Second Young researchers meeting on BSDEs, Numerics and Finance
de
lundi 7 juillet 2014 (13:00)
à
mercredi 9 juillet 2014 (19:30)
lundi 7 juillet 2014
14:00
Arnaud Lionnet - Time-discretization of monotone BSDEs with polynomial growth
14:00 - 14:30
14:30
Géraldine Bouveret - A Weak Discrete American-Type Stochastic Target Problem and its Application.
14:30 - 15:00
15:00
Kai Du - On solvability conditions for backward stochastic Riccati equations
15:00 - 15:30
15:30
Thomas Kruse - BSDEs with singular terminal condition and applications to optimal trade execution
15:30 - 16:00
16:00
Break
Break
16:00 - 16:30
16:30
Ricardo Romo Romero - Indifference fee rate for variable annuities
16:30 - 17:00
17:00
Ludovic Moreau - Stability results for constrained FBSDEs
17:00 - 17:30
17:30
Olena Ragulina - Optimal control by franchise and deductible amounts in the classical risk model
17:30 - 18:00
18:00
Roxana Dumitrescu - Double reflected BSDEs with jumps and generalized Dynkin games
18:00 - 18:30
mardi 8 juillet 2014
09:30
Samuel Cohen - EBSDEs and spatially stable capacities for graphs
09:30 - 10:00
10:00
Victor Fedyashov - Ergodic BSDEs with jumps and time dependence
10:00 - 10:30
10:30
Pierre-Yves Madec - Ergodic BSDEs related to PDEs with Neumann boundary conditions
10:30 - 11:00
11:00
Break
Break
11:00 - 11:30
11:30
Paul-Eric Chaudru de Raynal - A cubature based algorithm for forward and forward-backward stochastic differential equation of McKean-Vlasov type
11:30 - 12:00
12:00
Camilo Andrés Garcia Trillos - Numerical solution of multi-scale SDEs
12:00 - 12:30
12:30
Ivo Mihaylov - An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs
12:30 - 13:00
13:00
Lunch
Lunch
13:00 - 15:00
15:00
Soumana Hima Abdoulaye - BSDE driven by G-brownian motion
15:00 - 15:30
15:30
Yiqing Lin - Localization Methods for GSDEs
15:30 - 16:00
16:00
Xiaolu Tan - Martingale transport with full marginals constraint
16:00 - 16:30
16:30
Break
Break
16:30 - 17:00
17:00
Kihun Nam - BSDEs, BSEs, and fixed points
17:00 - 17:30
17:30
Asmerilda Hitaj - Are the benchmarks equity strategies still valid for hedge fund portfolio allocation?
17:30 - 18:00
18:00
Gechun Liang - Optimal Switching at Poisson Random Intervention Times
18:00 - 18:30
mercredi 9 juillet 2014
09:30
Elisa Mastrogiacomo - Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
09:30 - 10:00
10:00
Ludovic Tangpi - Robust duality without reference measure
10:00 - 10:30
10:30
Lukasz Szpruch - Customized tamed numerical schemes for FBSDEs
10:30 - 11:00
11:00
Break
Break
11:00 - 11:30
11:30
Christoph Mainberger - Supersolutions of Convex BSDEs under Constraints: Minimality, Duality, Markov Property
11:30 - 12:00
12:00
Rui Mu - Bang-Bang Type Nash Equilibrium Point for Markovian Nonzero-sum Stochastic Differential Game
12:00 - 12:30
12:30
Nguyen Tuyet Mai - Greeks without Resimulation in Spatially Homogeneous Markov Chain Models of Portfolio Credit Risk
12:30 - 13:00
13:00
Lunch
Lunch
13:00 - 15:00
15:00
Céline Labart - Simulation of doubly reflected BSDEs with jumps and RCLL barriers
15:00 - 15:30
15:30
Jean-François Chassagneux - Numerical stability analysis of the Euler scheme for BSDEs
15:30 - 16:00
16:00
Goncalo dos Reis - Securitization and equilibrium pricing under relative performance concerns
16:00 - 16:30
16:30
Break
Break
16:30 - 17:00
17:00
Thibaut Mastolia - Density analysis of BSDEs
17:00 - 17:30
17:30
Andrea Cosso - Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach
17:30 - 18:00
18:00
Alexander Steinicke - Malliavin differentiation of random functions with applications to Lévy driven BSDEs
18:00 - 18:30