Programme Announcement
Conference on Currency Trading and Risk Premia

On: Thursday 21 March 2013 10:00-18:00

At: Oxford-Man Institute of Quantitative Finance, University of Oxford

REGISTRATION: Online registration: http://www.oxforduniversitystores.co.uk/browse/extra_info.asp?compid=1&catid=729&modid=1&prodid=6232&deptid=116&prodvarid=0

FURTHER INFORMATION: More information on: http://www.oxford-man.ox.ac.uk/events/spring-2013-conference-on-currency-trading-and-risk-premia

ORGANIZERS: Tarun Ramadorai (Oxford), Lucio Sarno (Cass)

The conference is kindly sponsored by the Oxford-Man Institute for Quantitative Finance.

TIME ALLOCATION: Presenters have 30 minutes, discussants 20 and the audience 10 minutes for each paper.

PROGRAM:
10:00-10:30 Registration and Coffee

10:30-11:30 A New Look at the Forward Premium Puzzle
Jacob Boudoukh, Arison School of Business, IDC; Matthew Richardson, Stern School of Business, NYU; Robert F. Whitelaw, Stern School of Business, NYU
Discussant: Pasquale Della Corte, Imperial College Business School

11:30-12:30 The Currency Variance Risk Premium and Exchange Rate Predictability
Pasquale Della Corte, Imperial College Business School; Tarun Ramadorai, Said Business School and Oxford-Man Institute, University of Oxford; Lucio Sarno, Cass Business School, City University
Discussant: Andrea Vedolin, London School of Economics

12:30-13:30 LUNCH

13:30-14:30 The Share of Systematic Variation in Bilateral Exchange Rates
Adrien Verdelhan, Sloan School of Business, MIT
Discussant: Federico Gavazzoni, INSEAD

14:30-15:30 Commodity Trade and the Carry Trade: A Tale of Two Countries
Robert Ready, Simon School of Business, University of Rochester; Nikolai Roussanov, The Wharton School, University of Pennsylvania; Colin Ward, The Wharton School, University of Pennsylvania
Discussant: Rui Albuquerque, Boston University School of Management

15:30-16:00 TEA/COFFEE

16:00-17:00 Probability Weighting of Rare Events and Currency Returns
Fousseni Chabi-Yo, Fisher College of Business, Ohio State University; Zhaogang Song, Board of Governors of the Federal Reserve System
Discussant: Maik Schmeling, Cass Business School

17:00-17:30 Keynote Lecture 1: Pedro Santa-Clara, Nova School of Business and Economics

17:30-18:00 Keynote Lecture 2: Craig Burnside, Duke University

18:30-21:30 DRINKS AND CONFERENCE DINNER AT BRASENOSE COLLEGE

DINNER PARTICIPATION: Please send a short email to: events@oxford-man.ox.ac.uk if you wish to attend the post conference dinner. Please note that there are a limited number of places at dinner, which will be allocated on a first-response basis.

You may also be interested in attending the Adam Smith Workshops in Asset Pricing & Corporate Finance on 22nd & 23rd March 2013 at the Said Business School, University of Oxford. See: http://www.sbs.ox.ac.uk/Documents/newsletters/asap_invite.html