WORKSHOP ON
"MATHEMATICAL FINANCE AND RELATED ISSUES"
Program and Abstracts (PDF file)
Venue: Science
Hall on 4th floor of the Building No. 1, Kyoto Research Park
Sunday, September 2
8:50 -
9:00 Welcome
9:00 - 9:45 F. Delbaen (ETH Zurich) Super hedging in the non-dominated case
9:45 - 10:30 S. Robertson (Carnegie Mellon University) Utility-Based Pricing in the Large Position, Nearly Complete Limit
10:30 - 10:45
Coffee break
10:45
- 11:30 A.E. Kyprianou (University of Bath) Multi-Level Wiener-Hopf Monte-Carlo Simulation methods
11:30
- 12:15 T. Ichiba (University of California, Santa Barbara) Portfolios under markets with rank-based characteristics
12:15 - 14:00 Lunch
break
14:00
- 14:45 M.
Rutkowski (University of Sydney) Multi-Person Game Contracts and Multi-dimensional Reflected BSDEs
14:45
- 15:30 Y. Dolinsky (ETH Zurich) Numerical Schemes for G-Expectations
15:30 - 15:45 Coffee
break
15:45
- 16:30 N. Touzi
(Ecole Polytechnique) Viscosity Solutions of Fully Nonlinear Path-Dependent PDEs
16:30
- 18:00 Young Researchers' Session
E. Osuka (Tohoku Univ.) Girsanov's formula for G-Brownian motion
K.
Yamazaki (Osaka Univ.) Default swap games driven by spectrally negative Lévy processes
F. Wang (Shandong Univ.) BSDE, path-dependent PDE and nonlinear Feynman-Kac formula (cancelled)
Reception
Monday, September
3
9:00 - 9:45 Q. Tang (University of Iowa) Loss Given Default in the Presence of Multivariate Regular
Variation
9:45 - 10:30 Y. Shimizu (Osaka University) Asymptotic expansion of ruin probability under Lévy risk models
10:30 - 10:45
Coffee break
10:45
- 11:30 B.A. Surya (Bandung Institute of Technology) Finite Maturity Optimal Stopping of Lévy Processes with Running Cost, Stopping Cost and Terminal Gain
11:30
- 12:15 E. Baurdoux
(London School of Economics) Predicting the time of the ultimate supremum of a Lévy process
12:15 - 14:00 Lunch
break
14:00
- 14:45 E. Eberlein (University of Freiburg) Market Models for Credit Risky Portfolios
14:45
- 15:30 T. Arai (Keio University) An explicit representation of locally risk-minimizing for Lévy markets
15:30 - 15:45 Coffee
break
15:45
- 16:30
P. Guasoni (Dublin City University) Dynamic Trading Volume (cancelled)
16:30
- 18:00 Young Researchers' Session
C. Li
(Peking Univ.) Closed-form Expansion, Conditional Expectation, and Option Valuation
T. Fujii (Osaka Univ.) Adaptive AIC type information criteria for discretely observed ergodic diffusion processes
T. Ogihara (Osaka Univ.) Parametric estimation for stochastic regression model from nonsynchronous observations
Tuesday, September
4
9:00 - 9:45
J.P. Fouque (University of California, Santa Barbara) Coupled diffusions and systemic risk
9:45 - 10:30 C.H. Han (National Tsing Hua University) Joint Calibration to Cross-Market Data: A Monte Carlo Approach
10:30 - 10:45
Coffee break
10:45
- 11:30 M. Zervos （London School of Economics） A zero-sum game between a singular stochastic controller and a discretionary stopper
11:30
- 12:15 H. Pham (Université Paris VII Diderot) Backward SDEs with partially nonpositive jumps and Hamilton-Jacobi-Bellman IPDEs
12:15
-
Excursion
Dinner
Wednesday,
September 5
9:00 - 9:45 S. Peng (Shandong University) BSDE driven by G-Brownian Motion (cancelled)
9:45 - 10:30 R. Cont
(Université Paris VI) Functional Ito Calculus and Functional Kolmogorov equations (cancelled)
10:30
- 10:45 Coffee break
10:45
- 11:30 A. Schied (University of Mannheim) A control problem with fuel constraint arising in finance and Dawson-Watanabe superprocesses
11:30
- 12:15 J. Obloj (University of Oxford) Long-run Investment under Drawdown Constraints: optimal portfolios and numeraire property
12:15
- 14:00 Lunch break
14:00
- 14:45 M. Sørensen (University
of Copenhagen) Statistical inference for integrated diffusion processes
14:45
- 15:30 M. Rosenbaum (Université Paris VI) On the ultra high frequency efficient price
15:30 - 15:45 Coffee
break
15:45
- 16:30 J. Jacod (Université Paris VI) Microstructure noise: a statistical approach
16:30
- 16:40 Closing
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