INFORMATION20100129
投稿日: Jan 29, 2010 7:24:30 AM
International Workshop on Mathematical Finance ``Topics on Leading-edge Numerical Procedures and Models''
日時: 16,17,18 February 2010
会場: TKP虎ノ門ビジネスセンター(http://tkptora.net/) (room 2A( http://tkptora.net/conference/conf_2a.shtml))
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Program: (http://www.craft.titech.ac.jp/activity/symposium/craft2010ws.html)
16th Feb.
10:30 ``Modeling of Contagious Downgrades and Its Application to
Multi-Downgrade Protection''
by Hidetoshi Nakagawa (ICS, Hitotsubashi University)
11:30 ``Optimal Hedging for Defaultable Claims''
by Yumiharu Nakano (Center for Research in Advanced Financial
Technology, Tokyo Institute of Technology)
12:30--14:00 break
14:00 ``Wong-Zakai Approximations with Convergence Rate for General SPDEs''
by Stefan Tappe (Swiss Federal institute of Technology, Zurich)
15:00 ``From quantile hedging to large deviations control with long horizon''
by Jun Sekine (Institute of Economic Research, Kyoto University)
16:00 ``Solution of Lyons' Conjecture on Neo-Classical Inequality''
by Keisuke Hara (ACCESS Co. Ltd)
17th Feb.
10:00 ``Higher Order Methods of Kusuoka Approximation and FDM on Integral
Curve;
Application for Pricing Derivatives''
by Takehiro Fujiwara (Center for Financial Technology, Nomura
Securities Co., Ltd.)
11:00 ``Approximation of Expectation of Diffusion Processes with Dirichlet
boundary''
by Shigeo Kusuoka (Graduate School of Mathematical Sciences, The
University of Tokyo)
12:00--13:30 break
13:30 ``Numerical Methods for Affine Processes Inspired by the
Ninomiya-Victoir Scheme''
by Josef Teichmann (Swiss Federal Institute of Technology,
Zurich)
14:30 ``Towards a higher order approximation for Backward SDEs''
by Konstantinos Manolarakis (Imperial College London, UK)
15:30 ``Affine Processes and Applications in Finance''
by Martin Keller-Ressel (Swiss Federal Institute of Technology,
Zurich)
16:30 ``Affine Processes on Positive Semi-definite Matrices''
by Christa Cuchiero (Swiss Federal Institute of Technology,
Zurich)
18th Feb.
10:00 ``A New Extrapolation Method of Weak Approximation Schemes''
by Dejan Veluscek (Faculty of Mathematics and Physics, University
of Ljubljana, Slovenia)
11:00 ``Solitons via Stochastic Areas''
by Jiro Akahori (Research Center for Finance, Ritsumeikan
University)
12:00--13:30 break
13:30 ``On the Term Structure of Interest Rates with Basis Spreads, Collateral and Multiple Currencies''
by Akihiko Takahashi (Graduate School of Economics, The
University of Tokyo)
14:30 ``A Continuous-Time Analysis of Optimal Contracts with Restructuring
in an Environment with Costly Information Disclosure;
Theory and Applications''
by Hisashi Nakamura (Graduate School of Economica, The
University of Tokyo)