NAME & AFFILIATION |
PERIOD OF VISIT |
TENTATIVE TITLE OF TALK |
OVERSEAS VISITORS | | |
Abdul Rahman Al-Hussein
Qassim University, Saudi Arabia
alhusseinqu(AT)hotmail.com
| 10 - 21 Jun 2013 | Stochastic maximum principle for Hilbert space valued forward-backward doubly SDES with Poisson jumps |
Takuji Arai
Keio University, Japan
arai(AT)econ.keio.ac.jp
| 1 - 5 Jul 2013 | Good deal bounds with convex constraints |
Xiuchun Bi
University of Science and Technology of China, China
xcbi(AT)mail.ustc.edu.cn
| 17 - 21 Jun 2013 | Precise large deviations of aggregate claims in a risk model with regression-type size-dependence |
Rainer Buckdahn
Universite de Bretagne Occidentale, France and Shandong University, China
Rainer.Buckdahn(AT)univ-brest.fr
| 16 - 22 Jun 2013 | Nonlinear stochastic differential games involving a major player and a large number of collectively acting minor players |
Ning Cai
Hong Kong University of Science and Technology, Hong Kong
ningcai(AT)ust.hk
| 19 - 21 Jun 2013 | |
Pan Chen
University of Science and Technology of China, China
huoshanpc(AT)gmail.com
| 17 - 18 Jun 2013 | |
Xinfu Chen
University of Pittsburgh, USA
xinfu(AT)pitt.edu
| 19 - 21 Jun 2013 | Free boundary problems and variational inequality in finance |
Tsung-Lin Cheng
National Changhua University of Education, Taiwan
tlcheng(AT)cc.ncue.edu.tw
| 19 - 21 Jun 2013 | On the ruin time for risk reserve processes with heavy-tailed claims |
Freddy Delbaen
ETH Zurich, Switzerland
delbaen(AT)math.ethz.ch
| 2 Jun - 13 Jul 2013 | Time consistent coherent extension of time consistent concave monetary utility functions
New convergence properties related to local theorems |
Yan Dolinsky
ETH Zurich, Switzerland
yan.dolinsky(AT)math.ethz.ch
| 1 - 7 Jul 2013 | Martingale optimal transport and robust hedging in continuous time |
Samuel Drapeau
Humboldt Universität zu Berlin, Germany
drapeau(AT)math.hu-berlin.de
| 26 Jun - 14 Jul 2013 | Superhedging under model uncertainty |
Paul Embrechts
ETH Zurich, Switzerland
embrechts(AT)math.ethz.ch
| 23 Jun - 7 Jul 2013 | Model uncertainty and risk aggregation |
Sebastian Engelke
University of Lausanne, Switzerland
sebastian.engelke(AT)unil.ch
| 28 Jun - 5 Jul 2013 | |
Peter Forsyth
University of Waterloo, Canada
paforsyt(AT)uwaterloo.ca
| 15 - 26 Jun 2013 | Tutorial: Numerical methods for Hamilton-Jacobi-Bellman equations in finance
Optimal trade execution: mean variance or mean quadratic variation? |
Jean-Pierre Fouque
University of California at Santa Barbara, USA
fouque(AT)pstat.ucsb.edu
| 29 Jun - 5 Jul 2013 | Portfolio optimization and stochastic volatility asymptotics |
Marco Frittelli
Università degli Studi di Milano, Italy
marco.frittelli(AT)unimi.it
| 27 Jun - 6 Jul 2013 | Tutorial: Risk measures |
Yi Fu
Shanghai Normal University, China
fuyi(AT)shnu.edu.cn
| 19 - 21 Jun 2013 | The optimal execution strategy of employee stock option |
Stéphane Goutte
CNRS-University Paris Diderot 7, France
goutte(AT)math.univ-paris-diderot.fr
| 19 - 21 Jun 2013 | Mean variance hedging under defaults risk |
Mei-Hui Guo
National Sun Yat-Sen University, Taiwan
guomh(AT)math.nsysu.edu.tw
| 19 - 21 Jun 2013 | Statistical models of market reactions to influential trades |
Xin Guo
University of California at Berkeley, USA
xinguo(AT)ieor.berkeley.edu
| 9 - 22 Jun 2013 | Martingale problems under non-linear expectations
Optimal order placement in a limit order book |
Taeyoung Ha
National Institute for Mathematical Sciences & South Korea, Korea
tha(AT)nims.re.kr
| 19 - 21 Jun 2013 | |
Hwai-Chung Ho
Institute of Statistical Science Academia Sinica, Taiwan
hcho(AT)stat.sinica.edu.tw
| 19 - 21 Jun 2013 | A price risk measure and momentum strategy |
Ulrich Horst
Humboldt University Berlin, Germany
Horst(AT)math.hu-berlin.de
| 18 - 22 Jun 2013 | Stochastic control problems with singular value functions - analytic solutions and application to optimal portfolio liquidation |
Sam Howison
University of Oxford, UK
howison(AT)maths.ox.ac.uk
| 18 - 21 Jun 2013 | Formal asymptotics for (i) the penalty method (ii) a model for carbon allowance prices |
Mingshang Hu
Shandong University, China
humingshang(AT)mail.sdu.edu.cn
| 9 - 15 Jun 2013 | Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion |
Ying Hu
Université de Rennes 1, France
ying.hu(AT)univ-rennes1.fr
| 9 - 14 Jun 2013 | Mean-variance portfolio selection with uncertain drift and volatility |
Shaolin Ji
Shandong University, China
jsl(AT)sdu.edu.cn
| 9 - 16 Jun 2013 | A stochastic recursive optimal control problem under the G-expectation framework |
Zhaoli Jia
University of Science and Technology of China, China
zljia(AT)mail.ustc.edu.cn
| 19 - 21 Jun 2013 | Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process |
Bingyi Jing
Hong Kong University of Science and Technology, Hong Kong
majing(AT)ust.hk
| 19 - 21 Jun 2013 | On the estimation of integrated volatility with jumps and microstructure noises |
Kiseop Lee
Ajou University & Republic of Korea, Korea
hyeran2011(AT)ajou.ac.kr
| 19 - 21 Jun 2013 | |
Duan Li
The Chinese University of Hong Kong, Hong Kong
dli(AT)se.cuhk.edu.hk
| 19 - 21 Jun 2013 | Prospect theory and trading patterns |
Juan Li
Shandong University, China
juanlisdu(AT)gmail.com
| 16 - 22 Jun 2013 | Stochastic differential games for fully coupled FBSDEs with jumps |
Lingfei Li
The Chinese University of Hong Kong, Hong Kong
lfli(AT)se.cuhk.edu.hk
| 19 - 21 Jun 2013 | Building time-dependent commodity and energy derivative models: an additive time change approach |
Andy Guanghua Lian
University of South Australia, Australia
andy.lian(AT)unisa.edu.au
| 19 - 21 Jun 2013 | Volatility swaps and volatility options on discretely sampled realized variance |
Johan Lim
Seoul National University, Korea
johanlim(AT)snu.ac.kr
| 19 - 21 Jun 2013 | Condition number regularized covariance estimation with application to portfolio optimization |
Thomas Lim
Université d'Evry and ENSIIE, France
thomas.lim(AT)ensiie.fr
| 19 - 21 Jun 2013 | Mean-variance hedging on uncertain time horizon in a market with a jump |
Qian Lin
Tsinghua University, China
qianlin88(AT)gmail.com
| 21 Jun - 6 Jul 2013 | |
Jin Ma
University of Southern California, USA
jinma(AT)usc.edu
| 12 - 21 Jun 2013 | Model uncertainty in insurance problems |
Anis Matoussi
Université du Maine, France
anis.matoussi(AT)univ-lemans.fr
| 9 - 15 Jun 2013 | Doubly reflected second order BSDE's and Dynkin game under uncertainty |
Hema Narayanaswamy
D.G .Vaishnav College, India
nsnarayanaswamyhema(AT)gmail.com
| 7 - 16 Jun 2013 | |
Pin Ng
Northern Arizona University, USA
Pin.Ng(AT)nau.edu
| 19 - 21 Jun 2013 | Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency |
Alex Novikov
University of Technology, Australia
Alex.Novikov(AT)uts.edu.au
| 17 - 22 Jun 2013 | On lower and upper bounds for Asian-type options: a unified approach |
Marcel Nutz
Columbia University, USA
mnutz(AT)math.columbia.edu
| 9 - 21 Jun 2013 | Arbitrage and duality in nondominated discrete-time models |
Chen Pan
University of Science and Technology of China, China
panchen(AT)mail.ustc.edu.cn
| 14 - 21 Jun 2013 | Martingale problems under nonlinear expectations |
Mia Pang Rey
University of the Philippines Diliman, Philippines
miapangrey(AT)yahoo.com
| 18 Jun - 3 Jul 2013 | |
Marc Paolella
University of Zurich, Switzerland
marc.paolella(AT)bf.uzh.ch
| 19 - 21 Jun 2013 | Dynamic comfort: a common market factor non-Gaussian returns model with dynamic conditional correlations |
Shige Peng
Shandong University, China
peng(AT)sdu.edu.cn
| 3 Jun - 12 Jul 2013 | Tutorial: BSDE, PDE, nonlinear expectation and model uncertainty
G-expectation weighted Sobolev spaces, backward SDE and path dependent PDE |
Xianhua Peng
The Hong Kong University of Science and Technology, Hong Kong
maxhpeng(AT)ust.hk
| 9 Jun - 5 Jul 2013 | Mean or median: an implication for BIS trading book capital requirements
Location, location, location: the econometrics of asset pricing with spatial interaction |
Ryle Perera
Macquarie University, Australia
ryle.perera(AT)mq.edu.au
| 1 - 5 Jul 2013 | |
Huyên Pham
Université Paris Diderot, France
pham(AT)math.univ-paris-diderot.fr
| 9 - 16 Jun 2013 | Backward SDEs with partially nonpositive jumps and Hamilton-Jacobi-Bellman IPDE |
Dylan Possamaï
Paris Dauphine, France
possamai(AT)ceremade.dauphine.fr
| 9 - 14 Jun 2013 | |
Philip Protter
Columbia University, USA
pep2117(AT)columbia.edu
| 6 - 22 Jun 2013 | Financial bubbles and the possibility of real time detection |
Manachai Rodchuen
Chiang Mai University, Thailand
r.manachai(AT)gmail.com
| 19 - 21 Jun 2013 | The generation of simple linear regression model |
Johannes Ruf
University of Oxford, UK
johannes.ruf(AT)oxford-man.ox.ac.uk
| 17 - 23 Jun 2013 | Why are quadratic normal volatility models analytically tractable? |
Alexander Schied
University of Mannheim, Germany
schied(AT)uni-mannheim.de
| 3 - 5 Jul 2013 | Comparative and qualitative robustness for law-invariant risk measures |
Martin Schweizer
ETH Zurich, Switzerland
martin.schweizer(AT)math.ethz.ch
| 30 Jun - 7 Jul 2013 | On a stochastic Fubini theorem |
Mete Soner
ETH Zurich, Switzerland
mete.soner(AT)math.ethz.ch
| 1 - 7 Jul 2013 | Second order BSDE's |
Yongsheng Song
Chinese Academy of Sciences, China
yssong(AT)amss.ac.cn
| 9 - 15 Jun 2013 | Processes with stationary and independent increments under G-expectation |
Ivy Suan
University of the Philippines Diliman, Philippines
ivysuan(AT)gmail.com
| 18 Jun - 3 Jul 2013 | |
Yan Sun
Utah State University, USA
yan.sun(AT)usu.edu
| 19 - 21 Jun 2013 | Conditional heteroskedasticity of return range processes |
Xiaolu Tan
Paris-Dauphine, France
xiaolu.tan(AT)polytechnique.edu
| 9 - 15 Jun 2013 | |
Nizar Touzi
Ecole Polytechnique, France
nizar.touzi(AT)polytechnique.edu
| 10 - 14 Jun 2013 | Model-free hedging and martingale optimal transport |
Loc Hung Tran
University of Finance and Marketing (UFM), Vietnam
tlhungvn(AT)gmail.com
| 18 - 22 Jun 2013 | A new approach to Poisson approximations |
Hideatsu Tsukahara
Seijo University, Japan
tsukahar(AT)seijo.ac.jp
| 19 - 21 Jun 2013 | Estimating and backtesting distortion risk measures |
Falei Wang
Shandong University, China
flwang2011(AT)gmail.com
| 9 - 28 Jun 2013 | BSDE, path-dependent PDE and nonlinear Feynman-KAC formula |
Lihe Wang
Shanghai Jiaotong University, China and University of Iowa, USA
wanglihe(AT)sjtu.edu.cn
lwang.iowa(AT)gmail.com
| 19 - 22 Jun 2013 | |
John Alexander Wright
The Chinese University of Hong Kong, Hong Kong
jawright(AT)sta.cuhk.edu.hk
| 19 - 21 Jun 2013 | Tests for the equality of multiple sharpe ratios |
Qin Wu
Hong Kong Baptist University, Hong Kong
wqxds985(AT)gmail.com
| 19 - 21 Jun 2013 | |
Jianming Xia
Chinese Academy of Sciences, China
xia(AT)amss.ac.cn
| 30 Jun - 4 Jul 2013 | Asset pricing under probability distortions |
Haipeng Xing
State University of New York, at Stony Brook, USA
xing(AT)ams.sunysb.edu
| 18 - 22 Jun 2013 | Firms' credit rating dynamics in the presence of unobserved market structural changes |
Weiqiang Yang
Shandong University, China
joysurf(AT)163.com
| 9 - 21 Jun 2013 | The dual process and the Monte-Carlo method |
Siu-Pang Yung
The University of Hong Kong, Hong Kong
spyung(AT)hkucc.hku.hk
| 19 - 21 Jun 2013 | Time consistent optimal controls for mean-variance portfolio selection problems |
Behnam Zarpak
Shahed University, Iran
zarpak(AT)shahed.ac.ir
| 19 - 21 Jun 2013 | Financial Stochastic differential equations |
Fangwei Zhang
Southeast University, China
fangweizhang(AT)aliyun.com
| 19 - 21 Jun 2013 | Study on multiple attribute decision making problems based on D-S evidence theory and hypercube segmentation |
Jianfeng Zhang
University of Southern California, USA
jianfenz(AT)usc.edu
| 10 - 22 Jun 2013 | Viscosity solutions of path dependent PDEs
Two person zero sum game under weak formulation |
Jizhou Zhang
Shanghai Normal University, China
zhangjz(AT)shnu.edu.cn
| 19 - 21 Jun 2013 | |
Qi Zhang
Fudan University, China
qzh(AT)fudan.edu.cn
| 30 Jun - 6 Jul 2013 | Backward stochastic partial differential equations and their application to stochastic black-scholes formula |
Xu Zhang
Chinese Academy of Sciences, China
zhang_xu(AT)scu.edu.cn
| 10 - 13 Jun 2013 | Transposition method for BSDEs/BSEEs |
Min Zheng
Central University of Finance and Economics, China
mathzhm(AT)gmail.com
| 3 Jun - 12 Jul 2013 | |
DeTong Zhu
Shanghai Normal University, China
dtzhu(AT)shnu.edu.cn
| 19 - 21 Jun 2013 | |
LOCAL VISITORS | | |
Chin-han Chiang
Singapore Management University
chchiang(AT)smu.edu.sg
| 19 - 21 Jun 2013 | Insider trading and option returns around earnings announcements |
Min Dai
National University of Singapore
matdm(AT)nus.edu.sg
| 3 Jun - 12 Jul 2013 | Characterization of optimal strategy for multi-asset investment and consumption with transaction costs
Optimal investment and consumption with capital gain taxes |
Jin-Chuan Duan
National University of Singapore
bizdjc(AT)nus.edu.sg
| 19 - 21 Jun 2013 | Cascading defaults and systemic risk of a banking system |
Jussi Keppo
National University of Singapore
keppo(AT)nus.edu.sg
| 19 - 25 Jun 2013 | The market timing ability of individual investors |
Gavin Koon
National University of Singapore
gavinkoonkw(AT)gmail.com
| 19 - 21 Jun 2013 | |
Steven Kou
National University of Singapore
matsteve(AT)nus.edu.sg
| 3 Jun - 12 Jul 2013 | First passage times of two-dimensional Brownian motion
A new 10-30 rule: an investigation of hedge fund performance fees via behavioral finance |
Tiong-Wee Lim
National University of Singapore
stalimtw(AT)nus.edu.sg
| 19 - 21 Jun 2013 | |
Chao Zhou
National University of Singapore
matzc(AT)nus.edu.sg
| 3 Jun - 12 Jul 2013 | Second order BSDEs with jumps
Quadratic BSDEs with jumps: a fixed-point approach |
GRADUATE STUDENTS | | |
Patrick Beissner
Bielefeld University, Germany
pbeissne(AT)math.uni-bielefeld.de
| 3 - 14 Jun 2013 | |
Chen Bokui
University of Science and Technology of China, China
chenssx(AT)mail.ustc.edu.cn
| 28 Jun 2013 | |
Dejian Chang
Shandong University, China
changdejian(AT)yahoo.cn
| 9 - 29 Jun 2013 | |
Yingshan Chen
National University of Singapore
g0901228(AT)nus.edu.sg
| 19 - 21 Jun 2013 | Incomplete information, trend following, and liquidity premium |
Ibrahim Ekren
Southern California, USA
ekren(AT)usc.edu
| 11 Jun - 6 Jul 2013 | Obstacle problem of path-dependent PDES |
Xinwei Feng
Shandong University, China
fengxw121(AT)163.com
| 9 - 29 Jun 2013 | |
Xiaolin Gong
Shandong University, China
gcaelyn(AT)gmail.com
| 30 Jun - 6 Jul 2013 | |
Jiancang Guo
National University of Singapore
A0106260(AT)nus.edu.sg
| 3 Jun - 12 Jul 2013 | |
Kexin Jin
University of Science and Technology of China, China
jinkexin(AT)mail.ustc.edu.cn
| 9 - 13 Jun 2013 | |
Chandrasekhar Karnam
University of Southern California, USA
karnam(AT)usc.edu
| 9 Jun - 6 Jul 2013 | |
Christian Keller
University of Southern California, USA
kellerch(AT)usc.edu
| 11 Jun - 6 Jul 2013 | Path-dependent partial integro-differential equations |
Yaoting Lei
National University of Singapore
a0068146(AT)nus.edu.sg
| 24 - 25 Jun 2013 | |
Hanwu Li
Shandong University, China
lihanwu11(AT)163.com
| 9 - 29 Jun 2013 | |
Li Li
Shandong University, China
li_li880411(AT)126.com
| 9 - 29 Jun 2013 | |
Xinpeng Li
Shandong University, China
xplisdu(AT)gmail.com
| 9 - 21 Jun 2013 | |
Jingyi Lin
National University of Singapore
lin_jingyi(AT)nus.edu.sg
| 3 Jun - 12 Jul 2013 | |
Miao Lin
Nanyang Technological University
linm0018(AT)e.ntu.edu.sg
| 19 - 28 Jun 2013 | |
Arnaud Lionnet
University of Oxford, UK
arnaud.lionnet(AT)maths.ox.ac.uk
| 9 - 15 Jun 2013 | |
Lei Qiao
National University of Singapore
a0086330(AT)nus.edu.sg
| 3 - 14 Jun 2013 | |
Ling Tang
National University of Singapore
g0901243(AT)nus.edu.sg
| 19 - 21 Jun 2013 | Calibration of stochastic volatility models: a Tikhonov regularization approach |
Tieying Xiang
National University of Singapore
A0107199(AT)nus.edu.sg
| 3 Jun - 12 Jul 2013 | |
Jing Xu
National University of Singapore
jingxu(AT)nus.edu.sg
| 19 - 25 Jun 2013 | Implicit incentives of mutual fund flows and liquidity premia |
Ruimin Xu
Shandong University, China
ruiminx(AT)126.com
| 9 - 29 Jun 2013 | |
Yanying Yan
National University of Singapore
star19900822(AT)gmail.com
| 3 Jun - 12 Jul 2013 | |
Chen Yang
National University of Singapore
a0092577(AT)nus.edu.sg
| 3 Jun - 12 Jul 2013 | |
Jing Yang
National University of Singapore
yangjing2008sh(AT)163.com
| 3 - 14 Jun 2013 | |
Shuzhen Yang
Shandong University, China
yangshuzhen3383(AT)sina.com
| 9 - 29 Jun 2013 | |
Yue Yin
Shandong University, China
yinyue2008cn(AT)163.com
| 9 - 29 Jun 2013 | |
Guoqiang Zheng
Shandong University, China
zhengguoqiang.sdu(AT)163.com
| 9 - 29 Jun 2013 | |
Jingqiu Zhou
National University of Singapore
Jennyqiu1234(AT)gmail.com
| 3 Jun - 12 Jul 2013 | |
REGISTERED LOCAL PARTICIPANTS | | |
Bikramjit Das
Singapore University of Technology and Design
bikram(AT)sutd.edu.sg
| 28 Jun 2013 | |
Mahdi Rasouli
National University of Singapore
rasouli(AT)nus.edu.sg
| 10 Jun 2013 | |
Edwin Wan
Singapore Institute of Management
edwinwan88(AT)gmail.com
| 3 Jun - 3 Jul 2013 | |
