Is Credit Risk Priced in the German Market for Structured Products? Falk Jensen (University of Hagen)
Multi-asset risk measures based on a Black-Scholes market model Christian Laudagé (Fraunhofer ITWM)
Extrapolation and Complexity Donghwa Shin (University of North Carolina at Chapel Hill)
Session II: 15:40–17:00 CEST = 9:40–11:00 a.m. EDT
What is the best leverage product? Analyzing different scenarios for hedging and speculation Marc Oliver Rieger (University of Trier)
How to Harvest Variance Risk Premiums for the Long-term Investor? Julian Dörries (University of Göttingen), Olaf Korn, Gabriel Power
Session III: 17:20–18:40 CEST = 11:20–12:40 a.m. EDT
Uncoordinated Hedging and Price Chain Reaction Jun Kyung Auh (Georgetown University), Wonho Cho
Feeback Trading and Feedback Pricing: The Intraday Case of Retail Derivatives Sebastian Schlie (University of Hagen)
Lunch / Dinner Break
Session IV: 20:00–22:00 CEST = 2:00–4:00 p.m. EDT
Can Security Design Foster Household Risk Taking? Laurent Calvet, Claire Célérier (University of Toronto), Paolo Sodini, Boris Vallée
Retail Derivatives and Sentiment: A Sentiment Measure Constructed from Issuances of Retail Structured Equity Products Brian J. Henderson, Neil D. Pearson (University of Illinois at Urbana-Champaign), Li Wang
Evaluating Design Risk: the Case of CPPIs Raquel M. Gaspar (Lisbon School of Economics and Management)
