Program for stream Financial Mathematics and OR

MA-24: Financial Mathematics and OR I
Stream: Financial Mathematics and OR
Room: SOUTH BUILDING UV S306 (building 0)
Chair(s): Norio Hibiki

• Optimal pension fund management under low interest rate environment using simulation-based multi-period optimization
  Rei Yamamoto
• Stress testing model for macro stress testing and specific events
  Muneki Kawaguchi
• The performance of multilevel Monte Carlo using Apache Spark
  Hitoshi Inui
• Estimating forward looking return distribution with the generalized recovery theorem
  Takuya Kiriu, Masatake Ito, Norio Hibiki

MB-24: Financial Mathematics and OR II
Stream: Financial Mathematics and OR
Room: SOUTH BUILDING UV S306 (building 0)
Chair(s): Michi Nishihara

• A premium-decomposition refinement of valuing convertible bonds with continuous coupons
  Toshikazu Kimura
• Equilibrium execution strategies in generalized price impact models
  Makoto Shimoshimizu, Masamitsu Ohnishi
• Financing and investment strategies under information asymmetry
  Takashi Shibata, Michi Nishihara
• Bankruptcy, liquidation, and fire sales under asymmetric information
  Michi Nishihara, Takashi Shibata

MC-24: Financial Mathematics and OR III
Stream: Financial Mathematics and OR
Room: SOUTH BUILDING UV S306 (building 0)
Chair(s): Masanori Ozawa

• High frequency sampling and international continuous-time stochastic processes
  A. Can Inci
• CPPI-STAR: triggered insurance portfolio strategies with time varying multiples based on regime switching asset dynamics
  Jean-Luc Prigent, hachmi ben ameur, Fredj JAWADI, Farid Mkaouar
• Exploring negative variance in logistics cost for FMCG e-tailer in India
  Nilanjan Chattopadhyay
• A risk evaluation of the Japanese public pension and the long-term personal pension
  Masanori Ozawa, Michael Krause

MD-24: Financial Mathematics and OR IV
Stream: Financial Mathematics and OR
Room: SOUTH BUILDING UV S306 (building 0)
Chair(s): Betül Kalaycı

• A neural network enhanced volatility component model
  Jia Zhai, Yi Cao
• Time inconsistent stochastic differential game: theory and an example in insurance
  Hong Mao
• Dynamic cash management models with loan opportunities
  Zimian Zhang
• Mutual relevance of investor sentiment and finance by modeling coupled stochastic systems by using MARS
  Betül Kalaycı, Ayse Ozmen, Azar Karimov, Gerhard-Wilhelm Weber

TA-24: Financial Mathematics and OR V
Stream: Financial Mathematics and OR
Room: SOUTH BUILDING UV S306 (building 0)
Chair(s): Zhongfei Li

• An assessment of long-term investments risk in longevity risk protection
  Justyna Majewska, Grażyna Trzpiot
• Portfolio selection with minimum regularised covariance determinant estimators
  Marco Neffelli, Marina Resta, Maria Elena De Giuli
• A variance decomposition in stock portfolios
  Javier Giner
• A multinomial-tree gambling model
  Zhongfei Li