Workshop on Stochastic Analysis & Finance
Workshop on Stochastic Analysis & Finance Department of Mathematics
City University of Hong Kong
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PRESENTATION SLIDES
Last Update: July 13, 2009
The Lent Particle Formula
Nicolas BOULEAU
Completeness and Hedging in a Lévy Bond Market
José Manuel CORCUERA
Non Ergodicity of Diffusions on the Diffeomorphisms Group
Ana Bela CRUZEIRO
Illiquidity, Position Limits, and Optimal Investment for Mutual Funds
Min DAI
Application of the Lent Particle Method to Poisson Driven SDE's
Laurent DENIS
Lower and Upper Bounds of Martingale Measure Densities in Continuous Time Markets
Giulia DI NUNNO
Ergodicity of Stochastic 2D Navier-Stokes Equations with Lévy Noise
Zhao DONG
Random Dynamical Systems with Non-Gaussian Fluctuations
Jinqiao DUAN
A General Theory of Backward Stochastic Difference Equations
Robert J. ELLIOTT
Quasi-invariant Flows under Low Exponential Integrability of Divergence on the Wiener Space
Shizan FANG
TOP
On Validity of a Singular Perturbation Expansion of European Options and Implied Volatility
Masaaki FUKASAWA
Estimating Joint Default Probabilities by Efficient Importance Sampling
Chuan-Hsiang HAN
Empirical Invariance in Stock Market and Related Problems
Chii-Ruey HWANG
Optimal Stopping Problem Associated with Jump-Diffusion Processes
Yasushi ISHIKAWA
Density Models for Credit Risk
Monique JEANBLANC
Approximations for SDE's Driven by Lévy Processes
Arturo KOHATSU-HIGA
Riesz Transforms on Complete Riemannian Manifolds
Xiangdong LI
Finite-time Blowup of Semilinear PDEs via the Feynman-Kac Representation
José Alfredo LÓPEZ-MIMBELA
Large Deviations for Multi-valued Stochastic Differential Equations
Jiagang REN
Market Models for Forward Swap Rates and Credit Default Swap Spreads
Marek RUTKOWSKI
TOP
Hamilton-Jacobi-Bellman Equation of an Optimal Consumption Problem
Shuenn-Jyi SHEU
Optimal Investment, Consumption and Retirement Decision with Disutility and Borrowing Constraints
Yong Hyun SHIN
A PDE Approach for Risk Measures for Derivatives with Regime Switching
Tak Kuen (Ken) SIU
Logarithmic Derivatives of Densities for Jump Processes
Atsushi TAKEUCHI
Stochastic Volterra Equations in Banach Spaces and SPDEs
Xicheng ZHANG
Minimal Sufficient Conditions for a Primal Optimizer in Nonsmooth Utility Maximization
Harry ZHENG