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 is not necessary.
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.
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)
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
Jiro Akahori, Ritsumeikan
Jose Blanchet, Columbia
Junichi Imai, Keio
Yuri Imamura, Ritsumeikan
Hiroshi Ishijima, Chuo
Ioannis Karatzas, Columbia and INTECH
Tim Leung, Columbia
Ciamac Moallemi, Columbia
Marcel Nutz, Columbia
Keita Owari, Tokyo
Yuji Yamada, Tsukuba
Yuchong Zhang, Columbia
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.
Richard Davis, Columbia
Takaki Hayashi, Keio
Marcel Nutz, Columbia
Philip Protter, Columbia