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  Issue 27 | Archive May 2016

RMI Research Seminars
March & April 2016

RMI conducted a total of seven research seminars in the months of March and April 2016.

On 1 March 2016, Dr. Marius Hofert, visiting from the University of Waterloo, gave a seminar on ¡°Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm.¡± This was followed by two seminars by Prof. Michael Sobel of Columbia University, first one on 4 March titled, ¡°An Introduction to Causal Inference¡± and the second on 22 March titled, ¡°Causal Inference for fMRI Time Series Data with Systematic Errors of Measurement in a Balanced On/Off Study of Social Evaluative Threat.¡± On 8 March Prof. Masaaki Kijima, Tokyo Metropolitan University (TMU), gave a talk on ¡°On Ross Recovery under the Hull-White Model.¡±

In April, RMI hosted three research seminars. The first one was jointly hosted by Prof. Yu Jun and Dr. Jiang Liang from Singapore Management University (SMU) on 5 April titled ¡°New Distribution Theory for the Estimation of Structural Break Point in Mean¡± followed by a seminar about ¡°A Q-Theory Model of Corporate Liquidity and Capital Structure: Development, Fitting, and Applications¡± on 8 April by Dr. Andrew Carverhill of City University of Hong Kong. Lastly, on 15 April, Prof. Alex Novikov, University of Technology Sydney, presented a seminar on ¡°Analytical and Numerical Approaches to Study Pitman Estimates.¡±

Joint Research Seminars
25 January & 13 April 2016

RMI hosted two joint seminars in January and April 2016 separately. On 25 January, jointly with the Centre for Asset Management Research and Investments (CAMRI), RMI conducted a seminar by Prof. Yacine Ait-Sahalia, a Professor of Finance and Economics at Princeton University, on ¡°A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data.¡±

RMI also conducted a Joint Colloquium Talk co-hosted by the Centre for Quantitative Finance (CQF) and Department of Mathematics on 13 April. This talk was given by Prof. Thaleia Zarihopoulou, a V.F. Neuhaus Centennial Professor at The University of Texas at Austin, where she spoke about ¡°Stochastic Modeling and Optimization Methods in Investments.¡±

Pedagogical Lectures
January to April 2016

Along with research seminars RMI also regularly hosts Pedagogical talks for its staff and students. From the month of January to April 2016 RMI organized six pedagogical lectures by three visiting scholars. The first two were conducted by Prof. Halil Soner of ETH Zurich, on 20 and 21 January 2016. His lectures focused on ¡°Optimal Dividend Policies¡±, specifically the classical problem of designing an optimal dividend payment scheme that maximized the expected discounted dividend payments until bankruptcy.

On 26 and 28 January Prof. Yacine Ait-Sahalia, talked about ¡°Maximum-Likelihood Estimation of Continuous-Time Models with Applications to Stochastic Volatility, Term Structure, and Other Asset Pricing Models¡± in two parts. Through the two lectures he described recent developments in estimating and testing continuous-time models in finance using discrete observations on the underlying asset price, or derivative securities' prices, all in closed form for arbitrary specification of the model. These lectures were hosted by RMI jointly with CAMRI.

The last set of lectures, jointly hosted with the CQF and Department of Mathematics, were conducted by Prof. Thaleia Zariphopoulou on 11 and 14 April. She lectured on the ¡°Introduction to Forward Investment Performance Approach¡± in two parts, the first one focusing on the approach of forward investment performance measurement, discuss its fundamental elements, and its differences and similarities with the classical expected utility. The second lecture discussed the turnpike (long-term) investment results for Ito-diffusion markets under time-monotone forward criteria.

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Editor: Shivani Nakhare (rminsr@nus.edu.sg)