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| 項目 |
内容 |
| 採択番号 |
2012W06 |
| タイトル |
JAFEE-Columbia-ISM International Conference on Financial Mathematics, Engineering, and Statistics |
| キーワード |
ファイナンス
、確率プロセス
、信用リスク
、大規模市場データ
、リスク計量化
、リスクコントロール
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| 開催時期 |
2013/03/18 ～ 2013/03/19
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| 開催場所 |
統計数理研究所
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| プログラム |
March 18, Monday
Chair of the day: Takaki Hayashi (Keio Univ.)
09:00-09:50
Registration
09:50-09:55
Opening Remark
1st. Session / Chair:
10:00-10:50
Shigeo Kusuoka (The University of Tokyo)
"A remark on credit risk models and copula"
10:50-11:30
Hongzhong Zhang (Columbia University)
"Quickest detection in a system with correlated noise"
11:30-13:00
Lunch break
2nd. Session / Chair:
13:00-13:50
Eckhard Platen (University of Technology, Sydney)
TBA
13:50-14:30
Hideatsu Tsukahara (Seijo University)
"Risk Management with Distortion Risk Measures"
14:30-15:10
Andrew Lim (National University of Singapore & University of California at Berkeley)
"Optimal dynamic portfolio choice with multiple decentralized agents"
15:10-15:30
Coffee Break
3rd. Session / Chair:
15:30-16:20
Takeaki Kariya (Meiji University)
"Measuring Credit Risk of French, Italian, Spanish and Greek GBs Relative to German GB and Deriving Term Structures of Default Probabilities"
16:20-17:00
Toshinao Yoshiba (Bank of Japan)
"Analytical solutions for expected loss and standard deviation of loss with an additional loan"
17:00-17:40
TBA
18:00-20:00
Reception
March 19, Tuesday
Chair of the day: Satoshi Yamashita (ISM)
9:00-9:50
Registration
1st. Session / Chair:
10:00-10:50
Philip Protter (Columbia University)
"Can one detect a financial bubble in real time?"
10:50-11:30
Masaaki Fukasawa (Osaka University)
"Efficient Discretization of Stochastic Integrals"
11:30-13:00
Lunch break
2nd. Session / Chair:
13:00-13:50
TBA
13:50-14:30
Cecilia Mancini (University of Florence)
"Measuring the relevance of the microstructure noise in financial data"
14:30-15:10
Yoshinori Kawasaki (The Institute of Statistical Mathematics)
"Yield curve estimation using both bid and ask prices of coupon bonds"
15:10-15:30
Coffee Break
3rd. Session / Chair:
15:30-16:20
Richard A. Davis (Columbia University)
"Noncausal Vector AR Processes with Application to Financial Time Series"
16:20-17:00
Yoichi Nishiyama (The Institute of Statistical Mathematics)
"On Entropy-Martingale Methods in Statistics"
17:00-17:40
Peter Spreij (University of Amsterdam)
"Affine diffusions with non-canonical state space"
17:40-17:45
Closing Remark
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| 運営責任者 |
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| 情報更新日 |
2013/05/29 |
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