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Workshop on Optimal stopping and singular stochastic control problems in finance
(9 – 15 Dec 2009)
Venue: IMS Auditorium
Chair
Members
- Ranjan Bhaduri (AlphaMetrix Alternative Investment Advisors, LLC, USA)
- Ning Cai (Hong Kong University of Science and Technology, Hong Kong)
- Stéphane Crépey (Evry University, France)
- Min Dai (National University of Singapore)
- Mark Davis (Imperial College, UK)
- Yongheng Deng (National University of Singapore)
- Romuald Elie (University Paris-Dauphine, France)
- Peter Forsyth (University of Waterloo, Canada)
- Jean-Francois (Chassagneux, Universite D'Evry, France)
- Hanqing Jin (Oxford University, UK)
- Benjamin Jourdain (Ecole Nationale des Ponts et Chaussées, France)
- Yue-Yuen Kwok (Hong Kong University of Science and Technology, Hong Kong)
- Bernt Øksendal (University of Oslo, Norway)
- Albert Shiryaev (Russian Academy of Sciences, Russia)
- Jianming Xia (National University of Singapore)
- Zuoquan Xu (University of Oxford, UK)
- Jiongmin Yong (University of Central Florida, USA)
- Lixin Wu (Hong Kong University of Science & Technology, USA)
- Sheung Chi Phillip Yam (The Hong Kong Polytechnic University, Hong Kong)
- Xunyu Zhou (Oxford University, UK)
Thursday,
10 Dec 2009
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09:15am - 09:30am |
Registration
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09:30am -
10:20am |
Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
Peter A. Forsyth, University of Waterloo, Canada |
10:20am - 11:10am |
Behavioural optimal liquidation ----- a model for disposition and break-even effect
Hanqing Jin, University of Oxford, UK |
11:10am - 11:40am |
--- Coffee Break --- |
11:40am - 12:30pm |
Optimal timing decisions in strategic patent-investment races - real options game approach
Yue-Kuen Kwok, Hong Kong University of Science & Technology, Hong Kong |
12:30pm - 02:30pm |
--- Lunch Break --- |
02:30pm -
03:20pm |
Optimal stopping in Bayesian and Minimax quickest detection problems (around solved and unsolved problems)
Albert Shiryaev, Russian Academy of Sciences, Russia |
03:20pm - 04:10pm |
Pricing path dependent options under a flexible jump diffusion model
Ning Cai, Hong Kong University of Science and Technology, Hong Kong |
04:10pm - 04:40pm |
--- Coffee Break --- |
04:40pm - 05:30pm |
Exercise boundary of the American put option in the black-Scholes model with discrete dividends
Benjamin Jourdain, Ecole Nationale des Ponts et Chaussées, France |
Friday,
11 Dec 2009
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09:15am - 09:30am |
Registration
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09:30am -
10:20am |
Singular stochastic control with partial information of Itô-Lévy processes and associated optimal stopping
Bernt Øksendal, University of Oslo, Norway |
10:20am -
11:10am |
Leverage management in a bull-bear switching market
Min Dai, National University of Singapore |
11:10am - 11:40am |
--- Coffee Break --- |
11:40am - 12:30pm |
Optimal calibration of the LIBOR market model
Lixin Wu, Hong Kong University of Science and Technology, Hong Kong |
12:30pm - 02:30pm |
--- Lunch Break --- |
02:30pm -
03:20pm |
Games with exhaustible resources
Sam Howison, University of Oxford, UK |
03:20pm - 04:10pm |
Callable stock loans and beyond
Sheung Chi Phillip Yam, The Hong Kong Polytechnic University, Hong Kong |
04:10pm - 04:40pm |
--- Coffee Break --- |
04:40pm - 05:30pm |
Discrete-time approximation of obliquely reflected BSDEs
Jean-Francois Chassagneux, Universite D'Evry, France |
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