JAFEE-Columbia-ISM Conference 2013

JAFEE-Columbia-ISM International Conference on Financial Mathematics, Engineering, and Statistics (as the 10th JAFEE-Columbia Conference on Mathematics of Finance) March 18-19, 2013, ISM Tachikawa Campus, Tokyo, JAPAN

On March 18 and 19, 2013, the Japanese Association of Financial Econometrics and Engineering(JAFEE), Columbia university and the Institute of Statistical Mathematics(ISM) jointly organize a conference on mathematical finance, financial engineering, and statistics.

So far, the JAFEE-Columbia conference has taken place nine times, in Japan and New York by turns. The 10th conference, in Japan's turn, will be held with much cooperation of ISM.

Hence we named the conference "JAFEE-Columbia-ISM International Conference on Financial Mathematics, Engineering, and Statistics."



  • *Conference fee:*

    *Reception fee (addition to the conference fee): *
    **(The reception is scheduled at another room in the same building after all the sessions of the first day.)
      Guest: *free*
      Student: *1,000 yen*
      Others: *2,000 yen*

    *Please pay the total fee by cash at the reception desk.*
    If you need the receipt, please check "Receipt Needed" and input the name on receipt in the registration form.


March 18, Monday
Chair of the day: Takaki Hayashi (Keio Univ.)
09:00-09:50 Registration
09:50-09:55 Opening Remark
1st. Session / Chair:
10:00-10:50 Shigeo Kusuoka (The University of Tokyo)
"A remark on credit risk models and copula"
10:50-11:30 Hongzhong Zhang (Columbia University)
"Quickest detection in a system with correlated noise"
11:30-13:00 Lunch break
2nd. Session / Chair:
13:00-13:50 Eckhard Platen (University of Technology, Sydney)
"Benchmarked Risk Minimization"
13:50-14:30 Hideatsu Tsukahara (Seijo University)
"Risk Management with Distortion Risk Measures"
14:30-15:10 Andrew Lim (National University of Singapore & University of California at Berkeley)
"Optimal dynamic portfolio choice with multiple decentralized agents"
15:10-15:30 Coffee Break
3rd. Session / Chair:
15:30-16:20 Takeaki Kariya (Meiji University)
"Measuring Credit Risk of French, Italian, Spanish and Greek GBs Relative to German GB and Deriving Term Structures of Default Probabilities"
16:20-17:00 Toshinao Yoshiba (Bank of Japan)
"Analytical solutions for expected loss and standard deviation of loss with an additional loan"
17:00-17:40 Yuji Morimoto (Capitas Consulting Corporation)
"Current topics regarding risk management practice in finance and insurance"
18:00-20:00 Reception
March 19, Tuesday
Chair of the day: Satoshi Yamashita (ISM)
9:00-9:50 Registration
1st. Session / Chair:
10:00-10:50 Philip Protter (Columbia University)
"Can one detect a financial bubble in real time?"
10:50-11:30 Masaaki Fukasawa (Osaka University)
"Efficient Discretization of Stochastic Integrals"
11:30-13:00 Lunch break
2nd. Session / Chair:
13:00-13:50 Short Communication
Takanori Adachi (ICS, Hitotsubashi University)
"A note on categorical risk measure theory"
Nienlin Liu (Ritsumeikan University)
"The Fourier estimation method based on discrete Fourier transform"
13:50-14:30 Cecilia Mancini (University of Florence)
"Measuring the relevance of the microstructure noise in financial data"
14:30-15:10 Yoshinori Kawasaki (The Institute of Statistical Mathematics)
"Yield curve estimation using both bid and ask prices of coupon bonds"
15:10-15:30 Coffee Break
3rd. Session / Chair:
15:30-16:20 Richard A. Davis (Columbia University)
"Noncausal Vector AR Processes with Application to Financial Time Series"
16:20-17:00 Yoichi Nishiyama (The Institute of Statistical Mathematics)
"On Entropy-Martingale Methods in Statistics"
17:00-17:40 Peter Spreij (University of Amsterdam)
"Affine diffusions with non-canonical state space"
17:40-17:45 Closing Remark



  • We are sorry for not offering any accommodation for participants except some guest speakers.


  • Takaki Hayashi (Keio University)
  • Satoshi Yamashita (Institute of Statistical Mathematics)
  • Jiro Akahori (Ritsumeikan University)
  • Masayuki Henmi (Institute of Statistical Mathematics)
  • Hidetoshi Nakagawa (Hitotsubashi University)
  • Yoichi Nishiyama (Institute of Statistical Mathematics)
  • Yuji Yamada (Tsukuba University)

  • in collaboration with JAFEE, Columbia University and ISM