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Workshop on Mathematical Finance

Date

23th, July, 2014

Venue

Room 520 Pao Yue-Kong Library

Timetable

09:00-09:30 On maximum duration of drawdowns for a class of Levy models   (To be reviewed by Dai Min) Bin Li of Waterloo  
09:30-10:00 Dynamic SPECT reconstruction from few projections: a sparsity enforced matrix factorization approach (To be reviewed by Guozhong Lin) Xiaochun Zhang of SJTU
10:00-10:30 Portfolio selection under Leptokurtic returns (To be reviewed by Min Dai) Chou-Wen Wang of NKFUST
10:30-10:40 Coffee Break
10:40-11:10 Modeling and pricing of Catastrophe bond: the extreme value approach(To be reviewed by Chou-Wen Wang) Fan Yang of Waterloo
11:10-11:40 Merton problem with market imperfections(To be reviewed by Samuel Drapeau) Min Dai of Singapore
11:40-12:10 The progressive enlargement of a filtration with n random times (To be reviewed by Chou-Wen Wang) Dewen Xiong of SJTU
12:10-13:30 Lunchbox and Discussions

Abstracts

Abstrcat.pdf