Event details
Fourth Conference on Advances in the Analysis of Hedge Fund Strategies
Date: 3rd December 2009
Venue: Imperial College London
Organiser: Dr Robert Kosowski
Keynote speaker: Peter Carr (NYU Courant Institute & Bloomberg)
Programme
Speakers
- Andrea Buraschi (Imperial College London)
- Dimitri Vayanos (London School of Economics)
- Peter Carr (Bloomberg Quant Research)
- Paul Schneider (University of Warwick)
- Haitao Li (Stephen M. Ross School of Business, University of Michigan)
- Andrea Vedolin (University of Lugano)
- Jie Cao (Faculty of Business, Chinese University of Hong Kong)
- Grigory Vilkov (Goethe University Frankfurt)
- Robert Kosowski (Imperial College London)
- Tarun Ramadorai (Said Business School & Oxford-Man Institute of Quantitative Finance, University of Oxford)
- Christian Wagner (Vienna University of Economics and Business)
- Vasant Naik (Nomura)
- Alexander David (Haskayne School of Business, University of Calgary)
- Filippo Altissimo (Brevan Howard)
- Francesco Garzarelli (Goldman Sachs)
Papers
Copies of the papers presented at the workshop can be found below:
Session 1: Volatility and Correlation Trading
‘When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia‘, Andrea Buraschi (Imperial College London), Fabio Trojani (University of Lugano) and Andrea Vedolin (University of Lugano)
‘Volatility Trading‘, Peter Carr (Bloomberg Quant Research)
Session 2: Arbitrage Opportunities in CDS and Option Markets
‘Exploring Statistical Arbitrage Opportunities in the Term Structure of CDS Spreads‘, Robert Jarrow (Johnson Graduate School of Management, Cornell University), Haitao Li (Stephen M. Ross School of Business, University of Michigan), and Xiaoxia Ye (Wang Yanan Institute for Studies in Economics, Xiamen University)
‘Option Returns and Individual Stock Volatility‘, Jie Cao (Faculty of Business, Chinese University of Hong Kong) and Bing Han (McCombs School of Business, University of Texas at Austin)
Session 3: Hedge Fund and CTA Return Predictability
‘Hedge Fund Predictability Under the Magnifying Glass: Forecasting Individual Fund Returns Using Multiple Predictors‘, Doron Avramov (R.H. Smith School of Business, University of Maryland), Laurent Barras (Faculty of Management, McGill University), and Robert Kosowski (Imperial College London)
‘Theoretical and Empirical Properties of Foreign Exchange Risk Premia‘, Lucio Sarno (Cass Business School), Paul Schneider (Warwick Business School, University of Warwick), Christian Wagner (Vienna University of Economics and Business)
Session 4: Macro-strategies
‘What Ties Return Volatilities to Price Valuations and Fundamentals?‘, Alexander David (Haskayne School of Business, University of Calgary) and Pietro Veronesi (Graduate School of Business, University of Chicago)