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Program for stream Financial mathematics and OR
Monday
Monday, 10:30-12:00
MB-12: Financial mathematics 1
Stream: Financial mathematics and OR
Room: 206B
Chair(s):
Norio Hibiki
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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
Monday, 16:45-18:15
ME-12: Financial mathematics 2
Stream: Financial mathematics and OR
Room: 206B
Chair(s):
Toshikazu Kimura
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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
Tuesday
Tuesday, 8:30-10:00
TA-12: Financial mathematics 3
Stream: Financial mathematics and OR
Room: 206B
Chair(s):
Gerhard-Wilhelm Weber, Qi Wu
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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
Tuesday, 10:30-12:00
TB-12: Financial mathematics 4
Stream: Financial mathematics and OR
Room: 206B
Chair(s):
Markku Kallio, Gerhard-Wilhelm Weber
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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