The Fifth Conference and Fourth Ross Prize Award

MIT's Endicott House, 80 Haven Street, Dedham, MA 02026

October 16, 2015

6:00-7:30 Reception and Appetizers (Gun Room)

7:30 Dinner (Living Room)

October 17, 2015

7:30 - 8:30: Breakfast
     7:30:  Full Breakfast Buffet in Dining Room for those staying at Endicott
     8:00:  Continental Breakfast in BC Lobby for other conference participants

8:30 - 9:45: Session 1
Chair: John Campbell, Harvard University, Ross Prize Lecture

Affine Modeling in Finance Through the 20th Century!
       Darrell Duffie, Stanford University
The making of DPS, a personal account
        Jun Pan, MIT
Reflections on the Empirical and Economic Relevance of Affine Models
        Kenneth Singleton, Stanford University

9:45 - 10:05: Coffee Break

10:05 - 11:35: Session 2
Chair: Jiang Wang, MIT

The Term Structure of Variance Swaps and Risk Premia

       Yacine Ait-Sahalia, Princeton University
        Mustafa Karaman, UBS AG
        Loriano Manicini, Swiss Finance Institute

        Discussant: Ivan Shaliastovich, The Wharton School

Informed Trading and Option Prices: Evidence from Activist Trading

       Pierre Colin Dufresne, Swiss Finance Institute
        Vyacheslav Fos, Boston College
        Dmitriy Muravyev, Boston College

        Discussant: Vish Viswanathan, Duke University

11:35 - 12:55: Lunch Break (Living Room)

12:55 - 2:40: Session 3: Papers presented by “juniors” (25 min. present, 10 min. general comments))
Chair: Mark Grinblatt, UCLA

Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle
        Hui Chen, MIT
        Rui Cui, University of Chicago
        Zhiguo He, University of Chicago
        Konstantin Milbradt, Northwestern

Model of Monetary Policy and Risk Premia
        Itamar Drechsler, NYU
        Alexi Savov, NYU
        Philipp Schnabl, NYU

The Price of Political Uncertainty: Theory and Evidence from the Option Market
        Bryan Kelly, University of Chicago
        Lubos Pastor, University of Chicago
        Pietro Veronesi, University of Chicago

2:40 - 3:00: Coffee Break

3:00 - 4:00: Panel on “Is bond market liquidity really getting worse? If so, why?”
Moderator: Chester Spatt, Carnegie Mellon University

       Darrell Duffie, Stanford University
       Jonathan Sokobin, FINRA
       Scott Richard, The Wharton School

4:00 - 5:00: Panel on “Finance and Big Data: Practices, Challenges, Lessons?”
Moderator: Steve Ross

       Pete Kyle, University of Maryland
       Charles Jones, Columbia Business School
       Owen Lamont, Wellington Management & Harvard University

5:10 - 6:10: FARFE annual members meeting

6:10 - 7:30: Reception and Appetizers

7:30: Dinner