MS-Tu-D-53
Optimal stopping with applications in finance and engineering

Date: August 11
Time: 13:30--15:30
Room: 311B

(Note: Click title to show the abstract.)

Organizer:
Ludkovski, Mike (UC Santa Barbara)
Leung, Tim (Columbia Univ.)
Zhang, Hongzhong (Columbia Univ.)

Abstract: This minisymposium presents four talks on optimal single/multiple stopping problems in finance. The problem formulations and solution techniques will be relevant to number of financial applications such as mean-reversion/pairs trading, optimal capital structure, stock loans, and real options.


MS-Tu-D-53-1
13:30--14:00
Optimal stopping with Omega default under spectrally negative Levy model
Rodosthenous, Neofytos (Queen Mary, Univ. of London)
Zhang, Hongzhong (Columbia Univ.)


MS-Tu-D-53-2
14:00--14:30
An Analytic Recursive Method for Optimal Multiple Stopping: Canadization and Phase-Type Fitting
Yamazaki, Kazuoshi (Kansai Univ.)
Zhang, Hongzhong (Columbia Univ.)
Leung, Tim (Columbia Univ.)


MS-Tu-D-53-3
14:30--15:00
Capped American Lookback
Kyprianou, Andreas (Univ. of Bath)
Ott, Curdin (Univ. of Bath)


MS-Tu-D-53-4
15:00--15:30
Optimal prediction of the time of the ultimate maximum of a L¨¦vy process
Baurdoux, Erik (LSE)
Schaik, Kees Van (London School of Economics)

Return


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