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Workshop on Risk Measures and Robust Optimization in Finance
(16 - 20 Nov 2009)

Jointly organized with Risk Management Institute, NUS

 

Organizing Committee · Visitors and Participants · Overview · Activities · Funding for Young Scientists

 

Venue: IMS Auditorium unless otherwise stated

 

 Monday, 16 Nov 2009

02:00pm - 02:20pm

Registration

02:20pm - 02:30pm

Opening remarks
Louis Chen, National University of Singapore
Paul Embrechts, Swiss Federal Institute of Technology (ETH), Zurich
Defeng Sun, National University of Singapore

02:30pm - 03:30pm

Dynamic risk measures: time-consistency, asymptotics, and the appearance of bubbles
Hans Föllmer, Humboldt Universität zu Berlin, Germany

03:30pm - 04:00pm

--- Coffee Break ---

04:00pm - 05:00pm

Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
Jia-An Yan, Chinese Academy of Sciences, China

05:00pm - 05:30pm

--- Coffee Break ---

06:30pm - 07:30pm

Public Lecture: Mathematics and the Financial Crisis
Paul Embrechts, Swiss Federal Institute of Technology (ETH), Zurich


Venue: LT33, Block S17,
Level 2, Faculty of Science,
National University of Singapore,
Singapore 119260

Tuesday, 17 Nov 2009

09:15am - 09:30am

Registration

09:30am - 10:30am

Order book resilience, price manipulations, and the positive portfolio problem
Alexander Schied, Mannheim University, Germany

10:30am - 11:00am

--- Coffee Break ---

11:00am - 12:00nn

Risk preferences and their robust representations
Michael Kupper, Humboldt Universität zu Berlin, Germany

12:00nn - 02:00pm

--- Lunch Break --- (lunch at IMS)

02:00pm - 03:00pm

Measuring and calculating accumulated financial risks under uncertainty
Shige Peng, Shandong University, China

03:00pm - 03:30pm

--- Coffee Break ---

03:30pm - 04:30pm

Representation of the penalty function (PDF)
Freddy Delbaen, Swiss Federal Institute of Technology (ETH) Zurich, Switzerland

Wednesday, 18 Nov 2009

09:15am - 09:30am

Registration

09:30am - 10:30am

Equilibrium pricing in incomplete markets under translation invariant preferences
Ulrich Horst, Humboldt-Universität zu Berlin, Germany

10:30am - 11:00am

--- Coffee Break ---

12:00nn - 02:00pm

RMI Luncheon Talk Series 2009
The financial crisis: A question of guilt
Paul Embrechts, Swiss Federal Institute of Technology (ETH), Zurich


Venue: RMI Seminar Room, Level 1
21 Heng Mui Keng Terrace,
Singapore 119613
Register at www.rmi.nus.edu.sg/events/CFE2009.html

03:00pm - 04:00pm

Modeling and measuring systemic risk
Rama Cont, Columbia University, New York and CNRS, France

04:00pm - 04:30pm

--- Coffee Break ---

Thursday, 19 Nov 2009

09:15am - 09:30am

Registration

09:30am - 10:30am

Clustered defaults (PDF 1 PDF 2)
Jin-Chuan Duan, Director of Risk Management Institute

10:30am - 11:00am

--- Coffee Break ---

11:00am - 12:00nn

Optimal stopping with multiple priors and variational expectations in continuous time
Frank Riedel, Institute of Mathematical Economics in Bielefeld, Germany

12:00nn - 02:00pm

--- Lunch Break --- (Lunch hosted by RMI. Venue: RMI)

02:00pm - 03:00pm

Calibrating correlation matrices
Defeng Sun, National University of Singapore

03:00pm - 03:30pm

--- Coffee Break ---

03:30pm - 04:30pm

Large deviations controls for long-term investment
Jun Sekine, Kyoto University, Japan

Friday, 20 Nov 2009

09:15am - 09:30am

Registration

09:30am - 10:30am

Extremes from meta distributions and the shape of their sample clouds (PDF 1, PDF 2)
Paul Embrechts, Swiss Federal Institute of Technology (ETH) Zurich, Switzerland

10:30am - 11:00am

--- Coffee Break ---

11:00am - 12:00nn

A satisficing alternative to prospect theory
Melvyn Sim, National University of Singapore

12:00nn - 02:00pm

--- Lunch Break ---

02:00pm - 03:00pm

Shortfall risk measure for general semimartingales
Takuji Arai, Keio University, Japan

03:00pm - 03:30pm

--- Coffee Break ---

03:30pm - 04:30pm

On a statistical analysis of implied data
Hajime Takahashi, Hitotsubashi University, Japan




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