M4 : Inverse Problems of Finance, Economics and Life Sciences

There are many challenging questions, and permanently new classes of inverse problems occur, motivated by applications from finance, economics, biology, medicine and social sciences.

We want to bring together experts and young researches working in this field to discuss about in the analysis and numerics of inverse and ill-posed problems.

Organizers:
Victor Isakov, Wichita State Univesrsity, USA, This email address is being protected from spambots. You need JavaScript enabled to view it.
Sergey Kabanikhin, Institute of Computational Mathematics and Mathematical Geophysics, Novosibirsk, Russia, This email address is being protected from spambots. You need JavaScript enabled to view it.
Alexander Shananin, Moscow Physical-Technical Institute, Russia, This email address is being protected from spambots. You need JavaScript enabled to view it.
Shuhua Zhang, Tianjin University of Finance and Economics, China, This email address is being protected from spambots. You need JavaScript enabled to view it.

Invited Speakers (in alphabetical order):
Baojun Bian, Tongji University, Shanghai, China, This email address is being protected from spambots. You need JavaScript enabled to view it.
Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing

Olga Krivorotko, Institute of Computational Mathematics and Mathematical Geophysics, Novosibirsk, Russia, This email address is being protected from spambots. You need JavaScript enabled to view it.
Complex analysis for numerical investigation of inverse problems in medical biology

Yongzeng Lai, Wilfrid Laurier University, Ontario, Canada, This email address is being protected from spambots. You need JavaScript enabled to view it.
Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV mode


Varvara Latyshenko, Institute of Computational Mathematics and Mathematical Geophysics, Novosibirsk, Russia, This email address is being protected from spambots. You need JavaScript enabled to view it.
Identifiabilty analysis for mathematical problems of biology

Jingtang Ma, Southwestern University of Finance and Economics, Chengdu, China, This email address is being protected from spambots. You need JavaScript enabled to view it.
Explicit approximate analytic formulas for timer option pricing with stochastic interest rates

Michael Marchenko, Institute of Computational Mathematics and Mathematical Geophysics, Novosibirsk, Russia, This email address is being protected from spambots. You need JavaScript enabled to view it.
Monte Carlo methods for inverse problems for transport equation with stochastic sources

Evgeniy Molchanov, Moscow Physical-Technical Institute, Russia, This email address is being protected from spambots. You need JavaScript enabled to view it.
Deformations of rhombic tilings in the inverse resource distribution problem

Alexander Shananin, Moscow Physical-Technical Institute, Russia, This email address is being protected from spambots. You need JavaScript enabled to view it.
Generalized nonparametric method for analyzing economic data inconsistent with the model of single rational representative consumer

Maxim Shishlenin, Institute of Computational Mathematics and Mathematical Geophysics, Novosibirsk, Russia, This email address is being protected from spambots. You need JavaScript enabled to view it.
Gradient-type algorithm the inverse problems for Black-Scholes equation

Chenglong Xu, Tongji University, Shanghai, China, This email address is being protected from spambots. You need JavaScript enabled to view it.
On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes

Zuoliang Xu, Renmin University of China, Beijing, China, This email address is being protected from spambots. You need JavaScript enabled to view it.
The oblique derivative problem for nonlinear elliptic equations of second order in unbounded domais

Hongtao Yang, University of Nevada, Las Vegas, US, This email address is being protected from spambots. You need JavaScript enabled to view it.
A numerical analysis of American options with regime switching

Darya Yermolenko, Institute of Computational Mathematics and Mathematical Geophysics, Novosibirsk, Russia, This email address is being protected from spambots. You need JavaScript enabled to view it.
Inverse problems of epidemiology: theory and numerics

Shuhua Zhang, Tianjin University of Finance and Economics, China, This email address is being protected from spambots. You need JavaScript enabled to view it.
Optimal abatement policy and emission permits trading policies in a dynamic transboundary pollution game

Yongmin Zhang, University of Nottingham, Ningbo, China, This email address is being protected from spambots. You need JavaScript enabled to view it.
American option pricing model as an obstacle problem

Jorge Zubelli, IMPA, Rio de Janeiro, Brasil, This email address is being protected from spambots. You need JavaScript enabled to view it.
Local and stochastic volatility estimation driven by the available data