PROBLEMS AND CHALLENGES
IN RISK MANAGEMENT AND FINANCIAL ENGINEERING
JUNE 23-26,2011
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
Weian Zheng (ECNU)
09:00-09:30
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
10:30-11:00
11:00-11:30
Chair: Min Dai
Duan Li(CUHK)
Better Than Dynamic Mean-Variance: Time Inconsistency and its Remedy
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
15:45-16:15
Chair:Chenglong Xu
Zhongxing Ye (SJTU)
Some New Results on Pricing Credit Derivatives based on Intensity 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
Session 1
报告人及题目/Speaker and Title
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
Session 1
报告人及题目/Speaker and Title
Chair: Lihe Wang
张杰校长、王立河教授
08:30-08:40
研讨会介绍及致辞
08:40-09:20
Yimin Yang(Market Risk Management SunTrust 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
15:50-16:30
Chair:Hongming Yin
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
Yang Wang(Michigan State)
08:30-09:10
EMD Analysis of Time Series
徐明(中国银行)
09:10-09:50
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
Meeting Place
June 23-June 24
Zhiyuan Building，Room 107
June 25-June 26
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
彰武路 69 号同济大学专家服
务中心
18:00,上海沪华国际大酒店
闵行区鹤庆路 300 号上海沪华国际
大酒店
Hotel