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10th Cambridge-Princeton event 26-27 September 2014

The Cambridge-Princeton annual finance event took place in Cambridge on the 26th-27th September 2014.

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FRIDAY, 26 September

1:00 – 2:00 pm

Room W2.01 in Cambridge Judge Business School

2:00 – 2.05 pm


by Bart Lambrecht (University of Cambridge)


Session 1

Chair : Chryssi Giannitsarou (University of Cambridge)


2:05 pm

Existence of Krusell-Smith Equilibria

Patrick Cheridito and Juan Sagredo  (Princeton University)



2:50 pm

Financial Innovation and Backward Stochastic Difference Equations

Ezequiel Antar and Michael Dempster (University of Cambridge)



3:35 pm



Session 2

Chair: Michael Dempster (University of Cambridge)

4:05 pm

Measures of Systemic Risk

Birgit Rudloff  (Princeton University)



4.50 pm

Uniform Bounds for Black-Scholes Implied Volatility

Mike Tehranchi (University of Cambridge)






SATURDAY, 27 September

Lecture Theatre 3, Cambridge Judge Business School



Session 3

Chair: William Janeway (University of Cambridge)


9.00 am

The First Era of Financial Globalization: Evidence from US Railroads

David Chambers (University of Cambridge), Sergei Sarkissian (McGill University), Michael J. Schill (University of Virginia)



9.45 am

Innovation and Competition in the Presence of Speculation

Valentin Haddad (Princeton University) Erik Loualiche (MIT)



10.30 am




Session 4

Chair : Eva Steiner (University of Cambridge)

10.50 am

The Firm-level Real Effects of Bank-scope Deregulation: Evidence from the rise of the Universal Banking

Daniel Neuhann (University of Pennsylvania), Farzad Saidi (University of Cambridge)



11.35 am

Credit Expansion and Neglected Crash Risk

Matthew Baron and Wei Xiong (Princeton University)





Session 5

Chair: Flavio Toxvaerd (University of Cambridge)


2.45 pm

Dynamic Trading: Price Inertia, Front-Running and Relationship Banking

Yuliy Sannikov (Princeton University) Andrzej Skrzypacz (Stanford University)



3.30 pm

The Role of Institutional Investors in Voting: Evidence from the Securities Lending Market

Reena Aggarwal (Georgetown University), Pedro Saffi (University of Cambridge), Jason Sturgess (DePaul University)



4.15 pm




Session 6

Chair: Pedro Saffi (University of Cambridge)


4.35 pm

Taking Advantage of Rebalancing Gains by Randomization and Synthetic Diversification of Investment Tactics

John M. Mulvey (Princeton University), Woo Chang Kim (Korea Advanced Institute of Science and Technology and Princeton University), and Maximilian Goer (Princeton University)



5.20 pm

Understanding Equity Comovement - An Information Based Approach

Nicky J Ferguson and P Raghavendra Rau (University of Cambridge)







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