Institute for Mathematical Sciences

Workshop 3: Asset Pricing and Risk Management

(26 - 30 August 2019 )

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

Monday, 26 Aug 2019

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

Proxy CDS curves for individual corporates globally

(PDF)



Jin-Chuan Duan
National University of Singapore, Singapore
10:10am - 10:50am

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

(PDF)



Yacine Ait-Sahalia
Princeton University
10:50am - 11:20amGroup Photo & Coffee Break
11:20am - 12:00pm

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

(PDF)



Cathy W. S. Chen
Feng Chia University, Taiwan
12:00pm - 12:40pm

Optimal make-take fees for market making regulation

(PDF)



Mathieu Rosenbaum
École Polytechnique, France
12:40pm - 01:45pmLunch Break
01:45pm - 05:45pm

Tutorial:

The first and second fundamental theorem of quantitative risk management

(PDF)



Paul Embrechts
ETH Zürich, Switzerland

Tuesday, 27 Aug 2019

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

Simultaneous volatility and skewness risk in asset pricing

(PDF)



Kian Guan Lim
Singapore Management University, Singapore
10:10am - 10:50am

Autoencoder asset pricing models

(PDF)



Dacheng Xiu
The University of Chicago Booth School of Business, USA
10:50am - 11:20amCoffee Break
11:20am - 12:00pm

Limits to arbitrage in markets with stochastic settlement latency

(PDF)



Nikolaus Hautsch
University of Vienna, Austria
12:00pm - 12:40pm

Pricing and hedging crypto options



Wolfgang Karl Härdle
Humboldt-Universität zu Berlin, Germany
12:40pm - 02:30pmLunch Break
02:30pm - 03:10pm

Modeling and tracking bubbles

(PDF)



Christian M. Hafner
Université Catholique de Louvain, Belgium
03:10pm - 03:50pm

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

(PDF)



Hanqing Jin
University of Oxford, UK and National University of Singapore, Singapore
03:50pm - 04:10pmBreak
04:10pm - 04:50pm

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

(PDF)



Xiaosong Qian
Soochow University, China

Wednesday, 28 Aug 2019

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

Some risk measures on Wiener space

(PDF)



Hans Fӧllmer
Humboldt-Universität zu Berlin, Germany
10:10am - 10:50am

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



Emmanuel Gobet
École Polytechnique, France
10:50am - 11:20amCoffee Break
11:20am - 12:00pm

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

(PDF)



Nian Yang
Nanjing University, China
12:00pm - 12:40pm

Convex duality in portfolio theory

(PDF)



Qiji Jim Zhu
Western Michigan University, USA
12:40pm - 02:30pmLunch Break
02:30pm - 03:10pm

Mean-variance hedging without information

(PDF)



Martin Schweizer
ETH Zürich, Switzerland
03:10pm - 03:50pm

Systematic and discretionary hedge funds: classification and performance comparison

(PDF)



Hui-Ching Chuang
Yuan Ze University, Taiwan
04:00pm - 06:00pmExcursion to Bukit Timah Hill (2 way transfer)

Thursday, 29 Aug 2019

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

Risk-sharing, robustness and regulation

(PDF)



Paul Embrechts
ETH Zürich, Switzerland
10:10am - 10:50am

Using generalized estimating equations to estimate nonlinear models with spatial data

(PDF)



Weining Wang
City, University of London, UK
10:50am - 11:20amCoffee Break
11:20am - 12:00pm

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

(PDF)



Jui-Chung (Ray) Yang
National Tsing Hua University, Taiwan
12:00pm - 12:40pm

Return cross-predictability in firms with similar employee satisfaction

(PDF)



Jun Tu
Singapore Management University, Singapore
12:40pm - 01:45pmLunch Break
01:45pm - 05:45pm

Tutorial:

High-Frequency Econometrics

(PDF 1, PDF 2)



Nikolaus Hautsch
University of Vienna, Austria
05:45pm - 08:45pmWorkshop Dinner
Venue: Singapore Seafood Republic, 26 Sentosa Gateway, Festive Walk, #02-138, Singapore 098138

Friday, 30 Aug 2019

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

Swing pricing for mutual funds

(PDF)



Marko Hans Weber
National University of Singapore, Singapore
10:10am - 10:50am

Fund flows and performance under unobservable dynamic managing ability

(PDF)



Jingrui Xu
Xiamen University, China
10:50am - 11:20amCoffee Break
11:20am - 12:00pm

Backtesting, prequential analysis and prediction process



Hideatsu Tsukahara
Seijo University, Japan
12:00pm - 02:30pmLunch Break
02:30pmFree Discussion