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Program for stream Financial Mathematics and OR
Monday
Tuesday
Tuesday, 12:00-13:40
TC-03: Financial mathematics and OR 1
Stream: Financial Mathematics and OR
Room: Room 3
Chair(s):
Norio Hibiki, Katsunori Ano
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Optimal execution strategies with generalized price impacts in a continuous-time setting
Makoto Shimoshimizu, Masaaki Fukasawa, Masamitsu Ohnishi -
Failure discrimination and variable selection problem by mixed integer semi-definite programming using maximal margin hyperplane
KATSUHIRO TANAKA, Rei Yamamoto -
Asset Allocation with Forward-Looking Distribution
Takuya Kiriu, Norio Hibiki -
Investment Timing and Capacity Decisions with Time-to-Build in a Duopoly Market
Haejun Jeon
Tuesday, 18:00-19:40
TF-11: Risk management
Stream: Financial Mathematics and OR
Room: Room 11
Chair(s):
Katarzyna Romaniuk
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Insurance portfolio strategies with time varying multiples based on good and bad volatility dynamics
Jean-Luc Prigent, hachmi ben ameur, Wael Louhichi -
Why do not firms shift risk near distress? A theoretical explanation and an application to the case of DB pension funds insured by the PBGC
Katarzyna Romaniuk -
Multivariate Statistical Modeling of COVID Vaccine Development Companies Stock Investment Strategy
Chi-hong Ho, Chi-Feng Ho -
The performance of Compliant stocks during the COVID-19 crisis
Amel Farhat, Amal Hili
Wednesday
Wednesday, 12:00-13:40
WC-03: Stochastic models in finance
Stream: Financial Mathematics and OR
Room: Room 3
Chair(s):
Hiroaki Ishii, Katsunori Ano, Yongkil Ahn
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Wiener Chaos Expansion for the pricing of contingent claims whose underlying assets follow jump processes
KANGYONG LIU -
Risk Evaluation of Liabilities by Using a Regime-Switching Interest Rate Model and Its Application to the Non-Maturity Deposits
Yukio Muromachi -
What Factors Are Associated with Stock Price Jumps in High Frequency?
Yongkil Ahn
Wednesday, 16:00-17:40
WE-03: Financial modelling
Stream: Financial Mathematics and OR
Room: Room 3
Chair(s):
Rosella Giacometti
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Tail risks in Vast portfolio selection
Rosella Giacometti, Gabriele Torri -
Systemic risk in insurance and banking sector: a microstructural approach
Gabriele Torri, Rosella Giacometti -
Tree-Based Ensemble Strategies for Predicting Loss Given Default of Bank Loans
Aida Salko -
Is ESG a key element in investment choices?
Rita D'Ecclesia, Susanna Levantesi, Valeria D Amato
Thursday
Thursday, 8:00-9:40
HA-03: Financial mathematics and OR 3
Stream: Financial Mathematics and OR
Room: Room 3
Chair(s):
Gerhard-Wilhelm Weber, Lingfei Li
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A two-step framework for arbitrage-free prediction of the implied volatility surface
Wenyong Zhang , Lingfei Li -
A General Approach for Parisian Stopping Times under Markov Processes
Gongqiu Zhang, Lingfei Li -
Re-discovery of the 1/N portfolio from a new perspective based on the euclidean distance
Soonbong Lee, Hongseon Kim, Seongmoon Kim
Thursday, 10:00-11:40
HB-03: Behavioral finance
Stream: Financial Mathematics and OR
Room: Room 3
Chair(s):
Jing Yao, Yun SHI
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Work More Tomorrow: Resolving Present Bias in Project Management
Yun SHI -
The Risk-Return Tradeoff in China: A Feedback Approach to Expected Government Actions
Jing Yao -
Profit-driven selection of optimal segment churn prevention actions for a financial institution: A multi-action and shared-segment budget optimization approach
Alejandro Mac Cawley, Abraham Fuentealba
Friday
Friday, 14:00-15:40
FD-03: Financial mathematics and OR 2
Stream: Financial Mathematics and OR
Room: Room 3
Chair(s):
Gerhard-Wilhelm Weber
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A multivariate Hawkes-type jump diffusion model for stock prices
Anqi Liu, Xiaodi Zhu, Jing Chen -
A General Method for Analysis and Valuation of Drawdown Risk under Markov Models
Lingfei Li, Gongqiu Zhang -
Asset pricing on multiple segmented markets
Ahmed Badreldin, Bernhard Nietert