Statistical Methods in Finance 2017

Overview

The third conference and workshop on Statistical Methods in Finance aims to expose the participants to new and active areas of research and to engage researchers into active working groups. The conference will be jointly hosted by

• Chennai Mathematical Institute (CMI), and
• Indian Statistical Institute - Chennai Center

Application and abstract submission is closed.

Sponsor

• MCX-IPF Trust
• Indian Statistical Institute
• International Society for Business and Industrial Statistics (ISBIS)
• International Indian Statistical Association (IISA)

ISBIS will co-sponsor the conference and workshop through funds from the World Bank to the International Statistical Institute (ISI).

Call for ISBIS Membership

Full List of All Participants

Announcement

The one-day followup conference on Dec 20, 2017; Applications of Quantitative Methods and Data Analytics in Industry is being postponed.

Conference Group Photo

Plenary Speakers

• Dipak K Dey, University of Connecticut, USA
• Modelling of Large Insurance Claims and Occurrence Data
• Ronnie Sircar, Princeton University, USA
• Energy Prices, Dynamic Mean Field Games and Stochastic Demand
• Tomasz Bielecki Illinois Institute of Technology, USA (via Video Conference)
• Arbitrage-free pricing of derivatives in nonlinear market models

MCX Panel Discussion

MCX Panel Discussion on Research Ideas, Perspectives and Challenges in the field of Commodity Derivatives.
• Debojyoti Dey, MCX, India
• Ronnie Sircar, Princeton University, USA
• Thenmozhi, Indian Institute of Technology, Madras, India
• Velmurugan,Central University of Tamil Nadu, India

Invited Speakers

• Anirban Chakraborti, Jawaharlal Nehru University, New Delhi
• Understanding complexity of "market states"
• Gopal Basak, Indian Statistical Institute, Kolkata
• Measures of portfolio efficiency
• Indranil Sen Gupta, North Dakota State University, USA
• Analysis of some variance based instruments for Ornstein-Uhlenbeck type models
• Pritam Ranjan, Indian Institute of Management, Indore
• A comparative study of discrete-time stochastic volatility model
• Ravindra Khattree, Oakland University, USA
• Same Leverage, Less Volatility: A Statistical Approach to the Construction of Leveraged Funds
• Santanu Dutta, Tezpur University, Tezpur, Assam
• Quantile Estimation based on asset return data
• Sudheesh Kumar Kattumannil, Indian Statistical Institute, Chennai
• Modelling Time Series Through Gini Autocovariance Function
• Sujit K Ghosh, North Carolina State University, USA
• How High the Hedge: Relationships Between Prices and Yields in the U.S. Federal Crop Insurance Program
• T.V.Ramanathan, Savitribai Phule Pune University, Pune
• Nonstationary Autoregressive Conditional Duration Models
• Yue Kuen Kwok,Hong Kong University of Science and Technology,Hong Kong, China
• Saddlepoint approximation methods for pricing financial options on discrete realized variance

Musical Concert

Carnatic music concert, sponsored by Bank of India, will be held between 6.00 and 8.30 p.m. on Saturday, 16th December 2017. The artists are:


• Ramakrishnan Murthy (Vocal)
• HM Smitha (Violin)
• Delhi Sairam (Mridangam)

Venue

Chennai Mathematical Institute
H1, SIPCOT IT Park, Siruseri
Kelambakkam - 603103, India

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More Info

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