On the afternoon of August 21, 2021, the Japanese Association of Financial Econometrics and Engineering (JAFEE) will hold an online international conference on financial engineering, "4th KAFE-JAFEE International Symposium on Financial Engineering", in Collaboration with the Korean Association of Financial Engineering (KAFE).
Registration
- Conference fee: FREE
- If you are not a JAFEE member and you would like to participate in this online conference, you need to register the registration form by August 19th. (Sorry for the short notice.)
- The Zoom URL for the conference will be announced to the registered e-mail address by August 20.
If you have not received any email informing you of the Zoom Webinar access URL by 18:00(Japan Standard Time) on Friday, August 20, despite having pre-registered, please check your "junk mail" folder first. If you still cannot check such an email, please send an email to summer2021@jafee.gr.jp.
Program
| August 21 (Saturday), 2021 |
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- The abstacts are available here:ABSTRACT (pdf)
| 12:50-13:00 | Greetings from the JAFEE President (Hideatsu Tsukahara, Seijo University) |
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| Group A-1 (Webinar 1): Blockchain, cryptocurrency, machine Learning, and statistical mechanics / Chair: Takanori Adachi (Tokyo Metropolitan University) | |
| 13:00-13:30 | Kyoung Jin Choi* (University of Calgary), Jaevin Park (Soongsil University) "Blockchain-based Academic Journals" |
| 13:30-14:00 | Rei-ichiro Kawai* (University of Tokyo) "Stochastic approximation in adaptive Monte Carlo variance reduction" |
| 14:00-14:30 | Daehan Kim*(Sungkyunkwan University), Mehmet Huseyin Bilgin (Istanbul Medeniyet University), Doojin Ryu (Sungkyunkwan University) "Are suspicious activity reporting requirements for cryptocurrency exchanges effective?" |
| 14:30-15:00 | Yuuki Ida* (Ritsumeikan University) "The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk" |
Group A-2 (Webinar 2): Financial economics and modeling / Chair: Jiro Akahori (Ritsumeikan University) |
| 13:00-13:30 | Keisuke Kizaki (Mizuho-DL Financial Technology), Taiga Saito* (University of Tokyo), Akihiko Takahashi (University of Tokyo) "Equilibrium multi-agent model with heterogeneous views on fundamental risks" |
| 13:30-14:00 | Young-Min Kim* (Kangwon National University) "Effect of the elderly on household’s financial transactions: Evidence from Japan and Korea" |
| 14:00-14:30 | Yuri Imamura* (Kanazawa University) "Risk models for the Japanese double-debt problem" |
| 14:30-15:00 | Hyungbin Park* (Seoul National University) "Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition" |
| 15:00-15:30 Break time | |
| Group B-1 (Webinar 1): Stochastic processes and numerical methods / Chair: Takaki Hayashi (Keio University) |
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| 15:30-16:00 | Young Shin (Aaron) Kim* (Stony Brook University), Kum-Hwan Roh (Hannam University), Raphael Douady (Paris 1 Pantheon-Sorbonne University) "Tempered Stable Processes with Time-Varying Exponential Tails" |
| 16:00-16:30 | Toshihiro Yamada* (Hitotsubashi University & Japan Science and Technology Agency (JST)) "A Gaussian Kusuoka approximation and application to deep learning-based numerical method for high-dimensional PDEs" |
| 16:30-17:00 | Hyuncheul Lim* (Chonnam National University) "Time Stepwise Local Volatility" |
| 17:00-17:30 | Kazuhiro Yasuda* (Hosei University) "Exact simulation of multivariate Hawkes process with jump-diffusion CIR intensity" |
| Group B-2 (Webinar 2): Financial markets and modeling / Chair: Teruo Nakatsuma (Keio University) |
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| 15:30-16:00 | Tomonori Nakatsu (Shibaura Institute of Technology) "Computation of the Greeks for complicated options" |
| 16:00-16:30 | Jinyoung Yu*(Sungkyunkwan University), Doojin Ryu (Sungkyunkwan University) "Market liquidity, domestic funding liquidity, and stock price synchronicity" |
| 16:30-17:00 | Kazutoshi Yamazaki* (Kansai University) "Non-zero-sum optimal stopping game with continuous versus periodic observations" |
| 17:00-17:30 | Jinhwan Kim*(KAIST), Hoon Cho(KAIST), Sangik Seok (University of Ulsan) "Physical ETFs and Synthetic ETFs, What is Really Good?: Compensation channel of Synthetic ETFs" |
| 17:30-17:40 | Closing remarks from the KAFE President (Chungwang Park,Tongmyong University) |