Statistical Methods in Finance 2016

Dec 18 - 22, 2016


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
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
  • Sangeetha Swaminathan - Vocal
  • M.R. Gopinath - Violin
  • J. Vaidyanathan - Mridangam
  • K.V. Gopalakrishnan - Ganjira

  • 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
    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

  • Rajeeva Karandikar (CMI) (Moderator)
  • Mousum Dutta (DoLoop Technologies)
  • Sandipan Ray (ICICI Bank)
  • Venkatachalam Shunmugam (MCX, India)
  • 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