PROGRAM OF JIC 99

The 5 thJAFEEInternational Conference

August 28-29, 1999
Ibuka Memorial Hall,International Conference Center
Waseda UniversityTokyo, JapanThe Japanese Association of Financial Econometrics and Engineering(日本金融・証券計量・工学学会)

1999.8.28(Sat.) Ibuka Memorial Hall, Waseda University
11:00〜11:05 Opening Speech
11:05〜12:05 Japanese Session I
J-1 Effective Portfolio Strategy through Consideration of Estimation Risk
Hiroyuki Kashima (IBJ-DL Financial Technology)
J-2 The Search for the Optimal Method of Rebalancing Pension Assets
Kiyoshi Suzuki (Nomura Securities)
J-3 Boltzmann Model in Financial TechnologyYuji Uenohara (Toshiba), Ritsuo Yoshioka (Toshiba)
12:05〜12:15 Coffee Break
12:15〜13:35 Japanese Session II
J-4 Valuing Corporate Debt: The Effect of Cross-Holdings
Teruyosi Suzuki (NLI Research Institute)
J-5 A Markov Model for the Term Structure of Credit Risk Spread
Kimiaki Aonuma (Bank of Tokyo-Mitsubishi)
J-6 Volatility Smiles in the Interest Rate Option Market and the Non-normal Skewness and Kurtosis inOption-implied Distributions
Yuriko Ishida (IBJ-DL Financial Technology), Kyosui Oh (IBJ-DL Financial Technology)
J-7 Optimal Environmental Improvement Policy under Uncertainty
Motoo Tsujimura (Osaka University)
Lunch

13:35〜14:50

14:50〜16:10 Financial Time Series Econometrics
1-1 Empirical Analysis on the Term Structure of Japanese Interest Rates-Centering on the Effects of Monetary PolicyTakayasu Ito (Kyodo News)
1-2 Statistical Method of Estimating JGB Volatility Hedge-Ratios Based on Multivariate GARCH Models
Akira Hirata (Daiwa Securities SB Capital Markets)
1-3 An EGARCH Model with Possible Asymmetric Error Distributions and its Application to TOPIX
Yoshihiko Tsukuda (Tohoku University), Junji Shimada (Tohoku University)
1-4 The Return Behavior and Distribution of the Dollar/Yen Currency Market
Fumio Nakakubo (NLI Research Institute)
Coffee Break

16:10〜16:20
16:20〜18:20 Guest Session I

GI-1 Gaussian Estimation and Forecasting of Multi-Factor Term Structure Models with an Application to theUnited Kingdom and JapanK. Ben Nowman (The University of Kent)
GI-2 Formulation of Popular Interest Rate Models under the HJM Framework
Carl Chiarella (University of Technology Sydney), Oh Kang (University of Technology Sydney)
GI-3 Risk Measures
Freddy Delbaen (ETH Zurich)
18:30〜

Welcome PartyOkuma Garden House

1999.8.29(Sun.) Ibuka Memoriay Hall, Waseda University
9:30〜10:50 Stock Market Analysis
2-1 Practical Consideration of Dimensionality Reduction for Risk Control Method Using Principal
Component Analysis, Noboru Nishiyama (Graduate School of Tokyo Institute Technology)
2-2 The Stock Price and the Trading Volume of Financially Distressed Firms
Masaaki Yamada (Tokai International Securities), Jay R Rajasekera (International University of Japan)
2-3 On the Robustness of the Market Value of Equity as Risk Absorber in Cross-Sectional Regressions
Xavier Garza-Gomez (Nagoya City University), Jiro Hodoshima (Nagoya City University),
Michio Kunimura (Nagoya City University)
2-4 An Empirical Study of Testing PPP Hypotheses between Japan and the Six G7 Countries
Yoshihiko Tsukuda (Tohoku University), Tatsuyoshi Miyakoshi (Niigata University)
10:50〜11:00
Coffee Break
11:00〜12:20 Derivative Pricing
2-5 Model Effects in the Pricing of a Credit Spread Option
Koichi Miyazaki (Goldman Sachs), Tadashi Inoue(AXA Japan)
2-6 A Characterization of Default-Yield-Spread via Quantile Hedging
Jun Sekine (Osaka University)
2-7 Minimal Relative Entropy Martingale Measures and their Application to Option Pricing Theory
Yoshio Miyahara (Nagoya City University)
2-8 Pricing the Mortgage – Backed Securities (MBS) –A Model Describing the Burnout Effect –Takeaki Kariya (IBJ-DL Financial Technology), Masaaki Kobayashi (IBJ-DL Financial Technology)
12:20〜13:00
General Meeting
13:00〜14:00
Lunch
14:00〜15:00 Portfolio Management
2-9 The Optimal Log-Utility Asset Management Schemes and its Application to the U.S. Stock Market
Hiroshi Ishijima (Keio University), Hiroshi Shirakawa (Tokyo Institute of Technology)
2-10 Estimates of Beta in the Market Model, based on Rank Statistics, in Comparison with LSE
Ryozo Miura (Hitotsubashi University)
2-11 Experimental Studies of an International Portfolio Model using Integrated Optimization Approach
Hiroshi Konno (Tokyo Institute of Technology), Jing Li (Tokyo Institute of Technology)
15:00〜15:10
Coffee Break
15:10〜16:30 Guest Session II
GII-1 Models with Transaction Costs: Criteria of No-Arbitrage and Hedging Theorems
Yuri Kabanov (Universite de Franche-Comte)
GII-2 On the Log-Return Distribution of Trade Weighted Currency IndicesSimon Hurst (University of Technology Sydney), Eckhard Platen (University of Technology Sydney)
16:30〜16:40
Coffee Break
16:40〜18:00 Financial Technology
2-12 Arbitrage Free Condition of Recovery Rates under Jarrow-Turnbull Model
Hiroshi Shirakawa (Tokyo Institute of Technology)
2-13 Lattice Calculation for Forward LIBOR Model
Tadashi Uratani (Hosei University), Makoto Utsunomiya (Bank of Tokyo-Mitsubishi)
2-14 Real Option Analysis of Kanshi Kuiki System
Hiroshi Yamaguchi (The Nippon Fire & Marine Insurance)
2-15 Real Estate Investment as a Real Options with Spatial Dependency
Yuichiro Kawaguchi (Meikai University)
18:00〜18:05 Closing SpeechWaseda University
1-6-1 Nishi-Waseda Shinjuku-ku, Tokyo Japan
TRANSPORTATIONllll

By JR Yamanote Line or Seibu-Shinjuku Line - Takadanobaba Station (Approx. 20 min. walk)
By Subway Tozai Line Waseda Station (Approx. 5 min. walk)
By Tokyo City Bus – Routes : Shinjuku Station (West Exit) to Waseda (Bus Stop: Sodai Seimon/Approx.1 minwalk), Shibuya Station to Sodai Seimon or Ueno Ma tsuzakaya to Waseda (Approx. 2 min. walk)
By Tokyo City Bus (School Bus) - Route: Takadanobaba Station to Sodai Seimon
By Toden Arakawa Line (Tram) - Route: Minowabashi to Waseda (Approx. 5 min. walk)

CAMPUS MAP

Conference (Ibuka Memorial Hall)

Welcome Party(Okuma Garden House)

Information
Yasunori Katsurayama (Waseda Univresity) E-mail yasunori@cf.socs.waseda.ac.jp
Phone +813-3203-4141(Ext. 6438), Facsimile +813-5286-3828