This workshop was canceled due to COVID-19.
Thank you for your kind understanding.

Link to Conference Website

Program

12 Feb 2020 (wednesday)

2:00 pm Opening Remarks by Prof Lim Kian Guan

2:15 pm Presentation by Takanori Adachi (Professor, Tokyo Metropolitan University)
“Some examples of distorted filtrations in a continuous model”

3:00 pm Presentation by Kohta Takehara (Associate Professor, Tokyo Metropolitan University)
“Monte Carlo Acceleration with Asymptotic Expansion around Non-Gaussian Distributions (tentative)”

3:45 pm Tea Break

4:00 pm Presentation by Dr. Simon Trimborn (NUS)
“TriSNAR: A 3-layer Sparse Estimator for Large-Scale Network AutoRegressive Models”

4:45 pm Presentation by Lim Kian Guan (Professor, SMU)
“Embedded Options in the Singapore Savings Bonds”

5:30 pm Close of session

13 Feb 2020 (Thursday)

09:00 am Presentation by Yuto Imai (Associate Professor, Nishogakusha University, Researcher, Tokyo Metropolitan University)
“Hardware accelerations for financial models”

09:45 am Presentation by Takashi Shibata (Professor, Tokyo Metropolitan University)
“Investment, financing, collateral, and asymmetric information”

10:30 am Tea Break

10:45 am Presentation by Toshinao Yoshiba (Research Professor, Tokyo Metropolitan University)
“Value-at-risk and expected shortfall of stock portfolio using skew-t copulas”

11:30 Presentation by Makoto Suzuki (Master’s student, Tokyo Metropolitan University)
“Dynamic portfolio choice over the life-cycle with currency hedge : Foreign Investment and currency hedge utilizing forward bias”

12:15 am Close of workshop/Picture Taking

Workshop Venue

Singapore Management University
Administration Building
81 Victoria Street
Executive Seminar Room 4-1
Singapore 188065

Organizing Committee

Takanori Adachi – Tokyo Metropolitan University, Japan
Shirley Huang Junying – Singapore Management University

Registration

Closed.