Symposia (open) , RIMSFMA2024
Workshop on Financial Modeling and Analysis
PeriodVenue
Organizer

September 4 – September 6, 2024
Research Institute for Mathematical Sciences, Kyoto University
Makoto Goto, Tokyo University of Science
Motoh Tsujimura, Doshisha University

September 4, Wednesdayl

12：25−12：30 Opening Address

Session 1 (Chair: Motoh Tsujimura, Doshisha University)
l 12：30−13：10
Financial risk transfer of Catastrophe
Uratani Tadashi (Hosei University)
l 13：10−13：50
Analysis of factors influencing the trend of credit cycle using credit event intensity
modelsJun Hironaka (Mitsui & Co. Digital Asset Management/University of Tsukuba)

Session 2 (Chair: Kyoko Yagi, Tokyo Metropolitan University)l 14：05−14：45
A Note on ESG Factor Models
Hiroshi Ishijima* (Chuo University), Akira Maeda (Tokyo University)l 14：45−15：25
Economic relationships between critical minerals and fossil energies
Hiroyuki Okawa (Kobe University)

Session 3 (Chair: Hiroshi Ishijima, Chuo University)
l 15：40−16：20
Entry-Exit strategies for venture capitalist: A cash flow based model
Tomio Sakuma*, Motoki Suzuki, Makoto Shimoshimizu, Makoto Goto (TokyoUniversity of Science)l 16：20−17：00
Earnouts in mergers and acquisitions under asymmetric information
Teruyoshi Suzuki (Hokkaido University), Kyoko Yagi* (Tokyo MetropolitanUniversity)

1September 5, Thursday
Session 4 (Chair: Seiya Kuno, Doshisha University)
l 09：30−10：10
Modelling of multivariate asset movements using dynamic skew-t copulas
Kakeru Ito (Nissay Asset Management/Tokyo Metropolitan University), Toshinao
Yoshiba* (Tokyo Metropolitan University)
l 10：10−10：50
The agency problem in sustainability between the owner and the manager
Zhongli Wang*, Michi Nishihara (Osaka University)
l 10：50−11：30
Optimal Execution Price for Off-exchange TradingSeiya Kuno (Doshisha University)

Session 5 (Chair: Hidekazu Yoshioka, Japan Advanced Institute of Science and Technology)
l 13：00−13：40
How do pro-ESG investors affect a firm's investment timing, financing, andsustainability decisions?
Michi Nishihara (Osaka University)
l 13：40−14：20
Analyzing pandemic options under a stochastic SIR model
Yuto Kitamura*, Shingo Takayanagi, Makoto Shimoshimizu, Makoto Goto (TokyoUniversity of Science)

Session 6 (Chair: Michi Nishihara, Osaka University)l 14：35−15：15
Non-local Variational Inequality on optimal working capital problem
Hiroshi Toyoizumi*, Shigeaki Koike (Waseda University)
l 15：15−15：55
Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution
Masahiko Egami, Rusudan Kevkhishvili* (Kyoto University)
l 15：55−16：35
Evolutionary game on continuous action space and related mean field game
Hidekazu Yoshioka* (Japan Advanced Institute of Science and Technology), MotohTsujimura (Doshisha Unveristy)l

17：30−19：30 Networking Reception2

September 6, Friday
Session 7 (Chair: Takashi Shibata, Tokyo Metropolitan University)
l 10：00−10：40
Continuous-time optimal execution under a transient price impact model in a
Markovian environment
Masaaki Fukasawa (Osaka Univeristy), Masamitsu Ohnishi (Yamato University),
Makoto Shimoshimizu* (Tokyo University of Science)l 10：40−11：20
Power Purchase Agreement Model: A Real Options Approach
Yutaro Oga*, Kazuya Ito, Ryuta Takashima (Tokyo University of Science)

Session 8 (Chair: Goto Makoto, Tokyo University of Science)l 13：00−13：40
The effects of time-to-build and regulation on investment timing and size
Haejun Jeon (Tokyo University of Science)l 13：40−14：20
Investment, partial irreversibility, and competition
Michi Nishihara (Osaka University), Takashi Shibata* (Tokyo MetropolitanUniversity), Yuan Tian (Ryukoku Univeristy)
l 14：20−15：00
Assessing a wind power generation capacity with considering spot and capacity
markets under price risk
Motoh Tsujimura* (Doshisha Unveristy), Hidekazu Yoshioka (Japan Advanced
Institute of Science and Technology)

l15：05−15：10 Closing Address3