Schedule
Schedule and slides
| Tuesday, September 3th |
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8:30 - 9:00 Welcome
9:00 - 9:40 Masaaki KIJIMA Credit-Equity modeling under a Latent Lévy Firm Process. [Slides]
9:40 - 9:50 Break
9:50 - 10:30 Albina DANILOVA Risk aversion of market makers and asymmetric information. [Slides]
10:30 - 10:50 Coffee break
10:50 - 11:30 Min DAI Calibration of Stochastic Volatility Models: A Tikhonov Regularization Approach. [Slides]
11:30 - 11:40 Break
11:40 - 12:20 Thorsten RHEINLANDER General self-duality with applications to exotic option valuation.[Slides]
12:30 - 14:00 Lunch
14:00 - 14:40 Huyên PHAM Semi-Markov model for market micro-structure and high frequency trading.[Slides]
14:40 - 14:50 Break
14:50 - 15:30 Peter TANKOV Asymptotics for sums of log-normal random variables and applications in finance. [Slides]
15:30 - 15:50 Coffee Break
15:50 - 16:30 Stéphane CREPEY Wrong Way and Gap Risks modeling: A Marked Default Time Approach.[Slides]
16:30 - 16:40 Break
16:40 - 17:20 Jan KALLSEN The general structure of optimal investment and consumption with small transaction costs.[Slides]
17:20 - 17:30 Break
17:30 - 18:10 Emmanuel LEPINETTE Financial market models defined by a random preference relation. Essential supremum and maximum of a family of random variables with respect to a random preference relation. Applications.[Slides]
18:30 - 20:00 Visit of the Jean Lurçat Museum
20:00 - 21:00 Dinner
| Wednesday, September 4th |
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9:00 - 9:40 Ernst EBERLEIN A theory of two prices in continuous time.
9:40 - 9:50 Break
9:50 - 10:30 Teruyoshi SUZUKI The Pricing Model of Corporate Securities under Cross-Holdings of Equities and Debts.[Slides]
10:30- 10:50 Coffee break
10:50 - 11:30 Monique JEANBLANC Random times, progressive enlargement and arbitrages.[Slides]
11:30 - 11:40 Break
11:40 - 12:20 Wolfgang RUNGGALDIER On market models that do not admit an ELMM but satisfy weaker forms of no-arbitrage.[Slides]
12:30 - 14:00 Lunch
14:00 - 14:40 Ying HU Mean-variance portfolio selection with uncertain drift and volatility.[Slides]
14:40 - 14:50 Break
14:50 - 15:30 Ying JIAO Hedging under multiple risk constraints. [Slides]
15:30 - 15:50 Coffee break
15:50 - 16:30 Takashi SHIBATA Investment strategies under debt borrowing limit constraints. [Slides]
16:30 - 16:40 Break
16:40 - 17:20 Ernst PRESMAN Solution of Opimal Stopping Problems by Modification of Payoff Function.[Slides]
17:20 - 17:30 Break
17:30 - 18:00 Pierre-Yves MADEC Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions.[Slides]
18:00 - 18:30 Adrien RICHOU Numerical simulation of BSDEs with drivers of quadratic growth with respect to Z.[Slides]
20:00 - 21:00 Dinner
| Thursday, September 5st |
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9:00 - 9:40 Emmanuel GOBET SAFE method for analytical approximation of multidimensional diffusion, and applications. [Slides]
9:40 - 9:50 Break
9:50 - 10:30 Bruno BOUCHARD Dynamic programming for a class of stochastic target games - Application to hedging under model uncertainty.[Slides]
10:30 - 10:50 Coffee break
10:50 - 11:30 Raphael DOUADY The Whys of the LOIS: Credit Skew and Funding Spread Volatility.[Slides]
11:30 - 11:40 Break
11:40 - 12:20 Victor DOMANSKY Game-theoretic models of financial markets.[Slides]
12:20 - 13:20 Lunch
13:30 Visit of Saumur town and abbey Fontevraud
20:00 Conference dinner
| Friday, September 6st |
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9:00 - 9:40 Nizar TOUZI Martingale optimal transport and model-free hedging.[Slides]
9:40 - 9:50 Break
9:50 - 10:30 Anis MATOUSSI Robust maximization utility problem with non-entropic penalization /OR / Second order BSDE’s and SPDE’s.[Slides]
10:30- 10:50 Coffee break
10:50 - 11:30 Caroline HILLAIRET Ramsey Rules and Yields Curve Dynamics.[Slides]
11:30 - 11:40 Break
11:40 - 12:10 Michael SCHMUTZ Methods from mathematical finance in risk based solvency frameworks for insurance companies. [for slides contact michael.schmutz@stat.unibe.ch]
12:10 - 12:40 Alexander SLASTNIKOV Model of financing risky projects: Optimization of a bank credit policy and governmental guarantees.[Slides]
12:40 - 14:00 Lunch
14:00 - 14:40 Antony REVEILLAC Non-classical of BSDEs arising in the utility maximization problem with random horizon. [Slides]
14:40 - 14:50 Break
14:50 - 15:30 Marie Amelie MORLAIS Study of a general switching game. [Slides]
15:30 - 16:00 Coffee break
16:00 - 16:30 Anastasia ELLANSKAYA Indifference pricing of exponential Levy models. [Slides]
16:30 - 17:00 Achref BACHOUCH Numerical scheme for semi-linear Stochastic PDE’s via Backward Doubly Stochastic Differential Equations.[Slides]
17:00 - 17:30 Shiqi Song Optional splitting formula in a progressively enlarged filtration.[Slides]
17:30 - 18:00 Closing
20:00 - 21:00 Dinner