Organizing Committee

 Invited Speakers

 Overview

 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 ---

 Venue