View the program in our Progressive Web App
Program for stream Computational and Simulation Methods in Finance
Monday
Tuesday
Wednesday
Wednesday, 14:00-15:40
WD-07: Computational and simulation methods in finance
Stream: Computational and Simulation Methods in Finance
Room: Room 7
Chair(s):
Gerhard-Wilhelm Weber, Milagros Baldemor
-
Moments of weighted averages of exchangeable random variables - a recursive algorithm with applications to finance
David Christen -
Optimal asset allocations with leverage constraints and transaction costs
Taeyoon Kim, Bong-Gyu Jang -
Improving Model Predictive Accuracy Using a Bayesian Approach: Application to PD Modelling of Mortgage Loans
Zheqi Wang, Jonathan Crook, Galina Andreeva -
High-frequency trading with optimized financial portfolios by an annealing method
Yusuke Sugita, Arnab Chakrabarti, Takuya Okuyama, Masanao Yamaoka
Thursday
Thursday, 12:00-13:40
HC-06: Quantitative methods in finance and risk management 1
Stream: Computational and Simulation Methods in Finance
Room: Room 6
Chair(s):
Dohyun Ahn
-
Liquidity, investment, and debt overhang
Nan Chen, Yuan Tian, Jiahui Ji -
Large-scale financial planning via an extended stochastic dual dynamic programming framework
Yongjae Lee, Jinkyu Lee, Do-Gyun Kwon, Jang Ho Kim, Woo Chang Kim -
Asymptotic optimal impulse control of interest rate under slowly varying stochastic volatility models
Chi Seng Pun -
Negative Income Shocks and Asset Pricing
Seyoung Park, Steven Kou
Friday
Friday, 10:00-11:40
FB-08: Quantitative methods in finance and risk management 2
Stream: Computational and Simulation Methods in Finance
Room: Room 8
Chair(s):
Dohyun Ahn
-
Efficient Simulation for a Stochastic Linear Program and Its Application to Finance
Dohyun Ahn -
Effects of Ordered Position on Stock Liquidity: New Non-Linear Evidence from Japanese REITs
William Mingyan Cheung -
A financial optimization problem applied to Value at Risk and Conditional Value at Risk for a Mexican Index
Maria Rosa Nieto Delfin