Advanced Methods in Mathematical Finance

de mardi 28 août 2018 (00:00) à vendredi 31 août 2018 (19:20)
Angers - France

        : Sessions
    /     : Talks
        : Breaks
28 août 2018
29 août 2018
30 août 2018
31 août 2018
AM
08:30 --- Welcome ---
09:00 Some sequential problems for Brownian motion with random drift in statistics and finance. - Albert Shiryaev (Steklov Mathematical Institute)   ()
09:40 Couplings on Wiener space and a new version of Talagrand’s inequality - Hans Foellmer (Humboldt University Berlin)   ()
10:20 --- Coffee Break ---
10:50 The asymptotic expansion of the regular discretization error of Itô integrals - Masaaki Fukasawa (Osaka University)   ()
11:20 Stochastic Stefan-type Problems and Order Book Dynamics - Dr Marvin Mueller (ETH Zurich)   ()
11:50 Exact spectral asymptotics of fractional processes with applications to inference - Prof. Marina Kleptsyna (Université du Maine)   ()
09:00 A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility - Masaaki Kijima (Tokyo Metropolitan University)   ()
09:40 Esscher pricing under progressive enlargement of information - Dr Tahir Choulli (UNiversity of Alberta)   ()
10:20 --- Coffee Break ---
10:50 Construction of an aggregate consistent utility, without Pareto optimality - Mlle Caroline HILLAIRET (Ensae Paris tech, CREST)   ()
11:20 On multisided optimal stopping problems for Levy processes - Elena Boguslavskaya (Brunel University London)   ()
11:50 Infinite dimensional polynomial processes - Christa Cuchiero (University of Vienna)   ()
08:30 On Fairness of Systemic Risk Measures - Prof. Marco Frittelli (Milano University)   ()
09:10 On the geometry of very rough Weierstrass curves: local time, SBR measure, Hausdorff dimension - Peter Imkeller (Mathematisches Institut der Humboldt-Universität zu Berlin)   ()
09:50 Mass-Conserving Stochastic Partial Differential Equations and Related Backward Doubly Stochastic Differential Equations - Prof. Qi Zhang (Fudan University)   ()
10:20 --- Coffee Break ---
10:50 Can old-age provision benefit from recent developments in quantitative finance? - Dr Michael Schmutz (University of Berne)   ()
11:20 On the conditions on pricing functional and trading strategies in insider trading model - Dr Albina Danilova (LSE)   ()
11:50 --- Break ---
09:00 Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case - Josef Teichmann (ETH Zurich)   ()
09:40 Double continuation regions for American and Swing options with negative discount rate in Lévy models - Zbigniew Palmowski (Wrocław University of Science and Technology)   ()
10:20 --- Coffee Break ---
10:50 Stochastic control under periodic observation times - Prof. Kazutoshi Yamazaki (Kansai University)   ()
11:20 On the Entropie Minimal Martingale Measure for Lévy Processes - Hans-Jürgen Engelbert (Friedrich Schiller-University of Jena, Institute of Mathematics)   ()
11:50 On the Ruin Problem with Investment when the Risky Asset is a Semimartingale - Jerome Spielmann (Universite d'Angers)   ()
PM
12:20 --- Lunch ---
14:00 Recover Dynamic Utility from Monotonic Characteristic Processes - Prof. Nicole El Karoui   ()
14:30 Lie group analysis of an optimization problem for a portfolio with an illiquid asset - Prof. Ljudmila A. Bordag (University of Applied Sciences Zittau/Gorlitz)   ()
15:00 Decomposition of random times, application to default times - Monique Jeanblanc (université Evry Val d'ESSONNE)   ()
15:30 --- Coffee Break ---
16:00 Entropy and additional utility of a discrete information disclosed progressively in time - Anna Aksamit (University of Sydney)   ()
16:30 Utility maximization for Lévy switching models - Yuchao Dong (University of Angers)   ()
17:00 --- Break ---
17:10 The Skorokhod embedding problem and single jump martingales: a connection via change of time - Prof. Alexander Gushchin (Steklov Mathematical Institute)   ()
17:40 On sets of laws of continuous martingales - Prof. Youri Kabanov (Lomonosov Moscow State University and Université de Bourgogne Franche-Comté)   ()
19:00 --- Welcome in the Gallery David d'Angers ---
12:20 --- Lunch ---
14:00 Law of Large Numbers and Central Limit Theorem under Uncertainty of Probability Distributions - Shige Peng (Shandong University)   ()
14:40 Mixed Deterministic and Random Optimal Control of Linear Stochastic Systems with Quadratic Costs - Prof. Shanjian Tang (Fudan University, School of Mathematical Science)   ()
15:20 --- Coffee Break ---
15:50 On discrete Schur-constant vectors, with applications. - Prof. Stéphane Loisel (Université de Lyon 1)   ()
16:20 Classical and Restricted Impulse Control for the Exchange Rate under Incomplete Knowledge of the Model - Prof. Wolfgang Runggaldier (University of Padova, Italy)   ()
16:50 Duality for homogeneous optimisation problems - Michael Tehranchi (University of Cambridge)   ()
17:20 --- Break ---
17:30 Continuous-Time Constrained Stochastic Linear-Quadratic Control with Financial Applications - Dr Xun LI (HK PolyU)   ()
18:00 Linear-Quadratic-Gaussian Mixed Games with Input Constraint Involving Major Agent and Heterogeneous Minor Agents - Jianhui Huang (Hong kong Polytechnic University)   ()
18:30 --- Posters session ---
12:00 Nonparametric Bayesian volatility estimation - Prof. Peter Spreij (Korteweg-de Vries Institute for Mathematics, Universiteit van Amsterdam)   ()
12:30 Optimal financing and investment strategies under asymmetric information about collateral value - Prof. Takashi Shibata (Tokyo Metropolitan University)   ()
13:00 --- Lunch ---
15:00 --- Visit of the Castle ---
20:00 --- Conference dinner ---
12:20 --- Lunch ---
14:00 BSDE formulation of combined regular and singular stochastic control problems - Ying Hu (University of Rennes 1)   ()
14:30 Some existence and uniqueness results for obliquely reflected BSDEs - Adrien Richou (IMB - Université de Bordeaux)   ()
15:00 Optimal (financial) position targeting via decoupling fields - Stefan Ankirchner (University of Jena)   ()
15:30 --- Coffee Break ---
16:00 Controlled mean-field dynamics in stochastic control problems depending on the law of state process - Rainer Buckdahn (Université de Bretagne Occidentale)   ()
16:30 Representation of limit values for nonexpansive stochastic differential games - Juan Li (Shandong University, Weihai)   ()
17:00 --- Break ---
17:10 Quantile optimization under derivative constraint - Zuoquan Xu (The Hong Kong Polytechnic University)   ()
17:40 The Neumann Boundary Problem for Elliptic Partial Differential Equations with Nonlinear Divergence Terms - Jing Zhang (Fudan University)   ()
18:10 --- Closing ---
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