Second Young researchers meeting on BSDEs, Numerics and Finance

7 juil. 2014, 13:00 → 9 juil. 2014, 19:30 Europe/Paris

After the success of the first ''Young Researchers Meeting on BSDEs, Numerics and Finance'' held in Oxford in 2012, we decided to organize the second one in Bordeaux in July 2014.

This international conference is a friendly meeting of young researchers working on:

• Backward Stochastic Differential Equations, and the related FBSDE, Reflected BSDE, etc...

•  Efficient numerical computation in finance and insurance
• Robust control, risk management and portfolio optimisation in finance and insurance
• Nonlinear and Imprecise Probability

lundi 7 juillet

Arnaud Lionnet - Time-discretization of monotone BSDEs with polynomial growth

Géraldine Bouveret - A Weak Discrete American-Type Stochastic Target Problem and its Application.

Kai Du - On solvability conditions for backward stochastic Riccati equations

Thomas Kruse - BSDEs with singular terminal condition and applications to optimal trade execution

16:00 Break

Ricardo Romo Romero - Indifference fee rate for variable annuities

Ludovic Moreau - Stability results for constrained FBSDEs

Olena Ragulina - Optimal control by franchise and deductible amounts in the classical risk model

Roxana Dumitrescu - Double reflected BSDEs with jumps and generalized Dynkin games

mardi 8 juillet

Samuel Cohen - EBSDEs and spatially stable capacities for graphs

Victor Fedyashov - Ergodic BSDEs with jumps and time dependence

Pierre-Yves Madec - Ergodic BSDEs related to PDEs with Neumann boundary conditions

11:00 Break

Paul-Eric Chaudru de Raynal - A cubature based algorithm for forward and forward-backward stochastic differential equation of McKean-Vlasov type

Camilo Andrés Garcia Trillos - Numerical solution of multi-scale SDEs

Ivo Mihaylov - An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs

13:00 Lunch

Soumana Hima Abdoulaye - BSDE driven by G-brownian motion

Yiqing Lin - Localization Methods for GSDEs

Xiaolu Tan - Martingale transport with full marginals constraint

16:30 Break

Kihun Nam - BSDEs, BSEs, and fixed points

Asmerilda Hitaj - Are the benchmarks equity strategies still valid for hedge fund portfolio allocation?

Gechun Liang - Optimal Switching at Poisson Random Intervention Times

mercredi 9 juillet

Elisa Mastrogiacomo - Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures

Ludovic Tangpi - Robust duality without reference measure

Lukasz Szpruch - Customized tamed numerical schemes for FBSDEs

11:00 Break

Christoph Mainberger - Supersolutions of Convex BSDEs under Constraints: Minimality, Duality, Markov Property

Rui Mu - Bang-Bang Type Nash Equilibrium Point for Markovian Nonzero-sum Stochastic Differential Game

Nguyen Tuyet Mai - Greeks without Resimulation in Spatially Homogeneous Markov Chain Models of Portfolio Credit Risk

13:00 Lunch

Céline Labart - Simulation of doubly reflected BSDEs with jumps and RCLL barriers

Jean-François Chassagneux - Numerical stability analysis of the Euler scheme for BSDEs

Goncalo dos Reis - Securitization and equilibrium pricing under relative performance concerns

16:30 Break

Thibaut Mastolia - Density analysis of BSDEs

Andrea Cosso - Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach

Alexander Steinicke - Malliavin differentiation of random functions with applications to Lévy driven BSDEs