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随机分析、金融统计与人工智能交叉前沿论坛
日期:2018-08-08 点击:

项目编号:天元前沿论坛QY201801



会议日程


816 地点:西安志诚丽柏酒店20楼多功能厅

时间

报告人

报告题目

主持人

8:20-9:00  开幕式及合影

9:00-9:30

刘国欣

Optimal   Dividend Problems for Sparre Andersen Risk Model

陈志平


9:35-9:55

骆兴国

Forecasting   RMB Exchange Rates: Evidence from Currency Derivatives

10:00-10:20  茶歇

10:20-10:50

马敬堂

Fast   Computational Methods for Optimal Investment Stopping Problems

尹传存

10:55-11:15

杨念

Density   Approximations for Multivariate Diffusions via an Ito-Taylor Expansion   Approach

11:20-11:40

王龙敏

On the   Trace of Branching Random Walks

816日下午

14:00-14:30

陈志平

Partial   Stochastic Dominance and Its Application in Portfolio Selection

胡亦钧


14:35-14:55

宋颖达

Computable   Error Bounds of Laplace Inversion for Pricing Asian Options

15:00-15:20

张志远

Volatility   of Volatility: Estimation and Tests Based on Noisy High Frequency Data

15:25-15:45  茶歇

15:50-16:20

彭献华

EM   Algorithm and Stochastic Control

马敬堂


16:25-16:45

姚念

Optimal   Excess-of-Loss Reinsurance and Investment Problem with Default Risk Under a   Stochastic Volatility Model

16:50-17:10

赵宏飙

Shot-noise   Cojumps: Exact Simulation and Option Pricing

17:15-17:35

刘党政

Singular   Value Statistics for the Spiked Elliptic Ginibre Ensemble

817  地点:西安志诚丽柏酒店20楼多功能厅

时间

报告人

报告题目

主持人

8:35-9:05

胡亦钧

Time   Consistency for Set-Valued Dynamic Risk Measures for Bounded Discrete-Time   Processes

刘国欣

9:10-9:30

史钞

The Error   Control Technique of Maximum Likelihood Estimation under Affine Models

9:35-9:55

卓小杨

Bayesian   Estimation of the Skew Vasicek Model: An Empirical Investigation of Chinese   Interest Rates

10:00-10:20  茶歇

10:20-10:50

尹传存

Optimal   Dividend Problem for Spectrally Positive Levy Processes

史敬涛

10:55-11:15

程雪

Ensemble   Learning Enhanced

VWAP   Execution

11:20-11:40

徐玉红

Worst-Case   Value at Risk and Portfolio Management: A Simple Method Incorporating Model   Uncertainty

817日下午

14:00-14:30

史敬涛

Maximum   Principle for Risk-Sensitive Stochastic Optimal Control Problem and   Applications to Finance

程雪

14:35-14:55

杨叙

Existence   and Pathwise Uniqueness to an SPDE Driven by Alpha-Stable Colored Noise

15:00-15:20

马春华

The   Alpha-Heston Stochastic Volatility Model

15:25-15:45  茶歇

15:50-16:20

蔡宁

A General   Framework for Pricing Asian Options under Markov Processes

徐玉红

16:25-16:45

徐方军

Limit   Theorems for Functionals of Some Gaussian Processes

16:50-17:10

魏林晓

Capital   Allocation with Multivariate Risk Measures: An Axiomatic Approach


   


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