March 14 (Monday)
9:15~

Registration

9:45~10:45
Analysis of Commodity Prices: Chair Person - Hiroaki Yamauchi (MTEC)
Katsushi Nakajima (Mitsui Asset Trust and Banking Company) and Akira Maeda (Kyoto Univ.)"Pricing Commodity Spread Options with Stochastic Term Structure of Convenience Yields and Interest
Rates"

Takashi Kanamura (JPOWER and Hitotsubashi Univ.) and Kazuhiko Ohashi (Hitotsubashi Univ.)"On Transition Probabilities of Regime Switching in Electricity Prices"

10:45~11:00

Tea Break

11:00~12:00
Price Dynamics: Chair Person - TBA
Yuji Hishida and Kenji Yasutomi (Ritsumeikan University)"On the Asymptotic Behavior of the Prices of Asian Options"Tomoaki Shouda (MTEC and Hitotsubashi University)"Dynamical Analysis of the Yield Spread Surface Defined on the Duration - Credit Quality Space"

12:00~13:30

Lunch

13:30~14:00

JAFEE Awards Ceremony

14:00~15:00

Special Session 1:: Chair Person - Ryozo Miura (Hitotsubashi University)

Eckhard Platen (University of Technology Sydney)"On the Role of the Growth Optimal Portfolio in Finance"

15:00~15:20

Tea Break

15:20~16:20 Application of Levy Processes: Chair Person - Hideatsu Tsukahara (Seijo Univ.)
Yoshio Miyahara and Naruhiko Moriwaki (Nagoya City University)"Application of [GLP & MEMM] Model to Nikkei 225 Option"

Kyriakos Chourdakis (University of Canterbury)"Levy Processes Driven by Stochastic Volatility"

16:20~16:40

Tea Break

16:40~17:40 Optimization Methods: Chair Person - TBA
Nobuhiro Nakamura (Hitotsubashi University)"Optimal Risk Transfer and Investment Policies Based upon Stochastic Differential Utilities"

Toshiki Honda and Shoji Kamimura (Hitotsubashi University)"On the Verification Theorem of Continuous-Time Optimal Portfolio Problems with Stochastic Market Priceof Risk"

18:00~20:00

ReceptionMarch 15 (Tuesday)
9:30~Registration

9:45~10:45

Analysis of Japanese Markets: Chair Person - TBA

Philip Y K Cheng (Australian National University) and Martin Young (Massey University)"An Analysis of the Impact of the Introduction of Market Makers to the Japan Securities Dealers Association
Quotations (JASDAQ) Market"

Hiroshi Ishijima, Eriko Takano, and Tomohiko Taniyama (Keio University)"The Growth Optimal Asset Pricing Model under Regime Switching with an Application to J-REITs)"

10:45~11:00

Tea Break

11:00~12:00 Calibration & Statistical Methods: Chair Person - TBA

Hidetoshi Tanimura (Ernst & Young ShinNihon) and Yuji Yamada (University of Tsukuba)"A Hybrid Calibration Approach for the Multi-Factor Libor Market Model under Skewed Caplets"

Henrik Amilon and Hans NE Bystrom (Lund University)"The Compass Rose Pattern of the Stock Market: How Does It Affect Parameter Estimates, Forecasts, andStatistical Tests?"

12:00~13:30

Lunch

13:30~14:30

Special Session 2:: Chair Person - Ryozo Miura(Hitotsubashi University)

Monique Jeanblanc (Université d’Evry Val d’Essonne) and Said Hamadène (Université du Maine)"On the Starting and Stopping Problem: Application in Reversible Investments"

14:30~14:45

Tea Break

14:45~15:45 Analysis of War rants & Conver tibles: Chair Person - TBA

Min Dai (Peking University) and Yue Kuen Kwok (Hong Kong Univ. of Science and Technology)"Optimal Policies of Call with Notice Period Requirement for American Warrants and Convertible Bonds"

Koichi Miyazaki and Satoshi Nomura (The University of Electro-Communications)"A Rational Pricing Model of Warrant in Corporate Alliance"

15:45~16:30

After Conference Tea Time