First Singapore Conference on Quantitative Finance

(23 Feb 2009)

... Jointly organized with Saw Centre for Financial Studies

Organizing Committee ·  Invited Speakers · Overview · Activities · Venue

• Louis CHEN (National University of Singapore)
• Takeshi YAMADA (National University of Singapore)

• CHEN Ying (National University of Singapore)
• DAI Min (National University of Singapore)
• DUAN Jin-Chuan (National University of Singapore)
  
• Juri HINZ (National University of Singapore)
  
• LIM Kian Guan (Singapore Management University)
• LIM Tiong Wee (National University of Singapore)
  
• Melvyn SIM (National University of Singapore)
• TSE Yiu Kuen (Singapore Management University)

The objective of this Conference is to promote research in quantitative finance by providing a platform for researchers in Singapore to interact and share their research findings in this field.

 

Activities

Monday, 23 Feb 2009
08:15am - 08:50am	Registration
08:50am - 09:00am	Opening Remarks Professor TAN Eng Chye Provost and Deputy President National University of Singapore
09:00am - 10:30am	Session I Chairperson: Professor Louis CHEN                     Tan Chin Tuan Centennial Professor                     Director, Institute for Mathematical Sciences                     National University of Singapore
	Paper 1: Co-Integration in Crude Oil Components and the Pricing of              Crack Spread Options (PDF)              Professor DUAN Jin-Chuan              Cycle and Carriage Professor of Finance              Director, Risk Management Institute              National University of Singapore
	Paper 2: Market Design for Emission Trading Schemes (PDF)              Associate Professor Juri HINZ              Department of Mathematics              National University of Singapore
10:30am - 11:00am	--- Tea ---
11:00am - 12:30pm	Session II Chairperson: Associate Professor Juri HINZ                     Department of Mathematics                     National University of Singapore
	Paper 3: Using High-Frequency Transaction Data to Estimate the              Probability of Informed Trading (PDF)              Professor TSE Yiu Kuen              School of Economics              Singapore Management University
	Paper 4: Localized Realized Volatility Modelling              Dr CHEN Ying              Department of Statistics and Applied Probability              National University of Singapore
12:30pm - 01:30pm	--- Lunch ---
01:30pm - 03:00pm	Session III Chairperson: Associate Professor Takeshi YAMADA                     Director, Saw Centre for Financial Studies                     National University of Singapore
	Paper 5: On The Term Structure of Model-free Volatilities and              Volatility Risk Premium (PPT)              Professor LIM Kian Guan              Lee Kong Chian School of Business              Singapore Management University
	Paper 6: Tractable Robust Expected Utility and Risk Models for              Portfolio Optimization              Associate Professor Melvyn SIM              Department of Decision Sciences              National University of Singapore
03:00pm - 04:30pm	Session IV Chairperson: Associate Professor Melvyn SIM                     Department of Decision Sciences                     National University of Singapore
	Paper 7: Singular Stochastic Control Problems in Investment Theory              Dr LIM Tiong Wee              Department of Statistics and Applied Probability              National University of Singapore
	Paper 8: Illiquidity, Portfolio Constraints, and Diversification (PDF)              Dr DAI Min              Department of Mathematics              National University of Singapore
04:30pm - 04:45pm	Closing Remarks
04:45pm - 05:00pm	--- Farewell Tea ---

For attendance at these activities, please complete the online registration form.
Register by 18 Feb 2009

• NUSS Kent Ridge Guild House
  

Organizing Committee ·  Invited Speakers · Overview · Activities · Venue