita Owari (Ritsumeikan Univ.)

    • Estimation of Optimal Hedge Ratio: A Wild Bootstrap Approach
    Phong Nguyen (La Trobe Univ.)
    Jae H. Kim (La Trobe Univ.)
    Darren Henry (La Trobe Univ.)

    • On Continuity Correction for First-Passage Times in A Flexible Jump Diffusion Model with Application to Option Pricing
    Cheng-Der Fuh (National Central Univ.)
    Steven Kou (National Univ. of Singapore)
    Sheng-Feng Luo (Chung Yuan Christian Univ.)
    Hsin-Chieh Wong (National Central Univ.)

    • The Choice of SEO Method and Its Consequences: Rights vs. Public Offers
    Ju Hyun Kim (Sungkyunkwan Univ.)
    Kyojik (Roy) Song (Sungkyunkwan Univ.)

    ❖ Session 2: CDS & Swaps
    • Dealer Liquidity Provision and the Breakdown of the Law of One Price: Evidence from the CDS–Bond Basis
    Jaewon Choi (Univ. of Illinois at Urbana-Champaign)
    Or Shachar (Federal Reserve Bank of New York)
    Seunghun Shin (KAIST)

    • Determinants of Swap Spreads in China
    Longzhen Fan (Fudan Univ.)
    Re-Jin Guo (Univ. of Illinois at Chicago)
    Xin Hou (Fudan Univ.)

    • Mandatory XBRL Adoption and Credit Default Swap Spreads
    Paul A. Griffin (Univ. of California-Davis)
    Hyun A. Hong (Univ. of California-Riverside)
    Jeong-Bon Kim (City Univ. of Hong Kong and Univ. of Waterloo)
    Jee-Hae Lim (Univ. of Waterloo)

    • Modeling Dependence and Contagion between East Asian Sovereign CDS Markets: A Mixture of Time-varying Copulas Approach
    Yongwoong Lee (Hankuk Univ. of Foreign Studies)
    Yongbok Cho (Korea Univ.)
    Kisung Yang (Korea Univ.)

    ❖ Session 3: Investment
    • Abnormal Crude Oil Price Movements Prior to FOMC Announcements
    Hyeonung Jang (UNIST)
    Byoung Ki Seo (UNIST)

    • Dividends and REIT Investment
    Hoon Cho (KAIST)
    SangJin Park (KAIST)

    • Information in (and not in) Treasury Options
    Hoyong Choi (Erasmus Univ.)

    • Liquidity Skewness Premium
    Giho Jeong (KAIST)
    Jangkoo Kang (KAIST)
    Kyung Yoon Kwon (KAIST)
    첨부파일 첨부파일 Session1_APAD2017.zip(2127393 Byte)
    첨부파일 Session2_APAD2017.zip(2905336 Byte)
    첨부파일 Session3_APAD2017.zip(2166085 Byte)