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Workshop on Optimal stopping and singular stochastic control problems in finance
(9 – 15 Dec 2009)

Jointly organized with Risk Management Institute, NUS

 

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

 

Venue: IMS Auditorium

 

 Organizing Committee

 

Chair

 

Members

 

  Invited Speakers

 

  • Ranjan Bhaduri (AlphaMetrix Alternative Investment Advisors, LLC, USA)
  • Ning Cai (Hong Kong University of Science and Technology, Hong Kong)
  • Stéphane Crépey (Evry University, France)
  • Patrick Cheridito (Princeton University, USA)
  • Min Dai (National University of Singapore)
  • Mark Davis (Imperial College, UK)
  • Yongheng Deng (National University of Singapore)
  • Romuald Elie (University Paris-Dauphine, France)
  • Peter Forsyth (University of Waterloo, Canada)
  • Jean-Francois Chassagneux (Universite D'Evry, France)
  • Sam Howison (University of Oxford, UK)
  • Hanqing Jin (Oxford University, UK)
  • Benjamin Jourdain (Ecole Nationale des Ponts et Chaussées, France)
  • Bernt Øksendal (University of Oslo, Norway)
  • Jianming Xia (National University of Singapore)
  • Zuoquan Xu (University of Oxford, UK)
  • Jiongmin Yong (University of Central Florida, USA)
  • Lixin Wu (Hong Kong University of Science & Technology, USA)
  • Sheung Chi Phillip Yam (The Hong Kong Polytechnic University, Hong Kong)
  • Xunyu Zhou (Oxford University, UK)

 

Schedule

 

 Wednesday, 9 Dec 2009

12:00nn - 02:00pm

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

02:00pm - 02:15pm

Registration

02:15pm - 02:30pm

Opening remarks
Ser Peow Tan, National University of Singapore

02:30pm - 03:20pm

Counterparty risk via Bessel bridge
Mark H. A. Davis, Imperial College, UK

03:20pm - 04:10pm

Stochastic target problems with controlled loss
Romuald Elie, University Paris-Dauphine, France

04:10pm - 04:40pm

--- Coffee Break ---

04:40pm - 05:30pm

Optimal stopping with prospect preference
Zuoquan Xu, University of Oxford, UK

Thursday, 10 Dec 2009

09:15am - 09:30am

Registration

09:30am - 10:20am

Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB) (PDF)
Peter A. Forsyth, University of Waterloo, Canada

10:20am - 11:10am

Behavioural optimal liquidation ----- a model for disposition and break-even effect
Hanqing Jin, University of Oxford, UK

11:10am - 11:40am

--- Coffee Break ---

11:40am - 12:30pm

Dynamic CAPM with risk measures
Patrick Cheridito, Princeton University, USA

12:30pm - 02:30pm

--- Lunch Break ---

02:30pm - 03:20pm

A maximum principle for Stochastic differential games with g-expectations and partial information
Thi Kieu An Ta, University of Oslo, Norway

03:20pm - 04:10pm

Pricing path dependent options under a flexible jump diffusion model
Ning Cai, Hong Kong University of Science and Technology, Hong Kong

04:10pm - 04:40pm

--- Coffee Break ---

04:40pm - 05:30pm

Exercise boundary of the American put option in the black-Scholes model with discrete dividends
Benjamin Jourdain, Ecole Nationale des Ponts et Chaussées, France

Friday, 11 Dec 2009

09:15am - 09:30am

Registration

09:30am - 10:20am

Singular stochastic control with partial information of Itô-Lévy processes and associated optimal stopping
Bernt Øksendal, University of Oslo, Norway

10:20am - 11:10am

Leverage management in a bull-bear switching market
Min Dai, National University of Singapore

11:10am - 11:40am

--- Coffee Break ---

11:40am - 12:30pm

Optimal calibration of the LIBOR market model
Lixin Wu, Hong Kong University of Science and Technology, Hong Kong

12:30pm - 02:30pm

--- Lunch Break ---

02:30pm - 03:20pm

Games with exhaustible resources
Sam Howison, University of Oxford, UK

03:20pm - 04:10pm

Callable stock loans and beyond
Sheung Chi Phillip Yam, The Hong Kong Polytechnic University, Hong Kong

04:10pm - 04:40pm

--- Coffee Break ---

04:40pm - 05:30pm

Discrete-time approximation of obliquely reflected BSDEs
Jean-Francois Chassagneux, Universite D'Evry, France

Monday, 14 Dec 2009

09:15am - 09:30am

Registration

09:30am - 10:20am

Pricing game options with call protection (PDF)
Stéphane Crépey, Evry University, France

10:20am - 11:10am

Risk aversion and portfolio selection
Jianming Xia, National University of Singapore

11:10am - 11:40am

--- Coffee Break ---

11:40am - 12:30pm

Finding quantiles
Xunyu Zhou, Oxford University, UK

Tuesday, 15 Dec 2009

09:15am - 09:30am

Registration

09:30am - 10:20am

Time-inconsistent optimal control problems
Jiongmin Yong, University of Central Florida, USA

10:20am - 11:10am

The balls in the hat game - an optimal stopping problem and its connections to the value of liquidity (PDF 1) (PDF 2)
Ranjan Bhaduri, AlphaMetrix Alternative Investment Advisors, LLC, USA

11:10am - 11:40am

--- Coffee Break ---

11:40am - 12:30pm

Irrational borrowers and the pricing of residential mortgages
Yongheng Deng, National University of Singapore




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