威尼斯人

Workshop on Mathematical Finance and Financial Data Processing

April 29--May 1, 2016, Soochow University

Academic Counselor

Peng Shige, Shandong university;

E Weinan, Princeton university and Peking University;

Cao Yongluo, Soochow university;

Wang Guojing, Soochow university;

Yue Xingye, Soochow university.

Organizing committee

Mu Rui, Soochow University;

Li Xiafei, China Financial Futures Exchange;

Li Xinpeng, Shandong University;

Kong Xinbing, Soochow University;

Xu Yuhong, Soochow University.

Sponsors

School of Mathematical Sciences, Soochow University;

Center for Financial Engineering, Soochow University;

Math Center for Interdiscipline Research, Soochow University.

Funded by

Professional Brand of Jiangsu Province (Mathematics and Applied Mathematics)

江苏省品牌专业（数学与应用数学）;

Natural Science Foundation of China and Jiangsu Province .

Confirmed Speakers

Peng Shige, Shandong University;

Ma Chenghu, Fudan University;

Huang Lin, Southwestern University of Finance and Economics;

Yuan Xianzhi , Soochow University&Tongji University;

Xia Ningning , Shanghai University of Finance and Economics;

Li Xinpeng, Shandong University;

Song Jian, The University of Hong Kong;

Yang Zhouwang, Math Center for Interdiscipline Research, Soochow University;

Hu Feng, Qufu Normal University;

Peng Xianhua, The Hong Kong University of Science and Technology;

Liu Junwei, China Financial Futures Exchange;

Kong Xinbing, Soochow University;

Li Xiafei, China Financial Futures Exchange;

Lin Qian, Wuhan University;

Wu Panyu, Shandong University;

Lin Xiangyun, Shandong University of Science and Technology;

Nie Tianyang       , Shandong University;

Lin Zijian, The University of Hong Kong;

Wang Hanchao, Shandong University;

Hu Yong, Minsen Investment.

Schedule

Attention:The reception will begin at 8h00 on April 29 at the Center for Financial Engineering.

April

Morning

8:00-8:30 Registration

8:30-8:40 Opening Speech

8:40-9:40Plenary Talk 1

Chair:Yue Xingye, Soochow University

Speaker: Peng Shige,Shandong University

9:40-10:10 Tea&Coffee Break

10:10-11:00 Plenary Talk 2

Chair:Yue Xingye, Soochow University

Speaker:Ma Chenghu, Fudan University/Huang Lin, Southwestern University of Finance and Economics

Title:w-MPS Risk Aversion and the Shadow CAPM: Theory and Empirical Evidence

11:00-11:50 Plenary Talk 3

Chair:Yue Xingye, Soochow University

Speaker: Yuan Xianzhi, Soochow University&Tongji University

Title: 大数据框架下的小微企业评级：理论与实践的结合

11:50-14:00 Lunch, staff canteen

Afternoon

14:00-14:50 Plenary Talk 4

Chair:Ma Chenghu, Fudan University

Speaker:Xia Ningning,Shanghai University of Finance and Economics 

Title:On the inference about the spectra of high-dimensional covariance matrix based on noisy observations

14:50-15:30 Plenary Talk 5

Chair:Ma Chenghu, Fudan University

Speaker: Yang Zhouwang, Math Center for Interdiscipline Research, Soochow University

Title: 金融媒体数据的挖掘与主题分析

15:30-15:50 Tea & Coffee Break

15:50-16:30 Plenary Talk 6

Chair:Ma Chenghu, Fudan University

Speaker: Li Xinpeng, Shandong University

Title: 风险、不确定性与套利——基于中法期权市场的实证研究

16:30-17:10Plenary Talk 7

Chair:Ma Chenghu, Fudan University

Speaker: Song Jian, The University of Hong Kong

Title:Hyperbolic Anderson Model with space-time homogeneous Gaussian noise

17:10-17:50 Plenary Talk 8

Chair: Ma Chenghu, Fudan University

Speaker: Hu Feng, Qufu Normal University

Title: A general strong law of large numbers for non-additiveprobabilities and its applications

17:50-20:00 Dinner, Nanlin Hotel Suzhou

April

Morning

8:00-8:50 Plenary Talk 1

Chair:Li xiafei, China Financial Futures Exchange

Speaker: Peng Xianhua, The Hong Kong University of Science and Technology

Title: Asset Pricing with Spatial Interaction

8:50-9:30 Plenary Talk 2

Chair:Li xiafei, China Financial Futures Exchange

Speaker:Liu Junwei, Wuhan University

Title:Realized Jump-Skewness at High Frequency and the Link to aConditional Market Premium

9:30-9:50 Tea&Coffee Break

9:50-10:30 Plenary Talk 3

Chair:Li xiafei, China Financial Futures Exchange

Speaker: Li xiafei, China Financial Futures Exchange

Title: 奈特不确定性溢价

10:30-11:10 Plenary Talk 4

Chair:Li xiafei, China Financial Futures Exchange

Speaker: Lin qian, Wuhan University

Title: Dynamic indifference pricing with ambiguity

11:10-11:50 Plenary Talk 5

Chair:Li xiafei, China Financial Futures Exchange

Speaker: Wu Panyu, Shandong University

Title: Several limit theorems under non-additive probability space

11:50-14:00 Lunch, staff canteen

Afternoon

14:00-14:50 Plenary Talk 6

Chair: Wu Panyu, Shandong University

Speaker: Kong Xinbing, Soochow University

Title: On the systematic and idiosyncratic volatility with large panel high-frequency data

14:50-15:30 Plenary Talk 7

Chair:Wu Panyu, Shandong University

Speaker: Lin Xiangyun, Shandong University of Science and Technology

Title:Stock price model under the index circuit breakers

15:30-15:50 Tea & Coffee Break

15:50-16:30 Plenary Talk 8

Chair: Wu Panyu, Shandong University

Speaker: Nie Tianyang, Shandong University

Title:Connection between MP and DPP for stochastic recursiveoptimal control problems in general case

16:30-17:10 Plenary Talk 9

Chair: Wu Panyu, Shandong University

Speaker: Lin Zijian, The University of Hong Kong

Title:Dynamic Portfolio Selection without Risk-free Assets

17:10-20:00 Dinner, Shui Xiang Lou

May

8:00-8:50 Plenary Talk 1

Chair:Xu Yuhong, Soochow University

Speaker: Wang Hanchao, Shandong University

Title: Weak convergence of stochastic integrals and some applications in Econometrics

8:50-9:30 Plenary Talk 2

Chair:Xu Yuhong, Soochow University

Speaker:Hu Yong, Minsen Investment

9:30-9:50 Tea&Coffee Break

9:50-11:50 Dicussion of next workshop

List of Participants