WORKSHOP ON

" MATHEMATICAL FINANCE AND RELATED ISSUES "

September 2-5, 2012, Kyoto Research Park, Kyoto, Japan

Scope and Topics

The workshop will concentrate on issues related with Finance. The topics will include (but not limited to):
・Utility Maximization
・Pricing and Hedging Derivatives
・Statistical Methods and Theory
・Liquidity, Credit and Model Risks
・Partial Information and Monte Carlo Methods
・Calibration Methods
・Asymptotic Methods
・Stochastic Control
・Risk Theory
・Robust Methods
・Market Microstructure Modeling

Invited Speakers include:

T. Arai (Keio University) E. Baurdoux (London School of Economics) R. Cont (Université Paris VI) F. Delbaen (ETH Zurich) Y. Dolinsky (ETH Zurich) E. Eberlein (University of Freiburg) J.P. Fouque (University of California, Santa Barbara) P. Guasoni (Dublin City University) C.H. Han (National Tsing Hua University) T. Ichiba (University of California, Santa Barbara) J. Jacod (Université Paris VI) A.E. Kyprianou (University of Bath) J. Obloj (University of Oxford) S. Peng (Shandong University) H. Pham (Université Paris VII Diderot) S. Robertson (Carnegie Mellon University) M. Rosenbaum (Université Paris VI) M. Rutkowski (University of Sydney) A. Schied (University of Mannheim) Y. Shimizu (Osaka University) M. Sørensen (University of Copenhagen) B.A. Surya (Bandung Institute of Technology) Q. Tang (University of Iowa) N. Touzi (Ecole Polytechnique) M. Zervos （London School of Economics）

Organizers

M. Uchida, Chair (CSFI, Graduate School of Engineering Science, Osaka University)
M. Fukasawa (CSFI, Graduate School of Science, Osaka University)
H. Kaise (CSFI, Graduate School of Engineering Science, Osaka University)
H. Nagai (CSFI, Faculty of Engineering, Kansai University)
M. Ohnishi (CSFI, Graduate School of Economics, Osaka University)
K. Oya (CSFI, Graduate School of Economics, Osaka University)
J. Sekine (CSFI, Graduate School of Engineering Science, Osaka University)
Y. Shimizu (CSFI, Graduate School of Engineering Science, Osaka University)

The workshop is organized through a joint collaboration of the Center for the Study of Finance and Insurance at Osaka University and the Research Division of Derivatives Trading and Risk Management supported by Osaka Securities Exchange Co., Ltd.