8月16日 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 |
8月16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 |
8月17日 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 |
8月17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
|
