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Workshop on Optimal stopping and singular stochastic control problems in finance
(9 – 15 Dec 2009)

Jointly organized with Risk Management Institute, NUS

Organizing Committee · Visitors and Participants · Overview · Activities · Funding for Young Scientists

Venue: IMS Auditorium

Organizing Committee

Chair

Paul Embrechts (Swiss Federal Institute of Technology (ETH) Zurich)

Members

Min Dai (National University of Singapore)
Hanqing Jin (University of Oxford)
Juri Hinz (National University of Singapore)
Kian-Guan Lim (Singapore Management University)
Defeng Sun (National University of Singapore)
Jianming Xia (National University of Singapore)

Invited Speakers

Ranjan Bhaduri (AlphaMetrix Alternative Investment Advisors, LLC, USA)
Ning Cai (Hong Kong University of Science and Technology, Hong Kong)
Stéphane Crépey (Evry University, France)
Patrick Cheridito (Princeton University, USA)
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)
Sam Howison (University of Oxford, UK)
Hanqing Jin (Oxford University, UK)
Benjamin Jourdain (Ecole Nationale des Ponts et Chaussées, France)
Bernt Øksendal (University of Oslo, Norway)
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)

Wednesday, 9 Dec 2009
12:00nn - 02:00pm	--- Lunch Break --- (lunch at IMS)
02:00pm - 02:15pm	Registration
02:15pm - 02:30pm	Opening remarks Ser Peow Tan, National University of Singapore
02:30pm - 03:20pm	Counterparty risk via Bessel bridge Mark H. A. Davis, Imperial College, UK
03:20pm - 04:10pm	Stochastic target problems with controlled loss Romuald Elie, University Paris-Dauphine, France
04:10pm - 04:40pm	--- Coffee Break ---
04:40pm - 05:30pm	Optimal stopping with prospect preference Zuoquan Xu, University of Oxford, UK

Thursday, 10 Dec 2009
09:15am - 09:30am	Registration
09:30am - 10:20am	Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB) (PDF) 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	Dynamic CAPM with risk measures Patrick Cheridito, Princeton University, USA
12:30pm - 02:30pm	--- Lunch Break ---
02:30pm - 03:20pm	A maximum principle for Stochastic differential games with g-expectations and partial information Thi Kieu An Ta, University of Oslo, Norway
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
09:15am - 09:30am	Registration
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

Monday, 14 Dec 2009
09:15am - 09:30am	Registration
09:30am - 10:20am	Pricing game options with call protection (PDF) Stéphane Crépey, Evry University, France
10:20am - 11:10am	Risk aversion and portfolio selection Jianming Xia, National University of Singapore
11:10am - 11:40am	--- Coffee Break ---
11:40am - 12:30pm	Finding quantiles Xunyu Zhou, Oxford University, UK

Tuesday, 15 Dec 2009
09:15am - 09:30am	Registration
09:30am - 10:20am	Time-inconsistent optimal control problems Jiongmin Yong, University of Central Florida, USA
10:20am - 11:10am	The balls in the hat game - an optimal stopping problem and its connections to the value of liquidity (PDF 1) (PDF 2) Ranjan Bhaduri, AlphaMetrix Alternative Investment Advisors, LLC, USA
11:10am - 11:40am	--- Coffee Break ---
11:40am - 12:30pm	Irrational borrowers and the pricing of residential mortgages Yongheng Deng, National University of Singapore

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