Workshop


  1. About the Center
  2. Organization
  3. Activities


WORKSHOP ON "MATHEMATICAL FINANCE AND RELATED ISSUES" 2018

March 13-16, 2018, Osaka University Nakanoshima Center
For more details, please follow the link below.
http://www-mmds.sigmath.es.osaka-u.ac.jp/structure/workshop2018/index.html



Osaka-UCL Workshop on Stochastics, Numerics and Risk

Date: March 29th - 30th, 2017

Venue: International Building Seminar Room, Graduate School of Engineering Science, Osaka University

Speakers:
Jiro Akahori (Ritsumeikan)
Masaaki Fukasawa (Osaka)
Yuuki Ida (Ritsumeikan)
Yupeng Jiang (UCL)
Andrea Macrina (UCL)
Gareth Peters (UCL)
Benjamin Poignard (Paris, Dauphine)
Dai Taguchi (Ritsumeikan)
Tetsuya Takabatake (Osaka)
Atsushi Takeuchi (Osaka City U)
Camilo Garcia Trillos (UCL)
Toshihiro Yamada (Hitotsubashi)
Kazutoshi Yamazaki (Kansai)
Kazuhiro Yasuda (Hosei)
Rebecca Westphal (ETH Zurich & Osaka)

program:
Mar. 29 (Wed)
9:00 - 9:50 Masaaki Fukasawa: "At-the-money short-term asymptotics under stochastic volatility models."
10:00 - 10:50 Gareth Peters: "New Regression Frameworks for Dynamic Functional Regressions with Applications in Risk and Finance."
11:00-11:50 Benjamin Poignard: "Penalized M-estimators and the Sparse Group Lasso case: theory and applications."
   (Lunch break)
13:30-14:10 Tetsuya Takabatake: "Statistical Inference for Fractional Volatility Model"
14:10-14:50 Rebecca Westphal: "Empirical Analysis of the Rough Fractional Stochastic Volatility Model.”
   (Coffee break)
15:20-16:10 Andrea Macrina: "Switching information flows."
16:20-17:10 Kazuhiro Yasuda: "Classical and Restricted Impulse Control for the Exchange Rate with Stochastic Trend."
17:20-18:10 Kazutoshi Yamazaki: "On optimal joint reflective and refractive dividend strategies in spectrally positive Levy models."

Mar. 30 (Thu)
9:30-10:20 Camilo Garcia Trillos: "Martingale Interpolation."
10:30-11:20 Jiro Akahori: "An Order-1 Markov Chain Approximation of Symmetrized Diffusion Processes"
11:30-12:20 Atsushi Takeuchi: "Joint distributions for stochastic functional differential equations."
   (Lunch Break)
14:00-14:40 Yuuki Ida: "Towards the Exact simulation using Hyperbolic brownian motion."
14:40-15:20 Yupeng Jiang: "AAD and least-square Monte Carlo: fast Bermudan-style options and XVA Greeks."
   (Coffee break)
15:50-16:40 Dai Taguchi: "Semi-Implicit Euler-Maruyama Scheme for Non-Colliding Particle Systems."
16:50-17:40 Toshihiro Yamada: "A second order discretization method for the Delta"


Program & Abustract
http://www-mmds.sigmath.es.osaka-u.ac.jp/database/workshop/36_20.pdf


Supported by Graduate School of Engineering Sciece, Osaka University; MMDS; Department of Mathematics, University College London; and Daiwa Anglo-Japanese Foundation.



HeKKSaGOn Working Group Seeds in Mathematics versus Needs outside Mathematics Winter School in Osaka 2017

March 2-12, 2017, Sigma Hall, Graduate School of Engineering Science, Osaka University
For more details, please follow the link below.
http://www.osaka-u.ac.jp/ja/international/action/network/files/HeKKSaGOn_Winter_School_OU.pdf



The 4th Asian Quantitative Finance Conference (AQFC)

February 21-23, 2016, Osaka University Nakanoshima Center
For more details, please follow the link below.
http://www-mmds.sigmath.es.osaka-u.ac.jp/structure/workshop2016/AQFC.htm



Coop-Math Program: A Search for the Connection between Engineering Science and Modern Mathematics(1)

December 22-24, 2015, Osaka University, Japan
For more details, please follow the link below (in Japanese).
http://www-mmds.sigmath.es.osaka-u.ac.jp/structure/activity/workshop.php?id=26



THE 5TH WORKSHOP ON "MATHEMATICAL FINANCE AND RELATED ISSUES" 2015

March 16-20, 2015, Osaka University Nakanoshima Center
For more details, please follow the link below.
http://www-mmds.sigmath.es.osaka-u.ac.jp/structure/workshop2015/index.html