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Nonlinear Expectations, Stochastic Calculus under Knightian Uncertainty, and Related Topics
(3 June - 12 July 2013)

Organizing Committee · Visitors and Participants · Overview · Activities · Venue

 

Visitors and Participants

NAME & AFFILIATION

PERIOD OF VISIT

TENTATIVE TITLE OF TALK

OVERSEAS VISITORS

   

Abdul Rahman Al-Hussein
Qassim University, Saudi Arabia
alhusseinqu(AT)hotmail.com

10 - 21 Jun 2013

Stochastic maximum principle for Hilbert space valued forward-backward doubly SDES with Poisson jumps

Takuji Arai
Keio University, Japan
arai(AT)econ.keio.ac.jp

1 - 5 Jul 2013

Good deal bounds with convex constraints

Xiuchun Bi
University of Science and Technology of China, China
xcbi(AT)mail.ustc.edu.cn

17 - 21 Jun 2013

Precise large deviations of aggregate claims in a risk model with regression-type size-dependence

Rainer Buckdahn
Universite de Bretagne Occidentale, France and Shandong University, China
Rainer.Buckdahn(AT)univ-brest.fr

16 - 22 Jun 2013

Nonlinear stochastic differential games involving a major player and a large number of collectively acting minor players

Ning Cai
Hong Kong University of Science and Technology, Hong Kong
ningcai(AT)ust.hk

19 - 21 Jun 2013

Pan Chen
University of Science and Technology of China, China
huoshanpc(AT)gmail.com

17 - 18 Jun 2013

Xinfu Chen
University of Pittsburgh, USA
xinfu(AT)pitt.edu

19 - 21 Jun 2013

Free boundary problems and variational inequality in finance

Tsung-Lin Cheng
National Changhua University of Education, Taiwan
tlcheng(AT)cc.ncue.edu.tw

19 - 21 Jun 2013

On the ruin time for risk reserve processes with heavy-tailed claims

Freddy Delbaen
ETH Zurich, Switzerland
delbaen(AT)math.ethz.ch

2 Jun - 13 Jul 2013

Time consistent coherent extension of time consistent concave monetary utility functions


New convergence properties related to local theorems

Yan Dolinsky
ETH Zurich, Switzerland
yan.dolinsky(AT)math.ethz.ch

1 - 7 Jul 2013

Martingale optimal transport and robust hedging in continuous time

Samuel Drapeau
Humboldt Universität zu Berlin, Germany
drapeau(AT)math.hu-berlin.de

26 Jun - 14 Jul 2013

Superhedging under model uncertainty

Paul Embrechts
ETH Zurich, Switzerland
embrechts(AT)math.ethz.ch

23 Jun - 7 Jul 2013

Model uncertainty and risk aggregation

Sebastian Engelke
University of Lausanne, Switzerland
sebastian.engelke(AT)unil.ch

28 Jun - 5 Jul 2013

Peter Forsyth
University of Waterloo, Canada
paforsyt(AT)uwaterloo.ca

15 - 26 Jun 2013

Tutorial:

Numerical methods for Hamilton-Jacobi-Bellman equations in finance


Optimal trade execution: mean variance or mean quadratic variation?

Jean-Pierre Fouque
University of California at Santa Barbara, USA
fouque(AT)pstat.ucsb.edu

29 Jun - 5 Jul 2013

Portfolio optimization and stochastic volatility asymptotics

Marco Frittelli
Università degli Studi di Milano, Italy
marco.frittelli(AT)unimi.it

27 Jun - 6 Jul 2013

Tutorial:

Risk measures

Yi Fu
Shanghai Normal University, China
fuyi(AT)shnu.edu.cn

19 - 21 Jun 2013

The optimal execution strategy of employee stock option

Stéphane Goutte
CNRS-University Paris Diderot 7, France
goutte(AT)math.univ-paris-diderot.fr

19 - 21 Jun 2013

Mean variance hedging under defaults risk

Mei-Hui Guo
National Sun Yat-Sen University, Taiwan
guomh(AT)math.nsysu.edu.tw

19 - 21 Jun 2013

Statistical models of market reactions to influential trades

Xin Guo
University of California at Berkeley, USA
xinguo(AT)ieor.berkeley.edu

9 - 22 Jun 2013

Martingale problems under non-linear expectations


Optimal order placement in a limit order book

Taeyoung Ha
National Institute for Mathematical Sciences & South Korea, Korea
tha(AT)nims.re.kr

19 - 21 Jun 2013

Hwai-Chung Ho
Institute of Statistical Science Academia Sinica, Taiwan
hcho(AT)stat.sinica.edu.tw

19 - 21 Jun 2013

A price risk measure and momentum strategy

Ulrich Horst
Humboldt University Berlin, Germany
Horst(AT)math.hu-berlin.de

18 - 22 Jun 2013

Stochastic control problems with singular value functions - analytic solutions and application to optimal portfolio liquidation

Sam Howison
University of Oxford, UK
howison(AT)maths.ox.ac.uk

18 - 21 Jun 2013

Formal asymptotics for (i) the penalty method (ii) a model for carbon allowance prices

Mingshang Hu
Shandong University, China
humingshang(AT)mail.sdu.edu.cn

9 - 15 Jun 2013

Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion

Ying Hu
Université de Rennes 1, France
ying.hu(AT)univ-rennes1.fr

9 - 14 Jun 2013

Mean-variance portfolio selection with uncertain drift and volatility

Shaolin Ji
Shandong University, China
jsl(AT)sdu.edu.cn

9 - 16 Jun 2013

A stochastic recursive optimal control problem under the G-expectation framework

Zhaoli Jia
University of Science and Technology of China, China
zljia(AT)mail.ustc.edu.cn

19 - 21 Jun 2013

Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process

Bingyi Jing
Hong Kong University of Science and Technology, Hong Kong
majing(AT)ust.hk

19 - 21 Jun 2013

On the estimation of integrated volatility with jumps and microstructure noises

Kiseop Lee
Ajou University & Republic of Korea, Korea
hyeran2011(AT)ajou.ac.kr

19 - 21 Jun 2013

Duan Li
The Chinese University of Hong Kong, Hong Kong
dli(AT)se.cuhk.edu.hk

19 - 21 Jun 2013

Prospect theory and trading patterns

Juan Li
Shandong University, China
juanlisdu(AT)gmail.com

16 - 22 Jun 2013

Stochastic differential games for fully coupled FBSDEs with jumps

Lingfei Li
The Chinese University of Hong Kong, Hong Kong
lfli(AT)se.cuhk.edu.hk

19 - 21 Jun 2013

Building time-dependent commodity and energy derivative models: an additive time change approach

Andy Guanghua Lian
University of South Australia, Australia
andy.lian(AT)unisa.edu.au

19 - 21 Jun 2013

Volatility swaps and volatility options on discretely sampled realized variance

Johan Lim
Seoul National University, Korea
johanlim(AT)snu.ac.kr

19 - 21 Jun 2013

Condition number regularized covariance estimation with application to portfolio optimization

Thomas Lim
Université d'Evry and ENSIIE, France
thomas.lim(AT)ensiie.fr

19 - 21 Jun 2013

Mean-variance hedging on uncertain time horizon in a market with a jump

Qian Lin
Tsinghua University, China
qianlin88(AT)gmail.com

21 Jun - 6 Jul 2013

Jin Ma
University of Southern California, USA
jinma(AT)usc.edu

12 - 21 Jun 2013

Model uncertainty in insurance problems

Anis Matoussi
Université du Maine, France
anis.matoussi(AT)univ-lemans.fr

9 - 15 Jun 2013

Doubly reflected second order BSDE's and Dynkin game under uncertainty

Hema Narayanaswamy
D.G .Vaishnav College, India
nsnarayanaswamyhema(AT)gmail.com

7 - 16 Jun 2013

Pin Ng
Northern Arizona University, USA
Pin.Ng(AT)nau.edu

19 - 21 Jun 2013

Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency

Alex Novikov
University of Technology, Australia
Alex.Novikov(AT)uts.edu.au

17 - 22 Jun 2013

On lower and upper bounds for Asian-type options: a unified approach

Marcel Nutz
Columbia University, USA
mnutz(AT)math.columbia.edu

9 - 21 Jun 2013

Arbitrage and duality in nondominated discrete-time models

Chen Pan
University of Science and Technology of China, China
panchen(AT)mail.ustc.edu.cn

14 - 21 Jun 2013

Martingale problems under nonlinear expectations

Mia Pang Rey
University of the Philippines Diliman, Philippines
miapangrey(AT)yahoo.com

18 Jun - 3 Jul 2013

Marc Paolella
University of Zurich, Switzerland
marc.paolella(AT)bf.uzh.ch

19 - 21 Jun 2013

Dynamic comfort: a common market factor non-Gaussian returns model with dynamic conditional correlations

Shige Peng
Shandong University, China
peng(AT)sdu.edu.cn

3 Jun - 12 Jul 2013

Tutorial:

BSDE, PDE, nonlinear expectation and model uncertainty


G-expectation weighted Sobolev spaces, backward SDE and path dependent PDE

Xianhua Peng
The Hong Kong University of Science and Technology, Hong Kong
maxhpeng(AT)ust.hk

9 Jun - 5 Jul 2013

Mean or median: an implication for BIS trading book capital requirements


Location, location, location: the econometrics of asset pricing with spatial interaction

Ryle Perera
Macquarie University, Australia
ryle.perera(AT)mq.edu.au

1 - 5 Jul 2013

Huyên Pham
Université Paris Diderot, France
pham(AT)math.univ-paris-diderot.fr

9 - 16 Jun 2013

Backward SDEs with partially nonpositive jumps and Hamilton-Jacobi-Bellman IPDE

Dylan Possamaï
Paris Dauphine, France
possamai(AT)ceremade.dauphine.fr

9 - 14 Jun 2013

Philip Protter
Columbia University, USA
pep2117(AT)columbia.edu

6 - 22 Jun 2013

Financial bubbles and the possibility of real time detection

Manachai Rodchuen
Chiang Mai University, Thailand
r.manachai(AT)gmail.com

19 - 21 Jun 2013

The generation of simple linear regression model

Johannes Ruf
University of Oxford, UK
johannes.ruf(AT)oxford-man.ox.ac.uk

17 - 23 Jun 2013

Why are quadratic normal volatility models analytically tractable?

Alexander Schied
University of Mannheim, Germany
schied(AT)uni-mannheim.de

3 - 5 Jul 2013

Comparative and qualitative robustness for law-invariant risk measures

Martin Schweizer
ETH Zurich, Switzerland
martin.schweizer(AT)math.ethz.ch

30 Jun - 7 Jul 2013

On a stochastic Fubini theorem

Mete Soner
ETH Zurich, Switzerland
mete.soner(AT)math.ethz.ch

1 - 7 Jul 2013

Second order BSDE's

Yongsheng Song
Chinese Academy of Sciences, China
yssong(AT)amss.ac.cn

9 - 15 Jun 2013

Processes with stationary and independent increments under G-expectation

Ivy Suan
University of the Philippines Diliman, Philippines
ivysuan(AT)gmail.com

18 Jun - 3 Jul 2013

Yan Sun
Utah State University, USA
yan.sun(AT)usu.edu

19 - 21 Jun 2013

Conditional heteroskedasticity of return range processes

Xiaolu Tan
Paris-Dauphine, France
xiaolu.tan(AT)polytechnique.edu

9 - 15 Jun 2013

Nizar Touzi
Ecole Polytechnique, France
nizar.touzi(AT)polytechnique.edu

10 - 14 Jun 2013

Model-free hedging and martingale optimal transport

Loc Hung Tran
University of Finance and Marketing (UFM), Vietnam
tlhungvn(AT)gmail.com

18 - 22 Jun 2013

A new approach to Poisson approximations

Hideatsu Tsukahara
Seijo University, Japan
tsukahar(AT)seijo.ac.jp

19 - 21 Jun 2013

Estimating and backtesting distortion risk measures

Falei Wang
Shandong University, China
flwang2011(AT)gmail.com

9 - 28 Jun 2013

BSDE, path-dependent PDE and nonlinear Feynman-KAC formula

Lihe Wang
Shanghai Jiaotong University, China and University of Iowa, USA
wanglihe(AT)sjtu.edu.cn
lwang.iowa(AT)gmail.com

19 - 22 Jun 2013

John Alexander Wright
The Chinese University of Hong Kong, Hong Kong
jawright(AT)sta.cuhk.edu.hk

19 - 21 Jun 2013

Tests for the equality of multiple sharpe ratios

Qin Wu
Hong Kong Baptist University, Hong Kong
wqxds985(AT)gmail.com

19 - 21 Jun 2013

Jianming Xia
Chinese Academy of Sciences, China
xia(AT)amss.ac.cn

30 Jun - 4 Jul 2013

Asset pricing under probability distortions

Haipeng Xing
State University of New York, at Stony Brook, USA
xing(AT)ams.sunysb.edu

18 - 22 Jun 2013

Firms' credit rating dynamics in the presence of unobserved market structural changes

Weiqiang Yang
Shandong University, China
joysurf(AT)163.com

9 - 21 Jun 2013

The dual process and the Monte-Carlo method

Siu-Pang Yung
The University of Hong Kong, Hong Kong
spyung(AT)hkucc.hku.hk

19 - 21 Jun 2013

Time consistent optimal controls for mean-variance portfolio selection problems

Behnam Zarpak
Shahed University, Iran
zarpak(AT)shahed.ac.ir

19 - 21 Jun 2013

Financial Stochastic differential equations

Fangwei Zhang
Southeast University, China
fangweizhang(AT)aliyun.com

19 - 21 Jun 2013

Study on multiple attribute decision making problems based on D-S evidence theory and hypercube segmentation

Jianfeng Zhang
University of Southern California, USA
jianfenz(AT)usc.edu

10 - 22 Jun 2013

Viscosity solutions of path dependent PDEs


Two person zero sum game under weak formulation

Jizhou Zhang
Shanghai Normal University, China
zhangjz(AT)shnu.edu.cn

19 - 21 Jun 2013

Qi Zhang
Fudan University, China
qzh(AT)fudan.edu.cn

30 Jun - 6 Jul 2013

Backward stochastic partial differential equations and their application to stochastic black-scholes formula

Xu Zhang
Chinese Academy of Sciences, China
zhang_xu(AT)scu.edu.cn

10 - 13 Jun 2013

Transposition method for BSDEs/BSEEs

Min Zheng
Central University of Finance and Economics, China
mathzhm(AT)gmail.com

3 Jun - 12 Jul 2013

DeTong Zhu
Shanghai Normal University, China
dtzhu(AT)shnu.edu.cn

19 - 21 Jun 2013

LOCAL VISITORS

   

Chin-han Chiang
Singapore Management University
chchiang(AT)smu.edu.sg

19 - 21 Jun 2013

Insider trading and option returns around earnings announcements

Min Dai
National University of Singapore
matdm(AT)nus.edu.sg

3 Jun - 12 Jul 2013

Characterization of optimal strategy for multi-asset investment and consumption with transaction costs


Optimal investment and consumption with capital gain taxes

Jin-Chuan Duan
National University of Singapore
bizdjc(AT)nus.edu.sg

19 - 21 Jun 2013

Cascading defaults and systemic risk of a banking system

Jussi Keppo
National University of Singapore
keppo(AT)nus.edu.sg

19 - 25 Jun 2013

The market timing ability of individual investors

Gavin Koon
National University of Singapore
gavinkoonkw(AT)gmail.com

19 - 21 Jun 2013

Steven Kou
National University of Singapore
matsteve(AT)nus.edu.sg

3 Jun - 12 Jul 2013

First passage times of two-dimensional Brownian motion


A new 10-30 rule: an investigation of hedge fund performance fees via behavioral finance

Tiong-Wee Lim
National University of Singapore
stalimtw(AT)nus.edu.sg

19 - 21 Jun 2013

Chao Zhou
National University of Singapore
matzc(AT)nus.edu.sg

3 Jun - 12 Jul 2013

Second order BSDEs with jumps


Quadratic BSDEs with jumps: a fixed-point approach

GRADUATE STUDENTS

   

Patrick Beissner
Bielefeld University, Germany
pbeissne(AT)math.uni-bielefeld.de

3 - 14 Jun 2013

Chen Bokui
University of Science and Technology of China, China
chenssx(AT)mail.ustc.edu.cn

28 Jun 2013

Dejian Chang
Shandong University, China
changdejian(AT)yahoo.cn

9 - 29 Jun 2013

Yingshan Chen
National University of Singapore
g0901228(AT)nus.edu.sg

19 - 21 Jun 2013

Incomplete information, trend following, and liquidity premium

Ibrahim Ekren
Southern California, USA
ekren(AT)usc.edu

11 Jun - 6 Jul 2013

Obstacle problem of path-dependent PDES

Xinwei Feng
Shandong University, China
fengxw121(AT)163.com

9 - 29 Jun 2013

Xiaolin Gong
Shandong University, China
gcaelyn(AT)gmail.com

30 Jun - 6 Jul 2013

Jiancang Guo
National University of Singapore
A0106260(AT)nus.edu.sg

3 Jun - 12 Jul 2013

Kexin Jin
University of Science and Technology of China, China
jinkexin(AT)mail.ustc.edu.cn

9 - 13 Jun 2013

Chandrasekhar Karnam
University of Southern California, USA
karnam(AT)usc.edu

9 Jun - 6 Jul 2013

Christian Keller
University of Southern California, USA
kellerch(AT)usc.edu

11 Jun - 6 Jul 2013

Path-dependent partial integro-differential equations

Yaoting Lei
National University of Singapore
a0068146(AT)nus.edu.sg

24 - 25 Jun 2013

Hanwu Li
Shandong University, China
lihanwu11(AT)163.com

9 - 29 Jun 2013

Li Li
Shandong University, China
li_li880411(AT)126.com

9 - 29 Jun 2013

Xinpeng Li
Shandong University, China
xplisdu(AT)gmail.com

9 - 21 Jun 2013

Jingyi Lin
National University of Singapore
lin_jingyi(AT)nus.edu.sg

3 Jun - 12 Jul 2013

Miao Lin
Nanyang Technological University
linm0018(AT)e.ntu.edu.sg

19 - 28 Jun 2013

Arnaud Lionnet
University of Oxford, UK
arnaud.lionnet(AT)maths.ox.ac.uk

9 - 15 Jun 2013

Lei Qiao
National University of Singapore
a0086330(AT)nus.edu.sg

3 - 14 Jun 2013

Ling Tang
National University of Singapore
g0901243(AT)nus.edu.sg

19 - 21 Jun 2013

Calibration of stochastic volatility models: a Tikhonov regularization approach

Tieying Xiang
National University of Singapore
A0107199(AT)nus.edu.sg

3 Jun - 12 Jul 2013

Jing Xu
National University of Singapore
jingxu(AT)nus.edu.sg

19 - 25 Jun 2013

Implicit incentives of mutual fund flows and liquidity premia

Ruimin Xu
Shandong University, China
ruiminx(AT)126.com

9 - 29 Jun 2013

Yanying Yan
National University of Singapore
star19900822(AT)gmail.com

3 Jun - 12 Jul 2013

Chen Yang
National University of Singapore
a0092577(AT)nus.edu.sg

3 Jun - 12 Jul 2013

Jing Yang
National University of Singapore
yangjing2008sh(AT)163.com

3 - 14 Jun 2013

Shuzhen Yang
Shandong University, China
yangshuzhen3383(AT)sina.com

9 - 29 Jun 2013

Yue Yin
Shandong University, China
yinyue2008cn(AT)163.com

9 - 29 Jun 2013

Guoqiang Zheng
Shandong University, China
zhengguoqiang.sdu(AT)163.com

9 - 29 Jun 2013

Jingqiu Zhou
National University of Singapore
Jennyqiu1234(AT)gmail.com

3 Jun - 12 Jul 2013

REGISTERED LOCAL PARTICIPANTS

   

Bikramjit Das
Singapore University of Technology and Design
bikram(AT)sutd.edu.sg

28 Jun 2013

Mahdi Rasouli
National University of Singapore
rasouli(AT)nus.edu.sg

10 Jun 2013

Edwin Wan
Singapore Institute of Management
edwinwan88(AT)gmail.com

3 Jun - 3 Jul 2013

 

 

Organizing Committee · Visitors and Participants · Overview · Activities · Venue

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