The First SMU-TMU Joint Workshop on Mathematical Finance and Financial Engineering

Date：

March 1, 2019

Venue：

Lee Kong Chian School of Business, Singapore Management University

Organized by：

Research Center for Quantitative Finance, Tokyo Metropolitan University,
Lee Kong Chian School of Business, Singapore Management University

Supported by：

Program

0930 Refreshments
0955 Opening remark

1000 Binomial asset pricing models in a categorical setting by Professor Takanori ADACHI

1045 Rational selections of scenarios in stress testing by Shinya TAKAMATSU

1120 A risk evaluation model of RMBS (Residential Mortgage Backed Securities) with stochastic interest rate and prepayment rate processes by Dan MIYAZAKI

1200 Lunch Break

1415 Transform methods and numerical analysis for exponential Levy model by Assistant Professor Yuto IMAI

1500 Pricing cash-settled swaptions and constant maturity swaps after Euro Swaption market by Associate Professor TEE Chyng Wen

1545 Tea Break

1600 Approximations to SABR-type models: an asymptotic expansion approach by Associate Professor Kohta TAKEHARA

1715 Price impact functions of order flow by Associate Professor Christopher TING

1800 Closing remark

Workshop Venue

Singapore Management University
Lee Kong Chian School of Business
50 Stamford Road
Seminar Room 2.1, Level 2
Singapore 178899

Organizing Committee

Takanori Adachi – Tokyo Metropolitan University, Japan
Christopher Ting – Singapore Management University

Registration

Closed.