数理ファイナンスセミナー

Math-Fi seminar on 29 Nov.

2012.11.21 Wed up
  • Date: 29 Nov. (Thu) 16:30 — 18:00
  • Place: W.W. 7th-floor
  • Speaker: Takafumi Amaba
  • Title: On the monotonicity of $\mathcal{L}_{0}$-cost along backward heat flow( continuation ).
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Math-Fi seminar on 20 Nov.

2012.11.14 Wed up
  • Date: 20 Nov. (Tue) 16:30 — 18:00
  • Place: the 3rd lab., W.W. 7th-floor
  • Speaker: Hideo Nagai
  • Title: Robust estimates of certain large deviation probabilities for controlled semi-martingales.
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Math-Fi seminar on 15 Nov.

2012.11.12 Mon up
  • Date: 15 Nov. (Thu) 16:30 — 18:00
  • Place: W.W. 7th-floor 
  • Speaker: Yuri Imamura
  • Title: Static Hedge of Defaultable Derivative

Math-Fi seminar on 8 Nov.

2012.11.06 Tue up
  • Date: 8 Nov. (Thu) 16:30 — 18:00
  • Place: W.W. 7th-floor 
  • Speaker: Ngo Hoang Long
  • Title: Central limit theorems for Euler approximation of SDE
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Math-Fi seminar on 1 Nov.

2012.10.30 Tue up
  • Date: 1 Nov. (Thu) 
  • Place: W.W. 7th-floor 
  • Time: 15:00 — 17:30
  • Speakers:  Ciprian Tudor,  Makoto Maejima
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Math-Fi seminar on 25 Oct.

2012.10.19 Fri up
  • Date: 25 Oct. (Thu) 
  • Place: W.W. 7th-floor 
  • Time: 15:00 — 17:30
  • Speakers: Ciprian Tudor,  Emi Osuka
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Math-Fi seminar on 23 Oct.

2012.10.18 Thu up
  • Date: 23 Oct. (Tue) 
  • Place: W.W. 7th-floor 3rd lab.
  • Time: 16:30–18:00
  • Speaker: Azmi MAKHLOUF
  • Title: Estimates for the density of functionals of SDE’s with irregular drift.
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Math-Fi seminar on 11 Oct.

2012.10.08 Mon up
  • Date: 11 Oct. (Thu) 
  • Place: W.W. 7th-floor 2nd lab.
  • Time: 16:30–18:00
  • Speaker:Syouta Mizukami (東京理科大学大学院理工学研究科)
  • Title: Generalized Hurwitz zeta distributions
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Math-Fi seminar on 20 Sep.

2012.09.18 Tue up
  • Date: 20 Sep(Thu)
  • Place: W.W. 7th-floor
  • Time: 15:00 — 17:30


15:00 — 16:00 
  • Speaker: Jiao Ying
  • Title: Portfolio optimization with insider’s initial information
  • Abstract:
We consider an insider maximizing her expected utility with portfolio terminal wealth with information flow on the default of a counterparty.
We prove that if there is no limit for short-selling strategy, then the insider can achieve unbounded utility expectation.
So we propose suitable strategy constraint under which we study the optimization problem and compare the results with the case for a standard investor. This is a joint work with C. Hillairet.
 
 
16:30 — 17:30 
  • Speaker: Vlad Bally
  • Title: Integration by parts formulas and regularity of probability laws( continuation )

Math-Fi seminar on 18 Sep. , 20 Sep. , 25 Sep. , 27 Sep. and 4 Oct.

2012.08.28 Tue up
  • Date: 18 Sep. (Tue), 20 Sep. (Thu), 25 Sep. (Tue), 27 Sep. (Thu), and 4 Oct. (Thu)
  • Place: W.W. 7th-floor
  • Time : 16:30-18:00
  • Speaker: Vlad Bally (Université de Marne-la-Vallée)
  • Title: Integration by parts formulas and regularity of probability laws
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