Mathematical Finance and Simulation Technology

International Hall, Tokyo Institute of Technology

December 5 - 6

Dec. 5:

9:00--9:50 Arai, Takuji(Tsukuba Univ.)

Mean-variance hedging for processes with independent increments.

10:00--10:50 Fujiwara, Tsukasa(Hyogo Univ. of Teacher Education)

From the minimal entropy martingale measure to the optimal strategy for the exponential utility maximization: the case of geometric L\'evy processes

10:50--11:40 Akahori, Jiro(Ritsumeikan Univ.)

How to utilize "Virtual Market"

13:20--14:10 Honda, Toshiki(Hitotsubashi Univ.)

Multi-factor Model and Dynamic Optimal Portfolio

14:10--15:00 Pliska, Stanley(UIC)

Continuous Markowitz: without bankruptcy

15:30--16:20 Nagai, Hideo(Osaka Univ.)

Portfolio optimization on infinite time horizon for general factor models.

16:30--17:10 Nakano, Yumiharu(Hokkaido Univ.)

Minimizing coherent risk measures of shortfall in incomplete markets.

17:10--17:50 Sekine, Jun (Osaka Univ.)

On superhedging under delta constraints.

December 6:

9:00--9:50 Inoue, Akihiko (Hokkaido Univ.)

Dynamic models and prediction theory for asset prices with memory.

10:00--10:50 Kusuoka, Shigeo(Univ. of Tokyo)

A Monte Carlo method for pricing Bermuda type derivatives

11:00--11:50 Ninomiya, Syoiti(TITech, CRAFT)

A new simulation scheme: Application of Kusuoka approximation to Finance problems

13:30--14:20 Morohoshi, Hozumi(GRIPS)

A comparison of numerical approaches to the pricing of American-style options

14:30--15:20 Mori, Makoto(Nihon Univ.)

Construction of Higher dimensional low discrepancy sequences

15:30--16:20 Fujita, Takahiko(Hitotsubashi Univ.)

On generalized van der Corput sequences , On pricing of alpha-percentile barrier options