Columbia-JAFEE Conference 2015

The Columbia-JAFEE meetings began at Columbia in 1997 and have been alternating between taking place in Japan and New York ever since. This will be the 11th conference, and the Columbia Statistics Department is proud to host the JAFEE (Japanese Association of Financial Econometrics and Engineering) scholars on October 2 and 3, 2015. The topics range from probability, statistics and simulation to mathematical finance and actuarial science. Everyone is welcome.

Registration

Registration is not necessary.

Location

Room 501 in the Northwest Corner Building on Columbia Campus (map). You may enter the building from the street level at Broadway and 120th Street, or enter from the campus level. The room is on the 5th floor, one floor up from campus level. Subway: Train #1 stop at 116th Street.

Schedule for Friday, October 2

09:30 Breakfast buffet in front of the lecture hall

09:50-10:00 Philip Protter: Opening

10:00-10:40 Jiro Akahori: Hedging Error as a Timing Risk and its Static Hedge

10:45-11:25 Tim Leung: Optimal Mean Reversion Trading

11:30-12:10 Keita Owari: On Robust Utility Indifference Valuation with Semistatic Strategies

Lunch break At the Faculty House for Speakers and Organizers

02:30-03:10 Marcel Nutz: Martingale Optimal Transport and Beyond

03:15-03:55 Yuji Yamada: An Optimal Hedging Approach to Equity Value Assignment Problem Based on the First Passage Time Structural Model

04:00-04:40 Ciamac Moallemi: The Value of Queue Position in a Limit Order Book

06:30 Conference Dinner for Speakers and Organizers at Pisticci, 125 La Salle Street (map)

Schedule for Saturday, October 3

09:30 Breakfast buffet in front of the lecture hall

10:00-10:40 Junichi Imai: Hedging Financial Derivatives in Incomplete Market Using an Approximate Dynamic Programming

10:45-11:25 Jose Blanchet: Robust Extreme Value Analysis

11:30-12:10 Yuri Imamura: A New Numerical Scheme for the Price of Barrier Options Based on a Symmetrization of Diffusion Processes

Lunch break

02:30-03:10 Yuchong Zhang: Stochastic Perron’s Method for the Lifetime Ruin Problem under Transaction Costs

03:15-03:55 Hiroshi Ishijima: A Note on Real Estate Pricing

04:00-04:40 Ioannis Karatzas: Rank-based Portfolios and the Size Effect

04:40-04:50 Richard Davis: Closing

Book of Abstracts (pdf)

Speakers

Publication

A special volume for this conference is planned in the quarterly Springer journal Asia-Pacific Financial Markets which is published by JAFEE with Editor-in-Chief Jiro Akahori.

Organizers