Venue: The Auditorium, 1F, Astrnomy-Mathematics Building
Last Update: March 23, 2010

Chii-Ruey Hwang
Institute of Mathematics
Academia Sinica, Taiwan

Shigeyoshi Ogawa
Ritsumeikan University
Japan

Chuan-Hsiang Han
National Tsing-Hua University
Taiwan

Ms. Li-Wu Chen
E-mail:
TEL: 886-2-23685999ext 341
FAX: 886-2-27827432
Postal/Mailing Address:
Institute of Mathematics, Academia Sinica, No. 128, Section 2, Academia Road, Nankang, Taipei, 11529, Taiwan
Location:
Floor 6th, Astronomy-Mathematics Building, National Taiwan University Main Campus, No. 1, Section 4, Roosevelt Road, Taipei, 10617, Taiwan

Printable Schudule

Social Event íV April 8th, 2010 (Thursday)

8:30 - 15:30

Day Trip (Cancelled)

Day 1 íV Spring School - April 9th, 2010 (Friday)

8:30 - 10:30

Registration

10:30 - 12:00

Shigeyoshi Ogawa (Ritsumeikan University)
Noncausal Problems in Mathematical Physiscs

12:00 - 13:30

Lunch

13:30 - 15:00

Arturo Kohatsu-Higa (Osaka University)
Approximations for SDE's driven by Lévy processes

15:00 - 15:30

Tea Break

15:30 - 17:00

Arturo Kohatsu-Higa (Osaka University)
Approximations for SDE's driven by Lévy processes

19:00 - 20:30

Discussion (Rm 617, 6F, Astronomy-Mathematics Building)

Day 2 íV Spring School - April 10th, 2010 (Saturday)

8:30 - 10:30

Discussion

10:30 - 12:00

Arturo Kohatsu-Higa (Osaka University)
Approximations for SDE's driven by Lévy processes

12:00 - 13:30

Lunch

13:30 - 15:00

Peter Imkeller (Humboldt University at Berlin)
Malliavin Calculus in Cross Hedging Problem

15:00 - 15:30

Tea Break

15:30 - 17:00

Peter Imkeller (Humboldt University at Berlin)
Malliavin Calculus in Cross Hedging Problem

19:00 - 20:30

Discussion (Rm 617, 6F, Astronomy-Mathematics Building)

Day 3 íV Spring School - April 11th, 2010 (Sunday)

8:30 - 10:30

Discussion

10:30 - 12:00

Peter Imkeller (Humboldt University at Berlin)
Malliavin Calculus in Cross Hedging Problem

12:00 - 13:30

Lunch

13:30 - 15:00

Monique Pontier (Universite Paul Sabatier)
Pricing rules under asymmetric information

15:00 - 15:30

Tea Break

15:30 - 17:00

Monique Pontier (Universite Paul Sabatier)
Pricing rules under asymmetric information

19:00 - 20:30

Discussion (Rm 617, 6F, Astronomy-Mathematics Building)

Day 4 íV Spring School - April 12th, 2010 (Monday)

8:30 - 10:30

Discussion

10:30 - 12:00

Monique Pontier (Universite Paul Sabatier)
Pricing rules under asymmetric information

12:00 - 13:30

Lunch

13:30 - 15:00

Monique Pontier (Universite Paul Sabatier)
Pricing rules under asymmetric information

15:00 - 15:30

Tea Break

15:30 - 17:00

Short Communications

19:00 - 20:30

Discussion (Rm 617, 6F, Astronomy-Mathematics Building)

Day 5 íV Spring School - April 13th, 2010 (Tuesday)

8:30 - 10:30

Discussion

10:30 - 12:00

Shigeyoshi Ogawa (Ritsumeikan University)
Noncausal Problems in Mathematical Physiscs

12:00 - 13:30

Lunch

13:30 - 15:00

Dominique Picard (Universite Paris VII)
Using Wavelets in Statistics

15:00 - 15:30

Tea Break

15:30 - 17:00

Gerard Kerkyacharian (Universite Paris VII)
Using Wavelets in Statistics

19:00 - 20:30

Discussion (Rm 617, 6F, Astronomy-Mathematics Building)

Day 6 íV Spring School - April 14th, 2010 (Wednesday)

8:30 - 10:30

Discussion

10:30 - 12:00

Shigeyoshi Ogawa (Ritsumeikan University)
Noncausal Problems in Mathematical Physiscs

12:00 - 13:30

Lunch

13:30 - 15:00

Gerard Kerkyacharian (Universite Paris VII)
Using Wavelets in Statistics

15:00 - 15:30

Tea Break

15:30 - 17:00

Dominique Picard (Universite Paris VII)
Using Wavelets in Statistics

19:00 - 20:30

Discussion (Rm 617, 6F, Astronomy-Mathematics Building)

Day 7 íV Spring School - April 15th, 2010 (Thursday)

8:30 - 10:30

Discussion

10:30 - 12:00

Dominique Picard et/ou Gerard Kerkyacharian (Universite Paris VII)
Using Wavelets in Statistics

12:00 - 13:30

Lunch

Day 7 íV Workshop - April 15th, 2010 (Thursday)

12:10 - 13:20

Registration

13:20 - 14:20

Makoto Yamazato (Ryukyus University)
Absolute continuity of multidimensional infinitely divisible distributions and applications

14:20 - 15:10

Yonng Hyun Shin (KIAS)
Optimal Investment and Consumption Decision of Family with Life Insurance

15:10 - 15:30

Tea Break

15:30 - 16:30

Hoang-Long Ngo - Contributed(Ritsumeikan University)
On the real-time estimation scheme for the spot volatilities and its application

16:30 - 18:10

Panel Discussion
Dr. Hwa-Ping Chang (Taiwan Ratings Corporation)
Global Structured Finance Default Study - 1978--2009
Mr. John Lee (Chinatrust)
Practical Applications and Limitations of a Model
Mr. William Liang (Yuanta Securities, HK)
Life as a Derivative Trader
Dr. Hoi Ying Wong (Chinese University of Hong Kong)
Education of Quantitative Finance and Risk Management: The Case of Hong Kong

18:30 ~

Reception

Day 8 íV Workshop - April 16th, 2010 (Friday)

09:30 - 10:20

Registration

10:20 - 11:10

Lung-Chi Chen (Fu Jen Catholic University)
The gyration radius for long-range oriented percolation and self-avoiding walk

11:10 - 11:20

Tea Break

11:20 - 12:10

Guan-Yu Chen (National Chiao-Tung University)
The mixing time of ergodic Markov processes

12:10 - 13:20

Lunch

13:20 - 14:20

Takuji Arai (Keio University)
Convex risk measures on Orlicz spaces: convolution and shortfall

14:20 - 15:10

Kazutoshi Yamazaki (Osaka University - Contributed)
Precautionary Measures for Credit Risk Management in Jump Models

15:10 - 15:30

Tea Break

15:30 - 16:30

Koichi Matsumoto (Kyushu University)
Weak Time Consistency and Multi-period Tail VaR Measures

16:30 - 17:20

Meng-Lan Yueh (National Chengchi University)
Valuation of Constant Maturity Credit Default Swaps

17:20 - 18:10

Ching-Tang Wu (National Chiao-Tung University)
Generalization of Brownian Bridges

Day 9 íV Workshop - April 17th, 2010 (Saturday)

09:30 - 10:20

Discussion

10:20 - 11:10

Nicolas Privault (City University of Hong Kong)
Density estimation of functionals of spatial point processes with application to wireless networks

11:10 - 11:20

Tea Break

11:20 - 12:10

Hoi Ying Wong (Chinese University of Hong Kong)
Option Pricing on Co-integrated Assets with Stochastic Volatilities

12:10 - 13:20

Lunch

13:20 - 14:20

Kohta Takehara - Contributed(University of Tokyo)
General Computation Schemes for a High-Order Asymptotic Expansion Method

14:20 - 15:10

Xiaowen Zhou (Concordia University)
Lévy risk model with tax

15:10 - 15:30

Tea Break

15:30 - 16:30

Ju-Yi Yen (Vanderbilt University)
Option prices in terms of distribution functions
(joint with M. Yor)

16:30 - 17:20

Cheng-Der Fuh (National Central University)
Default Prediction Based on First-Passage Models with Markovian Credit Migration

Institute of Mathematics, Academia Sinica, Taipei, Taiwan