24th International Conference on Information Modelling and Knowledge Bases

In the last three decades information modelling and knowledge bases have become essentially important subjects not only in academic communities related to information systems and computer science but also in the business area where information technology is applied. The series of European – Japanese Conference on Information Modelling and Knowledge Bases (EJC) originally started as a co-operation initiative between Japan and Finland in 1982. The practical operations were then organised by professor Ohsuga in Japan and professors Hannu Kangassalo and Hannu Jaakkola in Finland (Nordic countries). Geographical scope has expanded to cover Europe and also other countries. Workshop characteristic - discussion, enough time for presentations and limited number of participants (50) / papers (30) - is typical for the conference. Suggested topics include, but are not limited to: 1. Conceptual modelling: Modelling and specification languages; Domain-specific conceptual modelling; Concepts, concept theories and ontologies; Conceptual modelling of large and heterogeneous systems; Conceptual modelling of spatial, temporal and biological data; Methods for developing, validating and communicating conceptual models. 2. Knowledge and information modelling and discovery: Knowledge discovery, knowledge representation and knowledge management; Advanced data mining and analysis methods; Conceptions of knowledge and information; Modelling information requirements; Intelligent information systems; Information recognition and information modelling. 3. Linguistic modelling: Models of HCI; Information delivery to users; Intelligent informal querying; Linguistic foundation of information and knowledge; Fuzzy linguistic models; Philosophical and linguistic foundations of conceptual models. 4. Cross-cultural communication and social computing: Cross-cultural support systems; Integration, evolution and migration of systems; Collaborative societies; Multicultural web-based software systems; Intercultural collaboration and support systems; Social computing, behavioral modeling and prediction. 5. Environmental modelling and engineering: Environmental information systems (architecture); Spatial, temporal and observational information systems; Large-scale environmental systems; Collaborative knowledge base systems; Agent concepts and conceptualisation; Hazard prediction, prevention and steering systems. 6. Multimedia data modelling and systems: Modelling multimedia information and knowledge; Contentbased multimedia data management; Content-based multimedia retrieval; Privacy and context enhancing technologies; Semantics and pragmatics of multimedia data; Metadata for multimedia information systems. Overall we received 56 submissions. After careful evaluation, 16 papers have been selected as long paper, 17 papers as short papers, 5 papers as position papers, and 3 papers for presentation of perspective challenges. We thank all colleagues for their support of this issue of the EJC conference, especially the program committee, the organising committee, and the programme coordination team. The long and the short papers presented in the conference are revised after the conference and published in the Series of “Frontiers in Artificial Intelligence” by IOS Press (Amsterdam). The books “Information Modelling and Knowledge Bases” are edited by the Editing Committee of the conference. We believe that the conference will be productive and fruitful in the advance of research and application of information modelling and knowledge bases. Bernhard Thalheim Hannu Jaakkola Yasushi Kiyok

Consistent Pricing of Equity and Credit Derivatives

The literature on the pricing of equity and credit securities developed marc or less independently. Only recently have th~ two strands merged in the valuation of convertible bonds (corporate bonds with embedded stock options). The subject of our thesis is to describe how both credit and equity securities can be priced in a consistent way so we can enlarge the information set of one market using the information set of . the other. Chapter 2 extends the building blocks of Ericsson & Reneby (1998) to the case of exponential barriers and derives a number of simple claims; using these, it is possible to nest five classical structural models and derive an extended version of the Leland & Toft model (1996). The following chapter provides the option pricing extension for the models in' Chapter 2 by extending the conditional building blocks in Ericsson & Reneby (2003a) and the extra ones presented in the previous chapter. Chapter 4 investigates the effects of different capital structure specifications on equity option prices: we confirm Toft & Prucyk (1997) theoretical links by employing a more sophisticated model and also look at other usually neglected variables (e.g. debt growth rate) in the option literature; we also test the information content of structural models and find that even the simple Merton model is able to correctly rank firms according to their credit quality; we then investigate the. relationship between CDS spreads and volatility smiles for an interesting example (France Telecom) extending the empirical analysis of Hull et al.??????????????????? (2005); in addition, we study an equity-credit hybrid security - an Equity Default Swap - and, its links 'with the more established Credit Default Swap. Chapter 5 presents a simple structural model with jumps - similar to Leland (2006) - which features closed formulre for equity option prices. The final chapter concludes.Imperial Users onl