Advanced Methods in Mathematical Finance

from Tuesday, 1 September 2015 (08:00) to Friday, 4 September 2015 (20:45)
Angers - France

        : Sessions
    /     : Talks
        : Breaks
1 Sep 2015
2 Sep 2015
3 Sep 2015
4 Sep 2015
AM
08:30 --- Welcome ---
09:00 Universal Arbitrage Aggregator in Discrete Time under Uncertainty, - Prof. Marco Frittelli (Università degli Studi di Milano)   ()
Slides
09:40 --- Break ---
09:50 No arbitrage conditions in the multi-curve modelling of the term structure of interest rates - Prof. Wolfgang Runggaldier (University of Padova, Dipartimento di Matematica)   ()
Slides
10:30 --- Coffee Break ---
10:50 A measure-valued SDE with applications to interest rates and stochastic volatility - Dr Michael Tehranchi (University of Cambridge)   ()
Slides
11:20 Risk Minimization under Mortality and Its Stochastics. - Dr Tahir Choulli (UNiversity of Alberta)   ()
Slides
11:50 Brownian trading excursions - Prof. Thorsten Rheinlander (TU Vienna)   ()
Slides
09:00 On the Skorokhod embedding problem and FBSDE - Prof. Peter Imkeller (Mathematisches Institut der Humboldt-Universität zu Berlin)   ()
09:40 --- Break ---
09:50 On the Chaotic Representation Property of Certain Families of Martingales - Hans-Jürgen Engelbert (Friedrich Schiller-University of Jena)   ()
Slides
10:30 --- Coffee Break ---
10:50 Sensitivity Analysis in Lévy Fixed Income Theory - Prof. Ernst Eberlein (University of Freiburg)   ()
11:30 --- Break ---
11:40 Joint distribution of spectrally negative Lévy process and its occupation time, with step option pricing in view - Dr Hélène Guérin (IRMAR)   ()
Slides
09:00 Recent development in martingale optimal transport - Prof. Nizar Touzi (Ecole Polytechnique)   ()
Slides
09:40 --- Break ---
09:50 Rare event simulation related to financial risks: efficient estimation and sensitivity analysis - Emmanuel Gobet (Po)   ()
10:30 --- Coffee Break ---
10:50 Group solvency tests, intragroup transfers and intragroup diversification: a set-valued perspective - Dr Michael Schmutz (University of Berne)   ()
11:20 A martingale fixed-point problem in optimal reserve exploration - Prof. Juri Hinz (UTS)   ()
Slides
11:50 On the Estimation Methods for Risk Measurement - Dr HASSAN OMIDI FIROUZI (LABEXREFI)   ()
Slides
09:00 Robust Detection of Unobservable Disorder in Poisson rate - Prof. Nicole El Karoui (UPMC)   ()
Slides
09:40 --- Break ---
09:50 An Analytical Approximation for Pricing VWAP Options - Prof. Masaaki Kijima (Tokyo Metropolitan University)   ()
Slides
10:30 --- Coffee Break ---
10:50 Malliavin differentiability of BSDEs - Prof. ANTHONY REVEILLAC (INSA de Toulouse - Institut de Mathématiques de Toulouse)   ()
Slides
11:20 Multidimensional quadratic BSDEs with separated generators - Mr Peng Luo (University of Konstanz)   ()
Slides
11:50 Incomplete stochastic equilibria and a system of quadratic BSDEs - Mr Hao Xing (London School of Economics)   ()
Slides
PM
12:20 --- Lunch ---
14:00 Dynamics of order positions and related queues in a limit order book - Prof. xin guo (UC Berkeley)   ()
Slides
14:40 --- Break ---
14:50 Grossissement de filtration en temps discret - Mrs Monique Jeanblanc (université Evry Val d'ESSONNE)   ()
Slides
15:30 --- Coffee Break ---
15:50 Information Asymmetries, Volatility, Liquidity, and the Tobin Tax - Dr Albina Danilova (LSE)   ()
Slides
16:30 Polynomial preserving processes and discrete-tenor interest rate models - Dr Zorana Grbac (Université Paris Diderot)   ()
Slides
17:00 --- Break ---
17:10 Continuity Problems in Boundary Crossing Problems - Prof. Konstantin Borovkov (University of Melbourne)   ()
Slides
18:10 --- Pedestrian walk to Lurçat Museum ---
18:30 --- Visit of the Jean Lurçat Museum ---
19:30 --- Return to conference place ---
19:50 --- Dinner ---
12:20 --- Lunch ---
14:00 A result on integral functionals with infinitely many constraints - Prof. Martin Schweizer (ETH Zurich)   ()
14:40 --- Break ---
14:50 On the dual problem of utility maximization in incomplete markets - Dr Yiqing LIN (University of Vienna)   ()
Slides
15:30 --- Coffee Break ---
15:50 Agency, Firm Growth and Managerial Turnover - Prof. Mihail Zervos (London School of Economics)   ()
16:30 --- Break ---
16:40 Evolution of models in evolving markets - Mr Marek Musiela (Oxfor Man Institute)   ()
Slides
17:10 Debt negotiation with firms’ cross-holdings of securities - Mr Teruyoshi Suzuki (Hokkaido University)   ()
17:40 --- Break ---
17:50 Investment timing, collateral, and financing constraints - Prof. Takashi Shibata (Tokyo Metropolitan University)   ()
18:20 On the supremum of fractional Brownian motion and related processes - Mikhail Zhitlukhin (Steklov Mathematical institute)   ()
Slides
19:00 --- Dinner ---
12:20 --- Lunch ---
13:30 --- Bus travel to Brézé Castle ---
15:00 --- Visit of Brézé Castle ---
17:45 --- Way back to conference place ---
19:30 --- Pedestrian walk to restaurant "La Ferme" ---
20:00 --- Conference dinner ---
12:20 --- Lunch ---
14:00 General one-dimensional diffusion: characterization, optimal stopping problem - Prof. Ernst Presman (CEMI RAN)   ()
Slides
14:30 On optimal stopping with expectation constraints - Stefan Ankirchner (University of jena)   ()
Slides
15:00 Variational View to Optimal Stopping with Application to Real Options - Dr Alexander Slastnikov (CEMI)   ()
Slides
15:30 --- Coffee Break ---
15:50 Multi-Dimensional Backward Stochastic Differential Equations of Diagonally Quadratic generators - Mr Ying Hu (Université Rennes 1)   ()
Slides
16:30 Degenerate Backward SPDE with Singular Terminal Value and Related Applications in Mathematical Finance - Dr Qi Zhang (Fudan University)   ()
Slides
17:00 --- Break ---
17:10 Existence and uniqueness of viscosity solutions for second order integro-differential equations without monotonicity condition - Mr said hamadene (LMM, Universite du Maine, Le Mans, France)   ()
Slides
17:40 Random Periodic Processes, Periodic Measures and Ergodicity - Prof. Huaizhong Zhao (Loughborough University)   ()
Slides
18:20 --- Closing ---
19:00 --- Dinner ---