Workshop on Finance, Stochastics and Asymptotic Analysis


Two Day Workshop
  1. MMDSについて
  2. MMDSの教員・組織
  3. MMDSで学びたい方へ
  4. カリキュラム
  5. MMDSの活動

  6. 学内向け情報

Two Day Workshop
Workshop on Finance, Stochastics and Asymptotic Analysis

Center for the Study of Finance and Insurance, Osaka University

Feb. 11 (Mon)
13:00--13:50: J. Sekine (Osaka)
"Sensitivity analysis for utility maximization via an associated
FB-system of SDEs"
14:00--14:50: N. Ichihara (Hiroshima)
"Criticality of ergodic type HJB equations and stochastic ergodic control"
(coffee break)
15:20--16:10: W. Runggaldier (Padova)
"On market models that do not admit an equivalent local martingale measure"
16:20--17:10: K. Yamazaki (Osaka)
"Optimal dividends in the dual model"
17:20--18:10: M. Fukasawa (Osaka)
"Efficient price dynamics in financial markets with non-linear supply curve"

Feb. 12 (Tue)
10:00--10:50: H. Nagai (Kansai)
"Estimates of certain large deviation probabilities for controlled
semi-martingales"
11:00--11:50: H. Pham (Paris)
"Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE"
(lunch break)
14:00--14:50: K. Fujimoto (Mitsubishi-UFJ)
"Expected utility maximization under incomplete information and with
Cox-processes observations"
15:00--15:50: T. Kato (Osaka)
"Effects of short-sale constraints in an agent-based model of stock markets:
From the approach based on the Föllmer-Schweizer model"
(coffee break)
16:20--17:10: S. Ogawa (Ritsumeikan)
"Around the Fourier series method for volatility estimation"
17:20--18:10: D. Hernandez-Hernandez (CIMAT)
"A zero-sum game between stochastic controller and a discretionary stopper"

This workshop is supported by Grant-in-Aid for Scientific Research (B) No. 20340019 (PI: Hideo Nagai), Japan Society for the Promotion of Science and by the Osaka University Mirai Kenkyu Laboratory http://sigma-mrl.net/ (PI: Jun Sekine).

テーマ:
Workshop on Finance, Stochastics and Asymptotic Analysis
日 時:
2013年02月11日(月)~12日(火)
場 所:
大阪大学大学院基礎工学研究科 (豊中キャンパス)I 棟 204号室
参加費:
無料
アクセス:
会場までのアクセスは「大阪大学 大学院基礎工学研究科 基礎工学部のアクセス」のページをご覧下さい。

「大阪大学 大学院基礎工学研究科 基礎工学部のアクセス」のページ
http://www.es.osaka-u.ac.jp/access/
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主 催:
Center for the Study of Finance and Insurance, Osaka University