Akihiko Takahashi Homepage

organized by TMU Finance Group and Finance Group in Global COE Program
"The research and training center for new development in mathematics"

  • Date
    March 1-4 of 2011 (Tuesday - Friday)
  • Location
    Akihabara Daibiru, Tokyo  Access
  • Program

    March 1(Tuesday)

    Lecture by Professor Bernt Øksendal (University of Oslo)
    “Stochastic control of Itô-Lévy processes and applications to risk minimization in finance”

    10:00-10:10   Opening address

    10:10-11:40   Lecture 1

    11:40-13:30   Lunch

    13:30-15:00   Lecture 2

    15:00-15:30   Coffee Break

    15:30-17:00   Lecture 3

    March 3-4(Thursday - Friday)
    International Workshop

    March 3(Thursday)

    10:00-10:40   Luciano Campi
    “A structural risk-neutral model for pricing and hedging power derivatives”

    10:40-11:20   Irina Penner
    “Risk assesment for uncertain cash flows”

    11:40-13:00   Lunch


    13:00-13:40   Areski Cousin
    “Dynamic hedging of synthetic CDO tranches”

    13:40-14:20   Ernst-August von Hammerstein
    “Dependence structures of generalized hyperbolic models and applications to CDO pricing”

    14:20-14:40   Coffee Break


    14:40-15:20   An Ta Thi Kieu
    “Portfolio optimization under constraint in incomplete markets based upon recursive utilities”

    15:20-16:00   Agatha Murgoci
    “A General Theory of Markovian Time Inconsistent Stochastic Control Problems” (with Tomas Bjork)

    16:00-16:20   Coffee Break


    16:20-17:00   Xiaoxia Ye
    “A Type of HJM Based Affine Model: Theory and Empirical Evidence”

    17:00-17:40   Takamasa Suzuki
    “Optimal partial hedging problems for American derivatives from buyer's viewpoint”

    March 4(Friday)

    10:00-10:40   Andreea Minca
    “Asymptotic analysis of default contagion in financial networks”

    10:40-11:20   Kazutoshi Yamazaki
    “American Step-Up and Step-Down Credit Default Swaps Under Levy Models”
    (with Tim S.T. Leung)

    11:20-12:00   Masaaki Fujii
    “Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA”

    12:00-13:20   Lunch


    13:20-14:00   Christian Litterer
    “Cubature methods on Wiener space and applications”

    14:00-14:40   Masashi Toda
    "A New Computational Scheme for a High-Order Asymptotic Expansion Method"

    14:40-15:00   Coffee Break


    15:00-15:40   Chi Chung Siu
    “Option Pricing under Regime-Switching Lévy Model”

    15:40-16:20   Ryoichi Suzuki
    “Malliavin Calculus in Lévy Spaces and Related Topics”

    16:20-16:40   Coffee Break


    16:40-17:20   Stefano de Marco
    "The Term Structure of Implied Volatility in Symmetric Models"
    (with C. Martini)

    17:20-18:00   Yuuki Shinbara
    “Static hedging of barrier options using the most likely path under stochastic local volatility models”

    18:00-18:10   Closing address


Economics Research Building, The University of Tokyo, 7-3-1, Hongo, Bunkyo-ku, Tokyo, 113-0033, Japan