MS-Th-D-53
Stochastic modelling, control and optimization in finance I

Date: August 13
Time: 13:30--15:30
Room: 311B

(Note: Click title to show the abstract.)

Organizer:
Ludkovski, Mike (UC Santa Barbara)
Leung, Tim (Columbia Univ.)
Li, Lingfei (The Chinese Univ. of Hong Kong)
Chen, Nan (The Chinese Univ. of Hong Kong)

Abstract: This minisymposium will explore recent developments in applications of stochastic control to risk analysis and hedging of financial contracts.


MS-Th-D-53-1
13:30--14:00
Time dependency modelling using time change with applications in energy markets
Li, Lingfei (The Chinese Univ. of Hong Kong)


MS-Th-D-53-2
14:00--14:30
Consistent Modeling of Smile Dynamics
Wu, Qi (Chinese Univ. of Hong Kong)


MS-Th-D-53-3
14:30--15:00
Convergence on Approximated Pricing of Basket CDS with Counterparty Risk
Song, Qingshuo (City Univ. of Hong Kong)


MS-Th-D-53-4
15:00--15:30
Liquidity risk and network risk
Chen, Nan (The Chinese Univ. of Hong Kong)

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Footnote:
Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA