Workshop on Stochastic Processes and Applications

March 8-9, 2012

Program & Slides   Group photo



Andreas Kyprianou (Bath, UK, 3 talks)

1. Levy processes:
2. The Wiener-Hopf factorisation:
3. Meromorphic Levy processes and Wiener-Hopf Monte-Carlo methods:

Hideo Nagai (Osaka University, Japan)
Some Remarks on Large Deviation Estimates for Controlled Semi-Martingales

Jun Sekine (Osaka University, Japan)
On hyperbolic growth of long-term Bayesian optimal Power-Utility

Svetlana Boyarchenko (University of Texas, Austin, USA, 2 talks)
(I)Optimal Stopping in Levy Models for Nonmonotone Discontinuous Payoffs
(II) Preemption Games under Levy Uncertainty

Yoshio Miyahara (Nagoya City University)

Risk-Sensitive Value Measure and its Applications."

Ning Cai (The Hong Kong University of Science and Technology)

Analytical Pricing of Asian Options under a Hyper-Exponential Jump Diffusion

Budhi Arta Surya (Bandung Institute of Technology, Indonesia)
Toward a Generalization of Leland-Toft Optimal Capital Structure Model

Tzuu-Shuh Chiang (Academia Sinica, Taiwan)
Asymptotic expansion of European down-and-out barrier option

Ming-Chi Chang (NCTU, Taiwan)
Two-sided optimal stopping problems and perpetual American exotic options

Chuan-Hsiang Han (NTHU, Taiwan)
Monte Carlo Calibration to Implied Volatility Surfaces

Lobin Chang (NCTU,Taiwan)
The invariance of waiting times between large returns with a discussion on empirical scaling laws

Hsuan-Ku Liu (NTUE, Taiwan)
On ratchet-cap pricing problems under the Levy LIBOR model

Chii-Ruey Hwang (Academia Sinica)
Shuenn-Jyi Sheu (National Central University)
Yuan-Chung Sheu (National Chiao Tung University)


NCTS, CMMSC(NCTU), Department of Mathematics (NCU)

Place: NCTS, 4th  Floor, The 3rd General Building, National Tsing-Hua University, Hsinchu, Taiwan


Vickey Sun

Wendy Huang

Mathematics Division 


Practical information

 PVisa: Most visitors could get landing visa or visa exemption for 30 days. For general information, see visa-info. Speakers who hold the  People's Republic of China passport are requested to send their personal data (including tel number, fax number, mailing address, e- mail address and research field etc.) to secretary Wendy Huang by email at It normally takes around two/three months to process the applications of Taiwanese entrance visa for applicants from the Mainland China.

 POffices: (Shared) offices will be provided to all invited speakers, with computers Windows XP.

 PTourism: The link to Tourism Bureau contains maps, travel tips, attractions, etc... .