Symposia (open) , RIMSFMA2022
Workshop on Financial Modeling and Analysis
PeriodVenue
Organizer

September 7 – 9, 2022
Doshisha University
Motoh Tsujimura, Doshisha University
Makoto Goto, Tokyo University of Science

September 7, Wednesday

12：55－13：00 Opening Address

Session 1 (Chair: Michi Nishihara, Osaka University)

13：00－13：40
A Dynamic Model of Repositioning with a Markov-Switching Regime
Katsumasa Nishide* (Hitotsubashi University) and Takeshi Ebina (Meiji University)
13：40－14：20
An Optimal Policy of Lockdown Periods in Pandemic Based on the Stochastic SIR
Model with Time DelayKimitoshi Sato* (Kanagawa University), Katsushige Sawaki

Session 2 (Chair: Katsumasa Nishide, Hitotsubashi University)

14：35－15：15
Optimal capital structure of a firm that receives earnings with a lower reflecting
barrier
Michi Nishihara* (Osaka University) and Takashi Shibata (Tokyo MetropolitanUniversity)
15：15－15：55
Sustainable investments with agency conflicts
Yuan Tian (Ryukoku University)

Session 3 (Chair: Yuan Tian, Ryukoku University)

16：10－16：50
A Note on ESG Multifactor Asset Pricing Models
Hiroshi Ishijima* (Chuo University) and Akira Maeda (The University of Tokyo)
16：50－17：30
Non-standard jump processes arising in environmental project planning
Hidekazu Yoshioka* (Shimane University) and Motoh Tsujimura (DoshishaUniversity)

1September 8, Thursday
Session 4 (Chair: Haejun Jeon, Tokyo University of Science)

10：00－10：40
Risk management of Commercial Banks caused by CBDC
Uratani Tadashi (MIC.9 Co./Hosei University)
10：40－11：20
Analysis of credit cycle movement by credit event intensity modelJun Hironaka (Nomura Asset Management Co., Ltd./University of Tsukuba)

Session 5 (Chair: Jun Hironaka, Nomura Asset Management Co., Ltd./University of Tsukuba)

13：00－13：40
Labor flexibility and investment
Haejun Jeon* (Tokyo University of Science), Chuanqian Zhang (William PatersonUniversity), and Xue Cui (Shenzhen University)
13：40－14：20
Investment, financing, liquidation, and asymmetric information
Takashi Shibata* (Tokyo Metropolitan University) and Michi Nishihara (OsakaUniversity)

Session 6 (Chair: Takashi Shibata, Tokyo Metropolitan University)

14：35－15：15
Deep Learning Schemes for high-dimensional nonlinear PDEs with Wiener-Chaos
Expansion and Application for Mean-Field type models in FinanceKangyong Liu* (Waseda University) and Hiroshi Toyoizumi (Waseda University)
15：15－15：55Valuation of Performance-Vesting Employee Stock Options
SiNan Lyu (KYOCERA Communication Systems Co., Ltd.), Masamitsu Ohnishi*(Yamato University/Osaka University), and Nene Tanaka (Ernst & Young ShinnihonLLC)

2

September 9, Friday
Session 7 (Makoto Goto, Tokyo University of Science)

10：00－10：40
Execution game in a Markovian environment
Masamitsu Ohnishi (Yamato University) and Makoto Shimozhimizu* (TokyoMetropolitan University)
10：40－11：20
Execution performance under specific price models
Seiya kuno (Doshisha University)

Session 8 (Chair: Seiya kuno, Doshisha University)

13：00－13：40
Spillover effects between commodity markets, financial markets, and the real
economyHiroyuki Okawa (Kobe University)
13：40－14：20
Assessing the value of a thermal power plant considering power market and capacity
mechanism
Motoh Tsujimura *(Doshisha University), Makoto Goto (Tokyo University of Science),
Ryuta Takashima (Tokyo University of Science), and Hidekazu Yoshioka (ShimaneUniversity)

14：20－14：25 Closing Address3