Institute for Mathematical Sciences

Quantitative Finance

Jointly organized with Risk Management Institute, NUS

(18 - 22 Mar 2019 & 22 Jul - 31 Aug 2019)

Visitor List

Yacine Ait-Sahalia
Princeton University, USA

Implied stochastic volatility models

Jiro Akahori
Ritsumeikan University, Japan

Default contagion with domino effect

(PDF)

Levon Avanesyan
Princeton University, USA

Forward performance processes in EVE correlation models

(PDF)

Aurélien Baillon
Erasmus University Rotterdam, The Netherlands

Follow the money: Bayesian Markets to aggregate expert opinions when the majority can be wrong

(PDF)

Peter Bank
Technische Universität Berlin, Germany

Liquidity in competitive dealer markets

(PDF) (Video)

Suleyman Basak
London Business School and CEPR, UK

A theory of model sophistication and operational risk

(PDF)

David Beßlich
Technische Universität Berlin, Germany

Proactive and reactive investments via Meyer-σ-fields

(PDF)

Bruno Bouchard-Denize
Université Paris-Dauphine, France

Perfect replication under market impact

(PDF)

Ning Cai
The Hong Kong University of Science and Technology, Hong Kong

Econometrics with privacy preservation

Agostino Capponi
Columbia University, USA

Pitfalls of bitcoin's proof-of-work: R&D arms race and mining centralization

(PDF)

Cathy W. S. Chen
Feng Chia University, Taiwan

Quantile forecasting based on a multivariate hysteretic autoregressive model with GARCH Errors and time-varying correlations

Nan Chen
The Chinese University of Hong Kong, Hong Kong

Dynamic investment and financing with internal and external liquidity management

(PDF)


Tutorial:

Computational issues of dynamic programming and reinforcement learning

(PDF)


Information relaxation, duality of stochastic dynamic programs, and Boltzmann exploration in reinforcement learning

Ying Chen
National University of Singapore, Singapore

Sentiment analysis for online reviews with regularized text logistic regression

(PDF)

Yuanyuan Chen
Nanjing University, China

How does the introduction of hidden orders affect limit order markets?

Yeow Hwee Chua
National University of Singapore, Singapore
Hui-Ching Chuang
Yuan Ze University, Taiwan

Systematic and discretionary hedge funds: classification and performance comparison

Min Dai
National University of Singapore, Singapore

Penalty method for portfolio selection with capital gains tax

Sakyasingha Dasgupta
Neuri Pte Ltd, Singapore
Jerome Detemple
Boston University, USA

Optimal investment in mutually exclusive projects and operating leverage: the value of green energy

(PDF)

Sastry Dhara
National University of Singapore, Singapore
Qiheng Ding
The Chinese University of Hong Kong, Hong Kong
Yuchao Dong
National University of Singapore, Singapore
Jin-Chuan Duan
National University of Singapore, Singapore

Proxy CDS curves for individual corporates globally

Paul Embrechts
ETH Zürich, Switzerland

Tutorial:

The first and second fundamental theorem of quantitative risk management


Risk-sharing, robustness and regulation

Jianqing Fan
Princeton University, USA
José E. Figueroa-López
Washington University in St. Louis, USA

Intraday market making: a comparison between reinforcement learning and an analytical benchmark

(PDF)

Peter Frentrup
Humboldt-Universität zu Berlin, Germany

Optimal liquidation in spite of increasing prices

(PDF)

Guanxing Fu
Humboldt-Universität zu Berlin, Germany

Mean field games with singular controls and optimal portfolio liquidation: existence of equilibria

Hans Fӧllmer
Humboldt-Universität zu Berlin, Germany

Some risk measures on Wiener space

Qian Gao
Peking University, China
Emmanuel Gobet
École Polytechnique, France

Model-uncertain value-at-risk, expected shortfall and sharpe ratio, using stochastic approximation

Paolo Guasoni
Dublin City University, Ireland

Asset prices in segmented and integrated markets

(PDF)

Xin Guo
University of California, Berkeley, USA

From Bregman, Wasserstein, to GANs, and beyond

Christian M. Hafner
Université Catholique de Louvain, Belgium

Modeling and tracking bubbles

Wolfgang Karl Härdle
Humboldt-Universität zu Berlin, Germany

Crypto volatility forecasting: ML vs GARCH


Pricing and hedging crypto options

Nikolaus Hautsch
University of Vienna, Austria

Limits to arbitrage in markets with stochastic settlement latency


Tutorial:

High-Frequency Econometrics

Xuedong He
The Chinese University of Hong Kong, Hong Kong

Forward rank-dependent performance criteria: time-consistent investment under probability distortion

(PDF)

Ma Elena Hernandez-Hernandez
The University of Warwick, UK
Sang Hu
The Chinese University of Hong Kong, Shenzhen, China

Peer-to-peer equity financing: preference-free and menuless screening contracts

Yueting Hu
The Chinese University of Hong Kong, Hong Kong
Zongyuan Huang
Shandong University, China
Tran Loc Hung
University of Finance and Marketing, Vietnam
Xiaojing Huo
National University of Singapore, Singapore
Ilija Ilievski
National University of Singapore, Singapore
Errol Inan
Riasat Ali Istiaque
Nanyang Technological University, Singapore
Yanwei Jia
National University of Singapore, Singapore

Crowd wisdom and prediction markets

(PDF)


Crowd wisdom and prediction markets

(PDF)

Wei Jiang
National University of Singapore, Singapore

Economic meaning of bitcoin mining


From hotelling to Nakamoto: the economic meaning of bitcoin mining

Yipeng Jiang
Shanghai Jiao Tong University, China
Hanqing Jin
University of Oxford, UK and National University of Singapore, Singapore

Mean-risk portfolio choice with weighted VaR and law-invariant coherent risk measures

Jussi Keppo
National University of Singapore, Singapore

Financial literacy in online peer-to-peer lending

Bogdan Klishchuk
Humboldt-Universität zu Berlin, Germany

Speculative trade and market newcomers

(PDF)

Satya Pritam Kocherlakota
Birla Institute of Technology and Science, Pilani, India
Linghui Kong
Soochow University, China
Steven Kou
Boston University, USA
Yue-Kuen Kwok
Hong Kong University of Science and Technology, Hong Kong

Timer options: expiry floats with realized variance

(PDF)

Ying Sheng Lam
Singapore University of Technology and Design, Singapore
Junbeom Lee
National University of Singapore, Singapore
Younhee Lee
Chungnam National University, Korea
Qian Lei
Nanyang Technological University, Singapore
Stefan Lessmann
Humboldt-Universität zu Berlin, Germany
Bin Li
University of Waterloo, Canada

Optimal dynamic risk sharing under the time-consistent mean-variance criterion

(PDF)

Duan Li
City University of Hong Kong, Hong Kong

A two-layer solution scheme for Bayesian reinforcement learning

(PDF)

Juan Li
Shandong University, China

Representation formulas for limit values of long run stochastic optimal control

(PDF)

Xun Li
The Hong Kong Polytechnic University, Hong Kong

Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems under Markov regime-switching system

(PDF)

Kian Guan Lim
Singapore Management University, Singapore

Simultaneous volatility and skewness risk in asset pricing

Qian Lin
Tsinghua University, China

Sparse sliced inverse regression via lasso

Ruyi Liu
Shandong University, China
Andrew Lyasoff
Boston University, USA

Incomplete-market equilibria and BSDEs

(PDF Link)

Thibaut Mastrolia
École Polytechnique, France

Optimal auction duration: a price formation viewpoint

(PDF)

Ariel Neufeld
Nanyang Technological University, Singapore
Hong Wai Ng
Nanyang Technological University, Singapore
Jiang Yu Nguwi
Nanyang Technological University, Singapore
Tianyang Nie
Shandong University, China
Shilei Niu
Xi'an Jiaotong-Liverpool University, China
Paolo Pagnottoni
Università degli studi di Pavia, Italy
Xianhua Peng
Peking University HSBC Business School, China

A general Monte Carlo algorithm with monotonicity for stochastic control problems

Ryle Perera
Macquarie University, Australia
Huyen Pham
Université Paris Diderot, France

Some machine learning schemes for high dimensional nonlinear PDEs

(PDF)

Parkpoom Phetpradap
Chiang Mai University, Thailand
Shuaijie Qian
National University of Singapore, Singapore

Non-concave portfolio optimization without the concavification principle

(PDF)

Xiaosong Qian
Soochow University, China

Basket credit derivatives pricing in a Markov chain model with interacting intensities and contagion risk

Cong Qin
Soochow University, China

From hotelling to Nakamoto: the economic meaning of bitcoin mining

(PDF)

Ling Qin
National University of Singapore, Singapore
Joel Quek
National University of Singapore, Singapore
Leyla Ranjbari
Universiti Tunku Abdul Rahman, Malaysia
Max Reppen
Princeton University, USA

Optimal investment and consumption with fixed and proportional transaction costs

Marcel Rindisbacher
Boston University, USA

Dynamic noisy rational expectations equilibrium with insider information

Mathieu Rosenbaum
École Polytechnique, France

Recent advances on market making regulation

Alberto GP Rossi
University of Maryland, USA

Who benefits from robo-advising? Evidence from machine learning

(PDF)

Martin Schweizer
ETH Zürich, Switzerland

Mean-variance hedging without information

Mykhaylo Shkolnikov
Princeton University, USA

Models of interaction through hitting times in systemic risk and the supercooled Stefan problem

(PDF)

Ronnie Sircar
Princeton University, USA

Trading, market impact and nonlinear systems

Mike K P So
The Hong Kong University of Science and Technology, Hong Kong
Yuanzhuo Song
Shandong University, China
Vladimir Spokoiny
Weierstraß-Institut für Angewandte Analysis und Stochastik, Germany
Xizhi Su
National University of Singapore, Singapore
Yeneng Sun
National University of Singapore, Singapore

Modeling large societies with uncertainty

(PDF)

Juergen Symanzik
Utah State University, USA
Hong Ming Tan
National University of Singapore, Singapore
Xiaolu Tan
University of Paris-Dauphine, France

From martingale optimal transport to Mckean-Vlasov control problems

(PDF)

Hailong Tang
National University of Singapore, Singapore
Yanfei Tang
National University of Singapore, Singapore
Ludovic Tangpi
Princeton University, USA

FBSDEs with discontinuous coefficients

Simon Trimborn
National University of Singapore, Singapore
Hideatsu Tsukahara
Seijo University, Japan

Backtesting, prequential analysis and prediction process

Jun Tu
Singapore Management University, Singapore

Return cross-predictability in firms with similar employee satisfaction

Lester Charles Umali
University of the Philippines, Philippines
Adrian Roy Valdez
University of the Philippines-Diliman, Philippines
Guangchen Wang
Shandong University, China
Haoran Wang
Columbia University, USA

Tutorial:

Reinforcement learning and portfolio management: overview, open problems and possible solutions


Continuous-time mean-variance portfolio selection: a reinforcement learning framework

(PDF)

Weining Wang
City, University of London, UK

Using generalized estimating equations to estimate nonlinear models with spatial data

Niels Wesselhöfft
Humboldt-Universität zu Berlin, Germany
Hsin Chieh Wong
National Central University, Taiwan
Qi Wu
City University of Hong Kong, Hong Kong

Neural learning of online consumer credit risk

Weiyin Wu
Nanyang Technological University, Singapore
Xiaochi Wu
Shandong University, China
Zhen Wu
Shandong University, China

Maximum principle for one kind of discrete-time stochastic optimal control problem and its applications

(PDF)

Xiaonyu Xia
Humboldt-Universität zu Berlin, Germany

Multi-dimensional optimal trade execution under stochastic resilience

Dacheng Xiu
The University of Chicago Booth School of Business, USA

Autoencoder asset pricing models

Jing Xu
Renmin University of China, China

Multiple birds, one stone: can portfolio rebalancing contribute to disposition-effect-related trading patterns?

(PDF)

Jingrui Xu
Xiamen University, China

Fund flows and performance under unobservable dynamic managing ability

Xiaofei Xu
National University of Singapore, Singapore

Adaptive log-linear zero-inflated generalized Poisson autoregressive model with applications to crime counts data

Zuoquan Xu
The Hong Kong Polytechnic University, Hong Kong

Optimal investment, heterogeneous consumption and the best time for retirement

(PDF)

Hong Yan
Shanghai Advanced Institute of Finance, China

The economics of asset securitization

(PDF)

Chen Yang
The Chinese University of Hong Kong, Hong Kong

Designing stable coins

Jui-Chung (Ray) Yang
National Tsing Hua University, Taiwan

Double machine learning with gradient boosting and its application to the big N audit quality effect

Nian Yang
Nanjing University, China

Hermite expansion for transition densities of irreducible diffusions with an application to option pricing

Gang George Yin
Wayne State University, USA

Switching diffusions with mean-field interactions

(PDF)

Jiongmin Yong
University of Central Florida, USA

Equilibrium recursive utility and dynamic risk measure by backward stochastic Volterra integral equations

(PDF)

Nazgul Zakiyeva
National University of Singapore, Singapore
Ge Zhang
National University of Singapore, Singapore

Optimize market making problem with reinforcement learning

Jianfeng Zhang
University of Southern California, USA

Weak solutions of mean field game master equations

(PDF, Link)

Jiejie Zhang
National University of Singapore, Singapore
Qing Zhang
University of Georgia, USA

Pairs trading under geometric Brownian motions

(PDF)

Yaquan Zhang
National University of Singapore, Singapore
Zhihua Zhao
Xi'an Jiaotong University, China
Harry Zheng
Imperial College London, UK

Constrained quadratic risk minimization via primal-dual FBSDEs and deep learning

(PDF)

Chao Zhou
National University of Singapore, Singapore

Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach

(PDF)

Qiji Jim Zhu
Western Michigan University, USA

Convex duality in portfolio theory