Workshop: Stochastic Processes with Applications in Finance and Related Fields



Title: Stochastic Processes with Applications in Finance and Related Fields

Date: September 13th-14th

Venue: MB537


September 13th

Chair: Youzhou Zhou

  • 13:30-14:10 Takis Konstantopoulos
    Compositions of Empirical Distribution Functions and Bernstein Operators
  • 14:10-14:40 Pascal Grange
    Random Walks in Random Environments: the Log-Gamma Polymer
  • 14:40-15:10 Linglong Yuan
    Kingman’s Model in Random Environments: Impact on Condensation
  • 15:10-15:30 Coffee break

Chair: Hasanjan Sayit

  • 15:30-16:00 Jinjun Liang
    Financial Portfolio Management as a Markov Decision Process
  • 16:00-16:30 Bo Li
    On the Weighted Occupation Times for Refracted Spectrally Negative Lévy Processes
  • 16:30-17:00 Jiajun Liu
    Asymptotics for Systemic Risk with Dependent Heavy-tailed Losses

September 14th

Chair: Takis Konstantopoulos

  • 9:30-10:10 Jiro Akahori
    On the Law of Square Integral of Fractional Brownian Motion
  • 10:10-10:50 Yuri Imamura
    A Discrete Version of Carr-Nadtochiy Transform
  • 10:50-11:20 Hasanjan Sayit
    Sticky Processes have Consistent Price Systems
  • 11:20-11:50 Dejun Xie
    Financial Optimization Problems in Mortgage Prepayment and Refinancing
  • 11:50-13:30 Lunch Break

Chair: Jiro Akahori

  • 13:30-14:00 Nienlin Liu
    Fourier-Malliavin Estimators Based on Discrete Measures
  • 14:00-14:30 Fajin Wei
    Stability of Receding Horizon Control for Stochastic Differential Equations and a Debt Repayment Problem
  • 14:30-15:00 Shilei Niu
    Implications of Electricity Price Regimes on Hydroelectric Power Plant Valuation
  • 15:00-15:30 Coffee break

Chair: Pascal Grange

  • 15:30-16:00 Youzhou Zhou
    Moderate Deviations for Ewens-Pitman Sampling Models
  • 16:00-16:30 Yinna Ye
    Branching Processes in Exchangeable Random Environment
  • 16:30-17:00 Yi Hong
    Understanding Common Risk Factors in Variance Swap Rates, Market Return Predictability and Variance Swap Investments
  • 18:00- Dinner