Symposium: Quantitative Finance and Risk Analysis (QFRA)

06/22/2023 09:00 am 06/23/2023 05:00 pm Australia/Melbourne Symposium: Quantitative Finance and Risk Analysis (QFRA)

The sixth Symposium on Quantitative Finance and Risk Analysis (QFRA 2023), aimed at specialised and synergetic developments in both theory and practice, will be held on 22–23 June 2023 in Crete, Greece.

The objective of this symposium is to bring experts and decision makers from different disciplines but working on similar problems together to share information on current and emerging developments and to initiate advancements towards a solution to our challenges through cross-fertilisation.

This symposium and subsequent publications will help transition intellectual discussions into robust frameworks for handling emerging vulnerabilities and risks, and provide the leadership and initiative required to respond to national and international financial crises.

Sponsor

RiskLab at Data61/CSIRO is a multi-disciplinary research and development centre for developing the latest methodologies and technologies in actuarial sciences, econometrics, applied math and statistics as well as financial mathematics.

Speakers

Professor Stephen J Brown

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Professor Robert Faff

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Conference program View

DAY 1: THURSDAY, 22 JUNE

9:00 – 9.15am	WELCOME TALK Athanasios A. Pantelous (Professor, Monash University, Australia)
9:15 – 10.15am	Chair: Athanasios A. Pantelous (Professor, Monash University, Australia) INVITED TALK Stephen J. Brown, (Professor, Monash University, Australia and New York University, United States) “The Efficient Markets Hypothesis and the Professional Status of Investment Management”
10.15 – 10.30am	Small break
10.30 – 11.50am	SESSION ONE Chair: Soosung Hwang (Professor, Sungkyunkwan University, South Korea)
T1: 10.30 – 10.50am	Jarek Kedra (Professor, University of Aberdeen, United Kingdom) Assaf Libman (Doctor, University of Aberdeen, United Kingdom) Victoria Steblovskaya (Professor, Bentley University, United States) “Pricing and Hedging European Basket Options in a Multi-Dimensional Binomial Incomplete Market”
T2: 10.50 – 11.10am	Vasileios E. Kontosakos (Quantitative Risk Analyst, Allianz SE, Germany) Le Khon Luc (Monash University, Australia) Athanasios A. Pantelous (Professor, Monash University, Australia) Jia Shao (Assistant Professor, University of Birmingham, United Kingdom) “Pricing and Simulating Catastrophe Risk Bonds via Subset Simulation Algorithm”
T3: 11.10 – 11.30am	Zixuan Zhang (City, University of London, United Kingdom) Michail Chronopoulos (Adjunct Associate Professor, Norwegian School of Economics, Norway and Senior Lecturer, City, University of London, United Kingdom) Dimitrina S. Dimitrova (Reader, City, University of London, United Kingdom) Ioannis Kyriakou (Reader, City, University of London, United Kingdom) “A Bi-level Model for Strategic Capacity Investment and Subsidy Design Under Uncertainty”
T4: 11.30 – 11.50am	Wolfgang Schadner (Research and Teaching Assistant, University of St. Gallen, Switzerland) “Direct Fit for SVI Implied Volatilities”
11.50am – 12.20pm	Coffee break
12.20 – 1.40pm	SESSION TWO Chair: Bonsoo Koo (Associate Professor, Monash University, Australia)
T5: 12.20 – 12.40pm	Soosung Hwang (Professor, Sungkyunkwan University, South Korea) Alexandre Rubesam (Associate Professor, IESEG School of Management, France) “Multi-facets of Beta”
T6: 12.40 – 1.00pm	Luis Goncalves-Pinto (Associate Professor, University of New South Wales, Australia) Carlo Sala (Associate Professor, Universitat Ramon Llull, ESADE, Spain) “How Informationally Efficient Are Options Markets?”
T7: 1.00 – 1.20pm	Don Noh (Princeton University, United States) Stella Park (Assistant Professor, Singapore Management University, Singapore) “Overnight Returns and Noise Trader Risk”
T8: 1.20 – 1.40pm	Arun Verma (Head of Quantitative Research Solutions Bloomberg L.P., United States) “Quantitative Trading Strategies and Asset Pricing using Alternative Data and Machine Learning”
1.40 – 3.40pm	Lunch break
3.40 – 4.40pm	SESSION THREE Chair: Victoria Steblovskaya (Professor, Bentley University, United States)
T9: 3.40 – 4.00pm	Stavros K. Stavroglou (Assistant Professor, University of Edinburgh, United Kingdom) Athanasios A. Pantelous (Professor, Monash University, Australia) Bilal Ayyub (Professor, University of Maryland, United States) James H. Lambert (Professor, University of Virginia, United States) Jim W. Hall (Professor, University of Oxford, United Kingdom) H. Eugene Stanley (Professor, Boston University, United States) “Evidence and Analytics for Public Policy Decisions on Air Pollution”
T10: 4.00 – 4.20pm	Maria Kosolapova (Free University of Bozen-Bolzano, Italy) “Forward-looking Kernel Density Estimator of the Physical Return Distribution”
T11: 4.20 – 4.40pm	Yedidiah Solowiejczyk (Professor, New York University, United States) “Fast Binomial Tree Methods for Calculating Option Prices and “Greeks"
	End of the first day
8.30 – 9.00pm	Reception
9.00 – 11.00pm	Gala dinner

DAY 2: FRIDAY, 23 JUNE

9.15 – 10.15am	Chair: Athanasios A. Pantelous (Professor, Monash University, Australia) INVITED TALK Robert Faff (Emeritus Professor, Bond University, Australia) “The Art of Pitching Finance Research … Responsibly”
10.15 – 10.30am	Small break
10.30 – 11.50am	SESSION FOUR Chair: Stephen J. Brown (Emeritus Professor, Monash University, Australia and New York University, United States)
T12: 10.30 – 10.50am	Evangelos Benos (Professor, Nottingham University, United Kingdom) Gerardo Ferrara (Senior Economist, Bank of England, United Kingdom) Angelo Ranaldo (Professor, University of St. Gallen and Swiss Finance Institute, Switzerland) “Collateral Cycles”
T13: 10.50 – 11.10am	Mayukh Mukhopadhyay (London Business School, United Kingdom) “The Information Content of Central Bank Stress Tests”
T14: 11.10 – 11.30am	Stephan Bales (University of Hohenheim, Germany) Kaspar Burghartz (University of Basel, Switzerland) Lukas Hitz (University of Basel, Switzerland) “Intra-Day Risk-Neutral Densities and Macroeconomic Announcements”
T15: 11.30 – 11.50am	Yulia Malitskaia (Université Toulouse 1 Capitole, France) “Uncovering the Price of Growth and Value”
11.50am – 12.20pm	Coffee break
12.20 – 1.40pm	SESSION FIVE Chair: Jia Shao (Assistant Professor, University of Birmingham, United Kingdom)
T16: 12.20 – 12.40pm	Jeffrey Choy (University of Michigan, United States) Ben Wang (University of Michigan, United States) Abdullah AlShelahi (University of Michigan, United States) Romesh Saigal (Professor, University of Michigan, United States) “Goal-Based Wealth and Retirement Management”
T17: 12.40 – 1.00pm	Lorenzo Reus (Associate Professor, Universidad Adolfo Ibáñez, Chile) Pablo Castaneda (Assistant Professor, Universidad Adolfo Ibáñez, Chile) “A Near-Optimal Portfolio Rule for the Life Cycle Merton Problem”
T18: 1.00 – 1.20pm	Mesias Alfeus (Senior Lecturer, Stellenbosch University, South Africa) Christina S. Nikitopoulos (Associate Professor, University of Technology Sydney, Australia) Ludger Overbeck (Professor, Justus-Liebig-Universität Giessen, Germany) “Dynamic Roughness in the Term Structure of Oil Markets Volatility”
T19: 1.20 – 1.40pm	Fotios Mourdoukoutas (Monash University, Australia) Tim J. Boonen (Associate Professor, University of Amsterdam, Netherlands) Bonsoo Koo (Associate Professor, Monash University, Australia) Athanasios A. Pantelous (Professor, Monash University, Australia) “Optimal Premium Pricing in a Competitive Stochastic Insurance Market with Incomplete Information: A Bayesian Game-theoretic Approach”
1.40 – 3.40pm	Lunch break
	End of QFRA 2023

Organising committee View

Symposium chair

Professor Athanasios Pantelous, Monash Business School, Monash University, Australia

Technical support

Turan Kilderry, Monash Business School, Monash University
Iliana Papadaki, QFRA Consultant, Australia

Management chair committee

A/Prof Bonsoo Koo, Monash Business School, Monash University, Australia
Dr Ioannis Kyriakou, Bayes Business School, City, University of London, UK
Professor Georgios Sermpinis, Adam Smith Business School, University of Glasgow, UK
A/Prof Jia Shao, School of Mathematics, University of Birmingham, UK
Professor Victoria Steblovkaya, Department of Mathematical Sciences, Bentley University, USA
A/Prof Yuxin Xie, School of Securities and Futures, Southwestern University of Finance and Economics, China

Scientific committee

Professor Bilal Ayyub, A. James Clark School of Engineering, University of Maryland, USA
Professor Alejandro Balbás, Departamento de Economía de la Empresa Universidad Carlos III de Madrid, Spain
Professor Michael Beer, Institut für Risiko und Zuverlässigkeit, Gottfried Wilhelm Leibniz Universität Hannover, Germany, and University of Liverpool, UK
Professor Nick Bingham, Department of Mathematics, Imperial College London, UK
Professor Damiano Brigo, Department of Mathematics, Imperial College London, UK
Professor Jan Dhaene, Faculty of Business and Economics, KU Leuven, Belgium
Professor Michael Dempster, Faculty of Mathematics, University of Cambridge, UK
Professor Christian Ewald, Adam Smith Business School, University of Glasgow, UK
Professor Gianluca Fusai, Universita del Piemonte Orientale, Italy, and Bayes Business School City, University of London, UK
Professor Geneviève Gauthier, Department of Decision Sciences, HEC Montréal, Canada
Professor Soosung Hwang, School of Economics, Sungkyunkwan University, Korea
Professor Neil Kellard, Essex Business School, University of Essex, UK
Professor Ralf Korn, Fachbereich Mathematik, Technische Universität Kaiserslautern, Germany
Professor Steven Kou, Questrom School of Business, Boston University, USA.
Professor Youwei Li, Hull University Business School, University of Hull, UK
Professor Rosario Nunzio Mantegna, Fisica e Chimica, Universita Degli Studi Di Palermo, Italy
Professor Nikos Nomikos, Faculty of Finance, Bayes Business School City, University of London, UK
Professor Marcel Prokopczuk, Institut für Finanzmarkttheorie, Gottfried Wilhelm Leibniz Universität Hannover, Germany
Professor Tak Kuen Siu, Department of Actuarial Studies and Business Analytics, Macquarie University, Australia
Professor Calum Turvey, The Charles H. Dyson School of Applied Economics and Management, Cornell University, USA
Professor Athanasios Yannacopoulos, Department of Statistics, Athens University of Economics and Business, Greece
Professor Stavros Zenios, Department of Accounting and Finance, University of Cyprus, Cyprus

Event Details

Date:: 22 June 2023 at 9:00 am – 23 June 2023 at 5:00 pm
Venue:
Campus:
Open to:
Cost:
Categories:: Econometrics & Business Statistics

Description

Sponsor

Speakers

Professor Stephen J Brown

Learn more

Professor Robert Faff

Learn more

Key dates View

Author's area View

Venue and location View

Conference program View

DAY 1: THURSDAY, 22 JUNE

9:00 – 9.15am	WELCOME TALK Athanasios A. Pantelous (Professor, Monash University, Australia)
9:15 – 10.15am	Chair: Athanasios A. Pantelous (Professor, Monash University, Australia) INVITED TALK Stephen J. Brown, (Professor, Monash University, Australia and New York University, United States) “The Efficient Markets Hypothesis and the Professional Status of Investment Management”
10.15 – 10.30am	Small break
10.30 – 11.50am	SESSION ONE Chair: Soosung Hwang (Professor, Sungkyunkwan University, South Korea)
T1: 10.30 – 10.50am	Jarek Kedra (Professor, University of Aberdeen, United Kingdom) Assaf Libman (Doctor, University of Aberdeen, United Kingdom) Victoria Steblovskaya (Professor, Bentley University, United States) “Pricing and Hedging European Basket Options in a Multi-Dimensional Binomial Incomplete Market”
T2: 10.50 – 11.10am	Vasileios E. Kontosakos (Quantitative Risk Analyst, Allianz SE, Germany) Le Khon Luc (Monash University, Australia) Athanasios A. Pantelous (Professor, Monash University, Australia) Jia Shao (Assistant Professor, University of Birmingham, United Kingdom) “Pricing and Simulating Catastrophe Risk Bonds via Subset Simulation Algorithm”
T3: 11.10 – 11.30am	Zixuan Zhang (City, University of London, United Kingdom) Michail Chronopoulos (Adjunct Associate Professor, Norwegian School of Economics, Norway and Senior Lecturer, City, University of London, United Kingdom) Dimitrina S. Dimitrova (Reader, City, University of London, United Kingdom) Ioannis Kyriakou (Reader, City, University of London, United Kingdom) “A Bi-level Model for Strategic Capacity Investment and Subsidy Design Under Uncertainty”
T4: 11.30 – 11.50am	Wolfgang Schadner (Research and Teaching Assistant, University of St. Gallen, Switzerland) “Direct Fit for SVI Implied Volatilities”
11.50am – 12.20pm	Coffee break
12.20 – 1.40pm	SESSION TWO Chair: Bonsoo Koo (Associate Professor, Monash University, Australia)
T5: 12.20 – 12.40pm	Soosung Hwang (Professor, Sungkyunkwan University, South Korea) Alexandre Rubesam (Associate Professor, IESEG School of Management, France) “Multi-facets of Beta”
T6: 12.40 – 1.00pm	Luis Goncalves-Pinto (Associate Professor, University of New South Wales, Australia) Carlo Sala (Associate Professor, Universitat Ramon Llull, ESADE, Spain) “How Informationally Efficient Are Options Markets?”
T7: 1.00 – 1.20pm	Don Noh (Princeton University, United States) Stella Park (Assistant Professor, Singapore Management University, Singapore) “Overnight Returns and Noise Trader Risk”
T8: 1.20 – 1.40pm	Arun Verma (Head of Quantitative Research Solutions Bloomberg L.P., United States) “Quantitative Trading Strategies and Asset Pricing using Alternative Data and Machine Learning”
1.40 – 3.40pm	Lunch break
3.40 – 4.40pm	SESSION THREE Chair: Victoria Steblovskaya (Professor, Bentley University, United States)
T9: 3.40 – 4.00pm	Stavros K. Stavroglou (Assistant Professor, University of Edinburgh, United Kingdom) Athanasios A. Pantelous (Professor, Monash University, Australia) Bilal Ayyub (Professor, University of Maryland, United States) James H. Lambert (Professor, University of Virginia, United States) Jim W. Hall (Professor, University of Oxford, United Kingdom) H. Eugene Stanley (Professor, Boston University, United States) “Evidence and Analytics for Public Policy Decisions on Air Pollution”
T10: 4.00 – 4.20pm	Maria Kosolapova (Free University of Bozen-Bolzano, Italy) “Forward-looking Kernel Density Estimator of the Physical Return Distribution”
T11: 4.20 – 4.40pm	Yedidiah Solowiejczyk (Professor, New York University, United States) “Fast Binomial Tree Methods for Calculating Option Prices and “Greeks"
	End of the first day
8.30 – 9.00pm	Reception
9.00 – 11.00pm	Gala dinner

DAY 2: FRIDAY, 23 JUNE

9.15 – 10.15am	Chair: Athanasios A. Pantelous (Professor, Monash University, Australia) INVITED TALK Robert Faff (Emeritus Professor, Bond University, Australia) “The Art of Pitching Finance Research … Responsibly”
10.15 – 10.30am	Small break
10.30 – 11.50am	SESSION FOUR Chair: Stephen J. Brown (Emeritus Professor, Monash University, Australia and New York University, United States)
T12: 10.30 – 10.50am	Evangelos Benos (Professor, Nottingham University, United Kingdom) Gerardo Ferrara (Senior Economist, Bank of England, United Kingdom) Angelo Ranaldo (Professor, University of St. Gallen and Swiss Finance Institute, Switzerland) “Collateral Cycles”
T13: 10.50 – 11.10am	Mayukh Mukhopadhyay (London Business School, United Kingdom) “The Information Content of Central Bank Stress Tests”
T14: 11.10 – 11.30am	Stephan Bales (University of Hohenheim, Germany) Kaspar Burghartz (University of Basel, Switzerland) Lukas Hitz (University of Basel, Switzerland) “Intra-Day Risk-Neutral Densities and Macroeconomic Announcements”
T15: 11.30 – 11.50am	Yulia Malitskaia (Université Toulouse 1 Capitole, France) “Uncovering the Price of Growth and Value”
11.50am – 12.20pm	Coffee break
12.20 – 1.40pm	SESSION FIVE Chair: Jia Shao (Assistant Professor, University of Birmingham, United Kingdom)
T16: 12.20 – 12.40pm	Jeffrey Choy (University of Michigan, United States) Ben Wang (University of Michigan, United States) Abdullah AlShelahi (University of Michigan, United States) Romesh Saigal (Professor, University of Michigan, United States) “Goal-Based Wealth and Retirement Management”
T17: 12.40 – 1.00pm	Lorenzo Reus (Associate Professor, Universidad Adolfo Ibáñez, Chile) Pablo Castaneda (Assistant Professor, Universidad Adolfo Ibáñez, Chile) “A Near-Optimal Portfolio Rule for the Life Cycle Merton Problem”
T18: 1.00 – 1.20pm	Mesias Alfeus (Senior Lecturer, Stellenbosch University, South Africa) Christina S. Nikitopoulos (Associate Professor, University of Technology Sydney, Australia) Ludger Overbeck (Professor, Justus-Liebig-Universität Giessen, Germany) “Dynamic Roughness in the Term Structure of Oil Markets Volatility”
T19: 1.20 – 1.40pm	Fotios Mourdoukoutas (Monash University, Australia) Tim J. Boonen (Associate Professor, University of Amsterdam, Netherlands) Bonsoo Koo (Associate Professor, Monash University, Australia) Athanasios A. Pantelous (Professor, Monash University, Australia) “Optimal Premium Pricing in a Competitive Stochastic Insurance Market with Incomplete Information: A Bayesian Game-theoretic Approach”
1.40 – 3.40pm	Lunch break
	End of QFRA 2023

Organising committee View

Symposium chair

Professor Athanasios Pantelous, Monash Business School, Monash University, Australia

Technical support

Turan Kilderry, Monash Business School, Monash University
Iliana Papadaki, QFRA Consultant, Australia

Management chair committee

A/Prof Bonsoo Koo, Monash Business School, Monash University, Australia
Dr Ioannis Kyriakou, Bayes Business School, City, University of London, UK
Professor Georgios Sermpinis, Adam Smith Business School, University of Glasgow, UK
A/Prof Jia Shao, School of Mathematics, University of Birmingham, UK
Professor Victoria Steblovkaya, Department of Mathematical Sciences, Bentley University, USA
A/Prof Yuxin Xie, School of Securities and Futures, Southwestern University of Finance and Economics, China

Scientific committee

Professor Bilal Ayyub, A. James Clark School of Engineering, University of Maryland, USA
Professor Alejandro Balbás, Departamento de Economía de la Empresa Universidad Carlos III de Madrid, Spain
Professor Michael Beer, Institut für Risiko und Zuverlässigkeit, Gottfried Wilhelm Leibniz Universität Hannover, Germany, and University of Liverpool, UK
Professor Nick Bingham, Department of Mathematics, Imperial College London, UK
Professor Damiano Brigo, Department of Mathematics, Imperial College London, UK
Professor Jan Dhaene, Faculty of Business and Economics, KU Leuven, Belgium
Professor Michael Dempster, Faculty of Mathematics, University of Cambridge, UK
Professor Christian Ewald, Adam Smith Business School, University of Glasgow, UK
Professor Gianluca Fusai, Universita del Piemonte Orientale, Italy, and Bayes Business School City, University of London, UK
Professor Geneviève Gauthier, Department of Decision Sciences, HEC Montréal, Canada
Professor Soosung Hwang, School of Economics, Sungkyunkwan University, Korea
Professor Neil Kellard, Essex Business School, University of Essex, UK
Professor Ralf Korn, Fachbereich Mathematik, Technische Universität Kaiserslautern, Germany
Professor Steven Kou, Questrom School of Business, Boston University, USA.
Professor Youwei Li, Hull University Business School, University of Hull, UK
Professor Rosario Nunzio Mantegna, Fisica e Chimica, Universita Degli Studi Di Palermo, Italy
Professor Nikos Nomikos, Faculty of Finance, Bayes Business School City, University of London, UK
Professor Marcel Prokopczuk, Institut für Finanzmarkttheorie, Gottfried Wilhelm Leibniz Universität Hannover, Germany
Professor Tak Kuen Siu, Department of Actuarial Studies and Business Analytics, Macquarie University, Australia
Professor Calum Turvey, The Charles H. Dyson School of Applied Economics and Management, Cornell University, USA
Professor Athanasios Yannacopoulos, Department of Statistics, Athens University of Economics and Business, Greece
Professor Stavros Zenios, Department of Accounting and Finance, University of Cyprus, Cyprus

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Organisation

Symposium: Quantitative Finance and Risk Analysis (QFRA)

Sponsor

Speakers

Key dates View

Author's area View

Presentation schedule

Venue and location View

Gala dinner

Travel and accommodation

The Island of Crete

Conference program View

Organising committee View

Symposium chair

Technical support

Management chair committee

Scientific committee

Contact us

Event Details

Description

Sponsor

Speakers

Key dates View

Author's area View

Presentation schedule

Venue and location View

Gala dinner

Travel and accommodation

The Island of Crete

Conference program View

Organising committee View

Symposium chair

Technical support

Management chair committee

Scientific committee

Contact us

Event Contact