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Financial Mathematics
(2 November - 23 December 2009)

Jointly organized with Risk Management Institute, NUS

 

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

 

Visitors and Participants

NAME & AFFILIATION

PERIOD OF VISIT

TENTATIVE TITLE OF TALK

OVERSEAS VISITORS

   

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

16 - 20 Nov 2009

Workshop 1:

Shortfall risk measure for general semimartingales

Viswanathan Arunachalam
University of los Andes, Colombia
aviswana(AT)uniandes.edu.co

3 - 9 Dec 2009

Ranjan Bhaduri
AlphaMetrix Alternative Investment Advisors, LLC, USA
rbhaduri(AT)alphametrix.com

14 - 19 Dec 2009

Tutorial:

Liquidity matters - pure & applied techniques in liquidity management

(PPTX 1, PPTX 2)


Workshop 3:

The balls in the hat game - an optimal stopping problem and its connections to the value of liquidity

(PDF 1, PDF 2)

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

9 - 15 Dec 2009

Workshop 3:

Pricing path dependent options under a flexible jump diffusion model

Rene Carmona
Princeton University, USA
rcarmona(AT)princeton.edu

7 - 13 Dec 2009

Workshop 2:

Challenges of the emissions markets

(PDF)


Special Lecture:

Dynamic market models: the case of the equity markets

(PDF)

Umut Cetin
London School of Economics, UK
U.Cetin(AT)lse.ac.uk

3 - 8 Dec 2009

Workshop 2:

Pricing and hedging in carbon emissions markets

(PDF)

Jean-Francois Chassagneux
Universite D'Evry, France
chssgnx(AT)gmail.com

11 Dec 2009

Workshop 3:

Discrete-time approximation of obliquely reflected BSDEs

Patrick Cheridito
Princeton University, USA
dito(AT)princeton.edu

26 Nov - 12 Dec 2009

Workshop 2:

Processes of class Sigma, last passage times and drawdowns


Workshop 3:

Dynamic CAPM with risk measures

Rama Cont
Columbia University, New York and CNRS, France
rama.cont(AT)gmail.com

15 - 19 Nov 2009

Workshop 1:

Modeling and measuring systemic risk

Stéphane Crépey
Evry University, France
stephane.crepey(AT)univ-evry.fr

13 - 15 Dec 2009

Workshop 3:

Pricing game options with call protection

(PDF)

Mark H. A. Davis
Imperial College, UK
mark.davis(AT)imperial.ac.uk

5 - 19 Dec 2009

Tutorial:

Asset management via risk-sensitive stochastic control


Workshop 3:

Counterparty risk via Bessel bridge


Freddy Delbaen
Swiss Federal Institute of Technology (ETH) Zurich, Switzerland
delbaen(AT)math.ethz.ch

1 - 29 Nov 2009

Workshop 1:

Representation of the penalty function

(PDF)

Romuald Elie
University Paris-Dauphine, France
elie(AT)ceremade.dauphine.fr

6 - 16 Dec 2009

Workshop 3:

Stochastic target problems with controlled loss

Paul Embrechts
Swiss Federal Institute of Technology (ETH) Zurich, Switzerland
embrechts(AT)math.ethz.ch

8 Nov - 1 Dec 2009


13 - 21 Dec 2009


Public Lecture:

Mathematics and the financial crisis


Workshop 1:

Extremes from meta distributions and the shape of their sample clouds

(PDF 1, PDF 2)

Max Fehr
London School of Economics and Political Sciences, UK
M.W.Fehr(AT)lse.ac.uk

3 - 14 Dec 2009

Workshop 2:

Design of cap and trade schemes

Hans Föllmer
Humboldt Universität zu Berlin, Germany
foellmer(AT)math.hu-berlin.de

7 Nov - 5 Dec 2009

Tutorial:

Robust preferences and robust portfolio choice

(PDF)


Workshop 1:

Dynamic risk measures: time-consistency, asymptotics, and the appearance of bubbles

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

8 - 18 Dec 2009

Tutorial:

Numerical methods for Hamilton Jacobi Bellman equations in finance


Workshop 3:

Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)

(PDF)

Christian Gollier
University Toulouse I, France
gollier(AT)cict.fr

3 - 9 Dec 2009

Workshop 2:

Socially efficient discounting under ambiguity aversion

(PDF)


Special Lecture:

The role of time horizon on the optimal portfolio allocation

(PDF)

Wolfgang Härdle
Humboldt-Universität zu Berlin, Germany
haerdle(AT)wiwi.hu-berlin.de

4 - 9 Dec 2009

Workshop 2:

How to price Asian temperature risk

(PDF)

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

15 Nov - 14 Dec 2009

Workshop 1:

Equilibrium pricing in incomplete markets under translation invariant preferences


Workshop 2:

Backward stochastic equations and equilibrium pricing in incomplete financial markets

(PDF)


Special Lecture:

Order books and alternative trading venues

(PPT)

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

8 - 11 Dec 2009

Workshop 3:

Games with exhaustible resources

Hanqing Jin
University of Oxford, UK
jinh(AT)maths.ox.ac.uk

9 Nov - 19 Dec 2009

Workshop 3:

Behavioural optimal liquidation ----- a model for disposition and break-even effect

Benjamin Jourdain
Ecole Nationale des Ponts et Chaussées, France
jourdain(AT)cermics.enpc.fr

9 - 15 Dec 2009

Workshop 3:

Exercise boundary of the American put option in the black-Scholes model with discrete dividends

Michael Kupper
Humboldt Universität zu Berlin, Germany
kupper(AT)mathematik.hu-berlin.de

14 - 20 Nov 2009

Workshop 1:

Risk preferences and their robust representations

Yue-Kuen Kwok
Hong Kong University of Science & Technology, Hong Kong
maykwok(AT)ust.hk

15 - 22 Nov 2009


6 Dec 2009 - 1 Jan 1971


Robin Lundgren
Mälardalen University, Sweden
robin.lundgren(AT)mdh.se

7 - 19 Dec 2009

Hoang Duc Luu
Vietnam Academy of Science and Technology, Vietnam
lhduc(AT)math.ac.vn

11 Nov - 19 Dec 2009

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

3 - 19 Dec 2009

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

11 - 18 Nov 2009

Workshop 1:

Measuring and calculating accumulated financial risks under uncertainty

Frank Riedel
Bielefeld University, Germany
friedel(AT)uni-bielefeld.de

16 - 21 Nov 2009

Workshop 1:

Optimal stopping with multiple priors and variational expectations in continuous time

Andrea Roncoroni
ESSEC Business School, France
roncoroni(AT)essec.fr

5 - 8 Dec 2009

Workshop 2:

Arbitrage models of commodity prices

(PDF)

Alexander Schied
Mannheim University, Germany
alex.schied(AT)gmail.com

12 - 17 Nov 2009

Tutorial:

Robust preferences and robust portfolio choice


Workshop 1:

Order book resilience, price manipulations, and the positive portfolio problem

Oskar Schyberg
Mälardalen University, Sweden
oskar.schyberg(AT)mdh.se

7 - 20 Dec 2009

Jun Sekine
Kyoto University, Japan
sekine(AT)kier.kyoto-u.ac.jp

15 - 22 Nov 2009

Workshop 1:

Large deviations controls for long-term investment

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

3 - 19 Dec 2009

Thi Kieu An Ta
University of Oslo, Norway
atkieu(AT)math.uio.no

9 - 15 Dec 2009

Workshop 3:

A maximum principle for Stochastic differential games with g-expectations and partial information

Hajime Takahashi
Hitotsubashi University, Japan
hajime(AT)stat.hit u.ac.jp

16 - 23 Nov 2009

Workshop 1:

On a statistical analysis of implied data

Luca Taschini
London School of Economics, UK
L.Taschini1(AT)lse.ac.uk

7 - 11 Dec 2009

Workshop 2:

Flexibility premium in marketable permits

(PDF)

Lixin Wu
Hong Kong University of Science and Technology, Hong Kong
malwu(AT)ust.hk

8 - 15 Dec 2009

Workshop 3:

Optimal calibration of the LIBOR market model

Zuoquan Xu
University of Oxford, UK
xuz(AT)maths.ox.ac.uk

6 - 13 Dec 2009

Workshop 3:

Optimal stopping with prospect preference

Sheung Chi Phillip Yam
The Hong Kong Polytechnic University, Hong Kong
mascpy(AT)polyu.edu.hk

11 - 17 Dec 2009

Workshop 3:

Callable stock loans and beyond

Jia-An Yan
Chinese Academy of Sciences, China
jayan(AT)amt.ac.cn

9 Nov - 8 Dec 2009

Workshop 1:

Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders

Jane Ye
University of Victoria, Canada
janeye(AT)uvic.ca

Jiongmin Yong
University of Central Florida, USA
jyong(AT)mail.ucf.edu

12 - 18 Dec 2009

Tutorial:

Stochastic optimal control - a brief introduction


Workshop 3:

Time-inconsistent optimal control problems

Wei Zhou
The University of Hong Kong, Hong Kong
h0483715(AT)hkusua.hku.hk

8 - 18 Dec 2009

Xunyu Zhou
University of Oxford, UK
zhouxy(AT)maths.ox.ac.uk

12 - 15 Dec 2009

Workshop 3:

Finding quantiles

Bernt Øksendal
University of Oslo, Norway
oksendal(AT)math.uio.no

7 - 16 Dec 2009

Workshop 3:

Singular stochastic control with partial information of Itô-Lévy processes and associated optimal stopping

LOCAL VISITORS

   

Weizhu Bao
National University of Singapore
matbaowz(AT)nus.edu.sg

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

2 Nov - 23 Dec 2009

Workshop 3:

Leverage management in a bull-bear switching market

Yongheng Deng
National University of Singapore
ydeng(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Workshop 3:

Irrational borrowers and the pricing of residential mortgages

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

2 Nov - 23 Dec 2009

Workshop 1:

Clustered defaults

(PDF 1 PDF 2)

Juri Hinz
National University of Singapore
mathj(AT)nus.edu.sg

28 Nov - 23 Dec 2009

Workshop 2:

Modeling risk-neutral allowance price evolution with applications to option pricing

(PDF)

Seng Luan Lee
National University of Singapore
matleesl(AT)nus.edu.sg

Kian-Guan Lim
Singapore Management University
kglim(AT)smu.edu.sg

2 Nov - 23 Dec 2009

Zuowei Shen
National University of Singapore
matzuows(AT)nus.edu.sg

Melvyn Sim
National University of Singapore
dscsimm(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Workshop 1:

A satisficing alternative to prospect theory

Defeng Sun
National University of Singapore
matsundf(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Workshop 1:

Calibrating correlation matrices

Jianming Xia
National University of Singapore
matxj(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Workshop 3:

Risk aversion and portfolio selection

GRADUATE STUDENTS

   

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

2 Nov - 23 Dec 2009

Yong Chi
National University of Singapore
g0906592(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Hui-Ching Chuang
National University of Singapore
huichingc(AT)gmail.com

2 Nov - 23 Dec 2009

Chao Ding
National University of Singapore
dingchao(AT)nus.edu.sg

2 - 23 Nov 2009

Zhuihui Ding
National University of Singapore
g0906581(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Wang Gao
Singapore Management University
gao.wang.2008(AT)smu.edu.sg

2 Nov - 23 Dec 2009

Yan Gao
National University of Singapore
yangao(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Zheng Gong
National University of Singapore
gongzheng(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Gregor Heyne
Humboldt-Universität zu Berlin, Germany
heyne(AT)math.hu-berlin.de

3 - 10 Dec 2009

Workshop 2:

Cross hedging with stochastic correlation

Shu Huan Hu
National University of Singapore
g0906598(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Junfei Huang
National University of Singapore
junfeih(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Rachid Id Brik
ESSEC Business School, France
rachid.idbrik(AT)gmail.com

5 - 9 Dec 2009

Workshop 2:

Arbitrage models of commodity prices

Lingling Jin
National University of Singapore
g0906599(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Hann Yng Liew
National University of Singapore
g0906590(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Chaoxie Liu
National University of Singapore
g0906591(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Zhuoyu Long
National University of Singapore
longzhuoyu(AT)nus.edu.sg

1 Nov - 23 Dec 2009

Chao Ma
National University of Singapore
g0906600(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Chuang Men
National University of Singapore
g0906684(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Weimin Miao
National University of Singapore
miaoweimin(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Ding Mo
National University of Singapore
g0906601(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Santiago Moreno-Bromberg
Humboldt-Universität zu Berlin, Germany
smoreno(AT)math.hu-berlin.de

2 - 9 Dec 2009

Workshop 2:

Optimal derivative design in multi-agency games

Nadim Mouchonnet
National University of Singapore
g0906653(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Lai Yoke Mun
National University of Singapore
g0800602(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Liyang Pi
National University of Singapore
g0906597(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Jin Qi
National University of Singapore
qijin(AT)nus.edu.sg

10 - 15 Nov 2009

Xuewen Qian
National University of Singapore
g0900958(AT)nus.edu.sg

12 Nov - 14 Dec 2009

Chandan Saurabh
National University of Singapore
g0906589(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Dongjian Shi
National University of Singapore
g0800877(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Lei Shi
National University of Singapore
g0906582(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Yannan Shi
National University of Singapore
g0906595(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Chengjing Wang
National University of Singapore
smawc(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Daqing Wang
National University of Singapore
dwang(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Kaiqi Wang
National University of Singapore
g0906583(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Shanshan Wang
National University of Singapore
g0906585(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Xiaoyan Wang
National University of Singapore
g0800881(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Jiayi Wei
National University of Singapore
g0906584(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Bin Wu
National University of Singapore
wubin(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Yijun Wu
Peking University, China
wuyijun00(AT)gmail.com

1 Nov - 31 Dec 2009

Huina Xiao
National University of Singapore
g0800883(AT)nus.edu.sg

1 Nov - 23 Dec 2009

Shanghua Xu
National University of Singapore
g0800884(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Yao Ye
National University of Singapore
g0906699(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Xiaofei Zheng
National University of Singapore
g0906588(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Guanghao Zhou
National University of Singapore
g0906587(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Xin Zhou
National University of Singapore
zhouxin(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Min Zou
National University of Singapore
g0906593(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Khairularifin Bin Zulkifli
Singapore Management University
kb.zulkifli.2007(AT)accountancy.smu.edu.sg

2 Nov - 23 Dec 2009

REGISTERED LOCAL PARTICIPANTS

   

Denys Bezsmertnyi
Standard Chartered Bank
denys.bezsmertnyi(AT)gmail.com

2 Nov - 23 Dec 2009

Laurence G Chan
National University of Singapore
lchan.nus(AT)gmail.com

2 Nov - 23 Dec 2009

Xiong Dan
OCBC Bank
g0501193(AT)alumni.nus.edu.sg

Erik De Wit
National University of Singapore
erikdewit(AT)gmail.com

Jinxin He
National University of Singapore
u0704693(AT)nus.edu.sg

Yan Li
National University of Singapore
g0701279(AT)nus.edu.sg

Jingyi Liang
Singapore Management University
jingyiliang.2008(AT)business.smu.edu.sg

2 Nov - 23 Dec 2009

Huifang Lin
National University of Singapore
u0602097(AT)nus.edu.sg

Taifeng Lin
National University of Singapore
g0906650(AT)nus.edu.sg

Yongjin Liu
National University of Singapore
smaly(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Zhanyong Liu
seminel(AT)gmail.com

2 Nov - 23 Dec 2009

Alexandre Moudiappanadin
Credit Suisse
alexandre.moudiappanadin(AT)credit-suisse.com

2 Nov - 23 Dec 2009

Shengning Ni
Singapore Management University
sn.ni.2008(AT)business.smu.edu.sg

4 - 18 Dec 2009

Meng Huat Peng
OCBC Bank
peemh(AT)ocbc.com.sg

Chao Qun Ren
National University of Singapore
s0901099(AT)nus.edu.sg

Qing Lin Su
National University of Singapore
g0900080(AT)nus.edu.sg

Mie Mie Tzeto
Atotech SEA Pte Ltd
tzeto_miemie(AT)yahoo.com

1 Jan 2009

Charles Vincent
National University of Singapore
cmsvc(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Tao Wang
National University of Singapore
wangtao(AT)nus.edu.sg

2 Nov - 23 Dec 2009

Xin Yang
National University of Singapore
g0501130(AT)nus.edu.sg

Yanjun Yang
National University of Singapore
ecsv8(AT)nus.edu.sg

7 Jul - 31 Dec 2009

Yung Chiang Yang
Nanyang Technological University
yang0108(AT)ntu.edu.sg

2 Nov - 23 Dec 2009

Yang Ye
OCBC Bank
yangye(AT)ocbc.com.sg

 

 

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

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