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

Testing whether volatility can be written as a function of the asset price

(PDF)

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)

Xuetong Bo
National University of Singapore, Singapore
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

Yongqiang Cai
National University of Singapore, Singapore
Agostino Capponi
Columbia University, USA

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

(PDF)

Xiao Chao
National University of Singapore, Singapore
Cathy W. S. Chen
Feng Chia University, Taiwan

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

(PDF)

Jiahao Chen
National University of Singapore, Singapore
Jiawei Chen
National University of Singapore, Singapore
Lei Chen
National University of Singapore, Singapore
Louis Chen
National University of Singapore, Singapore
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

Nan Chen
National University of Singapore, Singapore
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?

Shan Ying Chu
Chung Yuan Christian University, Taiwan
Hui-Ching Chuang
Yuan Ze University, Taiwan

Systematic and discretionary hedge funds: classification and performance comparison

(PDF)

Can Cui
National University of Singapore, Singapore
Jiaming Cui
National University of Singapore, Singapore
Min Dai
National University of Singapore, Singapore

Penalty method for portfolio selection with capital gains tax

Peijie Dai
National University of Singapore, Singapore
Albert Datui
National University of Singapore, Singapore
Jerome Detemple
Boston University, USA

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

(PDF)

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

Proxy CDS curves for individual corporates globally

(PDF)

Paul Embrechts
ETH Zürich, Switzerland

Tutorial:

The first and second fundamental theorem of quantitative risk management

(PDF)


Risk-sharing, robustness and regulation

(PDF)

Shuya Fan
National University of Singapore, Singapore
Zizheng Fei
National University of Singapore, Singapore
José E. Figueroa-López
Washington University in St. Louis, USA

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

(PDF)

Swee Cheng Foo
National University of Singapore, Singapore
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

(PDF)

Qian Gao
Peking University, China
Xulei Gao
National University of Singapore, Singapore
Zhaokun Gao
National University of Singapore, Singapore
Pushpendu Ghosh
Nanyang Technological University, Singapore
Emmanuel Gobet
École Polytechnique, France

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

Zheng Gong
National University of Singapore, Singapore
Runhan Gu
National University of Singapore, Singapore
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

(PDF)

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

(PDF)


Tutorial:

High-Frequency Econometrics

(PDF 1, PDF 2)

Xuedong He
The Chinese University of Hong Kong, Hong Kong

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

(PDF)

Keisuke Honda
The Institute of Statistical Mathematics , Japan
Ulrich Horst
Humboldt-Universität zu Berlin, Germany

Implementing portfolio liquidation models

(PDF)

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
Shan Huang
National University of Singapore, Singapore
Yi-Hsiang Huang
National University of Singapore, Singapore
Zongyuan Huang
Shandong University, China
Emma Hubert
University of Paris-Est, France
Errol Inan
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

(PDF)

Ye Jin
National University of Singapore, Singapore
Zhijia Jing
Risk Management Institute, Singapore
Pan Jue
National University of Singapore, Singapore
Jussi Keppo
National University of Singapore, Singapore

Financial literacy in online peer-to-peer lending

Shreya Khandelwal
National University of Singapore, Singapore
Bogdan Klishchuk
Humboldt-Universität zu Berlin, Germany

Speculative trade and market newcomers

(PDF)

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)

Junbeom Lee
National University of Singapore, Singapore
See Keong Lee
Universiti Sains Malaysia, Malaysia
Xiong An Lee
A-Star Bioinformatics Institute, Singapore
Younhee Lee
Chungnam National University, Korea
Hao Lei
National University of Singapore, Singapore
Qian Lei
Nanyang Technological University, Singapore
Nixie Sapphira Lesmana
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)

Jiani Li
National University of Singapore, Singapore
Juan Li
Shandong University, China

Representation formulas for limit values of long run stochastic optimal control

(PDF)

Linfeng Li
National University of Singapore, Singapore
Mengge Li
National University of Singapore, Singapore
Qiao Li
National University of Singapore, Singapore
Shuli Li
NUS, Singapore
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)

Yusi Li
National University of Singapore, Singapore
Chuqiao Lian
National University of Singapore, Singapore
Kian Guan Lim
Singapore Management University, Singapore

Simultaneous volatility and skewness risk in asset pricing

(PDF)

Chenxi Lin
National University of Singapore, Singapore
Qian Lin
Tsinghua University, China

Sparse sliced inverse regression via lasso

Yi Lin
National University of Singapore, Singapore
Zhou Lin
National University of Singapore, Singapore
Ruyi Liu
Shandong University, China
Xinya Liu
National University of Singapore, Singapore
Zhijun Liu
National University of Singapore, Singapore
Yaqin Luo
National University of Singapore, Singapore
Andrew Lyasoff
Boston University, USA

Incomplete-market equilibria and BSDEs

(PDF Link)

Ning Ma
National University of Singapore, Singapore
Thibaut Mastrolia
École Polytechnique, France

Optimal auction duration: a price formation viewpoint

(PDF)

Ariel Neufeld
Nanyang Technological University, Singapore
Jiang Yu Nguwi
Nanyang Technological University, Singapore
Tianzhen Ni
Risk Management Institute, Singapore
Tianyang Nie
Shandong University, China
Shilei Niu
Xi'an Jiaotong-Liverpool University, China
Paolo Pagnottoni
Università degli studi di Pavia, Italy
Jue Pan
National University of Singapore, Singapore
Pokai Peng
National University of Singapore, Singapore
Shiyu Peng
National University of Singapore, Singapore
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)

Xiaohan Qi
National University of Singapore, Singapore
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

(PDF)

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
Nayeema Rasheed
National University of Singapore, Singapore
Peang Ratana
Peang Ratana, Cambodia
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

Optimal make-take fees for market making regulation

(PDF)

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

(PDF)

Haixin Shao
MQF, China
Jiarui Shi
National University of Singapore, Singapore
Mykhaylo Shkolnikov
Princeton University, USA

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

(PDF)

Ronglong Shu
National University of Singapore, Singapore
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)

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

FBSDEs with discontinuous coefficients

Hai Tran
National University of Singapore, Singapore
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

(PDF)

Fengyang Wang
National University of Singapore, Singapore
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)

Jingbin Wang
National University of Singapore, Singapore
Ming Rui Wang
National University of Singapore, Singapore
Shuhong Wang
National University of Singapore, Singapore
Zexin Wang
National University of Singapore, Singapore
Marko Hans Weber
National University of Singapore, Singapore

Swing pricing for mutual funds

(PDF)

Bo Wei
National University of Singapore, Singapore
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

Qikun Xiang
Nanyang Technological University, Singapore
Yuwei Xie
National University of Singapore, Singapore
Xuan Xin
National University of Singapore, Singapore
Dacheng Xiu
The University of Chicago Booth School of Business, USA

Autoencoder asset pricing models

(PDF)

Hanping Xu
National University of Singapore, Singapore
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

(PDF)

Xiaofei Xu
National University of Singapore, Singapore

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

Xiuqin Xu
National University of Singapore, Singapore
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

(PDF)

Man Yang
National University of Singapore, Singapore
Nian Yang
Nanjing University, China

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

(PDF)

Yakun Yang
National University of Singapore, Singapore
Zhengyu Yao
National University of Singapore, Singapore
Jin-Huei Yeh
National University of Singapore, Singapore
Lin Yi
National University of Singapore, Singapore
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
Minjie Zang
National University of Singapore, Singapore
Fangsheng Zhan
National University of Singapore, Singapore
Ge Zhang
National University of Singapore, Singapore

Optimize market making problem with reinforcement learning

Hanqin Zhang
National University of Singapore, Singapore
Hui Zhang
Shandong University, China
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)

Wei Zhang
National University of Singapore, Singapore
Weiwei Zhang
National University of Singapore, Singapore
Wenyan Zhang
National University of Singapore, Singapore
Xiaohan Zhang
National University of Singapore, Singapore
Yaquan Zhang
National University of Singapore, Singapore
Yuxing Zhang
National University of Singapore, Singapore
Fangsheng Zhao
National University of Singapore, Singapore
Huawei Zhao
National University of Singapore, Singapore
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)

Lingjin Zhou
National University of Singapore, Singapore
Minghao Zhou
National University of Singapore, Singapore
Wenxin Zhou
The Hong Kong Polytechnic University, China, Hong Kong
Qiji Jim Zhu
Western Michigan University, USA

Convex duality in portfolio theory

(PDF)

Yanli Zhu
National University of Singapore, Singapore