Stochastic Processes and Risk Analysis

Program

10:30 - 10:35 Opening

Session 1 Chair : S. Kuriki (ISM)

10:35 - 11:20 T. Ogihara (ISM)

"Parameter estimation for misspecified diffusion with market microstructure noise"

11:30 - 12:15 S. Mano (ISM)

"Sampling from random partitions via A-hypergeometric systems associated with

monomial curves"

Session 2 Chair : T. Ogihara (ISM)

13:30 - 14:15 M. Stadje (Ulm University)

"Perfect hedging under endogenous permanent market impacts"

14:25 - 15:10 M. Fukasawa (Osaka University)

"Equilibrium returns with transaction costs"

Session 3 Chair : M. Fukasawa (Osaka University)

15:30 - 16:15 Y. Uehara (ISM)

"Consistent model selection for ergodic processes"

16:25 - 17:10 A. Gloter (Universite d'Evry Val d'Essonne)

" Rate of estimation for the stationary law of hypoelliptic processes "

18:00 - 20:30 Conference dinner