Program for stream Financial Mathematics and OR

MD-27: Financial Mathematics and OR 1
Stream: Financial Mathematics and OR
Room: F107
Chair(s): Tadashi Uratani

• Insurance Linked Security: Cat Bond vs Collateralized reinsurance
  Tadashi Uratani
• An Accelerated Static Hedging Method for Pricing American Options under J-Process
  Lung-fu Chang, Jia-Hau Guo, Mao-Wei Hung
• Multivariate dynamic models for management of currency investment portfolios
  Tomas Cipra, Radek Hendrych
• A new measure of multicollinearity and an application to financial systemic risk
  Maria Laura Torrente, Mario Maggi, Pierpaolo Uberti

TB-27: Financial Optimization and Data Science in Finance
Stream: Financial Mathematics and OR
Room: F107
Chair(s): Duan Li, Qi Wu

• Mean-Variance Induced Utility Maximization Framework: Risk and Potential
  Duan Li
• Personas Service for Financial Scenario: Automatic Personas Construction with Interpretability on E-commercial Platform
  Wen Zhang, Peng Xie, Minxue Xia, Qi Wu
• Equilibrium strategy for a multi-period mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow
  Zhongfei Li, Hao Ge, Xun Li

TC-27: Financial Mathematics and OR 2
Stream: Financial Mathematics and OR
Room: F107
Chair(s): Gerhard-Wilhelm Weber, Yuriy Kaniovskyi, Li Zhongfei

• Financing, investment, liquidation, and costly reversibility
  Takashi Shibata, Michi Nishihara
• Reducing Estimation Risk Using Bayesian Approach: Application to Stress Testing Mortgage Loan Default
  Zheqi Wang, Jonathan Crook, Galina Andreeva
• Model identification and parameter estimation for huge latent distributions: macroeconomic scenarios and credit-rating migrations
  Yuriy Kaniovskyi, Georg Pflug
• Analysis of financial derivatives hedging bunker fuel price volatility in container shipping
  Dongping Song, Tianyu Song