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
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
Peter Bank
Technische Universität Berlin, Germany

Liquidity in competitive dealer markets

(PDF) (Video)

Suleyman Basak
London Business School and CEPR, UK
David Beßlich
Technische Universität Berlin, Germany

Proactive and reactive investments via Meyer-σ-fields

(PDF)

Lijun Bo
University of Science and Technology of China, China
Bruno Bouchard-Denize
Université Paris-Dauphine, France
Ning Cai
The Hong Kong University of Science and Technology, Hong Kong
Agostino Capponi
Columbia University, USA
Cathy W. S. Chen
Feng Chia University, Taiwan
Nan Chen
The Chinese University of Hong Kong, Hong Kong
Ying Chen
National University of Singapore, Singapore

Sentiment analysis for online reviews with regularized text logistic regression

(PDF)

Yuanyuan Chen
Nanjing University, China
Zengjing Chen
Shandong University, China
Yeow Hwee Chua
National University of Singapore, Singapore
Hui-Ching Chuang
Yuan Ze University, Taiwan
Min Dai
National University of Singapore, Singapore
Sakyasingha Dasgupta
Neuri Pte Ltd, Singapore
Jerome Detemple
Boston University, USA
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
Paul Embrechts
ETH Zürich, Switzerland
José E. Figueroa-López
Washington University in St. Louis, USA
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
Qian Gao
Peking University, China
Qian Gao
Peking University, China
Emmanuel Gobet
École Polytechnique, France
Paolo Guasoni
Dublin City University, Ireland
Xin Guo
University of California, Berkeley, USA
Christian M. Hafner
Université Catholique de Louvain, Belgium
Wolfgang Karl Härdle
Humboldt-Universität zu Berlin, Germany
Nikolaus Hautsch
University of Vienna, Austria
Tony He
University of Technology Sydney, Australia
Xuedong He
The Chinese University of Hong Kong, Hong Kong
Ma Elena Hernandez-Hernandez
The University of Warwick, UK
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)

Wei Jiang
National University of Singapore, Singapore

Economic meaning of bitcoin mining

Yipeng Jiang
Shanghai Jiao Tong University, China
Hanqing Jin
University of Oxford, UK
Alejandro Jofré
Universidad de Chile, Chile
Jussi Keppo
National University of Singapore, Singapore
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
Duan Li
City University of Hong Kong, Hong Kong
Juan Li
Shandong University, Weihai, China
Xun Li
The Hong Kong Polytechnic University, Hong Kong
Kian Guan Lim
Singapore Management University, Singapore
Qian Lin
Tsinghua University, China
Ruyi Liu
Shandong University, China
Andrew Lyasoff
Boston University, USA

Incomplete-market equilibria and BSDEs

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
Ryle Perera
Macquarie University, Australia
Huyen Pham
Université Paris Diderot, France
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
Cong Qin
Soochow University, China
Ling Qin
National University of Singapore, Singapore
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
Mathieu Rosenbaum
École Polytechnique, France
Alberto GP Rossi
University of Maryland, USA
Martin Schweizer
ETH Zürich, Switzerland
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
Hong Ming Tan
National University of Singapore, Singapore
Xiaolu Tan
University of Paris-Dauphine, France
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
Jun Tu
Singapore Management University, Singapore
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
Niels Wesselhöfft
Humboldt-Universität zu Berlin, Germany
Qi Wu
City University of Hong Kong, Hong Kong
Weiyin Wu
Nanyang Technological University, Singapore
Xiaochi Wu
Shandong University, China
Zhen Wu
Shandong University, China
Xiaonyu Xia
Humboldt-Universität zu Berlin, Germany

Multi-dimensional optimal trade execution under stochastic resilience

Jing Xu
Renmin University of China, China
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
Hong Yan
Shanghai Advanced Institute of Finance, China

The economics of asset securitization

(PDF)

Chen Yang
The Chinese University of Hong Kong, Hong Kong
Jui-Chung (Ray) Yang
National Tsing Hua University, Taiwan
Nian Yang
Nanjing University, China
Gang George Yin
Wayne State University, USA
Jiongmin Yong
University of Central Florida, USA
Nazgul Zakiyeva
National University of Singapore, Singapore
Ge Zhang
National University of Singapore, Singapore
Jianfeng Zhang
University of Southern California, USA
Jiejie Zhang
National University of Singapore, Singapore
Qing Zhang
University of Georgia, USA
Yaquan Zhang
National University of Singapore, Singapore
Zhihua Zhao
Xi'an Jiaotong University, China
Harry Zheng
Imperial College London, UK
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