Mathematics of Risk - 2025

Table of contents

• Week 1: Timetable

• Week 2: Timetable

• Abstracts

• Addendum

Week 1

3 November (Monday)

Opening  Session 

Chair: Kyoko Yagi

• 9:00 - 9:30  Opening of Research Program

  Tom Keegan 

  Welcome on behalf of MATRIX 

  Nino Kordzakhia and Stuart Hawkins

  Welcome on behalf of Organising Committee

• 9:30 - 10:20     Katsuto Tanaka (Hitotsubashi U)

    Brownian Motion, the Fredholm Determinant, and Time Series Analysis

10:20 - 10:50    Break

• 10:50 - 11:40    Nicolas Privault (Nanyang Technological U)

       A functional branching diffusion solver for nonlinear PDEs and its stability          

   analysis 

• 11:40 - 12:30    Kostya Borovkov (U of Melbourne)  

  On large deviation probabilities for self-normalised sums of random variables 

The talks are 45 min long followed by 5 min QA

4 November (Tuesday)

Workshop 1 

Markov Processes and Their Applications

Chair:  Kazutoshi Yamazaki

• 9:00 - 9:50    David Croydon (Kyoto U)

   Cover times of random walks on some special trees

• 9:50 - 10:40  Kazutoshi Yamazaki (U of Queensland)

   Multi-armed bandit problems under periodic observations

    10:40 - 14:00  Lunch Break 

•  14:00 -14:50   Quoc Thong Le Gia (UNSW)

 Bayesian inference calibration of the modulus of elasticity 

• 14:50 -15:40   Andriy Olenko  (La Trobe U)

Corrected Out-of-Sample Prediction with Property Pricing Applications

The talks are 45 min long followed by 5 min QA

5 November (Wednesday)

 Group discussions and collaborative work

6 November (Thursday)

Workshop 2  

Stochastic Analysis and Its Applications

Chair: Katsuto Tanaka

9 am - 1 pm 

• 9:00 - 9:50    Eckhard Platen (UTS)

  Mathematical Principles of Finance I

• 9:50 - 10:40 

  Mathematical Principles of Finance II

 10:40 - 11:00  Break

• 11:00 - 11:50  Kyoko Yagi (Tokyo Metropolitan U)

Optimal acquisition contract design under asymmetric information: the role of  earnouts and separating menus 

• 11:50 - 12:40   Len Garces (UTS)

 Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models 

The talks are 45 min long followed by 5 min QA

7 November (Friday)

Workshop 3

  Stochastic Analysis and Its Applications

Chair: Teruyoshi Suzuki

2 pm - 6 pm 

• 14:00 - 14:50  Masaaki Fukasawa (Osaka U)

   Wiener spiral for volatility modeling

• 14:50 - 15:20  Vlad Dragalin (Johnson & Johnson, USA)

   Financial valuation of Phase 2 designs from a clinical program perspective 

  15:20 - 15:40  Break

• 15:40 - 16:00 Tim Ling (UTS) 

A quick tour of the blockchain and cryptocurrency under the UTXO model

• 16:00 - 16:20 Bahodir Ergashev (U. S. Bank, USA) (online)

 Cointegration models for stress testing of large banks 

• 16:20 - 16:50 Youri Kabanov (U of Franche-Comté) (online)

 Distributional equations and the ruin probabilities for a Sparre Andersen model with   investments

• 16:50 - 17:30 Alex Novikov (UTS) 

My way in Stochastics

• 17:30 - 18:00  Note from Albert Shiryaev (Steklov Mathematical Institute)

Week 2

10 November (Monday)

Workshop 4 

 Stochastic Inverse Problems

9 am - 12.40 pm 

Chair: Stuart Hawkins

• 9:00 - 9:50  Mahadevan Ganesh (Colorado School of Mines)

An efficient algorithm for  stochastic forward and inverse Maxwell models 

• 9:50 - 10:40 Colin Fox (U of Otago )

Posterior inference in large-scale inverse problems by MCMC, and not MCMC 

  10:40 - 11:00  Break

• 11:00 - 11:50 Ru Nicholson (U of Auckland)

Bayesian inversion and optimal experimental design with surrogate models 

• 12:00 - 12:40 Nino Kordzakhia  (Macquarie U)

      Estimation of diffusion-type processes and applications

• Pre-dinner wine &cheese: the  produce is locally-sourced to showcase delicacies from the region. 

11 November (Tuesday)

Workshop 5  

Stochastic Inverse Problems

Chair: Mahadevan Ganesh

• 9:00 -  9:50  Stuart Hawkins  (Macquarie U)

  Information content in scatterred -wave data

• 9:50 - 10:40  Erik Neefjes  (Macquarie U)

A neural-network surrogate Bayesian algorithm for the Helmholtz inverse-medium problem

  10:40 - 11:00  Break

• 11:00 - 11:40  Matt Fernandes (Macquarie U)

  Surrogate Bayesian Inversion for a Class of Wave Configuration Parameters 

• 11:40 - 12:30  Teruyoshi Suzuki (Hokkaido U)

The Dynamics of Takeovers through Exchange Offers  in the Presence of Competition 

12 November (Wednesday)

Workshop 6  

Modelling of risk factors associated with Climate Change in Insurance, Economics, and Finance

Chair: Tomoko Matsui

• 9:00 -  9:50 Mihoko Minami  (Keio U)

Modeling for Zero-Inflated Count Data and Overestimation of Trend by Model   Misspecification

• 9:50 - 10:40 Daisuke Murakami (ISM)

Spatial process modeling via progressive aggregation of local models

  10:40 - 11:00  Break

• 11:00 - 11:50 Yuko Araki (Tohoku U)

Multilevel Functional Data Modeling with Dynamic Spatiotemporal Structure

• 11:50 - 12:40  Tiangang Cui (U Sydney)

  From Matrix Interpolation to Tensorized High-Dimensional Random Variable  

  Simulation: with Applications to Rare Event Estimation 

12 November (Wednesday)

Workshop 7  

Recent Advances in Stochastic Modelling: 

Finance and Economics

Chairmen:  Kais Hamza 

3 pm - 6 pm 

• 15:00 - 15:50  Anna Aksamit  (U of Sydney)

    Partially Ordered Peacocks 

• 15:50 - 16:40  Jiro Akahori (Ritsumeikan U)

    Reflection principle, revisited

   16:40 - 17:00   Break

• 17:00 - 17:50  Arturo Kohatsu-Higa (Ritsumeikan U)

   A general framework for an approximation method for invariant measures of      

   stochastic equations  

13 November (Thursday)

Workshop 8 

  Modelling of risk factors associated with Climate Change in Insurance, Economics, and Finance

Chair: Mihoko Minami

• 9:00 - 9:50 Jiancang Zhuang (ISM)

   A General Framework for Residual Analysis 

• 9:50 - 10:40 Takanori  Adachi (Tokyo Metropolitan U)

   A Geometric Model of Synthetic Filtrations 

  10:40 - 11:00 Break

• 11:00 - 11:50  Makoto Shimoshimizu (Tokyo U of Science)

Continuous-time optimal pair-trade execution with cross-impacts and common risk factors

• 11:50 - 12:20  Tomoko Matsui  (ISM)

Bridging Probabilistic and Neural Spatio-Temporal Models for Urban Heat-Wave Prediction: From GH-SSM to Transformer-Based Inference 

13 November (Thursday)

Workshop 9 

Recent Advances in Stochastic Modelling: 

Finance and Economics

Chairmen: Ivan Guo

3 pm - 4.40 pm 

• 15:00 - 15:50  Jie Y. Fan (Monash U)

   Mimicking: Martingales with Matching Marginals 

• 15:50 - 16:40  Vladimira Seckarova (Monash U)

   Modelling Dependent Count Data: A Bayesian Hierarchical Perspective

14 November (Friday)

Research Progress

                                        Chair: Takanori Adachi

9 am - 12 pm 

• 9:00 - 9:20  Qingyuan Zhang (U of Queensland)

   An Inventory System with Two Supply Modes and Lévy Demand 

• 9:20 - 9:40   Kohei Watanabe (Ritsumeikan U)

  A Probabilistic Representation of the Derivative of Brownian Motion with Drift 

• 9:40 - 10:00  Yanyi Jiang  (Ritsumeikan U)

  Some asymptotic analyses of the laws of the quadratic Wiener functionals   

  and their application in finance 

• 10:00 - 10:20   Xinmao  Zhang (Ritsumeikan U)

  HJB Methods for Climate–Economy Dynamics: A Continuous-Time RICE    

  Model 

• 10:20 - 10:40  Adam Bilchouris (La Trobe U)

   Nonparametric estimation of autocovariance functions 

The talks are 15 min long followed by 5 min QA

                                        Closing  Session                 

• 10:45 - 11:35  Ivan Guo (Monash U)

   Robust pricing-hedging duality for American options     

• 11:35 - 11:55 Q&A with Volf Frishling (NAB) led by Fima Klebaner (Monash U)   

• 11:55 - 12:00  Closing of Research Program                                 

3 November: Opening

4 November: Workshop 1 

6 November: Workshop 2

7 November: Workshop 3

10 November: Workshop 4

11 November: Workshop 5

12 November: Workshop 6; 7

13 November: Workshop 8; 9

14 November

Research Progress

Closing

Addendum