JAFEE

1 JAFEE 2018 9 2 22 ( ) 9 2 23 ( ) 3 532 (The Japanese Association of Financial Econometrics and Engineering) 105-0004 6-7-9 3 JAFEE TEL 03-5405-1816 FAX 03-5405-1814 Email 2019 2 22 ( ) 30 ( ) 9:00 9:30-10:30 I ( ) ( ), ( ) ( ), ( ), ( ) 10:45-11:45 II ( ) ( ), ( ) Google Trends ( ), ( ), ( ) 11:45-13:15 , ( 535 ) 13:15-14:15 JAFEE 50 ( JAFEE 2 ) 14:30-15:30 ( UFJ (MTEC)) ( ), ( ), ( ) ( ), ( ) 15:45-17.

2 15 ( ) ( ), ( ) An Analytic Market Condition for Mutual Fund Separation: Demand for Non-Sharpe Ratio Maximizing Portfolio ( ) 2019 2 23 ( ) 30 ( ) 15 ( ) 8:45 9:15-10:30 I ( ) ESG ( UFJ (MTEC)), ( ) ( ), ( ), ( ), ( ), ( ) An Extension of the Risk-Sensitive Value Measure Method to Continuous Time Models ( ) Dynamic Time Warping Lead-Lag ( ), ( FX ) Jensen's Alpha Measured under Skew-Symmetry Model for Error Term Distribution Navruzbek Karamatov(Graduate School of Economics and Management, Tohoku University), ( ) 11:00-12.

3 30 II ( ) Ito calculus in Risk Theory ( ), Corina (University of Liverpool, Department of Mathematical Sciences) VaR as Sample Quantile Process ( ) A Remark on Continuous-Time Macro-Finance Models ( ),Luca Taschini(London School of Economics), ( ) Stochastic Hamilton System for Economic Growth Model ( ), ( ) HJB WKB ( ), ( ) Ho-Lee ( ), ( ) 12:30-13:45 13:45-14:45 I ( ) ( UFJ (MTEC)) ( ), ( ), ( ) 15:00-16:00 II ( ) - - ( ) Option Pricing Models Driven by Self- and Mutually-Exciting Jump Diffusion Processes ( ), ( ) 16:15-17:15 ( ) ( ), ( ) GAM ( ) 17:15-17.

4 30 532 ( ) 2-15-45 JR 8 7 8 2019 1 15 JAFEE 105-0004 6-7-9 3 JAFEE TEL 03-5405-1816( ) FAX 03-5405-1814 Email