{"id":4830,"global_id":"aimap.imi.kyushu-u.ac.jp\/wp?id=4830","global_id_lineage":["aimap.imi.kyushu-u.ac.jp\/wp?id=4830"],"author":"1","status":"publish","date":"2020-02-15 00:49:00","date_utc":"2020-02-14 15:49:00","modified":"2021-03-16 19:47:56","modified_utc":"2021-03-16 10:47:56","url":"https:\/\/aimap.imi.kyushu-u.ac.jp\/wp\/event\/2019a023old\/","rest_url":"https:\/\/aimap.imi.kyushu-u.ac.jp\/wp\/wp-json\/tribe\/events\/v1\/events\/4830","title":"\u3010\u958b\u50ac\u5ef6\u671f\u3011WORKSHOP ON “MATHEMATICAL FINANCE AND RELATED ISSUES”","description":"

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\u25a0\u8b1b\u5e2b\u30fb\u30bf\u30a4\u30c8\u30eb\uff1aJim Gatheral (Baruch College, CUNY)
\n\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0\u300cDiamond trees and the forest expansion\u300d<\/p>\n

\u25a0\u958b\u50ac\u65e5\u6642\uff1a2021\u5e743\u67089\u65e5\uff08\u706b\uff0909\uff1a00-10\uff1a10<\/p>\n

\u25a0\u958b\u50ac\u5834\u6240\uff1aZoom\u306b\u3088\u308b\u30aa\u30f3\u30e9\u30a4\u30f3\u958b\u50ac<\/p>\n

\u25a0\u30d7\u30ed\u30b0\u30e9\u30e0
\n\u2192\u3053\u3061\u3089\u304b\u3089\u3054\u89a7\u304f\u3060\u3055\u3044<\/a><\/p>\n

\u25a0\u4f01\u753b\u756a\u53f7\uff1a2019A023<\/p>\n

\u25a0\u304a\u554f\u3044\u5408\u308f\u305b\u5148\uff1a
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\n\u6240\u5728\u5730\u3012560-8531\u3000\u5927\u962a\u5e9c\u8c4a\u4e2d\u5e02\u5f85\u517c\u5c71\u753a\u3000\uff11-\uff13
\nWebsite\u00a0\u00a0www-mmds.sigmath.es.osaka-u.ac.jp<\/a>
\nEmail\u3000http:\/\/www-mmds.sigmath.es.osaka-u.ac.jp\/structure\/helpdesk\/contact.php<\/p>\n

\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d\uff1d<\/p>\n

\u203b \u672c\u30a4\u30d9\u30f3\u30c8\u306f\u65b0\u578b\u30b3\u30ed\u30ca\u30a6\u30a4\u30eb\u30b9\u611f\u67d3\u75c7\u306e\u62e1\u5927\u9632\u6b62\u306b\u4f34\u3044<\/strong><\/span><\/p>\n

\u958b\u50ac\u3092\u5ef6\u671f\u3059\u308b\u3053\u3068\u3068\u306a\u308a\u307e\u3057\u305f\u3002<\/strong><\/span><\/p>\n

\u5ef6\u671f\u306e\u65e5\u7a0b\u7b49\u306b\u3064\u304d\u307e\u3057\u3066\u306f\u6c7a\u5b9a\u6b21\u7b2cWEB\u306b\u3066\u5468\u77e5\u3055\u305b\u3066\u3044\u305f\u3060\u304d\u307e\u3059\u3002<\/span><\/strong><\/p>\n

\u53c2\u52a0\u3092\u4e88\u5b9a\u691c\u8a0e\u4e0b\u3055\u3063\u3066\u3044\u305f\u65b9\u3005\u306b\u306f\u3001\u8aa0\u306b\u3054\u8ff7\u60d1\u3092\u304a\u304b\u3051\u3057\u307e\u3059\u304c\u3001<\/strong><\/span><\/p>\n

\u4f55\u5352\u3054\u7406\u89e3\u3068\u3054\u5354\u529b\u306e\u7a0b\u3092\u5b9c\u3057\u304f\u304a\u9858\u3044\u7533\u3057\u4e0a\u3052\u307e\u3059\u3002\u203b<\/strong><\/span><\/p>\n

 <\/p>\n

\u3010\u958b\u50ac\u5ef6\u671f\u3011WORKSHOP ON “MATHEMATICAL FINANCE AND RELATED ISSUES”<\/strong><\/span><\/p>\n

The workshop will be held at Osaka University Nakanoshima Center, on 10-13 March 2020. This is the 7th of a series of international workshops hosted by Center for the study of Mathematical Modeling and Data Science (formerly by Center for the study of Finance and Insurance), Osaka University. It aims at facilitating communications among international and interdisciplinary researchers on state of art of mathematical finance and related issues.<\/p>\n

\u25a0\u65e5\u6642\uff1a2020\u5e7403\u670810\u65e5(\u706b)\uff5e2020\u5e7403\u670813\u65e5(\u91d1)
\n\u25a0\u5834\u6240\uff1a\u5927\u962a\u5927\u5b66 \u4e2d\u4e4b\u5cf6\u30bb\u30f3\u30bf\u30fc 10\u968e \u4f50\u6cbb\u656c\u4e09\u30e1\u30e2\u30ea\u30a2\u30eb\u30db\u30fc\u30eb<\/p>\n

\u25a0\u53c2\u52a0\u8cbb\uff1a\u7121\u6599<\/p>\n

\u25a0\u53c2\u52a0\u65b9\u6cd5\uff1a\u4e8b\u524d\u7533\u3057\u8fbc\u307f\u306f\u4e0d\u8981<\/p>\n

\u8a73\u7d30\u306b\u3064\u3044\u3066\u306f\u3001\u672c\u30ef\u30fc\u30af\u30b7\u30e7\u30c3\u30d7\u306e\u30a6\u30a7\u30d6\u30da\u30fc\u30b8\uff08\u82f1\u8a9e\uff09\u3092\u3054\u89a7\u4e0b\u3055\u3044\u3002
\nhttp:\/\/www-mmds.sigmath.es.osaka-u.ac.jp\/structure\/dfi\/workshop\/2020\/<\/a><\/p>\n

\u25a0\u30d7\u30ed\u30b0\u30e9\u30e0\uff1a<\/p>\n

March 10\r\n08:30 - 08:55 Registration\r\n08:55 - 09:00 Opening\r\n09:00 - 09:45 Shige Peng (Shandong)\r\nRetrospective and prospective of nonlinear expectation theory.\r\n09:45 - 10:30 Gechun Liang (Warwick)\r\nA monotone scheme for G-equations with application to the convergence rate of robust central limit theorem.\r\n10:30 - 10:45 Coffee\r\n10:45 - 11:30 Ehsan Azmoodeh (Liverpool)\r\nAlgebraic Stein operators.\r\n11:30 - 12:15 Stefan Ankirchner (Jena)\r\nAn open problem in ruin theory and its solution within a diffusion approximation.\r\n12:15 - 13:45 Lunch\r\n13:45 - 14:15 Coffee\r\n14:15 - 15:00 Thomas Muller-Gronbach (Passau)\r\nOn optimal convergence rates for strong approximation of SDEs with piecewise Lipschitz drift coefficient.\r\n15:00 - 15:45 Dai Taguchi (Okayama)\r\nA generalized Avikainen's estimate and its applications.\r\n15:45 - 16:15 Coffee\r\n16:15 - 17:00 Andreas Neuenkirch (Mannheim)\r\nThe Euler-Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem.\r\n17:00 - 17:45 Arturo Kohatsu-Higa (Ritsumeikan)\r\nIntegration by parts: an approach using approximations.\r\n18:00 - 20:00 Welcome reception\r\nMarch 11\r\n09:00 - 09:45 Huyen Pham (Paris Diderot)\r\nLinear-quadratic control of stochastic Volterra equations: solvability and approximation.\r\n09:45 - 10:30 Xiaolu Tan (CUHK)\r\nDynamic programming and limit theory for McKean-Vlasov optimal control problem.\r\n10:30 - 10:45 Coffee\r\n10:45 - 11:30 Hideo Nagai (Kansai)\r\nLarge deviation control and related analysis of parameterized H-J-B equations.\r\n11:30 - 12:15 Jos\u00e9 Luis P\u00e9rez (CIMAT)\r\nDouble continuation regions for American options under Poissonian exercise opportunities.\r\n12:15 - 13:45 Lunch\r\n13:45 - 17:45 Discussion\r\nMarch 12\r\n09:00 - 09:45 Martin Schweizer (ETH Zurich)\r\nTBA\r\n09:45 - 10:30 Huy Ngoc Chau (Osaka)\r\nA robust fundamental theorem of asset pricing in discrete time.\r\n10:30 - 10:45 Coffee\r\n10:45 - 11:30 Takuji Arai (Keio)\r\nAl\u00f2s type decomposition formula for Barndorff-Nielsen and Shephard models.\r\n11:30 - 12:15 Claudio Fontana (Padova)\r\nTerm structure modelling with stochastic discontinuities.\r\n12:15 - 13:45 Lunch\r\n13:45 - 14:15 Coffee\r\n14:15 - 15:00 Claude Martini (Zeliade Systems)\r\nDynamics of symmetric SSVI smiles and implied volatility bubbles.\r\n15:00 - 15:45 Julien Guyon (Bloomberg)\r\nTBA\r\n15:45 - 16:15 Coffee\r\n16:15 - 17:00 Kei Noba (Osaka)\r\nOn the optimality of double barrier strategies for L\u00e9vy processes.\r\n17:00 - 17:45 Zhenjie Ren (Paris Dauphine)\r\nMean-field Langevin dynamics and neural networks.\r\n18:30 - 20:30 Conference dinner\r\nMarch 13\r\n09:00 - 09:45 Daniel Hern\u00e1ndez-Hern\u00e1ndez (CIMAT)\r\nThe role of the Arrow-Pratt index in the long run design of portfolios.\r\n09:45 - 10:30 Kazutoshi Yamazaki (Kansai)\r\nThe Leland-Toft optimal capital structure model under Poisson observations.\r\n10:30 - 10:45 Coffee\r\n10:45 - 11:30 Andrea Macrina (University College London, University of Cape Town)\r\nQuantile Diffusions.\r\n11:30 - 12:15 Peter Tankov (ENSAE)\r\nThe entry and exit game in the electricity markets: a mean-field game approach.\r\n12:15 - 12:20 Closing\r\n<\/pre>\n
\u25a0\u4e3b\u50ac: \u5927\u962a\u5927\u5b66 \u6570\u7406\u30fb\u30c7\u30fc\u30bf\u79d1\u5b66\u6559\u80b2\u7814\u7a76\u30bb\u30f3\u30bf\u30fc \u91d1\u878d\u30fb\u4fdd\u967a\u90e8\u9580
\n\u25a0\u5171\u50ac: \u5927\u962a\u5927\u5b66 \u6570\u7406\u30fb\u30c7\u30fc\u30bf\u79d1\u5b66\u6559\u80b2\u7814\u7a76\u30bb\u30f3\u30bf\u30fc \u30e2\u30c7\u30ea\u30f3\u30b0\u90e8\u9580
\n\u3000 \u3000 \u4e5d\u5dde\u5927\u5b66 \u30de\u30b9\u30fb\u30d5\u30a9\u30a2\u30fb\u30a4\u30f3\u30c0\u30b9\u30c8\u30ea\u7814\u7a76\u6240
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