Statistical Methods in Finance 2017

Dec 16 - 19, 2017















Saturday, December 16, 2017
10:00- 17:00 Workshop by Rajeeva L Karandikar, CMI, India
Introduction to Stochastic Calculus
15:15-15:45 High Tea
18:00- 20:30 Carnatic Musical Concert by
  • Ramakrishnan Murthy (Vocal)
  • HM Smitha (Violin)
  • Delhi Sairam (Mridangam)
  • sponsored by BOI
    Sunday, December 17, 2017
    9:00- 12:50 Workshop by Rajeeva L Karandikar, CMI, India
    Introduction to Stochastic Calculus
    12:50-14:00 Lunch Break
    14:00-14:15 Welcome Address
    14:15-15:15 Plenary Talk by Ronnie Sircar, Princeton University, USA
    Energy Prices, Dynamic Mean Field Games and Stochastic Demand
    15:15-15:30 High Tea
    15:30-16:05 Invited Talk by T.V. Ramanathan, Savitribai Phule Pune University, India
    Nonstationary Autoregressive Conditional Duration Models
    16:10-16:45 Invited Talk by Pritam Ranjan, Indian Institute of Management, Indore, India
    A comparative study of discrete-time stochastic volatility model
    Monday, December 18, 2017
    9:00-10:00 Plenary Talk by Dipak K Dey, University of Connecticut, USA
    Modelling of Large Insurance Claims and Occurrence Data
    10:00-10:15 High Tea
    10:15-10:50 Invited Talk by Indranil Sen Gupta, North Dakota State University, USA
    Analysis of some variance based instruments for Ornstein-Uhlenbeck type models
    10:55-11:30 Invited Talk by Ravindra Khattree, Oakland University, USA
    Same Leverage, Less Volatility: A Statistical Approach to the Construction of Leveraged Funds
    11:35-12:50 MCX Panel Discussion

  • Chair: Diganta Mukherjee, ISI, Kolkata

  • Ronnie Sircar, Princeton University, USA
  • Thenmozhi, Indian Institute of Technology, Madras, India
  • V. Shunmugam, Head, Research, MCX, India
  • Velmurugan,Central University of Tamil Nadu, India
  • 12:50-13:00 Group Photo
    13:00-14:00 Lunch Break
    14:00-15:15 Contributed session 1
    More detail ...
    15:15-15:30 High Tea
    15:30-16:05 Invited Talk by Santanu Dutta, Tezpur University, Assam, India
    Quantile Estimation based on asset return data
    16:10-16:45 Invited Talk by Sujit Ghosh, North Carolina State University, USA
    How High the Hedge: Relationships Between Prices and Yields in the U.S. Federal Crop Insurance Program
    19:00-21:00 Banquet at Hotel Sabari
    Tuesday, December 19, 2017
    9:00-10:00 Plenary Talk by Tomasz Bielecki, Illinois Institute of Technology, USA (via Video Conference)
    Arbitrage-free pricing of derivatives in nonlinear market models
    10:00-10:15 High Tea
    10:15-10:50 Invited Talk by Yue Kuen Kwok,Hong Kong University of Science and Technology,Hong Kong, China
    Saddlepoint approximation methods for pricing financial options on discrete realized variance
    10:55-11:30 Invited Talk by Sudheesh K Kattumannil, Indian Statistical Institute, Chennai, India
    Modelling Time Series Through Gini Autocovariance Function
    11:35-12:50 Poster Session
    More detail ...
    12:50-14:00 Lunch Break
    14:00-15:15 Contributed session 2
    More detail ...
    15:15-15:30 High Tea
    15:30-16:05 Invited Talk by Anirban Chakraborti,Jawaharlal Nehru University, New Delhi, India
    Understanding complexity of "market states"
    16:10-16:45 Invited Talk by Gopal Basak, Indian Statistical Institute, Kolkata, India
    Measures of portfolio efficiency
    16:45-17:00 Vote of Thanks