Financial Mathematics

(2 Nov - 23 Dec 2009)

... Jointly organized with Risk Management Institute, NUS

Organizing Committee · Visitors and Participants · Overview · Activities · Membership Application

Visitors and Participants

NAME & AFFILIATION	PERIOD OF VISIT	TENTATIVE TITLE OF TALK
OVERSEAS VISITORS
Vilen Abramov KeyBank, USA vilen_abramov(AT)keybank.com	3 - 19 Dec 2009
Takuji Arai Keio University, Japan arai(AT)econ.keio.ac.jp	16 - 20 Nov 2009	Workshop 1: Shortfall risk measure for general semimartingales
Viswanathan Arunachalam University of los Andes, Colombia aviswana(AT)uniandes.edu.co	3 - 9 Dec 2009
Ranjan Bhaduri AlphaMetrix Alternative Investment Advisors, LLC, USA rbhaduri(AT)alphametrix.com	14 - 19 Dec 2009	Tutorial: Liquidity matters - pure & applied techniques in liquidity management Workshop 3: The balls in the hat game - an optimal stopping problem and its connections to the value of liquidity
Ning Cai Hong Kong University of Science and Technology, Hong Kong ningcai(AT)ust.hk	9 - 15 Dec 2009	Workshop 3: Pricing path dependent options under a flexible jump diffusion model
Rene Carmona Princeton University, USA rcarmona(AT)princeton.edu	7 - 13 Dec 2009	Workshop 2: Special Lecture:
Umut Cetin London School of Economics, UK U.Cetin(AT)lse.ac.uk	3 - 8 Dec 2009	Workshop 2: Pricing and hedging in carbon emissions markets
Jean-Francois Chassagneux Universite D'Evry, France chssgnx(AT)gmail.com		Workshop 3: Discrete-time approximation of obliquely reflected BSDEs
Patrick Cheridito Princeton University, USA dito(AT)princeton.edu	26 Nov - 12 Dec 2009	Workshop 2: Processes of class Sigma, last passage times and drawdowns
Rama Cont Columbia University, New York and CNRS, France rama.cont(AT)gmail.com	15 - 19 Nov 2009 9 - 15 Dec 2009	Workshop 1: Modeling and measuring systemic risk
Stéphane Crépey Evry University, France stephane.crepey(AT)univ-evry.fr	13 - 15 Dec 2009	Workshop 3: Pricing game options with call protection
Mark H. A. Davis Imperial College, UK mark.davis(AT)imperial.ac.uk	5 - 19 Dec 2009	Tutorial: Asset management via risk-sensitive stochastic control Workshop 3: Counterparty risk via Bessel bridge
Freddy Delbaen Swiss Federal Institute of Technology (ETH) Zurich, Switzerland delbaen(AT)math.ethz.ch	1 - 29 Nov 2009	Workshop 1: Representation of the penalty function (PDF)
Godwin O. S. Ekhaguere University of Ibadan, Nigeria gose676(AT)gmail.com	3 - 19 Dec 2009
Romuald Elie University Paris-Dauphine, France elie(AT)ceremade.dauphine.fr	6 - 16 Dec 2009	Workshop 3: Stochastic target problems with controlled loss
Paul Embrechts Swiss Federal Institute of Technology (ETH) Zurich, Switzerland embrechts(AT)math.ethz.ch	8 Nov - 1 Dec 2009 13 - 21 Dec 2009	Public Lecture: Mathematics and the financial crisis Workshop 1: Extremes from meta distributions and the shape of their sample clouds (PDF 1, PDF 2)
Max Fehr London School of Economics and Political Sciences, UK M.W.Fehr(AT)lse.ac.uk	3 - 10 Dec 2009	Workshop 2: Design of cap and trade schemes
Hans Föllmer Humboldt Universität zu Berlin, Germany foellmer(AT)math.hu-berlin.de	7 Nov - 5 Dec 2009	Tutorial: Robust preferences and robust portfolio choice (PDF) Workshop 1: Dynamic risk measures: time-consistency, asymptotics, and the appearance of bubbles
Peter A. Forsyth University of Waterloo, Canada paforsyt(AT)uwaterloo.ca	8 - 18 Dec 2009	Tutorial: Numerical methods for Hamilton Jacobi Bellman equations in finance Workshop 3: Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
Christian Gollier University Toulouse I, France gollier(AT)cict.fr	3 - 10 Dec 2009	Workshop 2: Socially effcient discounting under ambiguity aversion Special Lecture: The role of time horizon on the optimal portfolio allocation
Wolfgang Härdle Humboldt-Universität zu Berlin, Germany haerdle(AT)wiwi.hu-berlin.de	4 - 9 Dec 2009	Workshop 2: How to price Asian temperature risk
Ulrich Horst Humboldt-Universität zu Berlin, Germany Horst(AT)math.hu-berlin.de	15 Nov - 14 Dec 2009	Workshop 1: Equilibrium pricing in incomplete markets under translation invariant preferences Workshop 2: Backward stochastic equations and equilibrium pricing in incomplete financial markets Special Lecture: Order books and alternative trading venues
Sam Howison University of Oxford, UK howison(AT)maths.ox.ac.uk	8 - 11 Dec 2009	Workshop 3: Games with exhaustible resources
Hanqing Jin University of Oxford, UK jinh(AT)maths.ox.ac.uk	9 Nov - 19 Dec 2009	Workshop 3: Behavioural optimal liquidation ----- a model for disposition and break-even effect
Benjamin Jourdain Ecole Nationale des Ponts et Chaussées, France jourdain(AT)cermics.enpc.fr	9 - 15 Dec 2009	Workshop 3: Exercise boundary of the American put option in the black-Scholes model with discrete dividends
Michael Kupper Humboldt Universität zu Berlin, Germany kupper(AT)mathematik.hu-berlin.de	14 - 20 Nov 2009	Workshop 1: Risk preferences and their robust representations
Yue-Kuen Kwok Hong Kong University of Science & Technology, Hong Kong maykwok(AT)ust.hk	15 - 22 Nov 2009 6 - 16 Dec 2009	Workshop 3: Optimal timing decisions in strategic patent-investment races - real options game approach
Robin Lundgren Mälardalen University, Sweden robin.lundgren(AT)mdh.se	7 - 19 Dec 2009
Hoang Duc Luu Vietnam Academy of Science and Technology, Vietnam lhduc(AT)math.ac.vn	11 Nov - 19 Dec 2009
Clare McGrory Queensland University of Technology, Australia c.mcgrory(AT)qut.edu.au
Dung Nguyen FPT University, Vietnam dungnt(AT)fpt.edu.vn	9 - 18 Dec 2009
Melanie Joyno Orig University of Mindanao, Philippines melanie_orig(AT)yahoo.com	28 Oct - 23 Dec 2009
Anthony Nosa Osadolor Technical University Hamburg, Germany a_osadololor(AT)msn.com	1 Nov - 24 Dec 2009
Mia Pang-Rey University of the Philippines-Diliman, Philippines miapangrey(AT)yahoo.com	3 - 19 Dec 2009
Shige Peng Shandong University, China peng(AT)sdu.edu.cn	11 - 18 Nov 2009	Workshop 1: Measuring and calculating accumulated financial risks under uncertainty
Adrian Raftery University of Washington, USA raftery(AT)stat.washington.edu
Motahar Reza National Institute of Science & Technology, India reza(AT)nist.edu	2 - 7 Nov 2009
Frank Riedel Institute of Mathematical Economics in Bielefeld, Germany friedel(AT)uni-bielefeld.de	16 - 21 Nov 2009	Workshop 1: Optimal stopping with multiple priors and variational expectations in continuous time
Andrea Roncoroni ESSEC Business School, France roncoroni(AT)essec.fr	5 - 8 Dec 2009	Workshop 2: Arbitrage models of commodity prices
Alexander Schied Mannheim University, Germany alex.schied(AT)gmail.com	12 - 17 Nov 2009	Tutorial: Robust preferences and robust portfolio choice Workshop 1: Order book resilience, price manipulations, and the positive portfolio problem
Oskar Schyberg Mälardalen University, Sweden oskar.schyberg(AT)mdh.se	7 - 20 Dec 2009
Jun Sekine Kyoto University, Japan sekine(AT)kier.kyoto-u.ac.jp	15 - 22 Nov 2009	Workshop 1: Large deviations controls for long-term investment
Albert Shiryaev Russian Academy of Sciences, Russia albertsh(AT)mi.ras.ru	3 - 19 Dec 2009	Workshop 3: Optimal stopping in Bayesian and Minimax quickest detection problems (around solved and unsolved problems)
Ivy Suan University of the Philippines-Diliman, Philippines ivysuan(AT)yahoo.com	3 - 19 Dec 2009
Thi Kieu An Ta University of Oslo, Norway atkieu(AT)math.uio.no	9 - 18 Dec 2009
Hajime Takahashi Hitotsubashi University, Japan hajime(AT)stat.hit u.ac.jp	16 - 23 Nov 2009	Workshop 1: On a statistical analysis of implied data
Abby Tan Universiti Brunei Darussalam, Brunei Darussalam drtan(AT)fos.ubd.edu.bn	3 - 10 Dec 2009
Luca Taschini London School of Economics, UK L.Taschini1(AT)lse.ac.uk	7 - 11 Dec 2009	Workshop 2: Flexibility premium in marketable permits
Lixin Wu Hong Kong University of Science and Technology, Hong Kong malwu(AT)ust.hk	8 - 15 Dec 2009	Workshop 3: Optimal calibration of the LIBOR market model
Zuoquan Xu University of Oxford, UK xuz(AT)maths.ox.ac.uk	6 - 13 Dec 2009	Workshop 3: Optimal stopping with prospect preference
Sheung Chi Phillip Yam The Hong Kong Polytechnic University, Hong Kong mascpy(AT)polyu.edu.hk	11 - 17 Dec 2009	Workshop 3: Callable stock loans and beyond
Jia-An Yan Chinese Academy of Sciences, China jayan(AT)amt.ac.cn	9 Nov - 8 Dec 2009	Workshop 1: Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
Jiongmin Yong University of Central Florida, USA jyong(AT)mail.ucf.edu	12 - 18 Dec 2009	Tutorial: Stochastic optimal control - a brief introduction Workshop 3: Time-inconsistent optimal control problems
Wei Zhou The University of Hong Kong, Hong Kong h0483715(AT)hkusua.hku.hk	8 - 18 Dec 2009
Xunyu Zhou University of Oxford, UK zhouxy(AT)maths.ox.ac.uk	12 - 15 Dec 2009	Workshop 3:
Bernt Øksendal University of Oslo, Norway oksendal(AT)math.uio.no	7 - 16 Dec 2009	Workshop 3: Singular stochastic control with partial information of Itô-Lévy processes and associated optimal stopping
LOCAL VISITORS
Min Dai National University of Singapore matdm(AT)nus.edu.sg	2 Nov - 23 Dec 2009	Workshop 3: Leverage management in a bull-bear switching market
Yongheng Deng National University of Singapore ydeng(AT)nus.edu.sg	2 Nov - 23 Dec 2009	Workshop 3: Irrational borrowers and the pricing of residential mortgages
Jin-Chuan Duan National University of Singapore rmidjc(AT)nus.edu.sg	2 Nov - 23 Dec 2009	Workshop 1: Clustered defaults (PDF 1 PDF 2)
Hinz Juri National University of Singapore mathj(AT)nus.edu.sg	28 Nov - 23 Dec 2009	Workshop 2: Modeling risk-neutral allowance price evolution with applications to option pricing
Kian-Guan Lim Singapore Management University kglim(AT)smu.edu.sg	2 Nov - 23 Dec 2009
Melvyn Sim National University of Singapore dscsimm(AT)nus.edu.sg	2 Nov - 23 Dec 2009	Workshop 1: A satisficing alternative to prospect theory
Defeng Sun National University of Singapore matsundf(AT)nus.edu.sg	2 Nov - 23 Dec 2009	Workshop 1: Calibrating correlation matrices
Jianming Xia National University of Singapore matxj(AT)nus.edu.sg	2 Nov - 23 Dec 2009	Workshop 3: Risk aversion and portfolio selection
GRADUATE STUDENTS
Xiaoquan Chen National University of Singapore g0901227(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Yingshan Chen National University of Singapore g0901228(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Jinhua Cheng National University of Singapore g0906685(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Yong Chi National University of Singapore g0906592(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Hui-Ching Chuang National University of Singapore huichingc(AT)gmail.com	2 Nov - 23 Dec 2009
Chao Ding National University of Singapore dingchao(AT)nus.edu.sg	2 - 23 Nov 2009
Zhuihui Ding National University of Singapore g0906581(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Wang Gao Singapore Management University gao.wang.2008(AT)smu.edu.sg	2 Nov - 23 Dec 2009
Yan Gao National University of Singapore yangao(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Zheng Gong National University of Singapore gongzheng(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Gregor Heyne Humboldt-Universität zu Berlin, Germany heyne(AT)math.hu-berlin.de	3 - 10 Dec 2009	Workshop 2: Cross hedging with stochastic correlation
Shu Huan Hu National University of Singapore g0906598(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Junfei Huang National University of Singapore junfeih(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Dhaval Jadhav National University of Singapore g0906681(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Yibo Ji National University of Singapore g0900463(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Kaifeng Jiang National University of Singapore kaifengjiang(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Lingling Jin National University of Singapore g0906599(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Qingxia Kong National University of Singapore qingxia(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Siyang Li National University of Singapore g0906649(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Hann Yng Liew National University of Singapore g0906590(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Chaoxie Liu National University of Singapore g0906591(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Zhuoyu Long National University of Singapore longzhuoyu(AT)nus.edu.sg	1 Nov - 23 Dec 2009
Xin Lu National University of Singapore g0906586(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Chao Ma National University of Singapore g0906600(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Chuang Men National University of Singapore g0906684(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Weimin Miao National University of Singapore miaoweimin(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Ding Mo National University of Singapore g0906601(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Santiago Moreno-Bromberg Humboldt-Universität zu Berlin, Germany smoreno(AT)math.hu-berlin.de	2 - 9 Dec 2009	Workshop 2: Optimal derivative design in multi-agency games
Nadim Mouchonnet National University of Singapore g0906653(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Lai Yoke Mun National University of Singapore g0800602(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Yi Chen Ning Singapore Management University yichenning.2007(AT)economics.smu.edu.sg	2 Nov - 23 Dec 2009
Liyang Pi National University of Singapore g0906597(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Jin Qi National University of Singapore qijin(AT)nus.edu.sg	10 - 15 Nov 2009
Xuewen Qian National University of Singapore g0900958(AT)nus.edu.sg	12 Nov - 14 Dec 2009
Chandan Saurabh National University of Singapore g0906589(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Dongjian Shi National University of Singapore g0800877(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Lei Shi National University of Singapore g0906582(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Yannan Shi National University of Singapore g0906595(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Xiao Min Su Singapore Management University xm.su.2007(AT)business.smu.edu.sg	2 Nov - 23 Dec 2009
Dong Wang National University of Singapore g0906594(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Qun Wang Nanyang Technological University wa0002un(AT)ntu.edu.sg	2 Nov - 23 Dec 2009
Xiaoyan Wang National University of Singapore g0800881(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Kaiqi Wang National University of Singapore g0906583(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Chengjing Wang National University of Singapore smawc(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Shanshan Wang National University of Singapore g0906585(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Daqing Wang National University of Singapore dwang(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Jiayi Wei National University of Singapore g0906584(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Yijun Wu Peking University, China wuyijun00(AT)gmail.com	1 Nov - 31 Dec 2009
Bin Wu National University of Singapore wubin(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Huina Xiao National University of Singapore g0800883(AT)nus.edu.sg	1 Nov - 23 Dec 2009
Yang Xu Singapore Management University yangxu.2007(AT)accountancy.smu.edu.sg	2 Nov - 23 Dec 2009
Shanghua Xu National University of Singapore g0800884(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Ge Yang Singapore Management University g.yang.2007(AT)business.smu.edu.sg	2 Nov - 23 Dec 2009
Yao Ye National University of Singapore g0906699(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Wenbin Zhang National University of Singapore g0700511(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Kun Zhao National University of Singapore zk(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Xiaofei Zheng National University of Singapore g0906588(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Xiaolian Zheng National University of Singapore xiaolianzheng(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Zhichao Zheng National University of Singapore zhichao(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Xin Zhou National University of Singapore zhouxin(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Guanghao Zhou National University of Singapore g0906587(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Min Zou National University of Singapore g0906593(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Khairularifin Bin Zulkifli Singapore Management University kb.zulkifli.2007(AT)accountancy.smu.edu.sg	2 Nov - 23 Dec 2009
REGISTERED LOCAL PARTICIPANTS
Lee Bernard Singapore Management University bernardlee(AT)smu.edu.sg	2 Nov - 23 Dec 2009
Denys Bezsmertnyi Standard Chartered Bank denys.bezsmertnyi(AT)gmail.com	2 Nov - 23 Dec 2009
Laurence G Chan National University of Singapore lchan.nus(AT)gmail.com	2 Nov - 23 Dec 2009
Avishek Dasgupta Standard Chartered Bank avishekdasgupta(AT)gmail.com	2 Nov - 9 Dec 2009
Xiang Fu National University of Singapore u0602697(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Junwei Guan DBS Bank Ltd junweiguan(AT)dbs.com	2 - 16 Nov 2009
Mounir Irari Standard Chartered Bank mounir.irari(AT)sc.com	2 Nov - 23 Dec 2009
Vinay Kariwala Nanyang Technological University vinay(AT)ntu.edu.sg	12 - 23 Nov 2009
Kevin Kwok Sembcorp Industries Ltd kevin.kwok(AT)sembcorp.com	2 Nov - 23 Dec 2009
Tiecheng Leng Singapore Management University tc.leng.2009(AT)mom.smu.edu.sg	2 Nov - 23 Dec 2009
Wenyi Li National University of Singapore u0602662(AT)nus.edu.sg	2 Nov - 8 Dec 2009
Wee Bin Lim OCBC Bank limwb(AT)ocbc.com	2 Nov - 23 Dec 2009
Yongjin Liu National University of Singapore smaly(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Zhanyong Liu seminel(AT)gmail.com	2 Nov - 23 Dec 2009
Yiwei Ma National University of Singapore mywamy(AT)hotmail.com	2 Nov - 23 Dec 2009
Alexandre Moudiappanadin Credit Suisse alexandre.moudiappanadin(AT)credit-suisse.com	2 Nov - 23 Dec 2009
Cheng Guat Ng Bayerische Hypo- und Vereinsbank AG chengguat.ng(AT)apr.unicreditgroup.eu	2 Nov - 23 Dec 2009
Shengning Ni Singapore Management University sn.ni.2008(AT)business.smu.edu.sg	4 - 18 Dec 2009
John Potter National University of Singapore john.potter(AT)nus.edu.sg	15 Nov - 28 Dec 2009
Qingqing Ren Hwa Chong Intitution cornelia168(AT)hotmail.com	16 Nov 2009
Anna Schneebeli DBS Bank Ltd annaschneebeli(AT)dbs.com	12 - 23 Nov 2009
Budhi Arta Surya Bank of America, N.A. b.a.surya(AT)gmail.com	2 Nov - 23 Dec 2009
Heng Wee Tan Standard Chartered Bank Heng-Wee.Tan(AT)sc.com	2 Nov - 23 Dec 2009
Mie Mie Tzeto Atotech SEA Pte Ltd tzeto_miemie(AT)yahoo.com	1 Jan 2009
Charles Vincent National University of Singapore cmsvc(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Tao Wang National University of Singapore wangtao(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Chen Wang National University of Singapore u0602644(AT)nus.edu.sg	2 Nov - 23 Dec 2009
Eugene Wee joygene75(AT)gmail.com	2 Nov - 23 Dec 2009
Lei Wu National University of Singapore lei.wu.web(AT)gmail.com	2 Nov - 23 Dec 2009
Yanjun Yang National University of Singapore ecsv8(AT)nus.edu.sg	7 Jul - 31 Dec 2009
Yung Chiang Yang Nanyang Technological University yang0108(AT)ntu.edu.sg	2 Nov - 23 Dec 2009
Patrick Yeo UOB cloud168(AT)hotmail.com	2 Nov - 23 Dec 2009
Dongni Yu Robin Chia & Co. ffydn2003(AT)yahoo.com.cn	2 Nov - 23 Dec 2009
Jinghui Zhou National University of Singapore jinghui(AT)alumni.nus.edu.sg	2 Nov - 23 Dec 2009

Organizing Committee · Visitors and Participants · Overview · Activities · Membership Application