Program and Schedule

August, 21st (Monday)

Registration 13:00-- at APA HOTEL Kanazawa-Ekimae
Tour(1) Optional tour 14:00--
We will make a tour round Kanazawa city, visiting the center of Kanazawa city.
(On the entrance fees, You will spend about 1000yen.)

August, 22nd (Tuesday) Lecture Room 105 in the Main Building of the Graduate School of Natural Science & Technology

9:15--9:20    opening

9:20--9:50    VECER, Jan (Columbia University, New York)

10:00--10:30    ISHII, Katsuyuki (Kobe University, Kobe)

   An approximate problem of the free boundary to the American option pricing

10:40--11:10    CETIN, Umut (London School of Economics, London)

11:20--12:00    NINOMIYA, Syoiti (Tokyo Institute of Technology, Tokyo)

   On the implementation of Kusuoka scheme

13:20--13:50    RUNGGALDIER, Wolfgang (Universita di Padova)

   Portfolio optimization under incomplete information for a pure jump model

14:00--14:30    ZHOU, Xunyu (The Chinese University of Hong Kong, Hong Kong)

   Stock Loans

14:40--15:10    TEICHMANN, Josef (TU Vienna, Vienna)

   How to make Cubature formulas feasible?

15:20--15:50    ELIE, Romuald (CREST, Malakoff)

   Discrete time approximation of decoupled Forward-Backward SDE with jumps

16:00--16:30    TANKOV, Peter (Paris VII University, Paris)

16:40--17:10    UCHIDA, Yoshihiko (Osaka University, Osaka)

Banquet (18:45--20:45) at APA HOTEL Kanazawa-Ekimae
At the banquet a Japanese-style dish (raw fish) will be served.
(The price will be about 4000yen.)

August, 23rd (Wednesday) Seminar Room in the Incubation Laboratory

9:20--9:50    TSUCHIYA, Takahiro (Ritsumeikan University, Kyoto)

   On alpha-stable term structure models

10:00--10:30    STOJANOVIC, Srdjan (University of Cincinnati, Cincinnati)

   The Dividend Puzzle Unpuzzled

10:40--11:10    HORST, Ulrich (University of British Columbia, Vancouver)

11:20--12:00    IMAI, Hitoshi (Tokushima University, Tokushima)

   Numerical computation of the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs

Tour(2) Optional tour 12:00--17:00
We will enjoy lunch and hot spring bath. Then we will do some sightseeing in the city (temples etc.).
(The total cost including lunch and entrance fees will be about 2000yen.)

9:15--9:20		opening
9:20--9:50		VECER, Jan (Columbia University, New York)
10:00--10:30		ISHII, Katsuyuki (Kobe University, Kobe)
		An approximate problem of the free boundary to the American option pricing
10:40--11:10		CETIN, Umut (London School of Economics, London)
11:20--12:00		NINOMIYA, Syoiti (Tokyo Institute of Technology, Tokyo)
		On the implementation of Kusuoka scheme
13:20--13:50		RUNGGALDIER, Wolfgang (Universita di Padova)
		Portfolio optimization under incomplete information for a pure jump model
14:00--14:30		ZHOU, Xunyu (The Chinese University of Hong Kong, Hong Kong)
		Stock Loans
14:40--15:10		TEICHMANN, Josef (TU Vienna, Vienna)
		How to make Cubature formulas feasible?
15:20--15:50		ELIE, Romuald (CREST, Malakoff)
		Discrete time approximation of decoupled Forward-Backward SDE with jumps
16:00--16:30		TANKOV, Peter (Paris VII University, Paris)
16:40--17:10		UCHIDA, Yoshihiko (Osaka University, Osaka)

9:20--9:50		TSUCHIYA, Takahiro (Ritsumeikan University, Kyoto)
		On alpha-stable term structure models
10:00--10:30		STOJANOVIC, Srdjan (University of Cincinnati, Cincinnati)
		The Dividend Puzzle Unpuzzled
10:40--11:10		HORST, Ulrich (University of British Columbia, Vancouver)
11:20--12:00		IMAI, Hitoshi (Tokushima University, Tokushima)
		Numerical computation of the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs