Conference on Financial Innovation: 35 Years of Black/Scholes & Merton. October 16th and 17th, 2008. Owen Graduate School of Management. Vanderbilt University. Nashville, TN


	THURSDAY, OCTOBER 16, 2008 7:30 Breakfast 8:15 Opening Remarks Nick Zeppos, Chancellor, Vanderbilt University 8:30 Financial Innovation: The Past 35 Years Moderator: Robert E. Whaley, Vanderbilt University Keynote Speaker: Leo Melamed, Chairman Emeritus, CME Group Video: Keynote Speaker - Leo Melamed Transcript: Melamed Keynote 9:00 Session 1: Volatility Markets Chair: Emanuel Derman, Columbia University Nicolas P.B. Bollen, Vanderbilt University Empirical Analysis of VIX Options: Lessons from a Flourishing Market Powerpoint: 1 s Bolen.pdf Krag “Buzz” Gregory, Goldman Sachs Volatility As an Asset Class Paper: 2 Gregory.pdf Powerpoint: 2 s Gregory.pdf Peter Carr, Bloomberg LP and Courant Institute, New York University Variance Risk Premia Paper: 2 Gregory.pdf 10:30 Break 11:00 Session 2: Real Estate Markets Chair: Simon Gervais, Duke University Robert Shiller, Yale University Derivatives Markets for Home Prices Paper: 4 Shiller.pdf Nancy Wallace, University of California, Berkeley Volatility, Mortgage Default, and CMBS Subordination Paper: 5 Wallace.pdf 12:00 Lunch 1:30 Session 3: Credit Markets Chair: Clifford A. Ball, Vanderbilt University Thomas Ho, Thomas Ho Company, Ltd. Valuation of Interest Rate and Credit Contingent Claims: A Unified Model Paper: 6 Ho.pdf Powerpoint: 6 s Ho.pdf Francis Longstaff, UCLA Asset Pricing and the Credit Market Paper: 8 Longstaff.pdf Powerpoint: 8 s Longstaff.pdf 3:00 Break 3:30 Financial Innovation: The Next Decade Moderator: Hans R. Stoll, Vanderbilt University Leo Melamed, Chairman Emeritus, CME Group Robert Merton, John and Natty McArthur University Professor, Harvard Business School Myron Scholes, Frank E Buck Professor of Finance, Emeritus, Stanford University and Chairman, Platinum Grove Asset Management, L.P. 6:00-9:00 Reception and dinner – Country Music Hall of Fame FRIDAY, OCTOBER 17, 2008 7:30 Breakfast 8:30 Session 4: Stock Index Option Markets Chair: Craig Lewis, Vanderbilt University George Constantinides, University of Chicago Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence Paper: 9 Constantinides.pdf Powerpoint: 9 s Constantinides.pdf Michael Johannes, Columbia University Understanding Index Option Returns Paper: 10 Johannes.pdf Stephen Figlewski, New York University Estimation of Risk-Neutral Density Functions Paper: 11 Figlewski.pdf Powerpoint: 11 s Figlewski.pdf 10:00 Break 10:30 Session 5: Real Options Chair: Jacon Sagi, Vanderbilt University Kerry Back, Texas A&M University Open Loop Equilibria and Perfect Competition in Option Exercise Games Paper: 12 Back.pdf Neng Wang, Columbia University Financing Real Options Paper: 13 Wang.pdf Powerpoint: 13 s Wang.pdf 11:30 Session 6: Share-based Compensation Contracts Chair: Duke Chapman Kevin Murphy, University of Southern California The Cost and Value of Employee Stock Options Powerpoint: 14 s Murphy.pdf Richard Stanton, University of California, Berkeley Optimal Exercise of Executive Stock Options and Implications for Firm Cost Paper: 15 Stanton.pdf 12:30 Closing Remarks and Lunch Robert E. Whaley, Vanderbilt University 2:00 Departures