Cividale del Friuli, 5-7 July 2012

XIII Iberian-Italian Congress of Financial and Actuarial Mathematics

Programme

July 4 - Arrival of partecipant

Accreditation
Hotel Roma from 5 p.m. to 8 p.m.

July 5 - First day of Congress

Centro Convegni San Francesco - piazza San Francesco 22

  • 08.30-10.00 Accreditation
  • 09.30 Welcome speech
  • 10.00 Coffee break
  • 10.30-13.00 Session I. Dec
  • 13.00 Lunch (served at Centro Convegni)
  • 15.00-16.00 Invited general conference Annarita Bacinello (University of Trieste)
  • 16.00-17.30 Session II
  • 17.30 Guided tour of Cividale
  • 20.00 - Welcome dinner at Chiostro Convento delle Orsoline - Cividale

July 6 – Second day of Congress, Centro Convegni San Francesco

Centro Convegni San Francesco - piazza San Francesco 22

  • 09.00-10.30 Session IIi
  • 10.30-11.00 Coffee Break
  • 11.00-13.00 Session IV
  • 12.00 - Communications
  • 13.00 - Lunch (served at Centro Congressi)
  • 15.00-16.00 Invited general conference Antonino Zanette (University of Udine)
  • 16.00-16.30 - Coffee break
  • 16.30-18.30 Session V
  • 20.00 - Official dinner at Restaurant “Al Monastero” - Cividale

July 7 – Third day of Congress

  • 09.00 - Trip to Aquileia (with bus stop at Airport of Trieste)
  • 10..00 – 10.30 Arrival in Aquileia and guided visit to Basilica and other historical monuments and museums. During the visit there will be a “wine break” also with the possibility to take a coffee or other soft drinks.
  • 13.00 - Lunch in Aquileia at the end of the guided tour at Hostaria al Parco Aquileia, alternatively trip by bus to Cervignano Railway Station and Airport of Trieste
  • 15.00 - Back trip to Cividale with a stop at Cervignano Railway Station – and a stop at Trieste Airport.
  • 17.00 - Arrival in Cividale and end of the programme.



DETAILED PROGRAM


July 5 - First day of Congress


  • 08.30-10.00 Accreditation
  • 09.30 Welcome speech
  • 10.00 Coffee Break
  • 10.30-13.00 Session I. Asset Pricing - Chair : Josè Luis Miralles Marcelo
  • Papers :
  • Do classical pricing models allow us to outperform the market portfolio?

    Raquel Balbás
  • Socially responsible mutual funds: an efficiency comparison among the European countries

    Antonella Basso Stefania Funari
  • Pan-European Pre-holiday Effects

    Óscar Carchano and Ángel Pardo
  • Idiosyncratic Risk and Asset Pricing Anomalies

    José Luis Miralles Marcelo, José Luis Miralles Quiró, Julio Daza Izquierdo
  • Optimal Portfolio Allocation Decisions with Multivariate GARCH models

    José Luis Miralles Marcelo, José Luis Miralles Quirós, María del Mar Miralles Quirós

  • 13.00 - Lunch (served at Centro Convegni)
  • 15.00-16.00 Invited general conference - Chair : Antonella Basso
  • Annarita Bacinello: Titolo
  • 16.00-17.30 Session II. Corporate Finance - Chair : María Ángeles Fernández Izquierdo
  • Papers :
  • Profitability of merger agreements in a bivariate binomial setting

    Arianna Agosto, Enrico Moretto
  • On the utility of WACC

    Fabrizio Cacciafesta
  • Does Board Diversity Affect Corporate Performance?

    Idoya Ferrero Ferrero, María Ángeles Fernández Izquierdo, María Jesús Muñoz Torres

  • 17.30 Guided tour of Cividale
  • 20.00 Welcome dinner at Chiostro Convento delle Orsoline - Cividale


  • July 6 – Second day of Congress


    • 09.00-10.30 Session III. Bond Markets Chair : Eliseo Navarro
    • Papers :
    • Liquidity ‘life cycle’ in US Treasury bonds

      Antonio Díaz, Ana Escribano
    • Diversified, stochastic and contingent Immunization strategies in the Spanish Treasury Market

      Antonio Díaz, María de la O González, Eliseo Navarro
    • Constructing interest rate volatility indices over short- and long-term horizons

      Raquel López, Eliseo Navarro

    • 10.30-11.00 Coffee Break

    • 11.00-13.00 Session IV . Finance - Chair : : Maria Paz Jorda Durà
    • Papers:
    • Bank CDS spreads and Banking Fragility

      Laura Ballester, Miquel Barbara Casu Lukac, Ana González-Urteaga
    • Commodity Derivatives Valuation under a factor model with time-varying risk premia

      Andrés García Mirantes, Javier Población, Gregorio Serna
    • A behavioral approach to the pricing of European options

      Martina Nardon, Paolo Pianca
    • Evolution of Equity Markets CVaR during the Crisis

      Patrizia Stucchi

    • 13.00 - Lunch (served at Centro Convegni)

    • 15.00-16.00 Invited general conference - Chair : Flavio Pressacco
    • Tree methods for Exotic options

      Antonino Zanette

    • 16.00 – 16.30 Coffee break

    • 16.30-18.30 Session V. Decision Theory and Applications-Insurance - Chair : Alejandro Balbás
    • Papers :
    • Prediction Error For Credible Claims Riserves: A H-Likelihood Approach

      Patrizia Gigante, Liviana Picech, Luciano Sigalotti
    • Pension funds optimal investment

      Pilar Requena
    • Vector Risk Functions

      Alejandro Balbás
    • Methodology to evaluate the environmental performance in agri-food industry

      ESCRIG OLMEDO ELENA, MUÑOZ TORRES, MARÍA JESÚS, RIVERA LIRIO, JUANA MARÍA and FERNÁNDEZ IZQUIERDO, MARÍA ÁNGELES
    • The influence of tax compliance burden upon the size of the informal economy: Europe and Latin American countries

      SAINT-SUPÉRY CEANO-VIVAS, MURIEL, MUÑOZ TORRES, MARÍA JESÚS, RIVERA LIRIO, JUANA MARÍA

    • 20.00 - Official dinner at Restaurant “Al Monastero” - Cividale. During the gala dinner at Ristorante Monastero music of the Aquileia and Cividale old culture and of popular Furlan tradition by group Soavi Accenti directed by magister Zinutti under the patronage of Gilberto Pressacco association, province of Udine and FVG ministry of culture.