WORKSHOP ON
"MATHEMATICAL FINANCE AND RELATED ISSUES"
Program and Abstracts (PDF as of Mar. 20, 2015)
Venue: Memorial Hall on the 10th floor of the Osaka University Nakanoshima Center.
Monday, March 16
10:00 - 10:10 Opening Address (time changed)
10:10 - 11:00 S. Peng (Shandong University) Recent Developments in G-expectation, Path Dependent Calculus and Applications (time changed)
10:10 - 11:00 M. Stadje (Tilburg University) Time-Consistent and Market-Consistent Evaluations (canceled)
11:10 - 12:00 S. Cohen (University of Oxford) Ergodic BSDEs with Lévy noise and time dependence
12:00 - 14:00 Lunch Break
14:00 - 14:50 J. Akahori (Ritsumeikan University) Asymptotic and exact semi-static hedges
15:00 - 15:50 M. Larsson (ETH Zurich) Polynomial preserving diffusions on the unit ball
15:50 - 16:20 Cofee Break
16:20 - 17:10 J. Obloj (University of Oxford) Robust framework in mathematical finance: interpolating between model-specific and model-free settings for pricing and hedging
17:20 - 18:10 Y. Takatsuki (Kobe University) Microstructure of the First Organized Futures Market: The Dojima Security Exchange from 1730 to 1869
Welcome Party
Tuesday, March 17
9:10 - 10:00 D. Kramkov (Carnegie Mellon University) The Muckenhoupt (Ap) condition and the existence of an optimal
martingale measure in optimal investment.
10:10 - 11:00 S. Pulido (ENSIIE / Université d'Évry Val d'Essonne) Quadratic BSDEs arising from a price impact model with exponential utility
11:10 - 12:00 M. Grasselli (McMaster University) A stock-flow consistent macroeconomic model for asset price bubbles
12:00 - 14:00 Lunch Break
14:00 - 14:50 K. Kuroda (Nihon University) Multifractal random walk with inverse power law interaction
15:00 - 15:50 M. Rosenbaum (Université Paris VI) Volatility is rough
15:50 - 16:20 Cofee Break
16:20 - 17:10 R. Lochowski (Warsaw School of Economics) Truncated variation - its properties and applications in stochastic analysis
17:20 - 18:10 P. Tankov (Université Paris VII Diderot) Asymptotic indifference pricing in exponential Lévy models
Wednesday, March 18
9:10 - 10:00 S. Kusuoka (University of Tokyo) Expectation of diffusion process with absorbing boundary
10:10 - 11:00 A. Kohatsu-Higa (Ritsumeikan University) Some methods of proof for the Euler-Maruyama scheme
11:10 - 12:00 M. Ludkovski (University of California, Santa Barbara) Adaptive Grids for Optimal Stopping Problems
12:00 - 15:00 Lunch Break (time changed)
14:00 - 14:50 T. Kato (Osaka University) Optimal Execution with Trading Volume Processes and VWAP Strategies (canceled)
15:00 - 15:50 T.-H. Wang (Baruch College, The City University of New York) Optimal execution with uncertain order fills
15:50 - 16:20 Cofee Break
16:20 - 17:10 E. Gobet (Ecole Polytechnique) Convergence rate of strong approximations of compound random maps, and applications
17:20 - 18:10 M. Pistorius (Imperial College London) On a class of dynamic spectral risk-measures
Dinner
Thursday, March 19
9:10 - 10:00 S.-J. Sheu (National Central University) On HJB Equations for Consumption Problems
10:10 - 11:00 D. Hernandez-Hernandez (CIMAT) Regularity results for integro-differential PDEs with restrictions on the gradient, with some implications in insurance
11:10 - 12:00 S. Federico (University of Milano) Dual approach for two portfolio optimization problems
12:00 - 14:00 Lunch Break
14:00 - 14:50 F. Gozzi (Università LUISS - Roma) Stochastic Control of Delay Equations. Solution of the associated HJB equations and application to financial models
15:00 - 15:50 H. Pham (Université Paris VII Diderot) Robust feedback switching control problem
15:50 - 16:10 Cofee Break
16:10 - 17:00 K. Yamazaki (Kansai University) Optimality of doubly reflected Lévy processes in singular control
Friday, March 20
9:10 - 10:00 M. Rutkowski (University of Sydney) Fair valuation and hedging of contracts under endogenous collateralization
10:10 - 11:00 A. Mijatovic (Imperial College London) TBA (canceled)
10:10 - 11:00 J. Cai (Université Paris VII) Asymptotic replication with modified volatility under small proportional costs (changed)
11:10 - 12:00 N. Touzi (Ecole Polytechnique) Some explicit multiple-marginals embeddings, with application to Model-free hedging
Closing Address
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