On the afternoon of August 24 and the morning of August 25, 2018, The Japanese Association of Financial Econometrics and Engineering (JAFEE) will hold an international conference on mathematical finance, financial engineering, and statistics, "JAFEE International Conference on Financial Engineering in Collaboration with NUS-UTokyo," jointly organized by National University of Singapore (NUS) and The Center for Advanced Research in Finance (CARF) of The University of Tokyo, at Economics Research Annex (Kojima Hall), Hongo Campus, The University of Tokyo, JAPAN.
The conference is also held in strong parnerships with Columbia University in the City of New York and the Korean Association of Financial Engineering (KAFE), as "the 12th JAFEE-Columbia Conference" and "the 2nd JAFEE-KAFE Conference."
The conference is co-sponsored by JAFEE, The University of Tokyo, and Tsukuba University.
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Plenary speakers
- Ying Chen (National University of Singapore)
- Min Dai (National University of Singapore)
- Richard A. Davis (Columbia University)
- Hyeon-geon Koo (AJou University)
- Marcel Nutz (Columbia University)
- Sooyoung Song (Chung-Ang University)
Registration
- *Conference fee:*
FREE if you participate only in the part of the International Conference.
*Reception fee (addition to the conference fee): *
**(The reception is scheduled at PELLICANO Hongo after all the sessions of the first day.
If you want to attend the reception, please contact the JAFEE administration office by August 16.)
Guest: *free*
Others: *5,000 yen*
*Please pay the total fee by cash at the reception desk.*
If you need the receipt, please check "Receipt Needed" and input the name on receipt in the registration form.
Program
| August 24, Friday |
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| 9:00- | Registration |
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| 12:55-13:00 | Greetings from the President (Tadashi Ono, Univrsity of Tsukuba) |
| Session 1 / Chair: Jiro Akahori (Dept. of Mathematical Sciences, Ritsumeikan University) | |
| 13:00-13:50 | Hyeon-Geon Koo (Professor, Financial Engineering Department, Ajou University) "Portfolio Selection with Consumption Ratcheting" |
| 13:50-14:40 | Min Dai (Professor, Department of Mathematics, National University of Singapore) "A Dynamic Mean-variance Approach with application to Robo-advising" |
| 14:40-14:55 | Coffee Break |
| Session 2 / Chair: Takaki Hayashi (Keio Business School, Keio University) | |
| 14:55-15:45 | Marcel Nutz (Associate Professor, Department of Statistics, Columbia University) "Shorting in Speculative Markets" |
| 15:45-16:35 | Soo-Young Song (Professor, College of Business and Economics, Chung-Ang University) "Blockchain: a Pipe Dream or a Dream to be Come True" |
| 15:10-15:30 | Coffee Break |
| Session 3 / Chair: Takaki Hayashi (Keio Business School, Keio University | |
| 16:50-17:40 | Richard Davis (Professor, Chair, Department of Statistics, Columbia University) "Inference for the Tail Process with application to Financial Time Series Modeling" |
| 18:00-20:00 | Reception |
| August 25, Saturday |
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| 9:00- | Registration |
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| Pararell Session 1 / Chair: Yuri Imamura (Tokyo University of Science) | |
| 9:20-10:10 | Naoto Kunitomo (Professor, School of Political Science and Economics, Meiji University) "Local SIML Estimation of Some Brownian Functionals" |
| 10:10-11:00 | Ying Chen (Associate Professor, Department of Statistics and Applied Probability, National University of Singapore) "Topic Sentiment Asset Pricing with DNN Supervised Learning" |
| 11:00-11:15 | Coffee break |
| Pararell Session 2 / Chair: Seisho Sato (University of Tokyo) | |
| 11:15-11:45 | Doojin Ryu (Associate Professor, Department of Economics, Syungkyunkwan University) "Structural Market Microstructure Models and Beyond: Asian market perspective" |
| 11:45-12:15 | Yuji Shinozaki (Tokyo Institute of Technology /
MUFG Bank, Ltd.) "Higher order discretization methods of forward-backward SDEs using KLNV-scheme : Applications to CVA pricing problems" (joint work with S. Ninomiya) |
Venues
- Economics Research Annex (Kojima Hall), (Hongo Campus, The University of Tokyo, Japan >Access )
Accommodation
- We are sorry for not offering any accommodation for participants except some guest speakers.
Organizers
- Jiro Akahori (Ritsumeikan University)
- Takaki Hayashi (Keio University)
- Tadashi Ono (Univrsity of Tsukuba, President of JAFEE)
- Seisho Sato (University of Tokyo, CARF)
- Hiroshi Tsuda (Doshisha University, Ex-President of JAFEE)