Schedule
| Sunday, December 18, 2016 | |
| 10:00- 17:00 | Workshop on "Financial Statistics with R" by Sourish Das, CMI |
| Monday, December 19, 2016 | |
| 9:00- 9:20 | Welcome and Introduction Rajeeva Karandikar, CMI, Chennai |
| 9:20-10:30 | Plenary Talk by Rama Cont, Imperial College, London
Stochastic calculus without probability: pathwise stochastic integration and applications in mathematical finance |
| 10:30-10:50 | Tea Break |
| 10:50-11:50 | Sandeep Juneja, TIFR
Dynamic Portfolio credit Risk Measurement |
| 11:50-12:50 | Anirban Chakrabarti, JNU
Financial time series analyses: Near extreme events, correlations and comovement |
| 12:50-13:40 | Lunch Break |
| 13:40-14:40 | Poster Session I
Detail. |
| 14:40-15:40 | Siddhartha Chakrabarty, IIT, Guwahati
Jump-diffusion model and best fit for SENSEX and NIFTY for the period 2003-2012 |
| 15:40-15:50 | Tea Break |
| 15:50-16:50 | Gopal Basak, ISI, Kolkata
Foreign Capital Inflow in a Model of Strategic Interactions in a Dynamic Framework |
| 18:00-20:30 | Musical Concert by AlgoLab
Carnatic vocal concert by Sangeetha |
| Tuesday, December 20, 2016 | |
| 9:05-10:15 | Plenary Talk by Mrinal Ghosh, IISC, Bangaluru
Option Pricing and Credit Risk |
| 10:15-10:35 | Tea Break |
| 10:35-11:35 | Diganta Mukherjee, ISI, Kolkata
The lead-lag relationship between Futures and Spot Price - A case of the Oil and Oilseed contracts with special reference to Soybean |
| 11:35-12:35 | Sourish Das, CMI
Regularizing Portfolio Risk Analysis: Bayesian Approach |
| 12:35-13:30 | Lunch Break |
| 13:30-14:30 | Poster Session II
Detail. |
| 14:30-15:30 | Kaushik Bhttacharya, TAPMI
A comparison of Holding-based and Return-based Measures of Mutual Fund Performances of Indian Mutual Funds |
| 15:30-15:45 | Tea Break |
| 15:45-16:45 |
Anandamayee Majumder, Soochow University, China
Zero Expectile Processes and Bayesian Spatial Regression |
| Wednesday, December 21, 2016 | |
| 9:15-10:15 | N. Balakrishna , CUSAT
A Kernel Estimator for Positive Time Series |
| 10:15-10:35 | Tea Break |
| 10:35-11:35 | Vineet Virmani, IIM, Ahmedabad
Interest rate modelling with negative rates |
| 11:35-12:35 | Rituparna Sen, ISI, Chennai
Time Series of Functional Data with application to Yield Curves |
| 12:35-13:30 | Lunch Break |
| 13:30-14:30 | Pranab Kumar Das, Centre for Studies in Social Sciences, Kolkata
An inquiry into the equilibrium relation between equity prices, dividends and gilt yields in India |
| 14:30-15:30 | Pritam Ranjan, IIM, Indore (cancelled)
Review of Popular Discrete-time Stochastic Volatility Models |
| 15:30-15:45 | Tea Break |
| 15:45-16:45 |
Panel Discussion on Big Data and Finance
|
| Thursday, December 22, 2016 | |
| 9:05-10:15 | Plenary Talk by Subrata Sarkar, IGIDR, Mumbai
Empirical Analysis in Economics and Finance |
| 10:15-10:35 | Tea Break |
| 10:35-11:35 | Indranil SenGupta, North Dakota State University, USA
Barndorff-Nielsen and Shephard model, its generalization, and implementation in pricing various swaps |
| 11:35-12:35 | Anindya Goswami, IISER, Pune
Risk sensitive portfolio optimization in a jump diffusion model with regimes |
| 12:35-13:30 | Conclude with Lunch |