WORKSHOP ON "MATHEMATICAL FINANCE AND RELATED ISSUES"

The workshop will be held at Osaka University Nakanoshima Center, on 10-13 March 2020. This is the 7th of a series of international workshops hosted by Center for the study of Mathematical Modeling and Data Science (formerly by Center for the study of Finance and Insurance), Osaka University. It aims at facilitating communications among international and interdisciplinary researchers on state of art of mathematical finance and related issues.

This workshop was cancelled due to the novel coronavirus (COVID-19). (26th March, 2020)

Contents

Confirmed speakers

Program

March 10

08:30 - 08:55 Registration
08:55 - 09:00 Opening
09:00 - 09:45 Shige Peng (Shandong)
Retrospective and prospective of nonlinear expectation theory.
09:45 - 10:30 Gechun Liang (Warwick)
A monotone scheme for G-equations with application to the convergence rate of robust central limit theorem.
10:30 - 10:45 Coffee
10:45 - 11:30 Ehsan Azmoodeh (Liverpool)
Algebraic Stein operators.
11:30 - 12:15 Stefan Ankirchner (Jena)
An open problem in ruin theory and its solution within a diffusion approximation.
12:15 - 13:45 Lunch
13:45 - 14:15 Coffee
14:15 - 15:00 Thomas Muller-Gronbach (Passau)
On optimal convergence rates for strong approximation of SDEs with piecewise Lipschitz drift coefficient.
15:00 - 15:45 Dai Taguchi (Okayama)
A generalized Avikainen's estimate and its applications.
15:45 - 16:15 Coffee
16:15 - 17:00 Andreas Neuenkirch (Mannheim)
The Euler-Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem.
17:00 - 17:45 Arturo Kohatsu-Higa (Ritsumeikan)
Integration by parts: an approach using approximations.
18:00 - 20:00 Welcome reception

March 11

09:00 - 09:45 Huyen Pham (Paris Diderot)
Linear-quadratic control of stochastic Volterra equations: solvability and approximation.
09:45 - 10:30 Xiaolu Tan (CUHK)
Dynamic programming and limit theory for McKean-Vlasov optimal control problem.
10:30 - 10:45 Coffee
10:45 - 11:30 Hideo Nagai (Kansai)
Large deviation control and related analysis of parameterized H-J-B equations.
11:30 - 12:15 José Luis Pérez (CIMAT)
Double continuation regions for American options under Poissonian exercise opportunities.
12:15 - 13:45 Lunch
13:45 - 17:45 Discussion

March 12

09:00 - 09:45 Martin Schweizer (ETH Zurich)
TBA
09:45 - 10:30 Huy Ngoc Chau (Osaka)
A robust fundamental theorem of asset pricing in discrete time.
10:30 - 10:45 Coffee
10:45 - 11:30 Takuji Arai (Keio)
Alòs type decomposition formula for Barndorff-Nielsen and Shephard models.
11:30 - 12:15 Claudio Fontana (Padova)
Term structure modelling with stochastic discontinuities.
12:15 - 13:45 Lunch
13:45 - 14:15 Coffee
14:15 - 15:00 Claude Martini (Zeliade Systems)
Dynamics of symmetric SSVI smiles and implied volatility bubbles.
15:00 - 15:45 Julien Guyon (Bloomberg)
The joint S&P 500/VIX smile calibration puzzle solved.
15:45 - 16:15 Coffee
16:15 - 17:00 Kei Noba (Osaka)
On the optimality of double barrier strategies for Lévy processes.
17:00 - 17:45 Zhenjie Ren (Paris Dauphine)
Game on random environment and Mean-field Langevin system with application to GAN.
18:30 - 20:30 Conference dinner

March 13

09:00 - 09:45 Daniel Hernández-Hernández (CIMAT)
The role of the Arrow-Pratt index in the long run design of portfolios.
09:45 - 10:30 Kazutoshi Yamazaki (Kansai)
The Leland-Toft optimal capital structure model under Poisson observations.
10:30 - 10:45 Coffee
10:45 - 11:30 Andrea Macrina (University College London, University of Cape Town)
Quantile Diffusions.
11:30 - 12:15 Peter Tankov (ENSAE)
The entry and exit game in the electricity markets: a mean-field game approach.
12:15 - 12:20 Closing

Welcome reception and conference dinner

Welcome reception

The welcome reception of the workshop will be held on March 10 (18:00~) at SALON DE L'AMICAL, which is located on the the 9th floor of Osaka University Nakanoshima Center. The fee for general participants is 6,000 JPY.

Conference dinner

The conference dinner will be held on March 12 (18:30~) at Agorazion, which is located at NAKANOSHIMA PLAZA. The fee for general participants is 6,000 JPY.

Registration

If you take part in the welcome reception and/or the conference dinner, send an email to us mmds-math-fin@sigmath.es.osaka-u.ac.jp with your name, affiliation, whether or not you will attend the welcome reception and the conference dinner. The deadline of the registration is February 21.

Access

The workshop and the welcome reception

The workshop and the welcome reception will take place at the Osaka University Nakanoshima Center. All research presentation sessions will be held at the Memorial Hall on the 10th floor and the welcome reception will be held at SALON DE L'AMICAL on the 9th floor.

Osaka University Nakanoshima Center
4-5-53 Nakanoshima, Kita-ku, Osaka 530-0005 Japan.
Tel: +81 (0)6 6444 2100
Fax: +81 (0)6 6444 2338

The conference dinner

The conference dinner will take place at Agorazion, which is located at NAKANOSHIMA PLAZA.

NAKANOSHIMA PLAZA
6-2-39, Nakanoshima, kita-ku, Osaka 530-0005 Japan.
Tel: +81 (0)6-6449-6901

Organizers and contact

If you have any questions about the workshop, please contact us mmds-math-fin@sigmath.es.osaka-u.ac.jp

Sponsors

This workshop is sponsored by

and co-sponsored by