Date |
July 21-22, 2005 |
Place |
Otemachi Sankei Plaza, Tokyo 3F Room 301?302 |
Application |
(in Japanese) |
Program |
Thursday, July. 21 |
09:20-09:50 |
Opening Address Akira Kiyota, Chaiman, Daiwa Institute of Research
Kohjiro Irikura, Vice-President, Kyoto University |
09:50-10:40 |
Carl Chiarella , University of Technology, Sydney /Kyoto University
“Pricing American Options under Stochastic Volatility”
with Andrew Ziogas |
10:40-11:00 |
Coffee Break |
11:00-11:50 |
Hiroshi Konno , Chuo University
“Solving Mean-Risk Models under Market Friction” |
11:50-13:20 |
Lunch |
13:20-13:50 |
Hideo Nagai , Osaka University
“PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors” with W.J. Runggaldier |
13:50-14:20 |
Shoji Kamimura, Hitotsubashi University
“Continuous-Time Optimal Portfolio Problems with Stochastic Market Price of Risk”
with Toshiki Honda |
14:20-14:50 |
Yuji Yamada, University of Tsukuba
“Certainly Equivalent Price of Weather Derivatives and their Hedge Effect on Electricity Revenue in Japanese Market” |
14:50-15:10 |
Coffee Break |
15:10-15:40 |
Katsushige Sawaki, Nanzan University
“The Valuation of Callable Convertible Bonds with Call Notice Periods” with Kyoko Yagi |
15:40-16:10 |
Katsushi Nakajima, Mitsui Asset Trust and Banking Co., Ltd.
“Pricing Commodity Spread Options with Stochastic Term Structure of Convenience Yields and Interest Rates”
with Akira Maeda |
Friday, July. 22 |
09:00-09:50 |
Tomasz R. Bielecki , the Illinois Institute of Technology
“Valuation of Basket Credit Derivatives in the Credit Migrations Environment” with Stephane Orepey, Monique Jeanblanc and Marek Rutkowski |
09:55-10:45 |
Fabio Mercurio, Banca IMI, Milan, Italy
“A New Approach to Pricing Inflation Derivatives” |
10:45-11:00 |
Coffee Break |
11:00-11:50 |
Frank Milne, Queen's University , Canada
“The Trader's Dilemma: Trading Strategies and Endogenous Pricing in an Illiquid Market”
with Dan Liang |
11:50-13:20 |
Lunch |
13:20-13:50 |
Hiroshi Ishijima , Waseda University “Option Pricing with Hidden Markov Models” with Takao Kihara |
13:50-14:20 |
Tomoaki Shouda, MTB Investment Technology Institute/Hitotsubashi University
“Dynamical Analysis of the Yield Spread Surface Defined on the Duration ? Credit Quality Space” |
14:20-14:50 |
Jun Sekine, Osaka University
“An Asymptotic Analysis for Utility Indifference Price” |
|
14:50-15:10 |
Coffee Break |
|
15:10-15:40 |
Takashi Kawakami, Kyoto University
“ Debt Reorganization and Business Restructuring ” |
|
15:40-16:10 |
Junichi Imai, Tohoku University
“A Multi-Stage Investment Game in Real Option Analysis”
with Takahiro Watanabe |
|
16:10-16:20 |
Closing Address Yuzo Harada , Managing Director, Head of Strategic Management Advisory Division,
Daiwa Institute of Research |
URL |
Daiwa Securities Chair |