Advanced Methods in Mathematical Finance

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08:00

09:00

10:00

11:00

12:00

13:00

14:00

15:00

16:00

17:00

18:00

19:00

20:00

Welcome

Angers - France

08:30 - 09:00

Prof. Marco Frittelli

Universal Arbitrage Aggregator in Discrete Time under Uncertainty,

Angers - France

09:00 - 09:40

Break

Angers - France

09:40 - 09:50

Prof. Wolfgang Runggaldier

No arbitrage conditions in the multi-curve modelling of the term structure of interest rates

Angers - France

09:50 - 10:30

Coffee Break

Angers - France

10:30 - 10:50

Dr Michael Tehranchi

A measure-valued SDE with applications to interest rates and stochastic volatility

Angers - France

10:50 - 11:20

Dr Tahir Choulli

Risk Minimization under Mortality and Its Stochastics.

Angers - France

11:20 - 11:50

Prof. Thorsten Rheinlander

Brownian trading excursions

Angers - France

11:50 - 12:20

Lunch

Angers - France

12:20 - 13:20

Prof. xin guo

Dynamics of order positions and related queues in a limit order book

Angers - France

14:00 - 14:40

Break

Angers - France

14:40 - 14:50

Mme Monique Jeanblanc

Grossissement de filtration en temps discret

Angers - France

14:50 - 15:30

Coffee Break

Angers - France

15:30 - 15:50

Dr Albina Danilova

Information Asymmetries, Volatility, Liquidity, and the Tobin Tax

Angers - France

15:50 - 16:30

Dr Zorana Grbac

Polynomial preserving processes and discrete-tenor interest rate models

Angers - France

16:30 - 17:00

Break

Angers - France

17:00 - 17:10

Prof. Konstantin Borovkov

Continuity Problems in Boundary Crossing Problems

Angers - France

17:10 - 17:50

Pedestrian walk to Lurçat Museum

Angers - France

18:10 - 18:30

Visit of the Jean Lurçat Museum

Angers - France

18:30 - 19:30

Return to conference place

Angers - France

19:30 - 19:50

Dinner

Angers - France

19:50 - 20:50

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