2015 Derivative Markets Conference
13-14 August 2015, Auckland, New Zealand
The Auckland Centre for Financial Research at the Faculty of Business and Law, Auckland University of Technology will be hosting a two-day conference that focuses on derivative markets. We invite academics and professionals to submit papers that model/explain features of derivative markets.
CLICK HERE for the Academic Programme
SPECIAL ISSUE
The Journal of Futures Markets has dedicated a special issue on “Agricultural and Commodity Derivatives” to selected papers presented at the conference.
KEYNOTE SPEAKER:
Prof. Robert I. Webb, University of Virginia, US
BEST PAPER AWARDS:
Best Paper Award NZD 2,000
Runner Up Award NZD 1,000
PAPER SUBMISSION:
Deadline for paper submission: 15 May 2015
Papers can be submitted by clicking the button below.
Authors will be informed of the outcome of their submission by June 15 2015.
REGISTRATION:
Deadline for registration is 1 July 2015 (NZD350 Registration Fee).
MEETING ORGANIZERS:
Bart Frijns
Professor of Finance, AUT University
Director of the ACFR
Alireza Tourani-Rad
Professor of Finance, AUT University
Robert I. Webb
Professor of Finance, University of Virginia, US
Friday 14th August 2015
09h00 to 10h30 - Session One
Stream 1 Chair: Robert Webb, University of Virginia
Presenter: Alex Frino, Macquarie Graduate School of Management
Discussant: Feng Zhao, University of Texas
Presenter: Peter Prins, Wageningen UR
Paper: The Impact of Commodity Futures Characteristics on the Roll Return
Discussant: Jedrzej Bialkowski, University of Canterbury
Presenter: Malick Sy, RMIT University
Discussant: Adrian Fernandez-Perez, Auckland University of Technology
Stream 2 Chair: Bart Frijns, Auckland University of Technology
Presenter: Talis Putnis, University of Technology Sydney
Paper: Who sets the price of gold? London or New York
Discussant: Lars Nordén, Stockholm Business School
Presenter: Bart Frijns, Auckland University of Technology
Paper: Precious Metals, Oil and the Exchange Rate: Contemporaneous Spillover Effects
Discussant: Fang Zhen, University of Otago
Presenter: Angelo Aspiris, University of Sydney
Paper: Towards a new Fix: Assessing the new Fix Regimes for Metals Trading
Discussant: Susan Thorp, University of Sydney
11h00 to 12h30 - Session Two
Stream 1 Chair: Alex Frino, Macquarie Graduate School of Management
Presenter: Changi Kim, Korea University
Discussant: Ivan Indriawan, Auckland University of Technology
Presenter: Susan Thorp, University of Sydney
Paper: Crude oil and agricultural futures: an analysis of correlation dynamics
Discussant: Alex Frino, Macquarie Graduate School of Management
Presenter: Feng Zhao, University of Texas
Paper: Trading Activity and Price Behavior in the Agricultural Futures Markets
Discussant: Peter Erdos, RPM Risk & Portfolio Management
Stream 2 Chair: Erik Schlögl, University of Technology Sydney
Presenter: Geul Lee, UNSW Business School
Paper: Impact of truncation on model-free implied moment estimator
Discussant: Thijs van der Heijden, University of Melbourne
Presenter: James Yae, University of Houston
Paper: A Comprehensive Look at the Option-Implied Predictors of Stock Returns
Discussant: Geul Lee, UNSW Business School
Presenter: Jose Da Fonseca, Auckland University of Technology
Paper: Analytic Pricing of Volatility-Equity Options within Wishart-Based Stochastic Volatility Models
Discussant: James Yae, University of Houston
14h00 to 15h30 - Session Three
Stream 1 Chair: Talis Putnis, University of Technology Sydney
Presenter: Stefan Trück, Macquarie University
Paper: Convenience Yields and Risk Premiums in the EU-ETS - Evidence from the Kyoto Commitment Period
Discussant: Rachel Pownall, Maastricht University
Presenter: Thijs van der Heijden, University of Melbourne
Paper: The option value in timing derivative trades
Discussant: Baeho Kim, Korea University
Presenter: Geul Lee, UNSW Business School
Paper: Effectiveness of linear extrapolation in model-free implied moment estimation
Discussant: Talis Putnis, University of Technology Sydney
Stream 2 Chair: Lars Nordén, Stockholm Business School
Presenter: Adrian Fernandez-Perez, Auckland University of Technology
Paper: Skewness
Discussant: Changi Kim, Korea University
Presenter: Fang Zhen, University of Otago
Paper: A Theory of the CBOE SKEW
Discussant: Jose Da Fonseca, Auckland University of Technology
Presenter: Stefan Trück, Macquarie University
Paper: Factors of the Term Structure of Realized Risk Premiums in Currency Forward Markets
Discussant: Malick Sy, RMIT University
16h00 to 17h30 - Session Four
Stream 1 Chair: Feng Zhao, University of Texas
Presenter: Baeho Kim, Korea University
Paper: A Smiling Bear in the Equity Option Market and the Cross-section of Stock Returns
Discussant: Bart Frijns, Auckland University of Technology
Presenter: Peter Erdos, RPM Risk & Portfolio Management
Discussant: Peter Prins, Wageningen UR
Presenter: Rachel Pownall, Maastricht University
Paper: Art Backed Lending: Implied Spreads and Art Risk Management
Discussant: Susan Thomas, Indira Ghandi Institute of Development Research
Stream 2 Chair: Alireza Tourani-Rad, Auckland University of Technology
Presenter: Sargam Jain & Susan Thomas, Indira Ghandi Institute of Development Research
Paper: Do futures markets help in price discovery and risk management for commodities in India?
Discussant: Stefan Trück, Macquarie University
Presenter: Lars Nordén, Stockholm Business School
Paper: Components of the Bid-Ask Spread and Variance: A Unified Approach
Discussant: Angelo Aspiris, University of Sydney
Presenter: Jan Koeman, University of Canterbury
Paper: Cross-hedging on the International Milk-derived Product Market
Discussant: Alireza Tourani-Rad, Auckland University of Technology