Program for stream Financial Mathematics and OR

MA-30: Advances in Financial Mathematics, Economics and OR
Stream: Financial Mathematics and OR
Room: Room 012
Chair(s): Thomas Burkhardt, Gerhard-Wilhelm Weber

• Multiobjective Optimization of Credit Capital Allocation in Financial Insitutions
  Kamil Mizgier, Sarah Joseph
• Dependence of the Oil Companies’ Financial Results on Volatility of the World Oil Price
  Elena Kuchina
• Effectiveness of Different Trading Strategies for Price-Takers
  Lyudmila Egorova
• Portfolio Optimization Using Forecast and Data Envelopment Analysis
  Fernando Salomon, Edson Pamplona, Paulo Rotella Junior

MB-30: Financial Mathematics and OR
Stream: Financial Mathematics and OR
Room: Room 012
Chair(s): Gordon Dash, Nina Kajiji

• Hierarchical Neuro-Cybernetic Systemic Risk Factors for Multiobjective ESG Portfolio Optimization
  Gordon Dash, Nina Kajiji
• Entrepreneurial Decisions on Effort and Project with a Non-Concave Objective Function
  
• Sustainability of the Japanese Pension System with the Automatic Balancing Mechanism
  Masanori Ozawa, Tadashi Uratani
• Optimal Investment Problem for Eco-Product
  

MD-30: Financial Mathematics 1
Stream: Financial Mathematics and OR
Room: Room 012
Chair(s): Masamitsu Ohnishi

• Regime Switching among Several Short Rate Models
  Keiichi Tanaka
• Equilibrium Relationship between the Performance and the Information Ratio with Transaction Costs
  Shingo Nakanishi, Masamitsu Ohnishi
• Limit Order Book Dynamics and Optimal Execution Strategy
  
• Free Boundary Problem for Double Stopping Russian Option
  

ME-30: Financial Mathematics 2
Stream: Financial Mathematics and OR
Room: Room 012
Chair(s): Norio Hibiki

• Rating Models using Logistic and Cox Regression: Medium and Large Companies Case
  Aneta Ptak-Chmielewska, Anna Matuszyk
• Effects of a Sales Tax Increase on Firm Valuation: DCF Approach to Individual Firm Data
  
• Portfolio Selection Based on Bayesian Theory
  Yong Fang
• Multi-Period Stochastic Programming Model for State-Dependent Asset Allocation with CVaR
  

TA-30: Financial Mathematics 3
Stream: Financial Mathematics and OR
Room: Room 012
Chair(s):

• Optimal Capital Injection Problem under Financial Crisis
  
• Multilevel Monte Carlo Simulation for Game Option
  Hitoshi Inui, Katsunori Ano
• Optimal Impulse Control for Cash Management with Double Exponential Jump Diffusion Processes
  Kimitoshi Sato, Atsuo Suzuki
• American Double Exercise Put Option on Geometric Random Walk
  

TB-30: Advances in Financial Decisions and Their Long-Term Horizon
Stream: Financial Mathematics and OR
Room: Room 012
Chair(s): Thomas Burkhardt, Andreas Loeffler, Ursula Walther

• Survival Risks and Risk Averse Management in Forestry
  Thomas Burkhardt
• Transaction Costs and Bid-Ask-Spreads
  Andreas Loeffler
• Risk Quantification in PPP Projects
  Ursula Walther