RIMS International Project Research 2009

Mathematical Finance
    April 2009 - March 2010

Last updated: February 8, 2010

Organizing Committee

  • Shigeo Kusuoka (University of Tokyo) Chair
  • Jiro Akahori (Ritsumeikan University)
  • Arturo Kohatsu-Higa (Osaka University)
  • Hideo Nagai (Osaka University)
  • Jun Sekine (KIER)
  • Marc Yor (Paris 6 / RIMS)
  • Yoichiro Takahashi (RIMS, Director of the Ito Research Division of Mathematical Analysis)

Congress : "Stochastic Analysis for and from Finance" (SAFFF)


    Period : August 3(Mon) - 7(Fri), 2009
    Place : at Science Hall on the fourth floor of East No.1 Building in Kyoto Research Park(KRP)
    Program     Abstracts

Invited speakers (as of May 26, 2009)

  • Takuji Arai (Keio University)
  • Freddy Delbaen (ETH, Zürich)
  • Hans Föllmer (Humboldt Universität zu Berlin)
  • Takahiko Fujita (Hitotsubashi University)
  • David Hobson (University of Warwick)
  • Lane Hughston (Imperial College)
  • Yuri Kabanov (UFR Sciences et Technologie)
  • Hidehiro Kaise (Nagoya University)
  • Yoshio Miyahara (Nagoya City University)
  • Yasufumi Osajima (BNP PARIBAS)
  • Huyên Pham (Université Paris VII)
  • Alexander Schied (University of Mannheim)
  • Martin Schweizer (ETH, Zürich)
  • Akihiko Takahashi (University of Tokyo)
  • Nizar Touzi (Ecole Polytechnique)
  • Marc Yor (Paris 6 / RIMS)

Workshop : "Computational Finance"


    Period : August 10(Mon) - 12(Wed), 2009
    Place : Room 110, Building No.3, Faculty of Science, Kyoto University
    Program : http://elis.sigmath.es.osaka-u.ac.jp/~kohatsu/program.txt
    Organizer : Arturo Kohatsu-Higa (Osaka University)
    The aim of the workshop is to review recent advances in the area of numerical methods for financial problems and stochastic differential equations and its numerical analysis. As an important subtopic of the workshop we will devote some discussion on the Kusuoka scheme, cubature method on Wiener space and rough path analysis.
    This activity is sponsored by the International Research Project on Mathematical Finance of RIMS, 2009, and they are sponsored by the Ito Research Division of Mathematical Analysis, supported by Nomura Holdings, Inc.
    This activity is a satellite workshop of the "Stochastic Analysis for and from Finance", Kyoto 2009 (August 3-7). There will be another satellite workshop on Mathematical Finance (August 13-15) organized by Prof. Jun Sekine.

Scientific Committee

  • Jiro Akahori (Ritsumeikan University)
  • Arturo Kohatsu-Higa (Osaka University)
  • Shigeo Kusuoka (University of Tokyo)
  • Syoiti Ninomiya (Tokyo Institute of Technology)

Confirmed participants

  • Jiro Akahori (Ritsumeikan University)
  • Christian Bayer (Royal Institute of Technology)
  • Hans Buehler (JPMorgan)
  • Dan Crisan (Imperial College)
  • Masaaki Fukasawa (Center for the Study of Finance and Insurance at Osaka University)
  • Stefan Geiss (University of Jyväskylä)
  • Mike Giles (University of Oxford)
  • Chuan-Hsiang (Sean) Han (National Tsing-Hua University, Taiwan)
  • Lane Hughston (Imperial College)
  • Benjamin Jourdain (CERMICS - ENPC)
  • Shigeo Kusuoka (University of Tokyo)
  • Terry Lyons (University of Oxford)
  • Syoiti Ninomiya (Tokyo Institute of Technology)
  • John Schoenmakers (Weierstrass Institute for Applied Analysis and Stochastics)
  • William Shaw (King's College London)
  • Nicolas Victoir (JPMorgan, Hong Kong)
  • Jianfeng Zhang (University of South California)

Mathematical Finance and Related Topics in Economics and Engineering


    Period : August 13(Thu) - 15(Sat), 2009
    Place : Kansai Seminar House, Kyoto
    Organizer : Jun Sekine (KIER)

Scientific Committee

  • Hideo Nagai (Osaka University)
  • Jun Sekine (Kyoto University)
  • Akihiko Takahashi (University of Tokyo)
  • Koichiro Takaoka (Hitotsubashi University)

URL: http://junsekine.googlepages.com/mf_workshop_2009_aug



September School


Speakers : Hans Föllmer (Institut für Mathematik, Humboldt Universität zu Berlin)
Goran Peskir (School of Mathematic, The University of Manchester)
Period : September 14 - 18, 2009
Place : Rakuyu-kaikan, Kyoto University

Professor Fredy Delbaen stays at RIMS from January to March in 2010.

A small RIMS-Ritsumeikan joint meeting titled by "Stochastic Processes and Applications to Mathematical Finance" will be held at Biwako-Kusatsu Campus, Ritsumeikan University during 10-11 March 2010.


   

Contact

  • For enquiries, please contact < mf-kyoto¡÷ kurims.kyoto-u.ac.jp >.