The 4th Asian Quantitative Finance Seminar (AQFS)
18:00-21:00, Friday, November 20, 2020
(Japan Time Zone, GMT +9)
Center for Mathematical Modeling and Data Science
Osaka University
Preamble
The fourth event of the monthly online seminar series on quantitative finance will be hosted by Center for Mathematical Modeling and Data Science, Osaka University, via Zoom on Friday, November 20, 2020 from 18:00-21:00 (JP Time Zone). Continuing the format of the previous meetings, this event will consist of four or five talks, each of which includes a 20 minute presentation (by the speaker) plus a 10-minute discussion (by a discussant).
Important dates:
(JP Time Zone)
Deadline for submission: 11:00pm, 31 October, 2020
Notification of acceptance: 10 November 2020
Webinar to be held: 18:00-21:00, Friday, 20 November, 2020
Program
18:00 - 18:20: Peer Effect on Insurer’s Asset-Liability Management
by Xizhi Su (National University of Singapore)
18:20 - 18:30: Discussant: Xudong Zeng (Shanghai University of Finance and Economics)
18:35 - 18:55: High-Dimensional Sparse Multivariate Stochastic Volatility Models
by Benjamin Poignard (Osaka University )
18:55 - 19:05: Discussant: Yuta Koike (University of Tokyo)
19:10 - 19:30: Reference dependence: endogenous anchors and life-cycle investing
by Andrea Meireles-Rodrigues (University of York)
19:30 - 19:40: Discussant: Masaaki Fukasawa (Osaka University)
19:45 - 20:05: Optimal Tax-Timing Strategy in the Presence of Transaction Costs
by Hong Liu (Washington University in St Louis)
20:05 - 20:15: Discussant: Kazutoshi Yamazaki (Kansai University)
20:20 - 20:40: Optimal Dynamic Contracts with Environmental, Social and Governance Criteria
by Hao Xing (Boston University)
20:40 - 20:50: Discussant: Jaeyoung Sung (Ajou University)
Submission Requirements
If you are interested in contributing a talk for the seminar series, please send your manuscript to fukasawa@sigmath.es.osaka-u.ac.jp based on the following requirements:
(1) subject line “AQF Seminar Series”
(2) the title page containing the Authors details
(3) a blinded manuscript with no author details as another separate file
All submissions will be reviewed by scientific committee of the seminar series. Only unpublished complete manuscripts will be considered.
Submission deadline: 11:00pm, 31 October, 2020 (JP Time Zone).
For participants
If you are interested in the webinar, please give your name and your email address in the following link
When you are in our mailing list, you will receive a Zoom link to the webinar one day before the talk.
Scientific Committee
Jiro Akahori (Ritsumeikan U); Nan Chen (CUHK); Zengjing Chen (Shandong U); Min Dai (NUS); Masaaki Fukasawa (Osaka U); Xin Guo (UC Berkeley); Ying Hu (Univ Rennes); Hanqing Jin (Oxford); Wanmo Kang (KAIST); Steven Kou (Boston U); Yue-Kuen Kwok (HKUST); Duan Li (CityU of Hong Kong); Zhongfei Li (SYSU); Zongxia Liang (Tsinghua U); Jin Ma (USC); Huyen Pham (Paris 7); Shanjian Tang (Fudan U); Jie Xiong (SUSTech); Zuoquan Xu (HKPU); Kazutoshi Yamazaki (Kansai U); Jingping Yang (Peking U); Jiongmin Yong (UCF); and Xunyu Zhou (Columbia U).