Workshop on Stochastic Analysis & Finance
Workshop on Stochastic Analysis & Finance Department of Mathematics
City University of Hong Kong
Organizing Committee Presentation Slides
Sponsors Travel & Accommodation
Speakers About Hong Kong & CityU
Schedule Poster
Banquet Registration
SCHEDULE
Last Update: June 17, 2009
Please click here for the program in pdf format.
Day 1 - June 29, 2009 (Monday)
08:30-08:50 Registration
08:50-09:00 Opening
09:00-09:40 Non Ergodicity of Diffusions on the Diffeomorphisms Group
Ana Bela CRUZEIRO (Instituto Superior Técnico, Portugal)
09:45-10:25 Ergodicity of Stochastic 2D Navier-Stokes Equations with Lévy Noise
Zhao DONG (Institute of Applied Mathematics, Chinese Academy of Sciences, China)
10:30-10:50 Coffee Break
10:50-11:30 Random Dynamical Systems with Non-Gaussian Noises
Jinqiao DUAN (Illinois Institute of Technology, USA)
11:35-12:15 Large Deviations for Multi-valued Stochastic Differential Equations
Jiagang REN (Sun Yat-sen University, China)
12:20-14:00 Lunch Break
14:00-14:40 Random Times and Deformation of Calculus of Variations
Jean-Claude ZAMBRINI (University of Lisbon, Portugal)
14:45-15:25 Estimates for the Commutator in Diperna-Lions Theory
Shizan FANG (Université de Bourgogne, France)
15:30-15:50 Coffee Break
15:50-16:30 Riesz Transforms on Complete Riemannian Manifolds
Xiangdong LI (Fudan University, China)
16:35-17:15 Stability of Infinite Dimensional Stochastic Evolution Equations with Memory and Markovian Jumps
Jiaowan LUO (Guangzhou University, China)
TOP
Day 2 - June 30, 2009 (Tuesday)
09:00-09:40 Dirichlet Forms for Poisson Measures and Lévy Processes: The Lent Particle Method
Nicolas BOULEAU (École Nationale des Ponts et Chaussées (ENPC), France)
09:45-10:25 Application of the Lent Particle Method to Poisson Driven SDEs
Laurent DENIS (University of Évry Val d'Essonne, France)
10:30-10:50 Coffee Break
10:50-11:30 Logarithmic Derivatives of Densities for Jump Processes
Atsushi TAKEUCHI (Osaka City University, Japan)
11:35-12:15 Asymptotic Expansion Theorem of Watanabe for Wiener-Poisson Variables
Masafumi HAYASHI (Kyoto University, Japan)
12:20-14:00 Lunch Break
14:00-14:40 Approximations for SDEs Driven by Lévy Processes
Arturo KOHATSU HIGA (Osaka University, Japan)
14:45-15:25 On Validity of a Singular Perturbation Expansion of European Options and Implied Volatility
Masaaki FUKASAWA (Osaka University, Japan)
15:30-15:50 Coffee Break
15:50-16:30 Completeness and Hedging in a Lévy Bond Market
José Manuel CORCUERA (University of Barcelona, Spain)
16:35-17:15 Computations of Sensitivities Using Poisson Noise in Jump-diffusion Market Models
Youssef EL KHATIB (United Arab Emirates University, United Arab Emirates)
from 18:30 Banquet
Staff Lounge at City Top, 9/F Amenities Building, CityU
TOP
Day 3 - July 1, 2009 (Wednesday)
09:00-09:40 The Density Approach in Credit Risk
Monique JEANBLANC (University of Évry Val d'Essonne, France)
09:45-10:25 A PDE Approach for Risk Measures for Derivatives With Regime Switching
Tak Kuen (Ken) SIU (Curtin University of Technology, Australia)
10:30-10:50 Coffee Break
10:50-11:30 Empirical Invariance in Stock Market and Related Problems
Chii-Ruey HWANG (Academia Sinica, Taiwan)
11:35-12:15 Generic Market Models for Forward Swap Rates and Forward CDS Spreads
Marek RUTKOWSKI (The University of New South Wales, Australia)
12:20-14:00 Lunch Break
14:00-14:40 Homeomorphic Flows and Large Deviations for Stochastic Differential Equations Driven by a G-Brownian Motion
Fuqing GAO (Wuhan University, China)
14:45-15:25 Stochastic Volterra Equations in Banach Spaces and Stochastic Partial Differential Equations
Xicheng ZHANG (Huazhong University of Science and Technology, China)
15:30-15:50 Coffee Break
15:50-16:30 Finite-time Blowup of Semilinear PDEs via the Feynman-Kac Representation
José Alfredo LÓPEZ MIMBELA (Centro de Investigación en Matemáticas, AC (CIMAT), Mexico)
16:35-17:15 Irreducibility and the Uniqueness of Stationary Distribution
Jiangang YING (Fudan University, China)
17:20-18:00 Further Results on Some Singular Linear Stochastic Differential Equations
Ching-Tang WU (National Chiao Tung University, Taiwan)
TOP
Day 4 - July 2, 2009 (Thursday)
09:00-09:40 A General Theory of Finite State Backward Stochastic Difference Equations
Robert J. ELLIOTT (University of Calgary, Canada)
09:45-10:25 Hamilton-Jacobi-Bellman Equation for an Optimal Consumption Problem
Shuenn-Jyi SHEU (Academia Sinica, Taiwan)
10:30-10:50 Coffee Break
10:50-11:30 Optimal Control of Forward-backward Stochastic Differential Equations and Risk Minimization
Bernt ØKSENDAL (University of Oslo, Norway)
11:35-12:15 Optimal Stopping Problem Associated with Jump-Diffusion Processes
Yasushi ISHIKAWA (Ehime University, Japan)
12:20-14:00 Lunch Break
14:00-14:40 On Optimal Dividend Strategies
Hailiang YANG (The University of Hong Kong)
14:45-15:25 Illiquidity, Position Limits, and Optimal Investment for Mutual Funds
Min DAI (National University of Singapore, Singapore)
15:30-15:50 Coffee Break
15:50-16:30 Minimal Sufficient Conditions for a Primal Optimizer in Nonsmooth Utility Maximization
Harry ZHENG (Imperial College London, UK)
16:35-17:15 Optimal Investment, Consumption and Retirement Decision with Disutility and Borrowing Constraints
Yong Hyun SHIN (Korea Institute for Advanced Study, South Korea)
TOP
Day 5 - July 3, 2009 (Friday)
09:00-09:40 Estimating Joint Default Probabilities by Efficient Importance Sampling
Chuan-Hsiang HAN (National Tsing-Hua University, Taiwan)
09:45-10:25 Lower and Upper Bounds of Martingale Measure Densities in Continuous Time Markets
Giulia DI NUNNO (University of Oslo, Norway)
10:30-10:50 Coffee Break
10:50-11:30 Estimating Density Functions of Multidimensional Stochastic Differential Equations through Monte Carlo Method
Kazuhiro YASUDA (Hosei University, Japan)
11:35-12:15 Riding on the Smiles I.
José DA FONSECA (Auckland University of Technology, New Zealand)
12:20-14:00 Lunch
from 14:00 Departure of the participants