Quantitative Finance and Risk Analysis Symposium (QFRA 2024)

06/27/2024 09:00 am 06/29/2024 05:00 pm Australia/Melbourne Quantitative Finance and Risk Analysis Symposium (QFRA 2024)

The seventh quantitative finance and risk analysis symposium (QFRA 2024), will aim to help develop leadership and initiative required to respond to national and international financial crises, and focus on specialised and synergetic developments in both theory and practice.

Experts and decision-makers who represent different disciplines but work on similar problems, will present and discuss information on current and emerging developments, and focus on solutions to major challenges through knowledge sharing.

This symposium and subsequent publications will help transition intellectual discussions into robust frameworks for handling emerging vulnerabilities and risks.

The symposium will be proudly hosted by Monash Business School and sponsored by the CSIRO’s RiskLab.

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 Galina Andreeva

Professor of Societal Aspects of Credit, Head of MSBE Group, University of Edinburgh Business School.

Professor Richard Evans

Professor of Business Administration at Darden School of Business, University of Virginia.

Professor Lu Zheng

Professor of Finance at Paul Merage School of Business, University of California.

Key dates View

Conference program View

Day one - Thursday 27 June

TIME	ACTIVITY
9.00 - 9.15am	Welcome Talk Athanasios A. Pantelous, Monash University, AUS
9.15 - 10.15am	Chair: Athanasios A. Pantelous, Monash University, AUS Invited talk Richard B. Evans, University of Virginia, USA “(Not) Everybody’s Working for the Weekend: A Study of Mutual Fund Manager Effort”
10.15 - 10.30am	SMALL BREAK
10.30 - 10.50am	Session 1 Chair: Richard B. Evans, University of Virginia, USA
T1: 10.30 - 10.50am	Konstantinos Gavriilidis, University of Stirling, UK Vasileios Kallinterakis, Durham University, UK Maurizio Montone, Utrecht University, The Netherlands “Political Uncertainty and Institutional Herding”
T2: 10.50 - 11.10am	Mattia Chiappari, Politecnico di Milano, Italy Francesco Scotti, Politecnico di Milano, Italy Andrea Flori, Politecnico di Milano, Italy “How Market Connectedness Interacts with Herding Behavior within the EU ETS framework”
T3: 11.10 - 11.30am	Alvaro Boitier, Babson College, USA “Hedging and Net Worth: Evidence from Purchase Obligations”
T4: 11.30 - 11.50am	Thomas Hellmann, University of Oxford, UK Alexander Montag, Indiana University, USA Nir Vulkan, University of Oxford, UK “The Impact of the Regulatory Sandbox on the FinTech Industry”
11.50 - 12.20pm	SMALL BREAK (Family photo)
12.20 - 1.20pm	Session 2 Chair: Bonsoo Koo, Monash University, AUS
T5: 12.20 - 12.40pm	Olga Biedova, College of Charleston, USA Victoria Steblovskaya, Bentley University, USA “Volatility Target Portfolio Insurance (VTPI) Strategy”
T6: 12.40 - 1.00pm	Rachid Belhachemi, Le Moyne College, USA “Option Valuation with Conditional Heteroskedastic Hidden Truncation Models”
T7: 1.00 - 1.20pm	Lorenzo Reus, Universidad Adolfo Ibáñez, Chile “Merton Portfolio Allocation under Stochastic Dividends”
T8: 1.20 - 1.40pm	Rodolphe Vanderveken, UCLouvain, Belgium Nathan Lassance, UCLouvain, Belgium Frédéric Vrins, UCLouvain, Belgium “Optimal Portfolio Diversification with Parameter Uncertainty”
1.40 - 3.40pm	LUNCH BREAK
Day one ends

Day two - Friday 28 June

TIME	ACTIVITY
9.15 - 10.15am	Chair: Athanasios A. Pantelous, Monash University, AUS Invited talk Galina Andreeva, University of Edinburgh, UK “Credit Scoring and FinTech: Transforming Risk Assessment with (Big) Data and (AI) Models”
10.15 - 10.30am	SMALL BREAK
10.30 - 11.50am	Session 3 Chair: Galina Andreeva, University of Edinburgh, UK
T9: 10.30 - 10.50am	Ludovic Goudenege, CNRS FR3487, France Andrea Molent, Università degli Studi di Udine, Italy Antonino Zanette, Università degli Studi di Udine, Italy “Computing XVA for American basket derivatives by Machine Learning techniques”
T10: 10.50 - 11.10am	Arun Verma, Bloomberg L.P. USA “Generative Machine learning in Quantitative Finance”
T11: 11.10 - 11.30am	Saveli Goldberg, Massachusetts General Hospital, USA Annie Chan, Massachusetts General Hospital, USA George Steblovsky, Bentley University, USA "Application of Machine Learning Methods to Managing Risk Factors Example: Managing Radiation-Induced Complications in Brain Cancer Patients"
T12: 11.30 - 11.50am	Stavros K. Stavroglou, University of Edinburgh, UK Athanasios A. Pantelous, Monash University, Australia Bilal Ayyub, University of Maryland, USA James H. Lambert, University of Virginia, USA Jim W. Hall, University of Oxford, UK H. Eugene Stanley, Boston University, USA “Prometheus Framework for Public Policy Decisions on Environmental Health Risks”
11.50 - 12.20pm	SMALL BREAK
12.20 - 1.20pm	Session 4 Chair: Victoria Steblovskaya, Bentley University, USA
T13: 12.20 - 12.40pm	Giuseppe Buccheri, University of Verona, Italy Piero Mazzarisi, University of Siena, Italy “Realized Random Graphs, with an Application to the Interbank Network”
T14: 12.40 - 1.00pm	Haiyang Zhou, Beijing Normal University-Hong Kong Baptist University, China Aihua Zhang, Beijing Normal University-Hong Kong Baptist University, China Shuya Chen, Beijing Normal University-Hong Kong Baptist University, China Jianlun Wu, Beijing Normal University-Hong Kong Baptist University, China “Deep Learning-based Portfolio Optimization with Transaction costs”
1.00 - 1.20pm	Jiawei Du, Xi’an Jiaotong Liverpool University, China Yi Hong, Xi’an Jiaotong Liverpool University, China “Market-Consistent Economic Scenario Generation (MESG) for Bond Yields in China with the Smith-Wilson Method” (Online)
1.20pm - 3.40pm	LUNCH BREAK
8.00 - 8.30pm	Reception
8.30 - 11.00pm	Gala Dinner
Day 2 ends

Day three - Saturday 29 June

TIME	ACTIVITY
9.15 - 10.15am	Chair: Athanasios A. Pantelous, Monash University, AUS Robert Faff, University of Queensland, AUS “Responsible Science Matters!”
10.15 - 10.30am	SMALL BREAK
10.30 - 11.50am	Session 5 Chair: Robert Faff, University of Queensland, AUS
T16: 10.30 - 10.50am	Yurun Yang, Coventry University, UK Lu Zong, Xi’an Jiaotong-Liverpool University, China “Momentum life cycle in cryptocurrency markets”
T17: 10.50 - 11.10am	Olga Biedova, College of Charleston, USA Diogo Duarte, Florida International University, USA “The Effect of Ransomware Disclosure on the Stock Market”
T18: 11.10 - 11.30am	Reuben Brefo Marfo, Bentley University, USA Economic Scenario Generation - Bank of America, USA “Forecasting Treasury Bill Rates in Emerging and Developed Economies Using the Cox-Ingersoll-Ross and Vasicek Models”
T19: 11.30 - 11.50am	Maria Kosolapova, Free University of Bozen-Bolzano, Italy Carlo Sala, Universitat Ramon Llull, ESADE, Spain Alex Weissenteiner, Free University of Bozen-Bolzano, Italy “Russia-Ukraine war and market expectations: evidence from option implied densities of European gas”
11.50 - 12.20pm	SMALL BREAK
12.20 - 1.40pm	Session 6 Chair: Stavros K. Stavroglou, University of Edinburgh, UK
T20: 12.20 - 12.40pm	Yedidiah Solowiejczyk, City College of New York, USA “Computational Efficiencies in Pricing American Put Options In the Jarrow-Rudd(JR) Binomial Tree Model"
T21: 12.40 - 1.00pm	Yulia Malitsky, Université Toulouse 1 Capitole, France “Hierarchical state space for asset valuation”
T22: 1.00 - 1.20pm	Iliuta Cumpanasu, West University Timisoara, Romania “Quantitative Analysis of Irregular Migration Patterns Using Time Series Models”
1.20pm - 3.40pm	LUNCH BREAK
End of QFRA 2024

Venue and location View

Author's area View

Organising committee View

Symposium chair

Professor Athanasios Pantelous, Monash Business School, Monash University, 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
Dr Jia Shao, School of Mathematics, University of Birmingham, UK
Professor Victoria Steblovkaya, Department of Mathematical Sciences, Bentley University, USA
Dr Stavros Stavroglou, University of Edinburgh Business School, UK
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

Technical support

Holly Travers, Monash Business School Senior Event Coordinator, Monash University Australia
Iliana Papadaki, QFRA Consultant, Australia

Event Details

Date:: 27 June 2024 at 9:00 am – 29 June 2024 at 5:00 pm
Venue:
Campus:
Open to:
Cost:
Categories:: Econometrics and Business Statistics; General

Description

This symposium and subsequent publications will help transition intellectual discussions into robust frameworks for handling emerging vulnerabilities and risks.

The symposium will be proudly hosted by Monash Business School and sponsored by the CSIRO’s RiskLab.

Sponsor

Key dates View

Conference program View

Day one - Thursday 27 June

TIME	ACTIVITY
9.00 - 9.15am	Welcome Talk Athanasios A. Pantelous, Monash University, AUS
9.15 - 10.15am	Chair: Athanasios A. Pantelous, Monash University, AUS Invited talk Richard B. Evans, University of Virginia, USA “(Not) Everybody’s Working for the Weekend: A Study of Mutual Fund Manager Effort”
10.15 - 10.30am	SMALL BREAK
10.30 - 10.50am	Session 1 Chair: Richard B. Evans, University of Virginia, USA
T1: 10.30 - 10.50am	Konstantinos Gavriilidis, University of Stirling, UK Vasileios Kallinterakis, Durham University, UK Maurizio Montone, Utrecht University, The Netherlands “Political Uncertainty and Institutional Herding”
T2: 10.50 - 11.10am	Mattia Chiappari, Politecnico di Milano, Italy Francesco Scotti, Politecnico di Milano, Italy Andrea Flori, Politecnico di Milano, Italy “How Market Connectedness Interacts with Herding Behavior within the EU ETS framework”
T3: 11.10 - 11.30am	Alvaro Boitier, Babson College, USA “Hedging and Net Worth: Evidence from Purchase Obligations”
T4: 11.30 - 11.50am	Thomas Hellmann, University of Oxford, UK Alexander Montag, Indiana University, USA Nir Vulkan, University of Oxford, UK “The Impact of the Regulatory Sandbox on the FinTech Industry”
11.50 - 12.20pm	SMALL BREAK (Family photo)
12.20 - 1.20pm	Session 2 Chair: Bonsoo Koo, Monash University, AUS
T5: 12.20 - 12.40pm	Olga Biedova, College of Charleston, USA Victoria Steblovskaya, Bentley University, USA “Volatility Target Portfolio Insurance (VTPI) Strategy”
T6: 12.40 - 1.00pm	Rachid Belhachemi, Le Moyne College, USA “Option Valuation with Conditional Heteroskedastic Hidden Truncation Models”
T7: 1.00 - 1.20pm	Lorenzo Reus, Universidad Adolfo Ibáñez, Chile “Merton Portfolio Allocation under Stochastic Dividends”
T8: 1.20 - 1.40pm	Rodolphe Vanderveken, UCLouvain, Belgium Nathan Lassance, UCLouvain, Belgium Frédéric Vrins, UCLouvain, Belgium “Optimal Portfolio Diversification with Parameter Uncertainty”
1.40 - 3.40pm	LUNCH BREAK
Day one ends

Day two - Friday 28 June

TIME	ACTIVITY
9.15 - 10.15am	Chair: Athanasios A. Pantelous, Monash University, AUS Invited talk Galina Andreeva, University of Edinburgh, UK “Credit Scoring and FinTech: Transforming Risk Assessment with (Big) Data and (AI) Models”
10.15 - 10.30am	SMALL BREAK
10.30 - 11.50am	Session 3 Chair: Galina Andreeva, University of Edinburgh, UK
T9: 10.30 - 10.50am	Ludovic Goudenege, CNRS FR3487, France Andrea Molent, Università degli Studi di Udine, Italy Antonino Zanette, Università degli Studi di Udine, Italy “Computing XVA for American basket derivatives by Machine Learning techniques”
T10: 10.50 - 11.10am	Arun Verma, Bloomberg L.P. USA “Generative Machine learning in Quantitative Finance”
T11: 11.10 - 11.30am	Saveli Goldberg, Massachusetts General Hospital, USA Annie Chan, Massachusetts General Hospital, USA George Steblovsky, Bentley University, USA "Application of Machine Learning Methods to Managing Risk Factors Example: Managing Radiation-Induced Complications in Brain Cancer Patients"
T12: 11.30 - 11.50am	Stavros K. Stavroglou, University of Edinburgh, UK Athanasios A. Pantelous, Monash University, Australia Bilal Ayyub, University of Maryland, USA James H. Lambert, University of Virginia, USA Jim W. Hall, University of Oxford, UK H. Eugene Stanley, Boston University, USA “Prometheus Framework for Public Policy Decisions on Environmental Health Risks”
11.50 - 12.20pm	SMALL BREAK
12.20 - 1.20pm	Session 4 Chair: Victoria Steblovskaya, Bentley University, USA
T13: 12.20 - 12.40pm	Giuseppe Buccheri, University of Verona, Italy Piero Mazzarisi, University of Siena, Italy “Realized Random Graphs, with an Application to the Interbank Network”
T14: 12.40 - 1.00pm	Haiyang Zhou, Beijing Normal University-Hong Kong Baptist University, China Aihua Zhang, Beijing Normal University-Hong Kong Baptist University, China Shuya Chen, Beijing Normal University-Hong Kong Baptist University, China Jianlun Wu, Beijing Normal University-Hong Kong Baptist University, China “Deep Learning-based Portfolio Optimization with Transaction costs”
1.00 - 1.20pm	Jiawei Du, Xi’an Jiaotong Liverpool University, China Yi Hong, Xi’an Jiaotong Liverpool University, China “Market-Consistent Economic Scenario Generation (MESG) for Bond Yields in China with the Smith-Wilson Method” (Online)
1.20pm - 3.40pm	LUNCH BREAK
8.00 - 8.30pm	Reception
8.30 - 11.00pm	Gala Dinner
Day 2 ends

Day three - Saturday 29 June

TIME	ACTIVITY
9.15 - 10.15am	Chair: Athanasios A. Pantelous, Monash University, AUS Robert Faff, University of Queensland, AUS “Responsible Science Matters!”
10.15 - 10.30am	SMALL BREAK
10.30 - 11.50am	Session 5 Chair: Robert Faff, University of Queensland, AUS
T16: 10.30 - 10.50am	Yurun Yang, Coventry University, UK Lu Zong, Xi’an Jiaotong-Liverpool University, China “Momentum life cycle in cryptocurrency markets”
T17: 10.50 - 11.10am	Olga Biedova, College of Charleston, USA Diogo Duarte, Florida International University, USA “The Effect of Ransomware Disclosure on the Stock Market”
T18: 11.10 - 11.30am	Reuben Brefo Marfo, Bentley University, USA Economic Scenario Generation - Bank of America, USA “Forecasting Treasury Bill Rates in Emerging and Developed Economies Using the Cox-Ingersoll-Ross and Vasicek Models”
T19: 11.30 - 11.50am	Maria Kosolapova, Free University of Bozen-Bolzano, Italy Carlo Sala, Universitat Ramon Llull, ESADE, Spain Alex Weissenteiner, Free University of Bozen-Bolzano, Italy “Russia-Ukraine war and market expectations: evidence from option implied densities of European gas”
11.50 - 12.20pm	SMALL BREAK
12.20 - 1.40pm	Session 6 Chair: Stavros K. Stavroglou, University of Edinburgh, UK
T20: 12.20 - 12.40pm	Yedidiah Solowiejczyk, City College of New York, USA “Computational Efficiencies in Pricing American Put Options In the Jarrow-Rudd(JR) Binomial Tree Model"
T21: 12.40 - 1.00pm	Yulia Malitsky, Université Toulouse 1 Capitole, France “Hierarchical state space for asset valuation”
T22: 1.00 - 1.20pm	Iliuta Cumpanasu, West University Timisoara, Romania “Quantitative Analysis of Irregular Migration Patterns Using Time Series Models”
1.20pm - 3.40pm	LUNCH BREAK
End of QFRA 2024

Venue and location View

Author's area View

Organising committee View

Symposium chair

Professor Athanasios Pantelous, Monash Business School, Monash University, 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
Dr Jia Shao, School of Mathematics, University of Birmingham, UK
Professor Victoria Steblovkaya, Department of Mathematical Sciences, Bentley University, USA
Dr Stavros Stavroglou, University of Edinburgh Business School, UK
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

Technical support

Holly Travers, Monash Business School Senior Event Coordinator, Monash University Australia
Iliana Papadaki, QFRA Consultant, Australia

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Quantitative Finance and Risk Analysis Symposium (QFRA 2024)

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Key dates View

Conference program View

Venue and location View

Gala dinner

Travel and accommodation

Author's area View

Presentation schedule

Organising committee View

Symposium chair

Management chair committee

Scientific committee

Technical support

Contact us

Event Details

Description

Sponsor

Speakers

Registration View

Visas

Presentation slots

Withdrawal or cancellation

Key dates View

Conference program View

Venue and location View

Gala dinner

Travel and accommodation

Author's area View

Presentation schedule

Organising committee View

Symposium chair

Management chair committee

Scientific committee

Technical support

Contact us

Event Contact