Institute for Mathematical Sciences

Workshop 1: Stochastic Control in Finance

(22 - 26 July 2019)

Jointly organized with Risk Management Institute, NUS
Venue: IMS Auditorium
PDF Abstracts

Monday, 22 Jul 2019

09:00am - 09:20amRegistration
09:20am - 09:30amOpening Remarks
09:30am - 10:10am

Incomplete-market equilibria and BSDEs

(PDF Link)



Andrew Lyasoff
Boston University, USA
10:10am - 10:40amGroup Photo & Coffee Break
10:40am - 11:20am

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

(PDF)



José E. Figueroa-López
Washington University in St. Louis, USA
11:20am - 12:00pm

Optimal investment, heterogeneous consumption and the best time for retirement

(PDF)



Zuoquan Xu
The Hong Kong Polytechnic University, Hong Kong
12:00pm - 01:30pmLunch Reception at IMS
01:30pm - 02:10pm

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

(PDF)



Xuedong He
The Chinese University of Hong Kong, Hong Kong
02:10pm - 02:50pm

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

(PDF)



Jing Xu
Renmin University of China, China
02:50pm - 03:30pm

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

(PDF)



Bin Li
University of Waterloo, Canada
03:30pm - 04:00pmCoffee Break

Tuesday, 23 Jul 2019

09:15am - 09:30amRegistration
09:30am - 10:10am

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

(PDF)



Jerome Detemple
Boston University, USA
10:10am - 10:40amCoffee Break
10:40am - 11:20am

Asset prices in segmented and integrated markets

(PDF)



Paolo Guasoni
Dublin City University, Ireland
11:20am - 12:00pm

From hotelling to Nakamoto: the economic meaning of bitcoin mining

(PDF)



Cong Qin
Soochow University, China
12:00pm - 01:30pmLunch Reception at IMS
01:30pm - 02:10pm

Perfect replication under market impact

(PDF)



Bruno Bouchard-Denize
Université Paris-Dauphine, France
02:10pm - 02:50pm

Dynamic investment and financing with internal and external liquidity management

(PDF)



Nan Chen
The Chinese University of Hong Kong, Hong Kong
02:50pm - 03:10pmCoffee Break
03:10pm - 03:50pm

Weak solutions of mean field game master equations

(PDF, Link)



Jianfeng Zhang
University of Southern California, USA
06:30pm - 08:30pmConference Dinner
Venue: The Scholar Chinese Restaurant, NUSS
9 Kent Ridge Drive, Singapore 119241

Wednesday, 24 Jul 2019

09:15am - 09:30amRegistration
09:30am - 10:10am

Pairs trading under geometric Brownian motions

(PDF)



Qing Zhang
University of Georgia, USA
10:10am - 10:40amCoffee Break
10:40am - 11:20am

Representation formulas for limit values of long run stochastic optimal control

(PDF)



Juan Li
Shandong University, China
11:20am - 12:00pm

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

(PDF)



Jiongmin Yong
University of Central Florida, USA
12:00pm - 12:40pm

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

(PDF)



Xun Li
The Hong Kong Polytechnic University, Hong Kong
12:40pm - 02:00pmLunch Reception at IMS

Thursday, 25 Jul 2019

07:40amShuttle Service from Park Avenue Rochester Hotel to Conrad Centennial Singapore: Hotel Lobby, 7.40am
08:00amShuttle Service from Kent Vale to Conrad Centennial Singapore: Arrival Plaza Lobby, 8am
08:10amThirteenth Annual Risk Management Conference
Venue: Conrad Centennial Singapore

Friday, 26 Jul 2019

09:15am - 09:30amRegistration
09:30am - 10:10am

Switching diffusions with mean-field interactions

(PDF)



Gang George Yin
Wayne State University, USA
10:10am - 10:40amCoffee Break
10:40am - 11:20am

Dynamic noisy rational expectations equilibrium with insider information



Marcel Rindisbacher
Boston University, USA
11:20am - 12:00pm

Modeling large societies with uncertainty

(PDF)



Yeneng Sun
National University of Singapore, Singapore
12:00pm - 12:40pm

Optimal auction duration: a price formation viewpoint

(PDF)



Thibaut Mastrolia
École Polytechnique, France
12:40pm - 01:30pmLunch Reception at IMS
01:30pm - 02:10pm

From martingale optimal transport to Mckean-Vlasov control problems

(PDF)



Xiaolu Tan
University of Paris-Dauphine, France
02:10pm - 02:50pm

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

(PDF)



Zhen Wu
Shandong University, China
02:50pm - 03:30pm

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

(PDF)



Harry Zheng
Imperial College London, UK