PROBLEMS AND CHALLENGES
IN RISK MANAGEMENT AND FINANCIAL ENGINEERING
JUNE23-26,2011
Tongji University(June 23-24) and Shanghai Jiaotong University(June 25-26)
Program
2011-6-23，Thursday时间/Time / 报告人及题目/Speaker and Title
08:50-09:00 / Opening Ceremony
Session 1 / Chair: Lihe Wang
09:00-09:30 / Weian Zheng (ECNU)
行为金融学中的Hong-Stein 模型
09:30-10:00 / Xianhua Peng (HKUST)
Location: Asset Pricing Models with Spatial Interaction
10:00-10:30 / Tea Time
Session 2 / Chair: Min Dai
10:30-11:00 / Duan Li(CUHK)
Better Than Dynamic Mean-Variance: Time Inconsistency and its Remedy
11:00-11:30 / Ning Cai( HKUST)
Analytical Pricing of Asian Options under a Hyper-Exponential Jump Diffusion Model
11:30-12:00 / Xudong Zeng(SHUFE)
Portfolio Choice with Stochastic Income and Life Insurance
12:00-13:30 / Lunch Time
Session 3 / Chair:Hongming Yin
13:30-14:00 / Weixing Zhou (ECUST)
Recurrence interval analysis of Chinese stock markets
14:00-14:30 / Nan Chen (CUHK)
A Non-Zero-Sum Game Approach for Convertible Bonds: Tax Benefits, Bankrupt Cost and Early/Late Call
14:30-15:00 / Mingming Wang (University of Missouri)
Constant Proportion Portfolio Insurance in jump-diffusion model
15:00-15:45 / Tea Time
Session 4 / Chair:Chenglong Xu
15:45-16:15 / Zhongxing Ye(SJTU)
Some New Results on Pricing Credit Derivatives based onIntensity Model with Interest Rate Risk and Couterparty Risk.
16:15-16:45 / Shenghong Li(ZJU)
Pricing VXX Option with Default Risk
16:45-17:15 / Wei Xu(TJU)
Bank Operational Risk Management System:Advanced Measurement Approach
2011-6-24，Friday
时间/Time / 报告人及题目/Speaker and Title
Session 1 / Chair: Jizhou Zhang
09:00-09:30 / Lixin Wu (HKUST)
A unifying framework for inflation derivatives modeling
09:30-10:00 / Chenglong Xu(TJU)
On optimal drift coefficients and importance sampling Monte Carlo method for pricing options in finance
10:00-10:30 / Tea Time
Session 2 / Chair: Yimin Yang
10:30-11:00 / Hongming Yin (Washington State University)
An optimal control problem for the American option model
11:00-11:30 / Fahuai Yi (SCNU)
A problem of singular stochastic control with optimal stopping in finite horizon
11:30-12:00 / Junfeng Yin (Tongji University)
Splitting iteration method for Pricing American Options with Stochastic volatility
12:00-13:30 / Lunch Time
Session 3 / Chair: Shaohua Li
13:30-14:00 / Ming-Chin Hung ( Soochow University)
Geometric Mean Based Model: An Application on Capital Structure Optimization
14:00-14:30 / Steven Ching(Risk Management,China Development Industrial Bank)
The Practical Issue of Credit Risk Model in New Regulatory Requirements
14:30-15:00 / Jin Liang(Tongji University)
Pricing for Single-name CCIRS
15:00-15:30 / Tea Time
Session 4 / Chair: Baojun Bian
15:30-16:00 / 敬永康(China Development Industrial BankVice president)
信用风险要求
16:00-16:30 / Dewen Xiong(SJTU)
Modeling the Forward CDS with jumps
16:30-17:00 / Guofu Lu(PU)
Non-existence of Source-Type Solutions for Nonlinear Convection-Diffusion Equation
17:00-17:30 / Shulin Zhou(Peking University)
Entropy and renormalized solutions for parabolic equations
18:00 / Banquet
Venue2：上海交通大学闵行校区数学系大会议室
2011-6-25，Saturday时间/Time / 报告人及题目/Speaker and Title
Session 1 / Chair: Lihe Wang
08:30-08:40 / 张杰校长、王立河教授
研讨会介绍及致辞
08:40-09:20 / Yimin Yang(Market Risk ManagementSunTrust Banks, Inc)
Evaluation of Residential Mortgage Service Rights
09:20-10:00 / Howard Xu (Wells Fargo Bank)
Algorithmic Trading.
10:00-10:30 / Tea Time
Session 2 / Chair:Ying Lu
10:30-11:10 / Shijie Deng(Georgia Institute of Technology)
Energy Trading.
11:10-11:50 / Xinfu Chen(University of Pittsburgh)
Affine Term Structure Model
11:50-13:30 / Lunch Break (交大闵行校区留园餐厅)
Session 3 / Chair:Howard Xu
14:00-14:40 / Ying Lu（Jilin University）
Automatic Detection in Financial Reports
14:40-15:20 / Hongming Yin(Washington State University)
Investing for Future:A Practical View from a Hedge Fund
15:20-15:50 / Tea Time
Session 4 / Chair:Hongming Yin
15:50-16:30 / Min Dai (Singapore)
The Influence of Momentum in Financial Market
16:30-15:10 / Ting Chen(Wells Fargo Bank)
Commercial Mortgage Backed Securities
18:00 / Banquet （上海沪华国际大酒店）
2011-6-26，Sunday
时间/Time / 报告人及题目/Speaker and Title
Session 1 / Chair:Yimin Yang
08:30-09:10 / Yang Wang(Michigan State)
EMD Analysis of Time Series
09:10-09:50 / 徐明(中国银行)
风物长宜放眼量--历史高位下黄金的投资机遇
09:50-10:30 / 江小阳(华泰证券创新部总经理)
量化投资在国内的现状和展望
10:30-11:00 / Tea Time
Session 2 / Chair: Liang Jin
11:00-11:40 / Gang Ma (Reinsurance Group of America)
Insurance Risk Management Challenges and Opportunities – A Practitioner’s Perspective
12:00-13:30 / Lunch Break(闵行交大留园餐厅)
Session 2 / Chair:Lihe Wang
13:30-15:00 / Roundtable
会议安排
Time / June 23-June 24 / June 25-June 26
Meeting Place / Zhiyuan Building，Room 107 / 上海交通大学闵行校区数学系大会议室
Lunch / 12:10 -13:10 西苑餐厅 / 12:00-13:00留园餐厅
Dinner / 18:00,同济戴斯大酒店 / 18:00,上海沪华国际大酒店
Hotel / 彰武路69号同济大学专家服务中心 / 闵行区鹤庆路300号上海沪华国际大酒店