FERM2010: the fifth FERM Symposium

Financial Engineering and Risk Management International Symposium 2010 (FERM2010)

Taipei, June 10-12, 2010

FERM2010 is the fifth of the FERM series started in 2005. The series has grown into a great gathering of academic researchers and industry practitioners to exchange state-of-art knowledge and discoveries in financial engineering and risk management, and discuss the recent financial crisis, recent research interests and current industry trends. It produces fusion among academic researchers and industry practitioners and provides an excellent educational opportunity for the students.

FERM2010 is co-sponsored by Princeton University and National Taiwan University, co-chaired by Professors Rong Chen, Jianqing Fan, Chung-Ming Kuan and Eric Xingguo Pan. It will feature several keynote speakers, including Professor Tim Bollerslev of Duke University, Mr. Jay Dweck, Global Head of the Strategic Analytics, Modeling and Systems Group, Morgan Stanley, and Professor Harrison Hong of Princeton University. In addition, fifteen invited sessions, fifteen contributed sessions and a poster session are planned. More detailed information will be available on the symposium website http://www.fin.ntu.edu.tw/~ferm2010/

Venue: GIS NTU Convention Center, National Taiwan University, Taipie, Taiwan

Host:
Center for Research in Econometric Theory and Applications (CRETA), National Taiwan University

Co-Hosts:

• College of Management, National Taiwan University.
• Department of Operations Research and Financial Engineering, Princeton University.

Sponsors:

• Cathay Financial Holdings.
• Fubon Financial Holding Co., Ltd.
• S.S. Wilks Memorial Fund, Princeton University.
• Taiwan Stock Exchange Corporation.

Program Co-Chairs:

• Rong Chen (Rutgers University)
• Jianqing Fan (Princeton University; Conference Organizer)
• Chung-Ming Kuan (National Taiwan University; Conference Organizer)
• Eric Xingguo Pan (Morgan Stanley)

Committee Members:

• Chunrong Ai (University of Florida)
• Yacine Ait-Sahalia (Princeton University)
• Gilbert Basseet (University of Illinois at Chicago)
• Zongwu Cai (University of North Carolina at Charlotte)
• San-Lin Chung (National Taiwan University)
• Jin-Chuan Duan (National University of Singapore)
• Mao-Wei Hung (National Taiwan University)
• Yongmiao Hong (Cornell University)
• Steven Kou (Columbia University)
• Per Mykland (University of Chicago)
• Neil Shephard (Oxford University)
• Xunyu Zhou (Oxford University)
• Ruey Tsay (University of Chicago)
• Robert Ferstenberg (Morgan Stanley)
• Mark Higgins (JP Morgan)

Keynote Speakers:

• Tim Bollerslev, Juanita and Clifton Kreps Professor of Economics and Finance, Duke University.
• Jay Dweck, Global Head of Strategies and Technology, Institutional Securities, Morgan Stanley.
• Harrison Hong, John Scully Professor of Economics and Finance and winner of Ficher Black Prize of American Finance Association.

Invited Speakers

• Chunrong Ai (University of Florida)
• Ning Cai (Hong Kong University of Science and Technology)
• Zongwu Cai (University of North Carolina at Charlotte and Xiamen University)
• Bin Chen (University of Rochester)
• Ren-Raw Chen (Fordham University)
• Rong Chen (Rutgers University)
• Huimin Chung (National Chiao-Tung University)
• Drew D. Creal (University of Chicago)
• Jin-Chuan Duan (National University of Singapore)
• Jianqing Fan (Princeton University)
• Robert Ferstenberg (Morgan Stanley)
• Xiaohui Gao (Hong Kong University)
• Eric Ghysels (University of North Carolina)
• Mark Higgins (JP Morgan)
• Bing-Yi Jing (Hong Kong University of Science & Technology)
• Takeaki Kariya (Kyoto University)
• Robert Kimmel (Ohio State University)
• Anthony Ledford (AHL Research Team, Man Investments)
• David X. Li (China International Capital Corporation)
• Haitao Li (University of Michigan)
• Xindan Li (Nanjing University)
• Yingying Li (Hong Kong University of Science and Technology)
• Zhongfei Li (Sun Yat-Sen University)
• Ji-Chai Lin (Louisiana State University)
• Tse-Chun Lin (HongKong University)
• Jinquan Liu (Jilin University)
• Eric Xingguo Pan (Morgan Stanley)
• Joon Park (Indiana University)
• Dale Rosenthal (University of Illinois at Chicago)
• Wolfgang Schmidt (Frankfurt School of Finance & Management)
• Yi Tang (Morgan Stanley)
• George Tauchen (Duke University)
• Larry Tzeng (National Taiwan University)
• Hajime Wago (Kyoto Sangyo University)
• Hefei Wang (University of Illinois at Chicago, Chicago, IL)
• Shouyang Wang (Chinese Academy of Science)
• Yaw-Huei Jeffrey Wang (National Taiwan University)
• Hoi Ying Wong (Chinese University of Hong Kong)
• Chunchi Wu (University of Missouri)
• Yangru Wu (Rutgers University)
• Xiaoguang Yang (Chinese Academy of Science)
• Jin-Huei Yeh (National Central University)
• Jialin Yu (Columbia University)
• Meng-Lan Yueh (National Chengchi University)
• Yansi Zhang (IV Capital America LP)
• Fei Zhou (Moore Capital)
• Yong Zhou (Chinese Academy of Sciences)
• Zhongyan Zhu (Chinese University of Hong Kong)