Talk Titles & Speakers by Day
08.26 (Tue)
| Time | Speaker | Affiliation | Title |
|---|---|---|---|
| Plenary Talk (Chair: Hyeng Keun Koo) | |||
| 10:00 - 11:00 | Xuedong He | Chinese University of Hong Kong (CUHK) | Dynamic Asset Pricing with α-MEU Model |
| 11:00 - 11:10 Break | |||
| Invited Talk (Chair: Hyeng Keun Koo) | |||
| 11:10 - 11:40 | Takanori Adachi | Tokyo Metropolitan University (TMU) | A geometric model of synthetic filtrations |
| 11:40 - 12:10 | Shuenn-Jyi Sheu | National Central University (NCU) | Some studies of Merton’s Portfolio Optimization Problems |
| 12:10 - 13:20 Lunch | |||
| Invited Talk (Chair: Jin Hyuk Choi) | |||
| 13:20 - 13:50 | Chii-Ruey Hwang | Academia Sinica | Monte Carlo Markov Processes |
| 13:50 - 14:20 | Tomonori Uchiyama | Tokyo Metropolitan University (TMU) | Asset Prices and Sustainable Investing under Double Materiality |
| 14:20 - 14:50 | Hoi Ying Wong | Chinese University of Hong Kong (CUHK) | DeepMartingale: Duality of the optimal stopping problem with expressivity |
| 14:50 - 15:10 Break | |||
| Invited Talk (Chair: Shuenn-Jyi Sheu) | |||
| 15:10 - 15:40 | Kazuhiro Yasuda | Hosei University | One-Step Survival Method for Barrier Option Price and Greeks Calculation under Heston Model |
| 15:40 - 16:10 | Li-Hsien Sun | National Central University (NCU) | Partial Information in a Mean-Variance Portfolio Selection Game |
| 16:10 - 16:40 | Hiroaki Hata | Hitotsubashi University | Optimal consumption and investment problem with delay under partial information |
| 16:40 - 17:00 Break | |||
| Invited Talk (Chair: Donghyun Kim) | |||
| 17:00 - 17:30 | Mei Choi Chiu | Education University of Hong Kong (EdUHK) | Spike variational reinforcement learning of equilibrium mean-variance investment strategy |
| 17:30 - 18:00 | Jin Hyuk Choi | Ulsan National Institute of Science and Technology (UNIST) | Unified asymptotics for investment under illiquidity: transaction costs and search frictions |
| 18:00 - 20:00 Dinner | |||
08.27 (Wed)
| Time | Speaker | Affiliation | Title |
|---|---|---|---|
| Plenary Talk (Chair: Tomonori Uchiyama) | |||
| 10:00 - 11:00 | Hyeng Keun Koo | Ajou University | Can Dynamic Portfolio Theory Be Practically Implemented? |
| 11:00 - 11:10 Break | |||
| Invited Talk (Chair: Tomonori Uchiyama) | |||
| 11:10 - 11:40 | Toshinao Yoshiba | Tokyo Metropolitan University (TMU) | Dynamic skew-t copula modelling for multivariate asset price movement |
| 11:40 - 12:10 | Panki Kim | Seoul National University (SNU) | Sharp estimates of transition densities of jump processes |
| 12:10 - 13:20 Lunch | |||
| Invited Talk (Chair: Bong-Gyu Jang) | |||
| 13:20 - 13:50 | Yuchao Dong | Tongji University | Data-Driven Merton’s Strategies via Policy Randomization |
| 13:50 - 14:20 | Lingfei Li | Chinese University of Hong Kong (CUHK) | Reinforcement learning for jump-diffusions with financial applications |
| 14:20 - 14:50 | Tingjin Yan | East China Normal University | Risk-Sensitive Reinforcement Learning with Information Costs |
| 14:50 - 15:10 Break | |||
| Invited Talk (Chair: Hoi Ying Wong) | |||
| 15:10 - 15:40 | Chi Seng Pun | Nanyang Technological University (NTU Singapore) | Backward Stochastic Volterra Integral Equations with General Nonlinearities |
| 15:40 - 16:10 | Teruyoshi Suzuki | Hokkaido University | The Dynamics of Takeovers through Exchange Offers in the Presence of Competition |
| 16:10 - 16:40 | Bong-Gyu Jang | POSTECH | Advancing Yield Curve Forecasting: Deep Learning Nelson-Siegel Models and Macroeconomic Insights |
| 16:40 - 17:10 | Jun Moon | Hanyang University | Linear-Quadratic Stackelberg Games for Jump-Diffusion Systems |
| 18:00 - 20:00 Dinner | |||
08.28 (Thu)
| Time | Speaker | Affiliation | Title |
|---|---|---|---|
| Plenary Talk (Chair: Takanori Adachi) | |||
| 10:00 - 11:00 | Jiro Akahori | Ritsumeikan University | Volatility estimation from a view point of entropy |
| 11:00 - 11:10 Break | |||
| Invited Talk (Chair: Takanori Adachi) | |||
| 11:10 - 11:40 | Kyoko Yagi | Tokyo Metropolitan University (TMU) | Optimal Acquisition Contract Design under Asymmetric Information: The Role of Earnouts and Separating Menus |
| 11:40 - 12:10 | Kohta Takehara | Tokyo Metropolitan University (TMU) | Design of Decentralized Exchanges under Concentrated Liquidity |
| 12:10 - 14:00 Lunch | |||
| Invited Talk (Chair: Ji-Hun Yoon) | |||
| 14:00 - 14:30 | Jaegi Jeon | Chonnam National University | Pontryagin-Guided Deep Learning for Large-Scale Constrained Dynamic Portfolio Choice |
| 14:30 - 15:00 | Tomooki Yuasa | Tokyo Metropolitan University (TMU) | Randomized multi-factor approximation for stochastic volterra equations with fractional kernel |
| 15:00 - 15:30 | Kelvin Shuangjian Zhang | Fudan University | Characterization of the optimal solutions to the Rochet-Choné’s 2D model using duality |
| 15:30 - 15:50 Break | |||
| Invited Talk (Chair: Jaegi Jeon) | |||
| 15:50 - 16:20 | Ji-Hun Yoon | Pusan National University (PNU) | An analytic pricing formula for timer options under constant elasticity of variance with stochastic volatility |
| 16:20 - 16:50 | Donghyun Kim | Gyeongsang National University | A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives |