Program for stream Financial mathematics and OR

MB-12: Financial mathematics 1
Stream: Financial mathematics and OR
Room: 206B
Chair(s): Norio Hibiki

• An EBIT-based structural credit risk model using Bayesian estimation
  Rei Yamamoto, Kazunari Sawada
• Stress testing model based on supply chain relationships
  Muneki Kawaguchi
• CAPM on segmented markets: A synthesis, an extension and an application to Islamic financial markets
  Ahmed Badreldin, Bernhard Nietert
• Multi-period optimization model with downside risk for market order execution
  Norio Hibiki, Shunichi Takenobu

ME-12: Financial mathematics 2
Stream: Financial mathematics and OR
Room: 206B
Chair(s): Toshikazu Kimura

• Study of prediction of financial instruments prices in terms of momentum effect
  Yuto Otsuka, Takashi Hasuike
• Numerical performance of multilevel Monte Carlo with two optimization tools for options valuation
  Hitoshi Inui
• Dynamic pricing for perishable assets with price lock-in options
  Kimitoshi Sato
• Valuing employee stock options with a barrier option model
  Toshikazu Kimura

TA-12: Financial mathematics 3
Stream: Financial mathematics and OR
Room: 206B
Chair(s): Gerhard-Wilhelm Weber, Qi Wu

• A geometrical approach to forecast burst-time of stock market bubbles
  Efsun Kürüm, Gerhard-Wilhelm Weber, Cem Iyigün
• Portfolio selection with unfixed investment timings
  Chunhui Xu, Yanli Huo, Takayuki Shiina
• Contingent capital: Short-selling incentives and discretionary triggers
  Mark Reesor, Adam Metzler
• Term structure modeling of negative interest rates
  Sing Fan Chan, Qi Wu

TB-12: Financial mathematics 4
Stream: Financial mathematics and OR
Room: 206B
Chair(s): Markku Kallio, Gerhard-Wilhelm Weber

• Portfolio optimization models considering behavioral stocks
  Kuo-Hwa Chang, Michael Young
• Dynamic analysis of ridesharing markets in the presence of incentivized matching
  Qi Wu, Shumin Ma
• Cooperative mitigation of contagion in financial networks
  Markku Kallio, Aien khabazian
• A portfolio decision process with a value-at-risk criterion
  Yuji Yoshida