Academic Conferences and Symposia

 Daiwa Chair Graduate School of Economics, Kyoto University Workshop 2005

2005 Daiwa International Workshop on Financial Engineering


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Date July 21-22, 2005
Place Otemachi Sankei Plaza, Tokyo 3F Room 301?302
Application PDF(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


Organized by Graduate School of Economics,
Co-Organized by Kyoto University 21st Century COE Program
"Interfaces for Advanced Economic Analysis"