Economics of Financial MarketsOrganized by Pradeep Dubey and William ZameJuly 11 to July 16, 1995Stony Brook, New YorkPROGRAM | |
| Intensive Course: Economics of Financial Markets
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TUESDAY, JULY 11
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| 10:00-12:15 | J. Geanakoplos:
The Basic Two-Period GEI Model + Capital Asset
Pricing Model + Arbitrage Pricing Model
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| 2:15-4:30 | W. Zame:
Derivatives, the Multiperiod Model, Black-Scholes
Theory, Modigliani-Miller Principle
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WEDNESDAY, JULY 12
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| 10:00-12:15 | R. Elul:
Efficiency and Constrained Efficiency
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| 2:15-4:30 | P. Dubey:
Monetary Equilibrium with Missing Markets
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| Course and Workshop on Financial Innovation
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THURSDAY, JULY 13
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| 10:00-12:00 | R. Rahi:
Overview
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| Invited and Submitted Papers | |
| 2:15-2:45 | R. Shiller (joint with S. Athanasoulis): World Income Components: Measuring and Exploiting Risk-Sharing |
| 2:15-2:45 | P. DeMarzo (joint with D. Duffie):
A Liquidity-Based Model of Security Design
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| Practitioners in Finance
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FRIDAY, JULY 14
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| 10:00-11:00 | A. Kalai (Tel Aviv University Business School,
consultant to several Israeli mutual funds):
Unavoidable Profit Opportunities
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| 11:15-12:00 | G. Huberman (Columbia University and J.P. Morgan):
Unavoidable Profit Opportunities
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| 2:15-3:15 | J.H. Simon (Renaissance Technologies Corp.):
Mathematics, Common Sense, and Good Luck
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| 3:30-4:30 | N. Vaghul (Chairman, Industrial Credit & Investment Corporation of India):
The Changing Scenario of the Indian Capital
Markets
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| General Conference
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SATURDAY, JULY 15
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| 9:30-10:15 | S. Bose:
Use and Regulation of Information in an Incomplete
Markets Model with Default and Restricted
Participation
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| 10:30-11:15 | M. Krishnan (joint with U. Bhattacharya):
To Believe or Not to Believe
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| 11:30-12:15 | G.Y. Luo:
Futures Market and Irrational Noise Traders:
Economic Natural Selection
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| 2:15-3:00 | J. Berk:
Does Size Really Matter?
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| 3:15-4:00 | S.F. LeRoy (joint with D.G. Steigerwald):
Volatility
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| 4:15-5:00 | J. Ostroy (joint with S. Potter):
Firm Valuations in a Real Business Cycle Model
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SUNDAY, JULY 16
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| 9:30-10:15 | Z. Wiener (joint with Y. Bergman and B. Grundy):
Theory of Rational Option Pricing II
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| 10:30-11:15 | J. Paul:
Information Aggregation Without Exogenous
"Liquidity" Trading
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| 11:30-12:15 | W. Zame:
Default, Collateral and Derivatives
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| 2:15-3:00 | J.-M. Bottazzi (joint with T. Hens):
On Excess Demand Functions with Incomplete Markets
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| 3:15-4:00 | C. Skiadas (joint with P. DeMarzo):
On the Uniqueness of Fully Revealing Equilibria
and the Existence of Non-Fully Revealing
Equilibria
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