ESRC ADVANCED TRAINING PROGRAMME IN ASSET PRICING
13 – 17 SEPTEMBER 2010
MBA Lecture theatre, Streatham Court, University of Exeter, Rennes Drive, Exeter
Monday 13 September
Absence of Arbitrage in Financial
Markets
Jean-Pierre Zigrand
London School of Economics
Tuesday 14 September
Real option modelling; separating
flexibility modelling from diffusion
selection
Mark Shackleton
Lancaster University
Management School
Wednesday 15 September
Continuous Time with Discontinuity
Ser-Huang Poon
Manchester Business School
Thursday 16 September
Friday 17 September
1) Asset prices in an economy
with heterogeneity in preferences
and beliefs
1) Limits of arbitrage
2) Asset pricing with institutional
frictions
2) Improving the out-of-sample
performance of asset allocation
and portfolio choice models
Dimitri Vayanos
London School of Economics
Raman Uppal
London Business School
09.30-10.00 (Xfi Atrium)
Registration & Coffee, Introduction
and Welcome
09.15 Coffee/tea
MBA Lecture Theatre
09.15 Coffee/tea
09.15 Coffee/tea
09.15 Coffee/tea
10.00-11.00 Session 1
09.30-11.00 Session 1
09.30-11.00 Session 1
09.30-11.00 Session 1
09.30-11.00 Session 1
11.00-11.30 Coffee/tea
11.00-11.30 Coffee/tea
11.00-11.30 Coffee/tea
11.00-11.30 Coffee/tea
11.00-11.30 Coffee/tea
11.30-13.00 Session 2
11.30-13.00 Session 2
11.30-13.00 Session 2
11.30-13.00 Session 2
11.30-13.00 Session 2
13.00-14.00 Lunch
13.00-14.00 Lunch
13.00-14.00 Lunch
13.00-14.00 Lunch
14.00-15.30 Session 3
14.00-15.30 Session 3
14.00-15.30 Session 3
14.00-15.30 Session 3
14.00-15.30 Session 3
15.30-16.00 Coffee/tea
15.30-16.00 Coffee/tea
15.30-16.00 Coffee/tea
15.30-16.00 Coffee/tea
15.30-16.00 Coffee/tea
16.00-17.30 Session 4
16.00-17.30 Session 4
16.00-17.30 Session 4
16.00-17.30 Session 4
16.00-17.30 Session 4
13.00-14.00 Lunch